Simulating and analyzing order book data: The queue-reactive model

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen reference price, typically the mid price, remains constant. Within these periods, we view the limit order book as a Markov queuing system. Indeed, we assume that the intensities of the order flows only depend on the current state of the order book. We establish the limiting behavior of this model and estimate its parameters from market data. Then, in order to design a relevant model for the whole period of interest, we use a stochastic mechanism that allows for switches from one period of constant reference price to another. Beyond enabling to reproduce accurately the behavior of market data, we show that our framework can be very useful for practitioners, notably as a market simulator or as a tool for the transaction cost analysis of complex trading algorithms

Dynamique des carnets d’ordres : analyse statistique, modélisation et prévision

This thesis is made of two connected parts, the first one about limit order book modeling and the second one about tick value effects. In the first part, we present our framework for Markovian order book modeling. The queue-reactive model is first introduced, in which we revise the traditional zero-intelligence approach by adding state dependency in the order arrival processes. An empirical study shows that this model is very realistic and reproduces many interesting microscopic features of the underlying asset such as the distribution of the order book. We also demonstrate that it can be used as an efficient market simulator, allowing for the assessment of complex placement tactics. We then extend the queue-reactive model to a general Markovian framework for order book modeling. Ergodicity conditions are discussed in details in this setting. Under some rather weak assumptions, we prove the convergence of the order book state towards an invariant distribution and that of the rescaled price process to a standard Brownian motion. In the second part of this thesis, we are interested in studying the role played by the tick value at both microscopic and macroscopic scales. First, an empirical study of the consequences of a tick value change is conducted using data from the 2014 Japanese tick size reduction pilot program. A prediction formula for the effects of a tick value change on the trading costs is derived and successfully tested. Then, an agent-based model is introduced in order to explain the relationships between market volume, price dynamics, bid-ask spread, tick value and the equilibrium order book state.Cette thèse est composée de deux parties reliées, le premier sur le carnet d'ordre et le deuxième sur les effets de valeur de tick. Dans la première partie, nous présentons notre cadre de modélisation de carnet. Le modèle queue-réactive est d'abord introduit, dans laquelle nous révisons l'approche zéro intelligence traditionnelle en ajoutant dépendance envers l'État de carnet. Une étude empirique montre que ce modèle est très réaliste et reproduit de nombreuses fonctionnalités intéressantes microscopiques de l'actif sous-jacent comme la distribution du carnet de commandes. Nous démontrons également qu'il peut être utilisé comme un simulateur de marché efficace, ce qui permet l'évaluation de la tactique de placement complexes. Nous étendons ensuite le modèle de queue-réactive à un cadre markovien général. Conditions de Ergodicité sont discutés en détail dans ce paramètre. Dans la deuxième partie de cette thèse, nous sommes intéressés à étudier le rôle joué par la valeur de la tique à deux échelles microscopiques et macroscopiques. Tout d'abord, une étude empirique sur les conséquences d'un changement de la valeur de tick est effectuée à l'aide des données du programme pilote de réduction de la taille 2014 tick japonais. Une formule de prédiction pour les effets d'un changement de valeur de tique sur les coûts de transactions est dérivé. Ensuite, un modèle multi-agent est introduit afin d'expliquer les relations entre le volume du marché, la dynamique des prix, spread bid-ask, la valeur de la tique et de l'état du carnet d'ordres d'équilibre

Recombinational landscape of porcine X chromosome and individual variation in female meiotic recombination associated with haplotypes of Chinese pigs

<p>Abstract</p> <p>Background</p> <p>Variations in recombination fraction (θ) among chromosomal regions, individuals and families have been observed and have an important impact on quantitative trait loci (QTL) mapping studies. Such variations on porcine chromosome X (SSC-X) and on other mammalian chromosome X are rarely explored. The emerging assembly of pig sequence provides exact physical location of many markers, facilitating the study of a fine-scale recombination landscape of the pig genome by comparing a clone-based physical map to a genetic map. Using large offspring of F₁females from two large-scale resource populations (Large White ♂ × Chinese Meishan ♀, and White Duroc ♂ × Chinese Erhualian ♀), we were able to evaluate the heterogeneity in θ for a specific interval among individual F₁females.</p> <p>Results</p> <p>Alignments between the cytogenetic map, radiation hybrid (RH) map, genetic maps and clone map of SSC-X with the physical map of human chromosome X (HSA-X) are presented. The most likely order of 60 markers on SSC-X is inferred. The average recombination rate across SSC-X is of ~1.27 cM/Mb. However, almost no recombination occurred in a large region of ~31 Mb extending from the centromere to Xq21, whereas in the surrounding regions and in the Xq telomeric region a recombination rate of 2.8-3.3 cM/Mb was observed, more than twice the chromosome-wide average rate. Significant differences in θ among F₁females within each population were observed for several chromosomal intervals. The largest variation was observed in both populations in the interval <it>UMNP71-SW1943</it>, or more precisely in the subinterval <it>UMNP891-UMNP93</it>. The individual variation in θ over this subinterval was found associated with F₁females' maternal haplotypes (Chinese pig haplotypes) and independent of paternal haplotype (European pig haplotypes). The θ between <it>UMNP891 </it>and <it>UMNP93 </it>for haplotype 1122 and 4311 differed by more than fourteen-fold (10.3% vs. 0.7%).</p> <p>Conclusions</p> <p>This study reveals marked regional, individual and haplotype-specific differences in recombination rate on SSC-X. Lack of recombination in such a large region makes it impossible to narrow QTL interval using traditional fine-mapping approaches. The relationship between recombination variation and haplotype polymorphism is shown for the first time in pigs.</p

Transcriptional patterns, biomarkers and pathways characterizing nasopharyngeal carcinoma of Southern China

