Tick size and price diffusion

A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties of prices. The second part presents original results obtained by investigating the tick size changes occurring at the New York Stock Exchange (NYSE). We show that tick size change has three effects on price diffusion. First, as already shown in the literature, tick size affects price return distribution at an aggregate time scale. Second, reducing the tick size typically leads to an increase of volatility clustering. We give a possible mechanistic explanation for this effect, but clearly more investigation is needed to understand the origin of this relation. Third, we explicitly show that the ability of the subordination hypothesis in explaining fat tails of returns and volatility clustering is strongly dependent on tick size. While for large tick sizes the subordination hypothesis has significant explanatory power, for small tick sizes we show that subordination is not the main driver of these two important stylized facts of financial market.Comment: To be published in the "Proceedings of Econophys-Kolkata V International Workshop on "Econophysics of Order-driven Markets" March 9-13, 2010, The New Economic Windows series of Springer-Verlag Italia

Diffusion in supersonic, turbulent, compressible flows

We investigate diffusion in supersonic, turbulent, compressible flows. Supersonic turbulence can be characterized as network of interacting shocks. We consider flows with different rms Mach numbers and where energy necessary to maintain dynamical equilibrium is inserted at different spatial scales. We find that turbulent transport exhibits super-diffusive behavior due to induced bulk motions. In a comoving reference frame, however, diffusion behaves normal and can be described by mixing length theory extended into the supersonic regime.Comment: 11 pages, incl. 5 figures, accepted for publication in Physical Review E (a high-resolution version is available at http://www.aip.de./~ralf/Publications/p21.abstract.html

Level-Spacing Distributions and the Bessel Kernel

The level spacing distributions which arise when one rescales the Laguerre or Jacobi ensembles of hermitian matrices is studied. These distributions are expressible in terms of a Fredholm determinant of an integral operator whose kernel is expressible in terms of Bessel functions of order $\alpha$. We derive a system of partial differential equations associated with the logarithmic derivative of this Fredholm determinant when the underlying domain is a union of intervals. In the case of a single interval this Fredholm determinant is a Painleve tau function.Comment: 18 pages, resubmitted to make postscript compatible, no changes to manuscript conten

Denial at the top table: status attributions and implications for marketing

Senior marketing management is seldom represented on the Board of Directors nowadays, reflecting a deteriorating status of the marketing profession. We examine some of the key reasons for marketing’s demise, and discuss how the status of marketing may be restored by demonstrating the value of marketing to the business community. We attribute marketing’s demise to several related key factors: narrow typecasting, marginalisation and limited involvement in product development, questionable marketing curricula, insensitivity toward environmental change, questionable professional standards and roles, and marketing’s apparent lack of accountability to CEOs. Each of these leads to failure to communicate, create, or deliver value within marketing. We argue that a continued inability to deal with marketing’s crisis of representation will further erode the status of the discipline both academically and professionally

An investigation of the clinical impact and therapeutic relevance of a DNA damage immune response (DDIR) signature in patients with advanced gastroesophageal adenocarcinoma

Background: An improved understanding of which gastroesophageal adenocarcinoma (GOA) patients respond to both chemotherapy and immune checkpoint inhibitors (ICI) is needed. We investigated the predictive role and underlying biology of a 44-gene DNA damage immune response (DDIR) signature in patients with advanced GOA. Materials and methods: Transcriptional profiling was carried out on pretreatment tissue from 252 GOA patients treated with platinum-based chemotherapy (three dose levels) within the randomized phase III GO2 trial. Cross-validation was carried out in two independent GOA cohorts with transcriptional profiling, immune cell immunohistochemistry and epidermal growth factor receptor (EGFR) fluorescent in situ hybridization (FISH) (n = 430). Results: In the GO2 trial, DDIR-positive tumours had a greater radiological response (51.7% versus 28.5%, P = 0.022) and improved overall survival in a dose-dependent manner (P = 0.028). DDIR positivity was associated with a pretreatment inflamed tumour microenvironment (TME) and increased expression of biomarkers associated with ICI response such as CD274 (programmed death-ligand 1, PD-L1) and a microsatellite instability RNA signature. Consensus pathway analysis identified EGFR as a potential key determinant of the DDIR signature. EGFR amplification was associated with DDIR negativity and an immune cold TME. Conclusions: Our results indicate the importance of the GOA TME in chemotherapy response, its relationship to DNA damage repair and EGFR as a targetable driver of an immune cold TME. Chemotherapy-sensitive inflamed GOAs could benefit from ICI delivered in combination with standard chemotherapy. Combining EGFR inhibitors and ICIs warrants further investigation in patients with EGFR-amplified tumours

An investigation of the clinical impact and therapeutic relevance of a DNA damage immune response (DDIR) signature in patients with advanced gastroesophageal adenocarcinoma

