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

Fluctuations Of Charge Separation Perpendicular To The Event Plane And Local Parity Violation In S Nn = 200 Gev Au + Au Collisions At The Bnl Relativistic Heavy Ion Collider

Previous experimental results based on data (∼15×106 events) collected by the STAR detector at the BNL Relativistic Heavy Ion Collider suggest event-by-event charge-separation fluctuations perpendicular to the event plane in noncentral heavy-ion collisions. Here we present the correlator previously used split into its two component parts to reveal correlations parallel and perpendicular to the event plane. The results are from a high-statistics 200-GeV Au + Au collisions data set (57×106 events) collected by the STAR experiment. We explicitly count units of charge separation from which we find clear evidence for more charge-separation fluctuations perpendicular than parallel to the event plane. We also employ a modified correlator to study the possible P-even background in same- and opposite-charge correlations, and find that the P-even background may largely be explained by momentum conservation and collective motion. © 2013 American Physical Society.886NRF-2012004024; National Research FoundationLee, T.D., Yang, C.N., (1956) Phys. Rev., 104. , 1, 254. 0031-899X PHRVAO 10.1103/PhysRev.104.254Vafa, C., Witten, E., (1984) Phys. Rev. Lett., 53. , 2, 535. 0031-9007 PRLTAO 10.1103/PhysRevLett.53.535Lee, T.D., (1973) Phys. Rev. D, 8. , 3, 1226. 0556-2821 10.1103/PhysRevD.8.1226Lee, T.D., Wick, G.C., (1974) Phys. Rev. D, 9. , 4, 2291. 0556-2821 10.1103/PhysRevD.9.2291Kharzeev, D., Parity violation in hot QCD: Why it can happen, and how to look for it (2006) Physics Letters, Section B: Nuclear, Elementary Particle and High-Energy Physics, 633 (2-3), pp. 260-264. , DOI 10.1016/j.physletb.2005.11.075, PII S0370269305017430Kharzeev, D., Zhitnitsky, A., (2007) Nucl. Phys. A, 797. , 6, 67. 0375-9474 NUPABL 10.1016/j.nuclphysa.2007.10.001Kharzeev, D., McLerran, L.D., Warringa, H.J., (2008) Nucl. Phys. A, 803. , 7, 227. 0375-9474 NUPABL 10.1016/j.nuclphysa.2008.02.298Fukushima, K., Kharzeev, D.E., Warringa, H.J., (2008) Phys. Rev. D, 78. , 8, 074033. 1550-7998 PRVDAQ 10.1103/PhysRevD.78.074033Abelev, B.I., (2009) Phys. Rev. Lett., 103. , 9 (STAR Collaboration), 251601. 0031-9007 PRLTAO 10.1103/PhysRevLett.103. 251601Abelev, B.I., (2010) Phys. Rev. C, 81. , 10 (STAR Collaboration), 054908. 0556-2813 PRVCAN 10.1103/PhysRevC.81. 054908Abelev, B.I., (2013) Phys. Rev. Lett., 110. , 11 (ALICE Collaboration), 012301. 0031-9007 PRLTAO 10.1103/PhysRevLett. 110.012301Ackermann, K.H., Adams, N., Adler, C., Ahammed, Z., Ahmad, S., Allgower, C., Amonett, J., Harris, J.W., STAR detector overview (2003) Nuclear Instruments and Methods in Physics Research, Section A: Accelerators, Spectrometers, Detectors and Associated Equipment, 499 (2-3), pp. 624-632. , DOI 10.1016/S0168-9002(02)01960-5Adams, J., Aggarwal, M.M., Ahammed, Z., Amonett, J., Anderson, B.D., Arkhipkin, D., Averichev, G.S., Bai, Y., Directed flow in Au+Au collisions at sNN=62.4 GeV (2006) Physical Review C - Nuclear Physics, 73 (3), pp. 1-7. , http://oai.aps.org/oai?verb=GetRecord&Identifier=oai:aps.org: PhysRevC.73.034903&metadataPrefix=oai_apsmeta_2, DOI 10.1103/PhysRevC.73.034903, 034903Adamczyk, L., (2012) Phys. Rev. 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A century of trends in adult human height

