An empirical behavioral model of price formation

Although behavioral economics has demonstrated that there are many situations where rational choice is a poor empirical model, it has so far failed to provide quantitative models of economic problems such as price formation. We make a step in this direction by developing empirical models that capture behavioral regularities in trading order placement and cancellation using data from the London Stock Exchange. For order placement we show that the probability of placing an order at a given price is well approximated by a Student distribution with less than two degrees of freedom, centered on the best quoted price. This result is surprising because it implies that trading order placement is symmetric, independent of the bid-ask spread, and the same for buying and selling. We also develop a crude but simple cancellation model that depends on the position of an order relative to the best price and the imbalance between buying and selling orders in the limit order book. These results are combined to construct a stochastic representative agent model, in which the orders and cancellations are described in terms of conditional probability distributions. This model is used to simulate price formation and the results are compared to real data from the London Stock Exchange. Without adjusting any parameters based on price data, the model produces good predictions for the magnitude and functional form of the distribution of returns and the bid-ask spread

An empirical behavioral model of liquidity and volatility

We develop a behavioral model for liquidity and volatility based on empirical regularities in trading order flow in the London Stock Exchange. This can be viewed as a very simple agent based model in which all components of the model are validated against real data. Our empirical studies of order flow uncover several interesting regularities in the way trading orders are placed and cancelled. The resulting simple model of order flow is used to simulate price formation under a continuous double auction, and the statistical properties of the resulting simulated sequence of prices are compared to those of real data. The model is constructed using one stock (AZN) and tested on 24 other stocks. For low volatility, small tick size stocks (called Group I) the predictions are very good, but for stocks outside Group I they are not good. For Group I, the model predicts the correct magnitude and functional form of the distribution of the volatility and the bid-ask spread, without adjusting any parameters based on prices. This suggests that at least for Group I stocks, the volatility and heavy tails of prices are related to market microstructure effects, and supports the hypothesis that, at least on short time scales, the large fluctuations of absolute returns are well described by a power law with an exponent that varies from stock to stock

Market efficiency and the long-memory of supply and demand: Is price impact variable and permanent or fixed and temporary?

In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, during a period where there is an excess of buyer initiated transactions, there is also more liquidity for buy orders than sell orders, so that buy orders generate smaller and less frequent price responses than sell orders. At the moment a buy order is placed the transaction sign imbalance tends to dominate, generating a price impact. However, the liquidity imbalance rapidly increases with time, so that after a small number of time steps it cancels all the inefficiency caused by the transaction sign imbalance, bounding the price impact. While the view presented by Bouchaud et al. of a fixed and temporary bare price impact is self-consistent and formally correct, we argue that viewing this in terms of a variable but permanent price impact provides a simpler and more natural view. This is in the spirit of the original conjecture of Lillo and Farmer, but generalized to allow for finite time lags in the build up of the liquidity imbalance after a transaction. We discuss the possible strategic motivations that give rise to the liquidity imbalance and offer an alternative hypothesis. We also present some results that call into question the statistical significance of large swings in expected price impact at long times.Comment: 10 pages, 4 figure

A theory for long-memory in supply and demand

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such large orders is power law distributed, this gives rise to power law decaying autocorrelations in the signs of executed orders. More specifically, we show that if the cumulative distribution of large orders of volume v is proportional to v to the power -alpha and the size of executed orders is constant, the autocorrelation of order signs as a function of the lag tau is asymptotically proportional to tau to the power -(alpha - 1). This is a long-memory process when alpha < 2. With a few caveats, this gives a good match to the data. A version of the model also shows long-memory fluctuations in order execution rates, which may be relevant for explaining the long-memory of price diffusion rates.Comment: 12 pages, 7 figure

