6,499 research outputs found
The Price Impact of Order Book Events
We study the price impact of order book events - limit orders, market orders
and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that,
over short time intervals, price changes are mainly driven by the order flow
imbalance, defined as the imbalance between supply and demand at the best bid
and ask prices. Our study reveals a linear relation between order flow
imbalance and price changes, with a slope inversely proportional to the market
depth. These results are shown to be robust to seasonality effects, and stable
across time scales and across stocks. We argue that this linear price impact
model, together with a scaling argument, implies the empirically observed
"square-root" relation between price changes and trading volume. However, the
relation between price changes and trade volume is found to be noisy and less
robust than the one based on order flow imbalance
Coherent states, constraint classes, and area operators in the new spin-foam models
Recently, two new spin-foam models have appeared in the literature, both
motivated by a desire to modify the Barrett-Crane model in such a way that the
imposition of certain second class constraints, called cross-simplicity
constraints, are weakened. We refer to these two models as the FKLS model, and
the flipped model. Both of these models are based on a reformulation of the
cross-simplicity constraints. This paper has two main parts. First, we clarify
the structure of the reformulated cross-simplicity constraints and the nature
of their quantum imposition in the new models. In particular we show that in
the FKLS model, quantum cross-simplicity implies no restriction on states. The
deeper reason for this is that, with the symplectic structure relevant for
FKLS, the reformulated cross-simplicity constraints, in a certain relevant
sense, are now \emph{first class}, and this causes the coherent state method of
imposing the constraints, key in the FKLS model, to fail to give any
restriction on states. Nevertheless, the cross-simplicity can still be seen as
implemented via suppression of intertwiner degrees of freedom in the dynamical
propagation. In the second part of the paper, we investigate area spectra in
the models. The results of these two investigations will highlight how, in the
flipped model, the Hilbert space of states, as well as the spectra of area
operators exactly match those of loop quantum gravity, whereas in the FKLS (and
Barrett-Crane) models, the boundary Hilbert spaces and area spectra are
different.Comment: 21 pages; statements about gamma limits made more precise, and minor
phrasing change
Long Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?
Long memory and volatility clustering are two stylized facts frequently
related to financial markets. Traditionally, these phenomena have been studied
based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and
FIGARCH, inter alia. One advantage of these models is their ability to capture
nonlinear dynamics. Another interesting manner to study the volatility
phenomena is by using measures based on the concept of entropy. In this paper
we investigate the long memory and volatility clustering for the SP 500, NASDAQ
100 and Stoxx 50 indexes in order to compare the US and European Markets.
Additionally, we compare the results from conditionally heteroscedastic models
with those from the entropy measures. In the latter, we examine Shannon
entropy, Renyi entropy and Tsallis entropy. The results corroborate the
previous evidence of nonlinear dynamics in the time series considered.Comment: 8 pages; 2 figures; paper presented in APFA 6 conferenc
Value at Risk models with long memory features and their economic performance
We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms
Dissociable brain mechanisms for inhibitory control: Effects of interference content and working memory capacity
In this study, event-related fMRI was used to examine whether the resolution of interference arising from two different information contents activates the same or different neuronal circuitries. In addition, we examined the extent to which these inhibitory control mechanisms are modulated by individual differences in working memory capacity. Two groups of participants with high and low working memory capacity [high span (HS) and low span (LS) participants, respectively] performed two versions of an item recognition task with familiar letters and abstract objects as stimulus materials. Interference costs were examined by means of the recent negative probe technique with otherwise identical testing conditions across both tasks. While the behavioral interference costs were of similar magnitude in both tasks, the underlying brain activation pattern differed between tasks: The object task interference-effects (higher activation in interference trials than in control trials) were restricted to the anterior intraparietal sulcus (IPS). Interference effects for familiar letters were obtained in the anterior IPS, the left postero-ventral and the right dorsolateral prefrontal cortex (PFC) as well as the precuneus. As the letters were more discernible than the objects, the results suggest that the critical feature for PFC and precuneus involvement in interference resolution is the saliency of stimulus-response mappings. The interference effects in the letter task were modulated by working memory capacity: LS participants showed enhanced activation for interference trials only, whereas for HS participants, who showed better performance and also lower interference costs in the letter task, the above-mentioned neuronal circuitry was activated for interference and control trials, thereby attenuating the interference effects. The latter results support the view that HS individuals allocate more attentional resources for the maintenance of task goals in the face of interfering information from preceding trials with familiar stimulus materials
Multipole Moments of Isolated Horizons
To every axi-symmetric isolated horizon we associate two sets of numbers,
and with , representing its mass and angular
momentum multipoles. They provide a diffeomorphism invariant characterization
of the horizon geometry. Physically, they can be thought of as the `source
multipoles' of black holes in equilibrium. These structures have a variety of
potential applications ranging from equations of motion of black holes and
numerical relativity to quantum gravity.Comment: 25 pages, 1 figure. Minor typos corrected, reference adde
Black hole entropy from an SU(2)-invariant formulation of Type I isolated horizons
A detailed analysis of the spherically symmetric isolated horizon system is
performed in terms of the connection formulation of general relativity. The
system is shown to admit a manifestly SU(2) invariant formulation where the
(effective) horizon degrees of freedom are described by an SU(2) Chern-Simons
theory. This leads to a more transparent description of the quantum theory in
the context of loop quantum gravity and modifications of the form of the
horizon entropy.Comment: 30 pages, 1 figur
Generic isolated horizons in loop quantum gravity
Isolated horizons model equilibrium states of classical black holes. A
detailed quantization, starting from a classical phase space restricted to
spherically symmetric horizons, exists in the literature and has since been
extended to axisymmetry. This paper extends the quantum theory to horizons of
arbitrary shape. Surprisingly, the Hilbert space obtained by quantizing the
full phase space of \textit{all} generic horizons with a fixed area is
identical to that originally found in spherical symmetry. The entropy of a
large horizon remains one quarter its area, with the Barbero-Immirzi parameter
retaining its value from symmetric analyses. These results suggest a
reinterpretation of the intrinsic quantum geometry of the horizon surface.Comment: 13 page
The Gibbs paradox, Black hole entropy and the thermodynamics of isolated horizons
This letter presents a new, solely thermodynamical argument for considering
the states of the quantum isolated horizon of a black hole as distinguishable.
We claim that only if the states are distinguishable, the thermodynamic entropy
is an extensive quantity and can be well-defined. To show this, we make a
comparison with a classical ideal gas system whose statistical description
makes only sense if an additional 1/N!-factor is included in the state counting
in order to cure the Gibbs paradox. The case of the statistical description of
a quantum isolated horizon is elaborated, to make the claim evident.Comment: 8 pages, closest to the published version; taken from the author's
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