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

Expanding the range of chromatic dispersion monitoring with two-photon absorption in semiconductors

Chromatic dispersion monitoring based on two-photon absorption (TPA) in semiconductors is very attractive because it does not need any high speed electronic devices (Inui, 2002). However, at present the dispersion monitoring range is limited to half of the Talbot dispersion which is defined as DTalbot = T2c/lambda2 (Wielandy, 2004), T is the period of the signal pulse sequence. In this work we propose a scheme to expand this monitoring range

Advantages of the multinucleon transfer reactions based on 238U target for producing neutron-rich isotopes around N = 126

The mechanism of multinucleon transfer (MNT) reactions for producing neutron-rich heavy nuclei around N = 126 is investigated within two different theoretical frameworks: dinuclear system (DNS) model and isospin-dependent quantum molecular dynamics (IQMD) model. The effects of mass asymmetry relaxation, N=Z equilibration, and shell closures on production cross sections of neutron-rich heavy nuclei are investigated. For the first time, the advantages for producing neutron-rich heavy nuclei around N = 126 is found in MNT reactions based on 238U target. We propose the reactions with 238U target for producing unknown neutron-rich heavy nuclei around N = 126 in the future.Comment: 6 pages, 6 figure