High frequency market microstructure noise estimates and liquidity measures

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks and, in particular, to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics have lower noise and noise-to-signal ratio measured from their high frequency returns. We then examine whether there exists a common, market-wide, factor in high frequency stock-level measurements of noise, and whether that factor is priced in asset returns.Comment: Published in at http://dx.doi.org/10.1214/08-AOAS200 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

On Money as a Substitute for Perfect Recall

In environments with no commitment and with a need for intertemporal trade, bounded recall is shown to be a sufficient friction for a receipt system (fiat money) to lead to improved allocations in an otherwise frictionless Walrasian model. The absence of other frictions makes price determination tractable, thus the model may be used for quantitative monetary policy experiments. Some issues regarding the divisibility of money are also discussed.money, memory, competitive equilibrium

Accelerating AdS black holes as the holographic heat engines in a benchmarking scheme

We investigate the properties of holographic heat engines with an uncharged accelerating non-rotating AdS black hole as the working substance in a benchmarking scheme. We find that the efficiencies of the black hole heat engines can be influenced by both the size of the benchmark circular cycle and the cosmic string tension as a thermodynamic variable. In general, the efficiency can be increased by enlarging the cycle, but is still constrained by a universal bound $2\pi/(\pi+4)$ as expected. A cross-comparison of the efficiencies of the accelerating black hole heat engines and Schwarzschild-AdS black hole heat engines suggests that the acceleration also increases the efficiency although the amount of increase is not remarkable.Comment: 13 pages,4 figure

The Lamb shift in the BTZ spacetime

We study the Lamb shift of a two-level atom arising from its coupling to the conformal massless scalar field, which satisfies the Dirichlet boundary conditions, in the Hartle-Hawking vacuum in the BTZ spacetime, and find that the Lamb shift in the BTZ spacetime is structurally similar to that of a uniformly accelerated atom near a perfectly reflecting boundary in (2+1)-dimensional flat spacetime. Our results show that the Lamb shift is suppressed in the BTZ spacetime as compared to that in the flat spacetime as long as the transition wavelength of the atom is much larger than $AdS$ radius of the BTZ spacetime while it can be either suppressed or enhanced if the transition wavelength of the atom is much less than $AdS$ radius. In contrast, the Lamb shift is always suppressed very close to the horizon of the BTZ spacetime and remarkably it reduces to that in the flat spacetime as the horizon is approached although the local temperature blows up there.Comment: 21 pages,2 figure

The Chinese Warrants Bubble

In 2005-08, over a dozen put warrants traded in China went so deep out of the money that they were certain to expire worthless. Nonetheless, each warrant was traded nearly three times each day at substantially inflated prices. This bubble is unique, because the underlying stock prices make the zero warrant fundamentals publicly observable. We find evidence supporting the resale option theory of bubbles: investors overpay for a warrant hoping to resell it at an even higher price to a greater fool. Our study confirms key findings of the experimental bubble literature and provides useful implications for market development.

Harvesting Entanglement by non-identical detectors with different energy gaps

It has been shown that the vacuum state of a free quantum field is entangled and such vacuum entanglement can be harvested by a pair of initially uncorrelated detectors interacting locally with the vacuum field for a finite time. In this paper, we examine the entanglement harvesting phenomenon of two non-identical inertial detectors with different energy gaps locally interacting with massless scalar fields via a Gaussian switching function. We focus on how entanglement harvesting depends on the energy gap difference from two perspectives: the amount of entanglement harvested and the harvesting-achievable separation between the two detectors. In the sense of the amount of entanglement, we find that as long as the inter-detector separation is not too small with respect to the interaction duration parameter, two non-identical detectors could extract more entanglement from the vacuum state than the identical detectors. There exists an optimal value of the energy gap difference when the inter-detector separation is sufficiently large that renders the harvested entanglement to peak. Regarding the harvesting-achievable separation, we further find that the presence of an energy gap difference generally enlarges the harvesting-achievable separation range. Our results suggest that the non-identical detectors may be advantageous to extracting entanglement from vacuum in certain circumstances as compared to identical detectors.Comment: 16 pages,5 figure