Quantifying Stock Price Response to Demand Fluctuations

We address the question of how stock prices respond to changes in demand. We quantify the relations between price change $G$ over a time interval $\Delta t$ and two different measures of demand fluctuations: (a) $\Phi$, defined as the difference between the number of buyer-initiated and seller-initiated trades, and (b) $\Omega$, defined as the difference in number of shares traded in buyer and seller initiated trades. We find that the conditional expectations $<G >_{\Omega}$ and $_{\Phi}$ of price change for a given $\Omega$ or $\Phi$ are both concave. We find that large price fluctuations occur when demand is very small --- a fact which is reminiscent of large fluctuations that occur at critical points in spin systems, where the divergent nature of the response function leads to large fluctuations.Comment: 4 pages (multicol fomat, revtex

Statistical Properties of Share Volume Traded in Financial Markets

We quantitatively investigate the ideas behind the often-expressed adage `it takes volume to move stock prices', and study the statistical properties of the number of shares traded $Q_{\Delta t}$ for a given stock in a fixed time interval $\Delta t$. We analyze transaction data for the largest 1000 stocks for the two-year period 1994-95, using a database that records every transaction for all securities in three major US stock markets. We find that the distribution $P(Q_{\Delta t})$ displays a power-law decay, and that the time correlations in $Q_{\Delta t}$ display long-range persistence. Further, we investigate the relation between $Q_{\Delta t}$ and the number of transactions $N_{\Delta t}$ in a time interval $\Delta t$, and find that the long-range correlations in $Q_{\Delta t}$ are largely due to those of $N_{\Delta t}$. Our results are consistent with the interpretation that the large equal-time correlation previously found between $Q_{\Delta t}$ and the absolute value of price change $| G_{\Delta t} |$ (related to volatility) are largely due to $N_{\Delta t}$.Comment: 4 pages, two-column format, four figure

Economic Fluctuations and Diffusion

Stock price changes occur through transactions, just as diffusion in physical systems occurs through molecular collisions. We systematically explore this analogy and quantify the relation between trading activity - measured by the number of transactions $N_{\Delta t}$ - and the price change $G_{\Delta t}$, for a given stock, over a time interval $[t, t+\Delta t]$. To this end, we analyze a database documenting every transaction for 1000 US stocks over the two-year period 1994-1995. We find that price movements are equivalent to a complex variant of diffusion, where the diffusion coefficient fluctuates drastically in time. We relate the analog of the diffusion coefficient to two microscopic quantities: (i) the number of transactions $N_{\Delta t}$ in $\Delta t$, which is the analog of the number of collisions and (ii) the local variance $w^2_{\Delta t}$ of the price changes for all transactions in $\Delta t$, which is the analog of the local mean square displacement between collisions. We study the distributions of both $N_{\Delta t}$ and $w_{\Delta t}$, and find that they display power-law tails. Further, we find that $N_{\Delta t}$ displays long-range power-law correlations in time, whereas $w_{\Delta t}$ does not. Our results are consistent with the interpretation that the pronounced tails of the distribution of $G_{\Delta t} are due to$w_{\Delta t}$, and that the long-range correlations previously found for$| G_{\Delta t} |$are due to$N_{\Delta t}$.Comment: RevTex 2 column format. 6 pages, 36 references, 15 eps figure

Transitions from small to large Fermi momenta in a one-dimensional Kondo lattice model

We study a one-dimensional system that consists of an electron gas coupled to a spin-1/2 chain by Kondo interaction away from half-filling. We show that zero-temperature transitions between phases with "small" and "large" Fermi momenta can be continuous. Such a continuous but Fermi-momentum-changing transition arises in the presence of spin anisotropy, from a Luttinger liquid with a small Fermi momentum to a Kondo-dimer phase with a large Fermi momentum. We have also added a frustrating next-nearest-neighbor interaction in the spin chain to show the possibility of a similar Fermi-momentum-changing transition, between the Kondo phase and a spin-Peierls phase, in the spin isotropic case. This transition, however, appears to involve a region in which the two phases coexist.Comment: The updated version clarifies the definitions of small and large Fermi momenta, the role of anisotropy, and how Kondo interaction affects Luttinger liquid phase. 12 pages, 5 figure

