Determinants of immediate price impacts at the trade level in an emerging order-driven market

The common wisdom argues that, in general, large trades cause large price changes, while small trades cause small price changes. However, for extremely large price changes, the trade size and news play a minor role, while the liquidity (especially price gaps on the limit order book) is a more influencing factor. Hence, there might be other influencing factors of immediate price impacts of trades. In this paper, through mechanical analysis of price variations before and after a trade of arbitrary size, we identify that the trade size, the bid-ask spread, the price gaps and the outstanding volumes at the bid and ask sides of the limit order book have impacts on the changes of prices. We propose two regression models to investigate the influences of these microscopic factors on the price impact of buyer-initiated partially filled trades, seller-initiated partially filled trades, buyer-initiated filled trades, and seller-initiated filled trades. We find that they have quantitatively similar explanation powers and these factors can account for up to 44% of the price impacts. Large trade sizes, wide bid-ask spreads, high liquidity at the same side and low liquidity at the opposite side will cause a large price impact. We also find that the liquidity at the opposite side has a more influencing impact than the liquidity at the same side. Our results shed new lights on the determinants of immediate price impacts.Comment: 21 IOP tex pages including 5 figures and 5 tables. Accepted for publication in New Journal of Physic

Maternal stress during pregnancy and neurodevelopmental outcomes of children during the first 2 years of life

AIM: A growing body of literature documents associations between maternal stress in pregnancy and child development, but findings across studies are often inconsistent. The aim of this study was to estimate the association between exposure to different kinds of prenatal stress and child psychomotor development. METHODS: The study population consisted of 372 mother-child pairs from Polish Mother and Child Cohort. The analysis was restricted to the women who worked at least 1 month during pregnancy period. Maternal psychological stress during pregnancy was assessed based on: the Subjective Work Characteristics Questionnaire, Perceived Stress Scale and Social Readjustment Rating Scale. The level of satisfaction with family functioning and support was evaluated by APGAR Family Scale. Child psychomotor development was assessed at the 12th and 24th months of age by Bayley Scales of Infant and Toddler Development. RESULTS: Negative impact on child cognitive development at the age of two was observed for the Perceived Stress Scale (β = -0.8; P = 0.01) and the Social Readjustment Rating Scale (β = -0.4; P = 0.03) after adjusting for the variety of confounders. Occupational stress, as well as satisfaction with family functioning, was not significantly associated with child psychomotor development (P > 0.05). CONCLUSIONS: The study supports the findings that prenatal exposure to maternal stress is significantly associated with decreased child cognitive functions. In order to further understand and quantify the effects of prenatal stress on child neurodevelopment further studies are needed. This will be important for developing interventions that provide more assistance to pregnant women, including emotional support or help to manage psychological stress

The Heumann-Hotzel model for aging revisited

Since its proposition in 1995, the Heumann-Hotzel model has remained as an obscure model of biological aging. The main arguments used against it were its apparent inability to describe populations with many age intervals and its failure to prevent a population extinction when only deleterious mutations are present. We find that with a simple and minor change in the model these difficulties can be surmounted. Our numerical simulations show a plethora of interesting features: the catastrophic senescence, the Gompertz law and that postponing the reproduction increases the survival probability, as has already been experimentally confirmed for the Drosophila fly.Comment: 11 pages, 5 figures, to be published in Phys. Rev.

Magnetic order in the Ising model with parallel dynamics

It is discussed how the equilibrium properties of the Ising model are described by an Hamiltonian with an antiferromagnetic low temperature behavior if only an heat bath dynamics, with the characteristics of a Probabilistic Cellular Automaton, is assumed to determine the temporal evolution of the system.Comment: 9 pages, 3 figure

MRI for assessment of anal fistula

Magnetic resonance imaging (MRI) is the best imaging modality for preoperative assessment of patients with anal fistula. MRI helps to accurately demonstrate disease extension and predict prognosis. This in turn helps make therapy decisions and monitor therapy. The pertinent anatomy, fistula classification and MRI findings will be discussed

Excitatory amino acidergic pathways and receptors in the basal ganglia

The striatum receives the majority of excitatory amino acidergic input to the basal ganglia from neocortical and allocortical sources. The subthalamic nucleus and the substantia nigra also receive excitatory amino acidergic inputs from neocortex. The subthalamic nucleus, which has prominent projections to the pallidum and nigra, is the only known intrinsic excitatory amino acidergic component of the basal ganglia. Possible excitatory amino acidergic inputs reach the basal ganglia from the intralaminar thalamic nuclei and the pedunculo-pontine nucleus. The striatum is richly endowed with all subtypes of excitatory amino acid receptors and these appear to be inhomogeneously distributed within the striatal complex. The non-striatal nuclei contain lesser levels of excitatory amino acid receptors and the relative proportion of these receptors varies between nuclei. The presence of high densities of excitatory amino acid receptors is a phylogenetically conserved feature of the striatum and its non-mammalian homologues. In Huntington's disease, there is substantial depletion of α -amino-3-hydroxy-5-methylisoxazole-4-propionic acid, N-methyl-D-aspartate, and kainate receptors within the striatum. In Parkinson's disease substantia nigra, there is significant loss of N-methyl-D-aspartate and α -amino-3-hydroxy-5-methylisoxazole-4-propionic acid receptors.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/41734/1/726_2004_Article_BF00814003.pd