The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets

Using the adoption of the Arrowhead trading platform in January 2010 as an exogenous event, we investigate the effects of algorithmic trading on stock market liquidity and commonality in liquidity under different market conditions on the Tokyo Stock Exchange. After controlling for endogeneity, we find algorithmic trading increases stock liquidity by narrowing spreads and increasing market depth. Furthermore, algorithmic trading increases commonality in liquidity at both high and low frequency. These findings appear to arise due to the reduction in monitoring costs. Further analysis reveals that, following large market declines, the effect of algorithmic trading on spreads and market depth weakens while the effect on commonality in stock liquidity intensifies.We gratefully acknowledge financial support from the UWA Business School, Faculty of Economics at Nagasaki University and Japan Society for the Promotion of Science (JSPS KAKENHI Grant Number 21330078)

Exploring Contractor Renormalization: Tests on the 2-D Heisenberg Antiferromagnet and Some New Perspectives

Contractor Renormalization (CORE) is a numerical renormalization method for Hamiltonian systems that has found applications in particle and condensed matter physics. There have been few studies, however, on further understanding of what exactly it does and its convergence properties. The current work has two main objectives. First, we wish to investigate the convergence of the cluster expansion for a two-dimensional Heisenberg Antiferromagnet(HAF). This is important because the linked cluster expansion used to evaluate this formula non-perturbatively is not controlled by a small parameter. Here we present a study of three different blocking schemes which reveals some surprises and in particular, leads us to suggest a scheme for defining successive terms in the cluster expansion. Our second goal is to present some new perspectives on CORE in light of recent developments to make it accessible to more researchers, including those in Quantum Information Science. We make some comparison to entanglement-based approaches and discuss how it may be possible to improve or generalize the method.Comment: Completely revised version accepted by Phy Rev B; 13 pages with added material on entropy in COR

Быстрый метод анализа возмущения электромагнитного поля малыми сферическими рассеивателями

In this work, we consider a special approximation of the general perturbation formula for the electromagnetic field by a set of electrically small inhomogeneities located in the domain of interest. The problem considered in this paper arises in many applications of technical electrodynamics, radar technologies and subsurface remote sensing. In the general case, it is formulated as follows: at some point in the perturbed domain, it is necessary to determine the amplitude of the electromagnetic field. The perturbation of electromagnetic waves is caused by a set of electrically small scatterers distributed in space. The source of electromagnetic waves is also located in perturbed domain. The problem is solved by introducing the far field approximation and through the formulation for the scatterer radar cross section value. This, in turn, allows one to significantly speed up the calculation process of the perturbed electromagnetic field by a set of a spherical inhomogeneities identical to each other with arbitrary electrophysical parameters. In this paper, we consider only the direct scattering problem; therefore, all parameters of the scatterers are known. In this context, it may be argued that the formulation corresponds to the well-posed problem and does not imply the solution of the integral equation in the generalized formula. One of the features of the proposed algorithm is the allocation of a characteristic plane at the domain boundary. All points of observation of the state of the system belong to this plane. Set of the scatterers is located inside the observation region, which is formed by this surface. The approximation is tested by comparing the results obtained with the solution of the general formula method for the perturbation of the electromagnetic field. This approach, among other things, allows one to remove a number of restrictions on the general perturbation formula for E-filed analysis. © 2020 Kirill M. Zeyde, Alisa Yu. Vardugina, Sergey V. Marvi

Search for Millicharged Particles at SLAC

Particles with electric charge q < 10^(-3)e and masses in the range 1--100 MeV/c^2 are not excluded by present experiments. An experiment uniquely suited to the production and detection of such "millicharged" particles has been carried out at SLAC. This experiment is sensitive to the infrequent excitation and ionization of matter expected from the passage of such a particle. Analysis of the data rules out a region of mass and charge, establishing, for example, a 95%-confidence upper limit on electric charge of 4.1X10^(-5)e for millicharged particles of mass 1 MeV/c^2 and 5.8X10^(-4)e for mass 100 MeV/c^2.Comment: 4 pages, REVTeX, multicol, 3 figures. Minor typo corrected. Submitted to Physical Review Letter

α-Syntrophin regulates ARMS localization at the neuromuscular junction and enhances EphA4 signaling in an ARMS-dependent manner

EphA4 signaling has recently been implicated in the regulation of synapse formation and plasticity. In this study, we show that ankyrin repeat-rich membrane spanning (ARMS; also known as a kinase D–interacting substrate of 220 kD), a substrate for ephrin and neurotrophin receptors, was expressed in developing muscle and was concentrated at the neuromuscular junction (NMJ). Using yeast two-hybrid screening, we identified a PDZ (PSD-95, Dlg, ZO-1) domain protein, α-syntrophin, as an ARMS-interacting protein in muscle. Overexpression of α-syntrophin induced ARMS clustering in a PDZ domain–dependent manner. Coexpression of ARMS enhanced EphA4 signaling, which was further augmented by the presence of α-syntrophin. Moreover, the ephrin-A1–induced tyrosine phosphorylation of EphA4 was reduced in C2C12 myotubes after the blockade of ARMS and α-syntrophin expression by RNA interference. Finally, α-syntrophin–null mice exhibited a disrupted localization of ARMS and EphA4 at the NMJ and a reduced expression of ARMS in muscle. Altogether, our findings suggest that ARMS may play an important role in regulating postsynaptic signal transduction through the syntrophin-mediated localization of receptor tyrosine kinases such as EphA4