Global Connectivity of Southern Ocean Ecosystems

Southern Ocean ecosystems are globally important. Processes in the Antarctic atmosphere, cryosphere, and the Southern Ocean directly influence global atmospheric and oceanic systems. Southern Ocean biogeochemistry has also been shown to have global importance. In contrast, ocean ecological processes are often seen as largely separate from the rest of the global system. In this paper, we consider the degree of ecological connectivity at different trophic levels, linking Southern Ocean ecosystems with the global ocean, and their importance not only for the regional ecosystem but also the wider Earth system. We also consider the human system connections, including the role of Southern Ocean ecosystems in supporting society, culture, and economy in many nations, influencing public and political views and hence policy. Rather than Southern Ocean ecosystems being defined by barriers at particular oceanic fronts, ecological changes are gradual due to cross-front exchanges involving oceanographic processes and organism movement. Millions of seabirds and hundreds of thousands of cetaceans move north out of polar waters in the austral autumn interacting in food webs across the Southern Hemisphere, and a few species cross the equator. A number of species migrate into the east and west ocean-basin boundary current and continental shelf regions of the major southern continents. Human travel in and out of the Southern Ocean region includes fisheries, tourism, and scientific vessels in all ocean sectors. These operations arise from many nations, particularly in the Northern Hemisphere, and are important in local communities as well as national economic, scientific, and political activities. As a result of the extensive connectivity, future changes in Southern Ocean ecosystems will have consequences throughout the Earth system, affecting ecosystem services with socio-economic impacts throughout the world. The high level of connectivity also means that changes and policy decisions in marine ecosystems outside the Southern Ocean have consequences for ecosystems south of the Antarctic Polar Front. Knowledge of Southern Ocean ecosystems and their global connectivity is critical for interpreting current change, projecting future change impacts, and identifying integrated strategies for conserving and managing both the Southern Ocean and the broader Earth system

Sofosbuvir and Ribavirin Prevent Recurrence of HCV Infection After Liver Transplantation: An Open-Label Study

Background & AimsPatients with detectable hepatitis C virus (HCV) RNA at the time of liver transplantation universally experience recurrent HCV infection. Antiviral treatment before transplantation can prevent HCV recurrence, but existing interferon-based regimens are poorly tolerated and are either ineffective or contraindicated in most patients. We performed a trial to determine whether sofosbuvir and ribavirin treatment before liver transplantation could prevent HCV recurrence afterward.MethodsIn a phase 2, open-label study, 61 patients with HCV of any genotype and cirrhosis (Child–Turcotte–Pugh score, ≤7) who were on waitlists for liver transplantation for hepatocellular carcinoma, received up to 48 weeks of sofosbuvir (400 mg) and ribavirin before liver transplantation. The primary end point was the proportion of patients with HCV-RNA levels less than 25 IU/mL at 12 weeks after transplantation among patients with this HCV-RNA level at their last measurement before transplantation.ResultsSixty-one patients received sofosbuvir and ribavirin, and 46 received transplanted livers. The per-protocol efficacy population consisted of 43 patients who had HCV-RNA level less than 25 IU/mL at the time of transplantation. Of these 43 patients, 30 (70%) had a post-transplantation virologic response at 12 weeks, 10 (23%) had recurrent infection, and 3 (7%) died (2 from nonfunction of the primary graft and 1 from complications of hepatic artery thrombosis). Of all 61 patients given sofosbuvir and ribavirin, 49% had a post-transplantation virologic response. Recurrence was related inversely to the number of consecutive days of undetectable HCV RNA before transplantation. The most frequently reported adverse events were fatigue (in 38% of patients), headache (23%), and anemia (21%).ConclusionsAdministration of sofosbuvir and ribavirin before liver transplantation can prevent post-transplant HCV recurrence. ClinicalTrials.gov: NCT01559844

A policy-based framework for the determination of management options to protect vulnerable marine ecosystems under the EU deep-sea access regulations

