Order flow dynamics around extreme price changes on an emerging stock market

We study the dynamics of order flows around large intraday price changes using ultra-high-frequency data from the Shenzhen Stock Exchange. We find a significant reversal of price for both intraday price decreases and increases with a permanent price impact. The volatility, the volume of different types of orders, the bid-ask spread, and the volume imbalance increase before the extreme events and decay slowly as a power law, which forms a well-established peak. The volume of buy market orders increases faster and the corresponding peak appears earlier than for sell market orders around positive events, while the volume peak of sell market orders leads buy market orders in the magnitude and time around negative events. When orders are divided into four groups according to their aggressiveness, we find that the behaviors of order volume and order number are similar, except for buy limit orders and canceled orders that the peak of order number postpones two minutes later after the peak of order volume, implying that investors placing large orders are more informed and play a central role in large price fluctuations. We also study the relative rates of different types of orders and find differences in the dynamics of relative rates between buy orders and sell orders and between individual investors and institutional investors. There is evidence showing that institutions behave very differently from individuals and that they have more aggressive strategies. Combing these findings, we conclude that institutional investors are more informed and play a more influential role in driving large price fluctuations.Comment: 22 page

Preferred numbers and the distribution of trade sizes and trading volumes in the Chinese stock market

The distribution of trade sizes and trading volumes are investigated based on the limit order book data of 22 liquid Chinese stocks listed on the Shenzhen Stock Exchange in the whole year 2003. We observe that the size distribution of trades for individual stocks exhibits jumps, which is caused by the number preference of traders when placing orders. We analyze the applicability of the "$q$-Gamma" function for fitting the distribution by the Cram\'{e}r-von Mises criterion. The empirical PDFs of trading volumes at different timescales $\Delta{t}$ ranging from 1 min to 240 min can be well modeled. The applicability of the $q$-Gamma functions for multiple trades is restricted to the transaction numbers $\Delta{n}\leqslant8$. We find that all the PDFs have power-law tails for large volumes. Using careful estimation of the average tail exponents $\alpha$ of the distribution of trade sizes and trading volumes, we get $\alpha>2$, well outside the L{\'e}vy regime.Comment: 7 pages, 5 figures and 4 table

Triangle singularity in the J/ψ→K+K−f0(980)(a0(980))J/\psi \rightarrow K^+ K^- f_0(980)(a_0(980)) decays

We study the $J/\psi \rightarrow K^+ K^- f_0(980)(a_0(980))$ reaction and find that the mechanism to produce this decay develops a triangle singularity around $M_{\rm inv}(K^- f_0/K^- a_0) \approx 1515$~MeV. The differential width $d\Gamma / dM_{\rm inv}(K^- f_0/K^- a_0)$ shows a rapid growth around the invariant mass being 1515~MeV as a consequence of the triangle singularity of this mechanism, which is directly tied to the nature of the $f_0(980)$ and $a_0(980)$ as dynamically generated resonances from the interaction of pseudoscalar mesons. The branching ratios obtained for the $J/\psi \rightarrow K^+ K^- f_0(980)(a_0(980))$ decays are of the order of $10^{-5}$, accessible in present facilities, and we argue that their observation should provide relevant information concerning the nature of the low-lying scalar mesons.Comment: 12 pages, 8 figures, published in EPJ

The Error Control Methods of Information System in Sensor Networks

Information System Error Discovery took a lot of interests of information system experts. Indeed, this concept has been interpreted in more than one way. This paper describes the connections between 1) the Field-to-Scope Proportion and the Identifying and Managing way of Error Discovery and 2) the (Transmission, Influence and Implementing) TII model and Error Scope. The main goal of the work described here, is to seek deeper understanding of Error Discovery in general and, at last, to find easier ways of confirming it. Second, in this paper we try to model the TII evaluating using Work Expressing System which is Relational Graph. We also use this process model to present the relationship between Error Discovery, TII, (Field-To-Scope Proportion) FSP and Error Scope. After explaining the relationship between Semantic Error and Error Discovery, we improve the Relational Graph model by adding standard. We then offer instructions of the Relational Graph

The hidden-charm pentaquark and tetraquark states

In the past decade many charmonium-like states were observed experimentally. Especially those charged charmonium-like $Z_c$ states and bottomonium-like $Z_b$ states can not be accommodated within the naive quark model. These charged $Z_c$ states are good candidates of either the hidden-charm tetraquark states or molecules composed of a pair of charmed mesons. Recently, the LHCb Collaboration discovered two hidden-charm pentaquark states, which are also beyond the quark model. In this work, we review the current experimental progress and investigate various theoretical interpretations of these candidates of the multiquark states. We list the puzzles and theoretical challenges of these models when confronted with the experimental data. We also discuss possible future measurements which may distinguish the theoretical schemes on the underlying structures of the hidden-charm multiquark states.Comment: Review accepted by Physics Reports, 152 pages, 66 figures, and 29 table

The Possible J^{PC}=0^{--} Exotic State

In order to explore the possible existence of the exotic $0^{--}$ state, we have constructed the tetraquark interpolating operators systematically. As a byproduct, we notice the $0^{+-}$ tetraquark operators without derivatives do not exist. The special Lorentz structure of the $0^{--}$ currents forbids the four-quark correction to the spectral density. Now the gluon condensate is the dominant power correction. Within the framework of the finite energy sum rule, none of the seven interpolating currents supports a resonant signal. Therefore we conclude that the exotic $0^{--}$ state does not exist below 2 GeV, which is consistent with the current experimental observations.Comment: 12 pages, 27 figure