Order flow dynamics around extreme price changes on an emerging stock market

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid-ask spread, and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak. The volume of buy market orders increases faster and the corresponding peak appears earlier than for sell market orders around positive events, while the volume peak of sell market orders leads buy market orders in the magnitude and time around negative events. When orders are divided into four groups according to their aggressiveness, we find that the behaviors of order volume and order number are similar, except for buy limit orders and canceled orders that the peak of order number postpones two minutes later after the peak of order volume, implying that investors placing large orders are more informed and play a central role in large price fluctuations. We also study the relative rates of different types of orders and find differences in the dynamics of relative rates between buy orders and sell orders and between individual investors and institutional investors. There is evidence showing that institutions behave very differently from individuals and that they have more aggressive strategies. Combing these findings, we conclude that institutional investors are more informed and play a more influential role in driving large price fluctuations.Comment: 22 page

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the "$q$-Gamma" function for fitting the distribution by the Cram\'{e}r-von Mises criterion. The empirical PDFs of trading volumes at different timescales $\Delta{t}$ ranging from 1 min to 240 min can be well modeled. The applicability of the $q$-Gamma functions for multiple trades is restricted to the transaction numbers $\Delta{n}\leqslant8$. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents $\alpha$ of the distribution of trade sizes and trading volumes, we get $\alpha>2$, well outside the L{\'e}vy regime.Comment: 7 pages, 5 figures and 4 table

A Semantic Graph-Based Approach for Mining Common Topics From Multiple Asynchronous Text Streams

In the age of Web 2.0, a substantial amount of unstructured content are distributed through multiple text streams in an asynchronous fashion, which makes it increasingly difficult to glean and distill useful information. An effective way to explore the information in text streams is topic modelling, which can further facilitate other applications such as search, information browsing, and pattern mining. In this paper, we propose a semantic graph based topic modelling approach for structuring asynchronous text streams. Our model in- tegrates topic mining and time synchronization, two core modules for addressing the problem, into a unified model. Specifically, for handling the lexical gap issues, we use global semantic graphs of each timestamp for capturing the hid- den interaction among entities from all the text streams. For dealing with the sources asynchronism problem, local semantic graphs are employed to discover similar topics of different entities that can be potentially separated by time gaps. Our experiment on two real-world datasets shows that the proposed model significantly outperforms the existing ones

Strong decays of heavy baryons in Bethe-Salpeter formalism

In this paper we study the properties of diquarks (composed of $u$ and/or $d$ quarks) in the Bethe-Salpeter formalism under the covariant instantaneous approximation. We calculate their BS wave functions and study their effective interaction with the pion. Using the effective coupling constant among the diquarks and the pion, in the heavy quark limit $m_Q\to\infty$, we calculate the decay widths of $\Sigma_Q^{(*)}$ ($Q=c,b$) in the BS formalism under the covariant instantaneous approximation and then give predictions of the decay widths $\Gamma(\Sigma_b^{(*)}\to\Lambda_b+\pi)$.Comment: 41 pages, 1 figure, LaTex2e, typos correcte