Vulnerable marine ecosystems (VMEs) are particularly susceptible to bottom-fishing activity as they are easily disturbed and slow to recover. A data-driven approach was developed to provide management options for the protection of VMEs under the European Union “deep-sea access regulations.” A total of two options within two scenarios were developed. The first scenario defined VME closure areas without consideration of fishing activity. Option 1 proposed closures for the protection of VME habitats and likely habitat, while Option 2 also included areas where four types of VME geophysical elements were present. The second scenario additionally considered fishing. This scenario used VME biomass—fishing intensity relationships to identify a threshold where effort of mobile bottom-contact gears was low and unlikely to have caused significant adverse impacts. Achieving a high level of VME protection requires the creation of many closures (> 100), made up of many small (∼50 km2) and fewer larger closures (> 1000 km2). The greatest protection of VMEs will affect approximately 9% of the mobile fleet fishing effort, while closure scenarios that avoid highly fished areas reduce this to around 4–6%. The framework allows managers to choose the level of risk-aversion they wish to apply in protecting VMEs by comparing alternative strategies.En prensa2,27

A synergistic approach for evaluating climate model output for ecological applications

Increasing concern about the impacts of climate change on ecosystems is prompting ecologists and ecosystem managers to seek reliable projections of physical drivers of change. The use of global climate models in ecology is growing, although drawing ecologically meaningful conclusions can be problematic. The expertise required to access and interpret output from climate and earth system models is hampering progress in utilizing them most effectively to determine the wider implications of climate change. To address this issue, we present a joint approach between climate scientists and ecologists that explores key challenges and opportunities for progress. As an exemplar, our focus is the Southern Ocean, notable for significant change with global implications, and on sea ice, given its crucial role in this dynamic ecosystem. We combined perspectives to evaluate the representation of sea ice in global climate models. With an emphasis on ecologically-relevant criteria (sea ice extent and seasonality) we selected a subset of eight models that reliably reproduce extant sea ice distributions. While the model subset shows a similar mean change to the full ensemble in sea ice extent (approximately 50% decline in winter and 30% decline in summer), there is a marked reduction in the range. This improved the precision of projected future sea ice distributions by approximately one third, and means they are more amenable to ecological interpretation. We conclude that careful multidisciplinary evaluation of climate models, in conjunction with ongoing modeling advances, should form an integral part of utilizing model output

Considerations for reducing food system energy demand while scaling up urban agriculture

There is an increasing global interest in scaling up urban agriculture (UA) in its various forms, from private gardens to sophisticated commercial operations. Much of this interest is in the spirit of environmental protection, with reduced waste and transportation energy highlighted as some of the proposed benefits of UA; however, explicit consideration of energy and resource requirements needs to be made in order to realize these anticipated environmental benefits. A literature review is undertaken here to provide new insight into the energy implications of scaling up UA in cities in high-income countries, considering UA classification, direct/indirect energy pressures, and interactions with other components of the food–energy–water nexus. This is followed by an exploration of ways in which these cities can plan for the exploitation of waste flows for resource-efficient UA. Given that it is estimated that the food system contributes nearly 15% of total US energy demand, optimization of resource use in food production, distribution, consumption, and waste systems may have a significant energy impact. There are limited data available that quantify resource demand implications directly associated with UA systems, highlighting that the literature is not yet sufficiently robust to make universal claims on benefits. This letter explores energy demand from conventional resource inputs, various production systems, water/energy trade-offs, alternative irrigation, packaging materials, and transportation/supply chains to shed light on UA-focused research needs. By analyzing data and cases from the existing literature, we propose that gains in energy efficiency could be realized through the co-location of UA operations with waste streams (e.g. heat, CO2, greywater, wastewater, compost), potentially increasing yields and offsetting life cycle energy demands relative to conventional approaches. This begs a number of energy-focused UA research questions that explore the opportunities for integrating the variety of UA structures and technologies, so that they are better able to exploit these urban waste flows and achieve whole-system reductions in energy demand. Any planning approach to implement these must, as always, assess how context will influence the viability and value added from the promotion of UA