Statistical identification with hidden Markov models of large order splitting strategies in an equity market

Large trades in a financial market are usually split into smaller parts and traded incrementally over extended periods of time. We address these large trades as hidden orders. In order to identify and characterize hidden orders we fit hidden Markov models to the time series of the sign of the tick by tick inventory variation of market members of the Spanish Stock Exchange. Our methodology probabilistically detects trading sequences, which are characterized by a net majority of buy or sell transactions. We interpret these patches of sequential buying or selling transactions as proxies of the traded hidden orders. We find that the time, volume and number of transactions size distributions of these patches are fat tailed. Long patches are characterized by a high fraction of market orders and a low participation rate, while short patches have a large fraction of limit orders and a high participation rate. We observe the existence of a buy-sell asymmetry in the number, average length, average fraction of market orders and average participation rate of the detected patches. The detected asymmetry is clearly depending on the local market trend. We also compare the hidden Markov models patches with those obtained with the segmentation method used in Vaglica {\it et al.} (2008) and we conclude that the former ones can be interpreted as a partition of the latter ones.Comment: 26 pages, 12 figure

Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange

We empirically study the trading activity in the electronic on-book segment and in the dealership off-book segment of the London Stock Exchange, investigating separately the trading of active market members and of other market participants which are non-members. We find that (i) the volume distribution of off-book transactions has a significantly fatter tail than the one of on-book transactions, (ii) groups of members and non-members can be classified in categories according to their trading profile (iii) there is a strong anticorrelation between the daily inventory variation of a market member due to the on-book market transactions and inventory variation due to the off-book market transactions with non-members, and (iv) the autocorrelation of the sign of the orders of non-members in the off-book market is slowly decaying. We also analyze the on-book price impact function over time, both for positive and negative lags, of the electronic trades and of the off-book trades. The unconditional impact curves are very different for the electronic trades and the off-book trades. Moreover there is a small dependence of impact on the volume for the on-book electronic trades, while the shape and magnitude of impact function of off-book transactions strongly depend on volume.Comment: 16 pages, 9 figure

La struttura finanziaria delle PMI: paradigmi e realtà

Il contributo si propone in primo luogo di offrire un’analisi critica della letteratura sul tema della scelta relativa alla struttura finanziaria delle imprese, con particolare riguardo alla realtà delle PMI. In secondo luogo, si propone una sistemazione ed una lettura integrata della letteratura empirica sull’argomento. Il presente contributo rappresenta la prima parte del Rapporto CREDIF dell’Osservatorio sui Servizi Finanziari Evoluti per le PMI

Open CASCADE and rapid prototyping in human carotid lumen reconstruction

Image processing algorithms, CAD-CAM tools and rapid prototyping (RP) techniques are able to produce complex lumen artery replicas. This work presents a system for manufacturing the lumen of human carotid from computed tomography acquisition. The pipe-line of manufacturing process of a human carotid lumen replication is presented. Each stage of the pipe-line is briefly discussed. Technical details of the 3D surface reconstruction phase, based on the Open Cascade geometric modelling software, and the RP manufaturing process based on Fused Deposition Modelling are presented

Scaling laws of strategic behaviour and size heterogeneity in agent dynamics

The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some systems the size of agents can be highly heterogeneous leading to very different impacts of agents on the system dynamics. The large size of some agents poses challenging problems to agents who want to control their impact, either by forcing the system in a given direction or by hiding their intentionality. Here we consider the financial market as a model system, and we study empirically how agents strategically adjust the properties of large orders in order to meet their preference and minimize their impact. We quantify this strategic behavior by detecting scaling relations of allometric nature between the variables characterizing the trading activity of different institutions. We observe power law distributions in the investment time horizon, in the number of transactions needed to execute a large order and in the traded value exchanged by large institutions and we show that heterogeneity of agents is a key ingredient for the emergence of some aggregate properties characterizing this complex system.Comment: 6 pages, 3 figure