IVOA Recommendation: Sky Event Reporting Metadata Version 2.0

VOEvent defines the content and meaning of a standard information packet for representing, transmitting, publishing and archiving information about a transient celestial event, with the implication that timely follow-up is of interest. The objective is to motivate the observation of targets-of-opportunity, to drive robotic telescopes, to trigger archive searches, and to alert the community. VOEvent is focused on the reporting of photon events, but events mediated by disparate phenomena such as neutrinos, gravitational waves, and solar or atmospheric particle bursts may also be reported. Structured data is used, rather than natural language, so that automated systems can effectively interpret VOEvent packets. Each packet may contain zero or more of the "who, what, where, when & how" of a detected event, but in addition, may contain a hypothesis (a "why") regarding the nature of the underlying physical cause of the event. Citations to previous VOEvents may be used to place each event in its correct context. Proper curation is encouraged throughout each event's life cycle from discovery through successive follow-ups. VOEvent packets gain persistent identifiers and are typically stored in databases reached via registries. VOEvent packets may therefore reference other packets in various ways. Packets are encouraged to be small and to be processed quickly. This standard does not define a transport layer or the design of clients, repositories, publishers or brokers; it does not cover policy issues such as who can publish, who can build a registry of events, who can subscribe to a particular registry, nor the intellectual property issues

The Fourteenth Data Release of the Sloan Digital Sky Survey: First Spectroscopic Data from the extended Baryon Oscillation Spectroscopic Survey and from the second phase of the Apache Point Observatory Galactic Evolution Experiment

The fourth generation of the Sloan Digital Sky Survey (SDSS-IV) has been in operation since July 2014. This paper describes the second data release from this phase, and the fourteenth from SDSS overall (making this, Data Release Fourteen or DR14). This release makes public data taken by SDSS-IV in its first two years of operation (July 2014-2016). Like all previous SDSS releases, DR14 is cumulative, including the most recent reductions and calibrations of all data taken by SDSS since the first phase began operations in 2000. New in DR14 is the first public release of data from the extended Baryon Oscillation Spectroscopic Survey (eBOSS); the first data from the second phase of the Apache Point Observatory (APO) Galactic Evolution Experiment (APOGEE-2), including stellar parameter estimates from an innovative data driven machine learning algorithm known as "The Cannon"; and almost twice as many data cubes from the Mapping Nearby Galaxies at APO (MaNGA) survey as were in the previous release (N = 2812 in total). This paper describes the location and format of the publicly available data from SDSS-IV surveys. We provide references to the important technical papers describing how these data have been taken (both targeting and observation details) and processed for scientific use. The SDSS website (www.sdss.org) has been updated for this release, and provides links to data downloads, as well as tutorials and examples of data use. SDSS-IV is planning to continue to collect astronomical data until 2020, and will be followed by SDSS-V.Comment: SDSS-IV collaboration alphabetical author data release paper. DR14 happened on 31st July 2017. 19 pages, 5 figures. Accepted by ApJS on 28th Nov 2017 (this is the "post-print" and "post-proofs" version; minor corrections only from v1, and most of errors found in proofs corrected

The Eighteenth Data Release of the Sloan Digital Sky Surveys: Targeting and First Spectra from SDSS-V

The eighteenth data release of the Sloan Digital Sky Surveys (SDSS) is the first one for SDSS-V, the fifth generation of the survey. SDSS-V comprises three primary scientific programs, or "Mappers": Milky Way Mapper (MWM), Black Hole Mapper (BHM), and Local Volume Mapper (LVM). This data release contains extensive targeting information for the two multi-object spectroscopy programs (MWM and BHM), including input catalogs and selection functions for their numerous scientific objectives. We describe the production of the targeting databases and their calibration- and scientifically-focused components. DR18 also includes ~25,000 new SDSS spectra and supplemental information for X-ray sources identified by eROSITA in its eFEDS field. We present updates to some of the SDSS software pipelines and preview changes anticipated for DR19. We also describe three value-added catalogs (VACs) based on SDSS-IV data that have been published since DR17, and one VAC based on the SDSS-V data in the eFEDS field.Comment: Accepted to ApJ

The eighteenth data release of the Sloan Digital Sky Surveys : targeting and first spectra from SDSS-V

