12,810 research outputs found
Empirical properties of inter-cancellation durations in the Chinese stock market
Order cancellation process plays a crucial role in the dynamics of price
formation in order-driven stock markets and is important in the construction
and validation of computational finance models. Based on the order flow data of
18 liquid stocks traded on the Shenzhen Stock Exchange in 2003, we investigate
the empirical statistical properties of inter-cancellation durations in units
of events defined as the waiting times between two consecutive cancellations.
The inter-cancellation durations for both buy and sell orders of all the stocks
favor a -exponential distribution when the maximum likelihood estimation
method is adopted; In contrast, both cancelled buy orders of 6 stocks and
cancelled sell orders of 3 stocks prefer Weibull distribution when the
nonlinear least-square estimation is used. Applying detrended fluctuation
analysis (DFA), centered detrending moving average (CDMA) and multifractal
detrended fluctuation analysis (MF-DFA) methods, we unveil that the
inter-cancellation duration time series process long memory and multifractal
nature for both buy and sell cancellations of all the stocks. Our findings show
that order cancellation processes exhibit long-range correlated bursty
behaviors and are thus not Poissonian.Comment: 14 pages, 7 figures and 5 table
Energy Dependence of Direct-Quarkonium Production in pp Collisions from Fixed-Target to LHC Energies: Complete One-Loop Analysis
We compute the energy dependence of the P_T-integrated cross section of
directly produced quarkonia in pp collisions at next-to-leading order (NLO),
namely up to alpha_s^3, within nonrelativistic QCD (NRQCD). Our analysis is
based on the idea that the P_T-integrated and the P_T-differential cross
sections can be treated as two different observables. The colour-octet NRQCD
parameters needed to predict the P_T-integrated yield can thus be extracted
from the fits of the P_T-differential cross sections at mid and large P_T. For
the first time, the total cross section is evaluated in NRQCD at full NLO
accuracy using the recent NLO fits of the P_T-differential yields at RHIC, the
Tevatron and the LHC. Both the normalisation and the energy dependence of the
J/psi, psi' and Upsilon(1S), we obtained, are in disagreement with the data
irrespective of the fit method. The same is true if one uses CEM-like
colour-octet NRQCD parameters. If, on the contrary, one disregards the
colour-octet contribution, the existing data in the TeV range are well
described by the alpha_s^3 contribution in the colour-singlet model --which, at
alpha_s^4, however shows an unphysical energy dependence. A similar observation
is made for eta(c,b). This calls for a full NNLO or for a resummation of the
initial-state radiation in this channel. In any case, past claims that
colour-octet transitions are dominantly responsible for low-P_T quarkonium
production are not supported by our results. This may impact the interpretation
of quarkonium suppression in high-energy proton-nucleus and nucleus-nucleus
collisions.Comment: 15 pages, 22 Figures, LaTeX uses svepjc3.clo, svglov3.clo,
svjour3.cls (included
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