Quantifying high-frequency market reactions to real-time news sentiment announcements

We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply are quantified by a high-frequency VAR model using 20 second intervals. Analyzing a cross-section of stocks traded at the London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However, this is only true if news items are classified as highly relevant. Liquidity supply reacts less distinctly due to a stronger influence of idiosyncratic noise. Furthermore, evidence for abnormal highfrequency returns after news in sentiments is shown. JEL-Classification: G14, C3

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of bid-ask spreads like the strong autocorrelation and discreteness of observations. We discuss theoretical properties of LMACP models and evaluate rolling window forecasts of quoted bid-ask spreads for stocks traded at NYSE and NASDAQ. We show that Poisson time series models significantly outperform forecasts from ARMA, ARFIMA, ACD and FIACD models. The economic significance of our results is supported by the evaluation of a trade schedule. Scheduling trades according to spread forecasts we realize cost savings of up to 13 % of spread transaction costs.Bid-ask spreads, forecasting, high-frequency data, stock market liquidity, count data time series, long memory Poisson autoregression

Reversible vs Standard Hydrogen Electrode Scale in Interfacial Electrochemistry from a Theoretician’s Atomistic Point of View

It is a general notion in interfacial electrochemistry that the stability of adsorbate phases that only contain hydrogen atoms should be independent of the pH value of the electrolyte on the scale of the reversible hydrogen electrode, whereas the stability of adsorbate phases that do not contain any hydrogen should be independent of the pH value on the scale of the standard hydrogen electrode. In this Perspective, it will be argued on the basis of a grand-canonical approach that such a Nernstian behavior can only be reproduced if the free energy of the adsorbate phase is independent of the electrochemical control parameters. In general, this should not be true, so that the Nernstian behavior should be the exception rather than the rule. Still, structural and chemical factors will be discussed that might lead to a Nernstian behavior. This requires an analysis of the electrochemical electrolyte/electrode interface on the atomistic level. At the same time, this analysis also provides a guideline for the validity of grand-canonical simulations using the concept of the computational hydrogen electrode in which the dependence of the energy of adsorbate phases on pH and electrode potential is neglected

Descriptor and Scaling Relations for Ion Mobility in Crystalline Solids

[Image: see text] Ion mobility is a critical performance parameter not only in electrochemical energy storage and conversion but also in other electrochemical devices. On the basis of first-principles electronic structure calculations, we have derived a descriptor for the ion mobility in battery electrodes and solid electrolytes. This descriptor is entirely composed of observables that are easily accessible: ionic radii, oxidation states, and the Pauling electronegativities of the involved species. Within a particular class of materials, the migration barriers are connected to this descriptor through linear scaling relations upon the variation of either the cation chemistry of the charge carriers or the anion chemistry of the host lattice. The validity of these scaling relations indicates that a purely ionic view falls short of capturing all factors influencing ion mobility in solids. The identification of these scaling relations has the potential to significantly accelerate the discovery of materials with desired mobility properties

Strain Dependence of Metal Anode Surface Properties

Dendrite growth poses a significant problem in the design of modern batteries as it can lead to capacity loss and short‐circuiting. Recently, it has been proposed that self‐diffusion barriers might be used as a descriptor for the occurrence of dendrite growth in batteries. As surface strain effects can modify dendritic growth, we present first‐principles DFT calculations of the dependence of metal self‐diffusion barriers on applied surface strain for a number of metals that are used as charge carriers in batteries. Overall, we find a rather small strain dependence of the barriers. We mainly attribute this to cancellation effects in the strain dependence of the initial and the transition states in diffusion

Vacancy assisted diffusion on single‐atom surface alloys

Bimetallic surfaces can exhibit an improved catalytic activity through tailoring the concentration and/or the arrangement of the two metallic components. However, in order to be catalytically active, the active bimetallic surface structure has to be stable under operating conditions. Typically, structural changes in metals occur via vacancy diffusion. Based on the first‐principles determination of formation energies and diffusion barriers we have performed kinetic Monte‐Carlo (kMC) simulations to analyse the (meta‐)stability of PtRu/Ru(0001), AgPd/Pd(111), PtAu/Au(111) and InCu/Cu(100) surface alloys. In a first step, here we consider single‐atom alloys together with one vacancy per simulation cell. We will present results of the time evolution of these structures and analyse them in terms of the interaction between the constituents of the bimetallic surface

Toward the Formation of the Solid Electrolyte Interphase on Alkaline Metal Anodes: Ab Initio Simulations

The transition from lithium-based energy storage to post lithium systems plays a crucial part in achieving an environmentally sustainable energy infrastructure. Prime candidates for the replacement of lithium are sodium and potassium batteries. Despite being critical to battery performance, the solid electrolyte interphase (SEI) formation process for Na and K batteries remains insufficiently understood, especially compared to the well-established lithium systems. Using ab initio molecular dynamics (AIMD) simulations based on density functional theory (DFT) calculations, we study the first steps of SEI formation upon the decomposition of typical solvent molecules on lithium, sodium and potassium metal anodes. We find that two dominant products form during the early SEI formation of cyclical carbonates on alkali metal anodes, carbon monoxide and alkali-carbonate. The carbonate-producing reaction is thermodynamically favorable for all tested metals, however, Na and K exhibit a much stronger selectivity than Li towards carbonate formation. Furthermore, we propose a previously unknown reaction mechanism for the CO polymerization on metallic lithium

Fingerprints for spin-selection rules in the interaction dynamics of O2 at Al(111)

We performed mixed quantum-classical molecular dynamics simulations based on first-principles potential-energy surfaces to demonstrate that the scattering of a beam of singlet O2 molecules at Al(111) will enable an unambiguous assessment of the role of spin-selection rules for the adsorption dynamics. At thermal energies we predict a sticking probability that is substantially less than unity, with the repelled molecules exhibiting characteristic kinetic, vibrational and rotational signatures arising from the non-adiabatic spin transition.Comment: 4 pages including 3 figures; related publications can be found at http://www.fhi-berlin.mpg.de/th/th.htm