Quantifying bid-ask spreads in the Chinese stock market using limit-order book data: Intraday pattern, probability distribution, long memory, and multifractal nature

The statistical properties of the bid-ask spread of a frequently traded Chinese stock listed on the Shenzhen Stock Exchange are investigated using the limit-order book data. Three different definitions of spread are considered based on the time right before transactions, the time whenever the highest buying price or the lowest selling price changes, and a fixed time interval. The results are qualitatively similar no matter linear prices or logarithmic prices are used. The average spread exhibits evident intraday patterns consisting of a big L-shape in morning transactions and a small L-shape in the afternoon. The distributions of the spread with different definitions decay as power laws. The tail exponents of spreads at transaction level are well within the interval $(2,3)$ and that of average spreads are well in line with the inverse cubic law for different time intervals. Based on the detrended fluctuation analysis, we found the evidence of long memory in the bid-ask spread time series for all three definitions, even after the removal of the intraday pattern. Using the classical box-counting approach for multifractal analysis, we show that the time series of bid-ask spread does not possess multifractal nature.Comment: 8 EPJ pages including 7 eps figure

Evidence for an Excess of Soft Photons in Hadronic Decays of Z^0

Soft photons inside hadronic jets converted in front of the DELPHI main tracker (TPC) in events of qqbar disintegrations of the Z^0 were studied in the kinematic range 0.2 < E_gamma < 1 GeV and transverse momentum with respect to the closest jet direction p_T < 80 MeV/c. A clear excess of photons in the experimental data as compared to the Monte Carlo predictions is observed. This excess (uncorrected for the photon detection efficiency) is (1.17 +/- 0.06 +/- 0.27) x 10^{-3} gamma/jet in the specified kinematic region, while the expected level of the inner hadronic bremsstrahlung (which is not included in the Monte Carlo) is (0.340 +/- 0.001 +/- 0.038) x 10^{-3} gamma/jet. The ratio of the excess to the predicted bremsstrahlung rate is then (3.4 +/- 0.2 +/- 0.8), which is similar in strength to the anomalous soft photon signal observed in fixed target experiments with hadronic beams.Comment: 37 pages, 9 figures, Accepted by Eur. Phys. J.

Elliptic flow of charged particles in Pb-Pb collisions at 2.76 TeV

We report the first measurement of charged particle elliptic flow in Pb-Pb collisions at 2.76 TeV with the ALICE detector at the CERN Large Hadron Collider. The measurement is performed in the central pseudorapidity region (|$\eta$|<0.8) and transverse momentum range 0.2< $p_{\rm T}$< 5.0 GeV/$c$. The elliptic flow signal v$_2$, measured using the 4-particle correlation method, averaged over transverse momentum and pseudorapidity is 0.087 $\pm$ 0.002 (stat) $\pm$ 0.004 (syst) in the 40-50% centrality class. The differential elliptic flow v$_2(p_{\rm T})$ reaches a maximum of 0.2 near $p_{\rm T}$ = 3 GeV/$c$. Compared to RHIC Au-Au collisions at 200 GeV, the elliptic flow increases by about 30%. Some hydrodynamic model predictions which include viscous corrections are in agreement with the observed increase.Comment: 10 pages, 4 captioned figures, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/389

Study of QGP signatures with the phi->K+K- signal in Pb-Pb ALICE events

The phi->K+K- decay channel in Pb-Pb collisions at LHC is studied through a full simulation of the ALICE detector. The study focuses on possible signatures in this channel of quark-gluon plasma (QGP) formation. On a basis of 10^6 collisions at high centrality some proposed QGP signatures are clearly visible both in K+K- invariant mass and transverse mass distributions. The high significance of this observation appears to reside heavily on the use of the TOF (Time Of Flight) system of ALICE in addition to its central tracking detectors.Comment: 9 pages, 7 figures, to appear in EPJ

Higher harmonic anisotropic flow measurements of charged particles in Pb-Pb collisions at 2.76 TeV

We report on the first measurement of the triangular $v_3$, quadrangular $v_4$, and pentagonal $v_5$ charged particle flow in Pb-Pb collisions at 2.76 TeV measured with the ALICE detector at the CERN Large Hadron Collider. We show that the triangular flow can be described in terms of the initial spatial anisotropy and its fluctuations, which provides strong constraints on its origin. In the most central events, where the elliptic flow $v_2$ and $v_3$ have similar magnitude, a double peaked structure in the two-particle azimuthal correlations is observed, which is often interpreted as a Mach cone response to fast partons. We show that this structure can be naturally explained from the measured anisotropic flow Fourier coefficients.Comment: 10 pages, 4 figures, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/387

Measurement of D+- and D0 production in deep inelastic scattering using a lifetime tag at HERA

The production of D-+/-- and D-0-mesons has been measured with the ZEUS detector at HERA using an integrated luminosity of 133.6 pb(-1). The measurements cover the kinematic range 5 < Q(2) < 1000 GeV2, 0.02 < y < 0.7, 1.5 < p(T)(D) < 15 GeV and |eta(D)| < 1.6. Combinatorial background to the D-meson signals is reduced by using the ZEUS microvertex detector to reconstruct displaced secondary vertices. Production cross sections are compared with the predictions of next-to-leading-order QCD, which is found to describe the data well. Measurements are extrapolated to the full kinematic phase space in order to obtain the open-charm contribution, F-2(c (c) over bar), to the proton structure function, F-2

Planck intermediate results X : Physics of the hot gas in the Coma cluster

Peer reviewe

Planck Intermediate Results II: Comparison of Sunyaev–Zeldovich measurements from Planck and from the Arcminute Microkelvin Imager for 11 galaxy clusters

A comparison is presented of Sunyaev–Zeldovich measurements for 11 galaxy clusters as obtained by Planck and by the ground-based interferom- eter, the Arcminute Microkelvin Imager. Assuming a universal spherically-symmetric Generalised Navarro, Frenk & White (GNFW) model for the cluster gas pressure profile, we jointly constrain the integrated Compton-Y parameter (Y500) and the scale radius (θ500) of each cluster. Our resulting constraints in the Y500 − θ500 2D parameter space derived from the two instruments overlap significantly for eight of the clusters, although, overall, there is a tendency for AMI to find the Sunyaev–Zeldovich signal to be smaller in angular size and fainter than Planck. Significant discrepancies exist for the three remaining clusters in the sample, namely A1413, A1914, and the newly-discovered Planck cluster PLCKESZ G139.59+24.18. The robustness of the analysis of both the Planck and AMI data is demonstrated through the use of detailed simulations, which also discount confusion from residual point (radio) sources and from diffuse astrophysical foregrounds as possible explanations for the discrepancies found. For a subset of our cluster sample, we have investigated the dependence of our results on the assumed pressure profile by repeating the analysis adopting the best-fitting GNFW profile shape which best matches X-ray observations. Adopting the best-fitting profile shape from the X-ray data does not, in general, resolve the discrepancies found in this subset of five clusters. Though based on a small sample, our results suggest that the adopted GNFW model may not be sufficiently flexible to describe clusters universally