Geroch Group Description of Black Holes

On one hand the Geroch group allows one to associate spacetime independent matrices with gravitational configurations that effectively only depend on two coordinates. This class includes stationary axisymmetric four- and five-dimensional black holes. On the other hand, a recently developed inverse scattering method allows one to factorize these matrices to explicitly construct the corresponding spacetime configurations. In this work we demonstrate the construction as well as the factorization of Geroch group matrices for a wide class of black hole examples. In particular, we obtain the Geroch group SL(3,R) matrices for the five-dimensional Myers-Perry and Kaluza-Klein black holes and the Geroch group SU(2,1) matrix for the four-dimensional Kerr-Newman black hole. We also present certain non-trivial relations between the Geroch group matrices and charge matrices for these black holes.Comment: 29 pages, no figures; v2: references added; v3: minor changes, matches published versio

Holographic description of non-supersymmetric orbifolded D1-D5-P solutions

Non-supersymmetric black hole microstates are of great interest in the context of the black hole information paradox. We identify the holographic description of the general class of non-supersymmetric orbifolded D1-D5-P supergravity solutions found by Jejjala, Madden, Ross and Titchener. This class includes both completely smooth solutions and solutions with conical defects, and in the near-decoupling limit these solutions describe degrees of freedom in the cap region. The CFT description involves a general class of states obtained by fractional spectral flow in both left-moving and right-moving sectors, generalizing previous work which studied special cases in this class. We compute the massless scalar emission spectrum and emission rates in both gravity and CFT and find perfect agreement, thereby providing strong evidence for our proposed identification. We also investigate the physics of ergoregion emission as pair creation for these orbifolded solutions. Our results represent the largest class of non-supersymmetric black hole microstate geometries with identified CFT duals presently known.Comment: 35 pages, v2: comments added, typos corrected, reference adde

Out of Time Ordered Quantum Dissipation

We consider a quantum Brownian particle interacting with two harmonic baths, which is then perturbed by a cubic coupling linking the particle and the baths. This cubic coupling induces non-linear dissipation and noise terms in the influence functional/master equation of the particle. Its effect on the Out-of-Time-Ordered Correlators (OTOCs) of the particle cannot be captured by the conventional Feynman-Vernon formalism.We derive the generalised influence functional which correctly encodes the physics of OTO fluctuations, response, dissipation and decoherence. We examine an example where Markovian approximation is valid for the OTO dynamics. If the original cubic coupling has a definite time-reversal parity, the leading order OTO influence functional is completely determined by the couplings in the usual master equation via OTO generalisation of Onsager-Casimir relations. New OTO fluctuation-dissipation relations connect the non-Gaussianity of the thermal noise to the thermal jitter in the damping constant of the Brownian particle.Comment: 46 pages+appendices, typos corrected, minor changes, references update

A Competing Risk Analysis of Executions and Cancellations in a Limit Order Market

The competing risks technique is applied to the analysis of times to execution and cancellation of limit orders submitted on an electronic trading platform. Time-to-execution is found to be more sensitive to the limit price variation than time-to-cancellation, even though it is less sensitive to the limit order size. More importantly, investors who aim to reduce the expected time-to-execution for their limit orders without inducing any significant increase in the risk of subsequent cancellation should submit their orders when the market depth is smaller on the side of their orders or when the market depth is greater on the opposite side of their orders. We also provide a new diagnostic plots method for evaluating the goodness-of-fit of different competing risks models.Market microstructure, limit order, competing risks, hazard rate, frailty

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Asquith, Oman, and Safaya (2010) conclude that short sales are often misclassified by the Lee-Ready algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit that short sales should be overwhelmingly seller-initiated. Using order data to identify true trade initiator, we document that short sales are, in fact, predominantly buyer-initiated and that the Lee-Ready algorithm correctly classifies most of them. Misclassification rates for short and long sales are near zero at the daily level. At the trade level, misclassification rates are 31% using contemporaneous quotes and trades and decline to 21% when quotes are lagged one second

The Performance of Short-term Institutional Trades

Using a database of daily institutional trades, we document that a majority of short-term institutional trades lose money. In aggregate, over 23% of round-trip trades are held for less than three months, and the returns on these trades average -3.91% (non-annualized). These losses are pervasive across all types of stocks, with the lowest returns occurring in small stocks, value stocks, and low-momentum stocks. Short-term trades lose more in more volatile markets. Across funds, the worst short-term returns accrue to funds that do the most trading, and there is no evidence of persistent skill or disposition effect in short-term institutional trades

Trading System Upgrades and Short-Sale Bans: Uncoupling the Effects of Technology and Regulation

We examine the market quality effects of technology upgrades juxtaposed with short-sale bans. Between 2011 and 2013, the Spanish Stock Exchange introduced a smart trading platform (SIBE-Smart) and colocation to facilitate high-speed trading, and they also imposed two short-sale bans. We find that the SIBE-Smart introduction, which occurs between the two short-sale bans, leads to reduced market quality. The introduction of colocation, which occurs during the second short-sale ban, improves market liquidity although it does not attract additional high-speed trading. Our results highlight how the effects of latency-reducing infrastructure improvements depend on, and differ across, different regulatory regimes

The large D black hole dynamics in AdS/dS backgrounds

We have constructed a class of perturbative dynamical black hole solutions in presence of cosmological constant. We have done our calculation in large number of dimensions. The inverse power of dimension has been used as the perturbation parameter and our calculation is valid upto the first subleading order. The solutions are in one to one correspondence with a dynamical membrane and a velocity field embedded in the asymptotic geometry. Our method is manifestly covariant with respect to the asymptotic geometry. One single calculation and the same universal result works for both dS and AdS geometry or in case of AdS for both global AdS and Poincare patch. We have checked our final answer with various known exact solutions and the known spectrum of Quasi Normal modes in AdS/dS.Comment: 74 pages. v2: Minor changes, typos correcte

Attention Effects in a High-Frequency World

How does limited attention affect stock prices in today’s computer-driven financial markets? We study this issue by re-examining the effects of limited attention using a dataset that separately identifies trades made by high-frequency traders (HFTs, or computers) versus those made by non-high-frequency traders (human decision-makers). We employ a set of six attention proxies to identify earnings announcements with low investor attention: announcements made on Fridays and on days with multiple earnings announcements, and announcements with slow analyst forecast adjustments, high news distraction, low EDGAR download volume, and low Google search volume. Across multiple attention proxies, we find that HFT trading improves the responsiveness of prices by increasing the short-horizon price response and reducing the long-term price drift following earnings surprises, diminishing the inefficiencies previously observed around low-attention announcements by 69% to 100%. We find that the price efficiency improvements are more closely tied to HFT liquidity demand than supply, suggesting that HFTs improve efficiency by processing and trading on the information in low-attention announcements