Anatomical shape reconstruction and manufacturing: solving topological changes of lumen vessel trough geometric approach

Over the last years there has been an increasing growth of interest in Rapid Prototyping (RP) techniques applied to various fields of medicine. RP makes it possible, in vascular surgery, to produce accurate anatomic replicas of patient vessels. These replicas can help the customization of surgical invasive interventions such as in situ stent-graft insertion in carotid region. The main goal of this work is to obtain high quality in lumen reconstruction and manufacturing replicas by RP technique. This goal is achieved through the complete control of each phase of the generating process. We present a semi-automatic method for carotid lumen reconstruction based on Boundary Representation (BRep). All parameters influencing the quality of the shape reconstruction are presented and discussed: shape acquisition, shape reconstruction and shape manufacturing. The shape acquisition starts by extracting the points belonging to the boundary of the lumen vessel, from Computer Tomography (CT) images. These points, parameterised in a vector, are the input data of the shape reconstruction algorithm based on B-Spline interpolation. The B-Spline type for representing curves and surfaces were chosen because of their properties of continuity and local control. In the shape reconstruction stage we had to face problems due to the topological change on the vessel structure. For vessel regions where there are not changes of topology, we use the closed B-Spline curves (belonging to adjacent acquisition planes) as generating curves to build a B-Spline surface. For vessel regions with at least a change of topology (ex. bifurcation region) our algorithm split automatically the involved curves to obtain three rectangular B-Spline patches. Such patches are joined together to obtain the bifurcation vessel lumen. The set of lumen surfaces is then inserted in a Boundary Representation in order to get a valid solid. To analyse the quality of the reconstructed shapes, the final object is compared with the acquisition image. This solid is correctly tessellated in triangles to produce the data format used by the RP devices (STL)

Global transcriptome analysis of the heat shock response of Bifidobacterium longum

Bifidobacteria are natural inhabitants of the human gastrointestinal tract and have been widely used as functional foods in different products. During industrial processing, bacterial cells undergo several stresses that can limit large-scale production and stability of the final product. To better understand the stress-response mechanisms of bifidobacteria, microarrays were used to obtain a global transcriptome profile of Bifidobacterium longum NCC2705 exposed to a heat shock treatment at 50°C for 3, 7 and 12 min. Gene expression data highlighted a profound modification of gene expression, with 46% of the genes being altered. This analysis revealed a slow-down of Bi. longum general metabolic activity during stress with a simultaneous activation of the classical heat shock stimulon. Moreover, the expression of several genes with unknown function was highly induced under stress conditions. Three of these were conserved in other bacteria species where they were also previously shown to be induced by high temperature, suggesting their widespread role in the heat stress response. Finally, the implication of the trans-translation machinery in the response of Bi. longum cells to heat shock was suggested by the induction of the gene encoding the tmRNA-associated small protein B (SmpB) with concomitant high constitutive expression of the tmRNA gen

The primary structure of the flavoprotein D-aspartate oxidase from beef kidney.

The complete primary structure of the peroxisomal flavoenzyme D-aspartate oxidase from beef kidney has been determined by analyses of the peptides obtained through fragmentation of the carboxymethylated protein with trypsin, CNBr, heptafluorobutyric acid/CNBr and Staphylococcus aureus V8 protease. The protein consists of a single polypeptide of 338 residues, accounting for a M(r) of 37,305 for the apoprotein. A form of the enzyme lacking Lys-338 and therefore ending with Pro-337 has been detected. The N-terminal residue is blocked. Seven cysteines and no disulfide bridges are present. Residue 228 can be either Ile or Val. Thus, D-aspartate oxidase presents two types of heterogeneity in the polypeptide chain in addition to the one already described concerning the possible content of FAD or 6-hydroxyflavin adenine dinucleotide. Comparison of the primary structure of D-aspartate oxidase with other known sequences reveals that D-aspartate oxidase is homologous with D-amino acid oxidase (another flavo-oxidase) and does not present significant sequence similarities with any other protein, including flavoenzymes