An international trend in market design: Endogenous effects of limit order book transparency on volatility, spreads, depth and volume

Following other leading international securities markets, the Tokyo stock exchange [TSE] has adopted a publicly displayed but anonymous limit order book, and we ask: how is market quality affected? Accounting for fixed effects and endogeneity, we find increased volatility and higher order book depth at the best bid and ask prices, while total depth is not significantly impacted. This predicts more competitive order strategies in a trading system with anonymous orders but with more visible price levels. Spreads are found to be unaffected by the market design change, in contradiction to previous literature. Complementing the literature, we find volume increases, indicating that the aggregate effect of the design change is positive

The Pioneer Anomaly

Radio-metric Doppler tracking data received from the Pioneer 10 and 11 spacecraft from heliocentric distances of 20-70 AU has consistently indicated the presence of a small, anomalous, blue-shifted frequency drift uniformly changing with a rate of ~6 x 10^{-9} Hz/s. Ultimately, the drift was interpreted as a constant sunward deceleration of each particular spacecraft at the level of a_P = (8.74 +/- 1.33) x 10^{-10} m/s^2. This apparent violation of the Newton's gravitational inverse-square law has become known as the Pioneer anomaly; the nature of this anomaly remains unexplained. In this review, we summarize the current knowledge of the physical properties of the anomaly and the conditions that led to its detection and characterization. We review various mechanisms proposed to explain the anomaly and discuss the current state of efforts to determine its nature. A comprehensive new investigation of the anomalous behavior of the two Pioneers has begun recently. The new efforts rely on the much-extended set of radio-metric Doppler data for both spacecraft in conjunction with the newly available complete record of their telemetry files and a large archive of original project documentation. As the new study is yet to report its findings, this review provides the necessary background for the new results to appear in the near future. In particular, we provide a significant amount of information on the design, operations and behavior of the two Pioneers during their entire missions, including descriptions of various data formats and techniques used for their navigation and radio-science data analysis. As most of this information was recovered relatively recently, it was not used in the previous studies of the Pioneer anomaly, but it is critical for the new investigation.Comment: 165 pages, 40 figures, 16 tables; accepted for publication in Living Reviews in Relativit

Search for new phenomena in final states with an energetic jet and large missing transverse momentum in pp collisions at √ s = 8 TeV with the ATLAS detector

Results of a search for new phenomena in final states with an energetic jet and large missing transverse momentum are reported. The search uses 20.3 fb−1 of √ s = 8 TeV data collected in 2012 with the ATLAS detector at the LHC. Events are required to have at least one jet with pT > 120 GeV and no leptons. Nine signal regions are considered with increasing missing transverse momentum requirements between Emiss T > 150 GeV and Emiss T > 700 GeV. Good agreement is observed between the number of events in data and Standard Model expectations. The results are translated into exclusion limits on models with either large extra spatial dimensions, pair production of weakly interacting dark matter candidates, or production of very light gravitinos in a gauge-mediated supersymmetric model. In addition, limits on the production of an invisibly decaying Higgs-like boson leading to similar topologies in the final state are presente

BONEcheck: A digital tool for personalized bone health assessment.

OBJECTIVES: Osteoporotic fracture is a significant public health burden associated with increased mortality risk and substantial healthcare costs. Accurate and early identification of high-risk individuals and mitigation of their risks is a core part of the treatment and prevention of fractures. Here we introduce a digital tool called 'BONEcheck' for personalized assessment of bone health. METHODS: The development of BONEcheck primarily utilized data from the prospective population-based Dubbo Osteoporosis Epidemiology Study and the Danish Nationwide Registry. BONEcheck has 3 modules: input data, risk estimates, and risk context. Input variables include age, gender, prior fracture, fall incidence, bone mineral density (BMD), comorbidities, and genetic variants associated with BMD. RESULTS: Based on the input variables, BONEcheck estimates the probability of any fragility fracture and hip fracture within 5 years, subsequent fracture risk, skeletal age, and time to reach osteoporosis. The probability of fracture is shown in both numeric and human icon array formats. The risk is also contextualized within the framework of treatment and management options on Australian guidelines, with consideration given to the potential fracture risk reduction and survival benefits. Skeletal age was estimated as the sum of chronological age and years of life lost due to a fracture or exposure to risk factors that elevate mortality risk. CONCLUSIONS: BONEcheck is an innovative tool that empowers doctors and patients to engage in well-informed discussions and make decisions based on the patient's risk profile. Public access to BONEcheck is available via https://bonecheck.org and in Apple Store (iOS) and Google Play (Android)