<p>Abstract</p> <p>Background</p> <p>The pathogenesis of nasopharyngeal carcinoma (NPC) is a complicated process involving genetic predisposition, Epstein-Bar Virus infection, and genetic alterations. Although some oncogenes and tumor suppressor genes have been previously reported in NPC, a complete understanding of the pathogenesis of NPC in the context of global gene expression, transcriptional pathways and biomarker assessment remains to be elucidated.</p> <p>Methods</p> <p>Total RNA from 32 pathologically-confirmed cases of poorly-differentiated NPC was divided into pools inclusive of four consecutive specimens and each pool (T1 to T8) was co-hybridized with pooled RNA from 24 normal non-cancerous nasopharyngeal tissues (NP) to a human 8K cDNA array platform. The reliability of microarray data was validated for selected genes by semi-quantitative RT-PCR and immunohistochemistry.</p> <p>Results</p> <p>Stringent statistical filtering parameters identified 435 genes to be up-regulated and 257 genes to be down-regulated in NPC compared to NP. Seven up-regulated genes including CYC1, MIF, LAMB3, TUBB2, UBE2C and TRAP1 had been previously proposed as candidate common cancer biomarkers based on a previous extensive comparison among various cancers and normal tissues which did not, however, include NPC or NP. In addition, nine known oncogenes and tumor suppressor genes, MIF, BIRC5, PTTG1, ATM, FOXO1A, TGFBR2, PRKAR1A, KLF5 and PDCD4 were identified through the microarray literature-based annotation search engine MILANO, suggesting these genes may be specifically involved in the promotion of the malignant conversion of nasopharyngeal epithelium. Finally, we found that these differentially expressed genes were involved in apoptosis, MAPK, VEGF and B cell receptor signaling pathways and other functions associated with cell growth, signal transduction and immune system activation.</p> <p>Conclusion</p> <p>This study identified potential candidate biomarkers, oncogenes/tumor suppressor genes involved in several pathways relevant to the oncogenesis of NPC. This information may facilitate the determination of diagnostic and therapeutic targets for NPC as well as provide insights about the molecular pathogenesis of NPC.</p

Extensive transmission of isoniazid resistant M. tuberculosis and its association with increased multidrug-resistant TB in two rural counties of eastern China: A molecular epidemiological study

<p>Abstract</p> <p>Background</p> <p>The aim of this study was to investigate the molecular characteristics of isoniazid resistant <it>Mycobacterium tuberculosis </it>(MTB), as well as its contribution to the dissemination of multi-drug resistant TB (MDR-TB) in rural areas of eastern China.</p> <p>Methods</p> <p>A population-based epidemiological study was conducted in two rural counties of eastern China from 2004 to 2005. In total, 131 isoniazid resistant MTB isolates were molecularly characterized by DNA sequencing and genotyped by IS<it>6110 </it>restriction fragment length polymorphism (RFLP) and spoligotyping.</p> <p>Results</p> <p>The <it>katG</it>315Thr mutation was observed in 74 of 131 isoniazid resistant isolates and more likely to be MDR-TB (48.6%) and have mutations in <it>rpoB </it>gene (47.3%). Spoligotyping identified 80.2% of isoniazid resistant MTB isolates as belonging to the Beijing family. Cluster analysis by genotyping based on IS<it>6110 </it>RFLP, showed that 48.1% isoniazid resistant isolates were grouped into 26 clusters and <it>katG</it>315Thr mutants had a significantly higher clustering proportion compared to those with <it>katG </it>wild type (73%.vs.18%; OR, 12.70; 95%CI, 6.357-14.80). Thirty-one of the 53 MDR-TB isolates were observed in 19 clusters. Of these clusters, isoniazid resistance in MDR-TB isolates was all due to the <it>katG</it>315Thr mutation; 18 clusters also contained mono-isoniazid resistant and other isoniazid resistant isolates.</p> <p>Conclusions</p> <p>These results highlighted that isoniazid resistant MTB especially with <it>katG</it>315Thr is likely to be clustered in a community, develop extra resistance to rifampicin and become MDR-TB in Chinese rural settings.</p

Association of psychological distress, smoking and genetic risk with the incidence of lung cancer: a large prospective population-based cohort study

BackgroundEmerging evidence suggests a potential link between psychological distress (anxiety and depression) and lung cancer risk, however, it is unclear whether other factors such as tobacco smoking and genetic susceptibility modify the association.MethodsWe included 405,892 UK Biobank participants free of cancer at baseline. Psychological distress was measured using the Patient Health Questionnaire-4 (PHQ-4). A polygenic risk score (PRS) was calculated using 18 lung cancer-associated genetic loci. Multivariable Cox regression models were used to estimate hazard ratios (HRs) and 95% confidence intervals (CIs).ResultsDuring a median follow-up of 7.13 years, 1754 lung cancer cases were documented. The higher score of psychological distress was associated with an increased risk of lung cancer (HRper 1-SD= 1.07, 95% CI: 1.02-1.11) after adjustment for smoking and other confounders. Mediation analysis revealed that 16.8% (95% CI: 13.0%-20.6%) of the distress-lung cancer association was mediated by smoking. Compared with never smokers with no distress, participants with heavy smoking and high distress had the highest risk of lung cancer (HR=18.57, 95% CI: 14.51-23.76). Both multiplicative and additive interactions were observed between smoking and psychological distress in lung cancer. Furthermore, the greatest relative increase in risk was observed among those with high genetic risk and high distress (HR=1.87, 95%CI: 1.50-2.33), and there was a significant additive interaction between the PRS and psychological distress.ConclusionOur results indicate that psychological distress was associated with an elevated risk of incident lung cancer, and such relation was modified by tobacco smoking and genetic susceptibility