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

A Low-Cost Computer Vision System for Real-Time Tennis Analysis

This paper describes a low-cost vision-based system for real-time tennis game analysis. The system elaborates videos captured by four synchronized and calibrated cameras installed at the sides of the court in order to accurately localize ball and players, and track them in real-time. From this low-level data mid-level events, like shots, bounces, ball in net, and high-level events, like stroke type and line calling, are detected. All this data is made available to the players both on-court during the play or through a web device at the end of the session. Currently, system prototypes are undergoing a field test in three locations in Italy. In addition to positive comments of users, robustness and reliability of the system have been demonstrated with specific evaluation tests. Detection rate of shots is 99.7% while miss detection rate is less than 0.8%. Reliability of the stroke classification is 97.1% and of in/out evaluation is 99.5%. On average reaction time for line calling is 152 ms

Crescimento de mudas de angico-vermelho (Anadenanthera macrocarpa (Benth.) Brenan) sob diferentes doses de macronutrientes Growth of angico vermelho (Anadenanthera macrocarpa (Benth.) Brenan) seedlings under different macronutrient doses

Neste trabalho, objetivou-se avaliar, por meio de características morfológicas, o efeito de doses de macronutrientes no crescimento e desenvolvimento de mudas de angico- vermelho (Anadenanthera macrocarpa (Benth.) Brenan) produzidas em amostras de três classes de solo (Argissolo Vermelho-Amarelo, Latossolo Vermelho-Amarelo álico e Latossolo Vermelho-Amarelo distrófico). As mudas foram plantadas em vasos com capacidade para 2,1 dm³. O experimento foi conduzido no período de dezembro de 2004 a maio de 2005. Os tratamentos foram delimitados segundo uma matriz baconiana, em que se variaram os macronutrientes em três doses diferentes, mais dois tratamentos adicionais (zero e base), com quatro repetições. As fontes de N, K e S foram parceladas em quatro vezes (0-30-60-90 dias). Em termos gerais, o maior crescimento das plantas ocorreu no Latossolo Vermelho-Amarelo álico. O nutriente que mais surtiu efeitos significativos foi o P, sendo recomendadas doses de 150 a 250 mg dm-3. Para a aplicação de N, recomendam-se doses mínimas de 50 mg/dm³. A aplicação de S deve ser de 20 a 80 mg dm-3. As respostas à aplicação dos demais nutrientes (Ca, Mg e K), em muitos casos, não ocorreu, evidenciando-se que a espécie tem baixo requerimento por eles. Entretanto, partindo desse estudo, sugerem-se novos estudos com os nutrientes K e Ca, para produção de mudas da referida espécie nesses solos.<br>This work aimed to evaluate, by means of morphological characteristics, the effect of macronutrient doses on the growth of angico vermelho (Anadenanthera macrocarpa (Benth.) Brenan) seedlings cultivated in three soils (Red Yellow Argisol, Red Yellow Dystrophic Latosol and Red Yellow alic Latosol). The seedling were sown in vases with capacity of 2.1 dm³ . The experiment was carried out from December 2004 to June 2005. The treatments were delimited according to a Baconian matrix, with macronutrients varying in three different doses, plus two additional treatments (zero and base), with four repetitions. The sources of N, K and S were applied in four times (0-30-60-90 days). In general, the highest plant growth occurred in the Red Yellow alic Latosol soil. The nutrient presenting the most significant effects was P, with doses of 150- 250 mg dm-3 being recommended. For N, minimum doses of 50 mg/dm³ are recommended. The nutrient S must be applied between 20 and 80 mg dm-3. The responses to the other nutrients (Ca, Mg and K), in many cases did not occur, suggesting that the species has low requirement for them. However, based on this work, further studies are suggested on the nutrients K and Ca, for production of seedlings of the studied species in these soils

Efeito de macronutrientes sobre o crescimento e qualidade de mudas de canafístula cultivadas em Latossolo Vermelho-Amarelo distrófico

Peltophorum dubium (canafístula, angico-cangalha, angico-amarelo) é uma espécie de rápido crescimento, rusticidade e ótima para uso em reflorestamentos mistos de áreas degradadas. Devido à carência de informações sobre a nutrição dessa espécie, o objetivo deste trabalho foi avaliar o efeito de doses de N, P, K, Ca, Mg e S sobre crescimento, produção de biomassa e índices de qualidade de mudas H/D, H/MSPA, MSPA/MSR e IQD, e determinar a dose recomendada destes elementos. No trabalho, realizado em casa de vegetação, foi utilizado Latossolo Vermelho-Amarelo distrófico como substrato. Delimitou-se o experimento por meio de matriz baconiana, avaliando-se três doses dos seis macronutrientes e dois tratamentos adicionais, um com doses de referência e outro sem adição de nutrientes. Adotou-se o delineamento inteiramente casualizado com quatro repetições. Verificou-se, através de análise dos contrastes ortogonais, uma resposta significativa de todas as variáveis estudadas com a aplicação dos macronutrientes. Os nutrientes que mais surtiram efeitos significativos foram o P e o Mg, sendo recomendada dose de 600 mg/dm³ de P, 0,2 cmol c/dm³de Mg, e doses mínimas de 50 mg/dm³de K e 0,8 cmol c/dm³ de Ca. Não foi verificada resposta à aplicação de N e S, para nenhuma das características avaliadas, o que indica que a espécie tem baixo requerimento por estes nutrientes