BackgroundAn improved understanding of which gastroesophageal adenocarcinoma (GOA) patients respond to both chemotherapy and immune checkpoint inhibitors (ICI) is needed. We investigated the predictive role and underlying biology of a 44-gene DNA damage immune response (DDIR) signature in patients with advanced GOA.Materials and methodsTranscriptional profiling was carried out on pretreatment tissue from 252 GOA patients treated with platinum-based chemotherapy (three dose levels) within the randomized phase III GO2 trial. Cross-validation was carried out in two independent GOA cohorts with transcriptional profiling, immune cell immunohistochemistry and epidermal growth factor receptor (EGFR) fluorescent in situ hybridization (FISH) (n = 430).ResultsIn the GO2 trial, DDIR-positive tumours had a greater radiological response (51.7% versus 28.5%, P = 0.022) and improved overall survival in a dose-dependent manner (P = 0.028). DDIR positivity was associated with a pretreatment inflamed tumour microenvironment (TME) and increased expression of biomarkers associated with ICI response such as CD274 (programmed death-ligand 1, PD-L1) and a microsatellite instability RNA signature. Consensus pathway analysis identified EGFR as a potential key determinant of the DDIR signature. EGFR amplification was associated with DDIR negativity and an immune cold TME.ConclusionsOur results indicate the importance of the GOA TME in chemotherapy response, its relationship to DNA damage repair and EGFR as a targetable driver of an immune cold TME. Chemotherapy-sensitive inflamed GOAs could benefit from ICI delivered in combination with standard chemotherapy. Combining EGFR inhibitors and ICIs warrants further investigation in patients with EGFR-amplified tumours

Moderating influences on the firm's strategic orientation-performance relationship

This paper is focused on the factors that moderate the relationship between firm's strategic orientation and performance in small and medium-sized firms. Much prior research has focused simply on identifying environmental conditions conducive to the effectiveness of the strategic orientation approach. However, recent research has called for studies focused on investigating internal moderators of the strategic orientation-performance relationship. As a result, we propose a contingency framework, considering how corporate and competitive strategies, top management characteristics, and environmental conditions may moderate this relationship. Based on a survey of 295 small and medium sized enterprises pertaining to seven manufacturing sectors, our study shows that the positive influence of firm's strategic orientation may be moderated by the environment conditions, the previous experience of top management team, and the corporate and competitive strategies developed by the firm

Electromagnetic Probes

A review is presented of dilepton and real photon measurements in relativistic heavy ion collisions over a very broad energy range from the low energies of the BEVALAC up to the highest energies available at RHIC. The dileptons cover the invariant mass range \mll = 0 - 2.5 GeV/c$^2$, i.e. the continuum at low and intermediate masses and the light vector mesons, $\rho, \omega, \phi$. The review includes also measurements of the light vector mesons in elementary reactions.Comment: To be published in Landolt-Boernstein Volume 1-23A; 40 pages, 24 figures. Final version updated with small changes to the text, updated references and updated figure

Constraints on Dark Matter Annihilation in Clusters of Galaxies with the Fermi Large Area Telescope

Nearby clusters and groups of galaxies are potentially bright sources of high-energy gamma-ray emission resulting from the pair-annihilation of dark matter particles. However, no significant gamma-ray emission has been detected so far from clusters in the first 11 months of observations with the Fermi Large Area Telescope. We interpret this non-detection in terms of constraints on dark matter particle properties. In particular for leptonic annihilation final states and particle masses greater than ~200 GeV, gamma-ray emission from inverse Compton scattering of CMB photons is expected to dominate the dark matter annihilation signal from clusters, and our gamma-ray limits exclude large regions of the parameter space that would give a good fit to the recent anomalous Pamela and Fermi-LAT electron-positron measurements. We also present constraints on the annihilation of more standard dark matter candidates, such as the lightest neutralino of supersymmetric models. The constraints are particularly strong when including the fact that clusters are known to contain substructure at least on galaxy scales, increasing the expected gamma-ray flux by a factor of ~5 over a smooth-halo assumption. We also explore the effect of uncertainties in cluster dark matter density profiles, finding a systematic uncertainty in the constraints of roughly a factor of two, but similar overall conclusions. In this work, we focus on deriving limits on dark matter models; a more general consideration of the Fermi-LAT data on clusters and clusters as gamma-ray sources is forthcoming.Comment: accepted to JCAP, Corresponding authors: T.E. Jeltema and S. Profumo, minor revisions to be consistent with accepted versio

Measurement of the polarisation of W bosons produced with large transverse momentum in pp collisions at sqrt(s) = 7 TeV with the ATLAS experiment

This paper describes an analysis of the angular distribution of W->enu and W->munu decays, using data from pp collisions at sqrt(s) = 7 TeV recorded with the ATLAS detector at the LHC in 2010, corresponding to an integrated luminosity of about 35 pb^-1. Using the decay lepton transverse momentum and the missing transverse energy, the W decay angular distribution projected onto the transverse plane is obtained and analysed in terms of helicity fractions f0, fL and fR over two ranges of W transverse momentum (ptw): 35 < ptw < 50 GeV and ptw > 50 GeV. Good agreement is found with theoretical predictions. For ptw > 50 GeV, the values of f0 and fL-fR, averaged over charge and lepton flavour, are measured to be : f0 = 0.127 +/- 0.030 +/- 0.108 and fL-fR = 0.252 +/- 0.017 +/- 0.030, where the first uncertainties are statistical, and the second include all systematic effects.Comment: 19 pages plus author list (34 pages total), 9 figures, 11 tables, revised author list, matches European Journal of Physics C versio