Population-calibrated Multiple Imputation for a Binary/categorical Covariate in Categorical Regression Models

Multiple imputation (MI) has become popular for analyses with missing data in medical research. The standard implementation of MI is based on the assumption of data being missing at random (MAR). However, for missing data generated by missing not at random mechanisms, MI performed assuming MAR might not be satisfactory. For an incomplete variable in a given data set, its corresponding population marginal distribution might also be available in an external data source. We show how this information can be readily utilised in the imputation model to calibrate inference to the population by incorporating an appropriately calculated offset termed the "calibrated-δ adjustment." We describe the derivation of this offset from the population distribution of the incomplete variable and show how, in applications, it can be used to closely (and often exactly) match the post-imputation distribution to the population level. Through analytic and simulation studies, we show that our proposed calibrated-δ adjustment MI method can give the same inference as standard MI when data are MAR, and can produce more accurate inference under two general missing not at random missingness mechanisms. The method is used to impute missing ethnicity data in a type 2 diabetes prevalence case study using UK primary care electronic health records, where it results in scientifically relevant changes in inference for non-White ethnic groups compared with standard MI. Calibrated-δ adjustment MI represents a pragmatic approach for utilising available population-level information in a sensitivity analysis to explore potential departures from the MAR assumption

Performance of missing transverse momentum reconstruction with the ATLAS detector using proton–proton collisions at √s = 13 TeV

The performance of the missing transverse momentum (EmissT) reconstruction with the ATLAS detector is evaluated using data collected in proton–proton collisions at the LHC at a centre-of-mass energy of 13 TeV in 2015. To reconstruct EmissT, fully calibrated electrons, muons, photons, hadronically decaying τ -leptons, and jets reconstructed from calorimeter energy deposits and charged-particle tracks are used. These are combined with the soft hadronic activity measured by reconstructed charged-particle tracks not associated with the hard objects. Possible double counting of contributions from reconstructed charged-particle tracks from the inner detector, energy deposits in the calorimeter, and reconstructed muons from the muon spectrometer is avoided by applying a signal ambiguity resolution procedure which rejects already used signals when combining the various EmissT contributions. The individual terms as well as the overall reconstructed EmissT are evaluated with various performance metrics for scale (linearity), resolution, and sensitivity to the data-taking conditions. The method developed to determine the systematic uncertainties of the EmissT scale and resolution is discussed. Results are shown based on the full 2015 data sample corresponding to an integrated luminosity of 3.2 fb−1

Search for High-Mass Resonances Decaying to τν in pp Collisions at √s=13 TeV with the ATLAS Detector

A search for high-mass resonances decaying to τν using proton-proton collisions at √s=13 TeV produced by the Large Hadron Collider is presented. Only τ-lepton decays with hadrons in the final state are considered. The data were recorded with the ATLAS detector and correspond to an integrated luminosity of 36.1 fb−1. No statistically significant excess above the standard model expectation is observed; model-independent upper limits are set on the visible τν production cross section. Heavy W′ bosons with masses less than 3.7 TeV in the sequential standard model and masses less than 2.2–3.8 TeV depending on the coupling in the nonuniversal G(221) model are excluded at the 95% credibility level

Operation and performance of the ATLAS Tile Calorimeter in Run 1

The Tile Calorimeter is the hadron calorimeter covering the central region of the ATLAS experiment at the Large Hadron Collider. Approximately 10,000 photomultipliers collect light from scintillating tiles acting as the active material sandwiched between slabs of steel absorber. This paper gives an overview of the calorimeter’s performance during the years 2008–2012 using cosmic-ray muon events and proton–proton collision data at centre-of-mass energies of 7 and 8TeV with a total integrated luminosity of nearly 30 fb−1. The signal reconstruction methods, calibration systems as well as the detector operation status are presented. The energy and time calibration methods performed excellently, resulting in good stability of the calorimeter response under varying conditions during the LHC Run 1. Finally, the Tile Calorimeter response to isolated muons and hadrons as well as to jets from proton–proton collisions is presented. The results demonstrate excellent performance in accord with specifications mentioned in the Technical Design Report