Being taller is associated with enhanced longevity, and higher education and earnings. We reanalysed 1472 population-based studies, with measurement of height on more than 18.6 million participants to estimate mean height for people born between 1896 and 1996 in 200 countries. The largest gain in adult height over the past century has occurred in South Korean women and Iranian men, who became 20.2 cm (95% credible interval 17.5-22.7) and 16.5 cm (13.3-19.7) taller, respectively. In contrast, there was little change in adult height in some sub-Saharan African countries and in South Asia over the century of analysis. The tallest people over these 100 years are men born in the Netherlands in the last quarter of 20th century, whose average heights surpassed 182.5 cm, and the shortest were women born in Guatemala in 1896 (140.3 cm; 135.8-144.8). The height differential between the tallest and shortest populations was 19-20 cm a century ago, and has remained the same for women and increased for men a century later despite substantial changes in the ranking of countries

Rising rural body-mass index is the main driver of the global obesity epidemic in adults

Body-mass index (BMI) has increased steadily in most countries in parallel with a rise in the proportion of the population who live in cities 1,2 . This has led to a widely reported view that urbanization is one of the most important drivers of the global rise in obesity 3�6 . Here we use 2,009 population-based studies, with measurements of height and weight in more than 112 million adults, to report national, regional and global trends in mean BMI segregated by place of residence (a rural or urban area) from 1985 to 2017. We show that, contrary to the dominant paradigm, more than 55 of the global rise in mean BMI from 1985 to 2017�and more than 80 in some low- and middle-income regions�was due to increases in BMI in rural areas. This large contribution stems from the fact that, with the exception of women in sub-Saharan Africa, BMI is increasing at the same rate or faster in rural areas than in cities in low- and middle-income regions. These trends have in turn resulted in a closing�and in some countries reversal�of the gap in BMI between urban and rural areas in low- and middle-income countries, especially for women. In high-income and industrialized countries, we noted a persistently higher rural BMI, especially for women. There is an urgent need for an integrated approach to rural nutrition that enhances financial and physical access to healthy foods, to avoid replacing the rural undernutrition disadvantage in poor countries with a more general malnutrition disadvantage that entails excessive consumption of low-quality calories. © 2019, The Author(s)

A hierarchical perspective to woody plant encroachment for conservation of prairie-chickens

Encroachment of Great Plains grasslands by fire-sensitive woody plants is a large-scale, regional process that fragments grassland landscapes. Using prairie grouse (Tympanuchus spp.) of conservation concern,we apply hierarchy theory to demonstrate how regional processes constrain lower-level processes and reduce the success of local management. For example, fire and grazingmanagementmay be locally important to conservation, but the application of fire and grazing disturbances rarely cause irreversible fragmentation of grasslands in the Great Plains. These disturbance processes cause short-term alterations in vegetation conditions that can be positive or negative, but from a long-term perspective fire maintains large tracts of continuous rangelands by limiting woody plant encroachment. Conservation efforts for prairie grouse should be focused on landscape processes that contribute to landscape fragmentation, such as increased dominance of trees or conversion to other land uses. In fact, reliance on localmanagement (e.g.,maintaining vegetation structure) to alter prairie grouse vital rates is less important to grouse population persistence given contemporary landscape level changes. Changing grass height, litter depth, or increasing the cover of forbs may impact a fewremaining prairie-chickens, but itwill not create useable space at a scale relevant to the historic conditions that existed before land conversion and fire suppression.The Rangeland Ecology & Management archives are made available by the Society for Range Management and the University of Arizona Libraries. Contact [email protected] for further information

A hierarchical perspective to woody plant encroachment for conservation of prairie-chickens

Encroachment of Great Plains grasslands by fire-sensitive woody plants is a large-scale, regional process that fragments grassland landscapes. Using prairie grouse (Tympanuchus spp.) of conservation concern,we apply hierarchy theory to demonstrate how regional processes constrain lower-level processes and reduce the success of local management. For example, fire and grazingmanagementmay be locally important to conservation, but the application of fire and grazing disturbances rarely cause irreversible fragmentation of grasslands in the Great Plains. These disturbance processes cause short-term alterations in vegetation conditions that can be positive or negative, but from a long-term perspective fire maintains large tracts of continuous rangelands by limiting woody plant encroachment. Conservation efforts for prairie grouse should be focused on landscape processes that contribute to landscape fragmentation, such as increased dominance of trees or conversion to other land uses. In fact, reliance on localmanagement (e.g.,maintaining vegetation structure) to alter prairie grouse vital rates is less important to grouse population persistence given contemporary landscape level changes. Changing grass height, litter depth, or increasing the cover of forbs may impact a fewremaining prairie-chickens, but itwill not create useable space at a scale relevant to the historic conditions that existed before land conversion and fire suppression.The Rangeland Ecology & Management archives are made available by the Society for Range Management and the University of Arizona Libraries. Contact [email protected] for further information