The eighteenth data release of the Sloan Digital Sky Surveys (SDSS) is the first one for SDSS-V, the fifth generation of the survey. SDSS-V comprises three primary scientific programs, or "Mappers": Milky Way Mapper (MWM), Black Hole Mapper (BHM), and Local Volume Mapper (LVM). This data release contains extensive targeting information for the two multi-object spectroscopy programs (MWM and BHM), including input catalogs and selection functions for their numerous scientific objectives. We describe the production of the targeting databases and their calibration- and scientifically-focused components. DR18 also includes ~25,000 new SDSS spectra and supplemental information for X-ray sources identified by eROSITA in its eFEDS field. We present updates to some of the SDSS software pipelines and preview changes anticipated for DR19. We also describe three value-added catalogs (VACs) based on SDSS-IV data that have been published since DR17, and one VAC based on the SDSS-V data in the eFEDS field.Publisher PDFPeer reviewe

Sloan Digital Sky Survey IV: mapping the Milky Way, nearby galaxies, and the distant universe

We describe the Sloan Digital Sky Survey IV (SDSS-IV), a project encompassing three major spectroscopic programs. The Apache Point Observatory Galactic Evolution Experiment 2 (APOGEE-2) is observing hundreds of thousands of Milky Way stars at high resolution and high signal-to-noise ratios in the near-infrared. The Mapping Nearby Galaxies at Apache Point Observatory (MaNGA) survey is obtaining spatially resolved spectroscopy for thousands of nearby galaxies (median ). The extended Baryon Oscillation Spectroscopic Survey (eBOSS) is mapping the galaxy, quasar, and neutral gas distributions between and 3.5 to constrain cosmology using baryon acoustic oscillations, redshift space distortions, and the shape of the power spectrum. Within eBOSS, we are conducting two major subprograms: the SPectroscopic IDentification of eROSITA Sources (SPIDERS), investigating X-ray AGNs and galaxies in X-ray clusters, and the Time Domain Spectroscopic Survey (TDSS), obtaining spectra of variable sources. All programs use the 2.5 m Sloan Foundation Telescope at the Apache Point Observatory; observations there began in Summer 2014. APOGEE-2 also operates a second near-infrared spectrograph at the 2.5 m du Pont Telescope at Las Campanas Observatory, with observations beginning in early 2017. Observations at both facilities are scheduled to continue through 2020. In keeping with previous SDSS policy, SDSS-IV provides regularly scheduled public data releases; the first one, Data Release 13, was made available in 2016 July

Sloan Digital Sky Survey IV: Mapping the Milky Way, Nearby Galaxies, and the Distant Universe

We describe the Sloan Digital Sky Survey IV (SDSS-IV), a project encompassing three major spectroscopic programs. The Apache Point Observatory Galactic Evolution Experiment 2 (APOGEE-2) is observing hundreds of thousands of Milky Way stars at high resolution and high signal-to-noise ratios in the near-infrared. The Mapping Nearby Galaxies at Apache Point Observatory (MaNGA) survey is obtaining spatially resolved spectroscopy for thousands of nearby galaxies (median $z\sim 0.03$). The extended Baryon Oscillation Spectroscopic Survey (eBOSS) is mapping the galaxy, quasar, and neutral gas distributions between $z\sim 0.6$ and 3.5 to constrain cosmology using baryon acoustic oscillations, redshift space distortions, and the shape of the power spectrum. Within eBOSS, we are conducting two major subprograms: the SPectroscopic IDentification of eROSITA Sources (SPIDERS), investigating X-ray AGNs and galaxies in X-ray clusters, and the Time Domain Spectroscopic Survey (TDSS), obtaining spectra of variable sources. All programs use the 2.5 m Sloan Foundation Telescope at the Apache Point Observatory; observations there began in Summer 2014. APOGEE-2 also operates a second near-infrared spectrograph at the 2.5 m du Pont Telescope at Las Campanas Observatory, with observations beginning in early 2017. Observations at both facilities are scheduled to continue through 2020. In keeping with previous SDSS policy, SDSS-IV provides regularly scheduled public data releases; the first one, Data Release 13, was made available in 2016 July