Tick size and stock returns

Tick size is an important aspect of the micro-structural level organization of financial markets. It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation mechanism, and appears to be related to the long-term memory of volatility clustering. In this paper we investigate the impact of tick size on stock returns. We start with a simple simulation to demonstrate how continuous returns become distorted after confining the price to a discrete grid governed by the tick size. We then move on to a novel experimental set-up that combines decimalization pilot programs and cross-listed stocks in New York and Toronto. This allows us to observe a set of stocks traded simultaneously under two different ticks while holding all security-specific characteristics fixed. We then study the normality of the return distributions and carry out fits to the chosen distribution models. Our empirical findings are somewhat mixed and in some cases appear to challenge the simulation results.     

Mass measurements and implications for the energy of the high-spin isomer in 94Ag

Nuclides in the vicinity of 94Ag have been studied with the Penning trap mass spectrometer JYFLTRAP at the Ion-Guide Isotope Separator On-Line. The masses of the two-proton-decay daughter 92Rh and the beta-decay daughter 94Pd of the high-spin isomer in 94Ag have been measured, and the masses of 93Pd and 94Ag have been deduced. When combined with the data from the one-proton- or two-proton-decay experiments, the results lead to contradictory mass excess values for the high-spin isomer in 94Ag, -46 370(170) or -44 970(100) keV, corresponding to excitation energies of 6960(400) or 8360(370) keV, respectively.     

Controlling the precision of estimated means in interactive simulation

The computing power of modern workstations has made it possible to simulate many queueing systems interactively. Recent development in simulation software has mainly concentrated on interactive facilities. Unfortunately the precision of estimates has widely been overlooked in interactive simulation. In this paper we propose a method for controlling the precision of estimated means during an interactive simulation run. Since in a typical situation of interactive simulation the user is simultaneously interested in several means, we consider both the simultaneous precision and individual precisions of the estimated means. The method is based on the existing methods for estimating standard errors and on the Bonferroni inequality. The Bonferroni inequality is used to obtain a lower bound for the simultaneous precision.     

Conversion electron spectroscopy of isobarically purified trapped radioactive ions

The feasibility of the JYFLTRAP for in-trap spectroscopy has been studied. Several internally converted transitions have been measured for isomers of fission products with good accuracy. High-resolution spectroscopic data free of source effects have been obtained proving that trapped radioactive ions can provide excellent conversion electron sources. The shortest-lived isomer studied in this work was ^117m Pd with a half-life of 19.1ms, for which a superior peak-to-total ratio and an excellent line shape at the 9.9keV conversion electron line have been observed. Detection efficiencies and related phenomena of the present setup are analyzed.     

Independent fission yields with JYFLTRAP

A novel method to determine independent yields in proton induced fission employing ion counting after a Penning trap has been developed. A satisfactory agreement with previous measurements was found for independent yields of Cs isotopes in 50 MeV proton induced fission.     

Emergence of communities in weighted networks

Topology and weights are closely related in weighted complex networks and this is reflected in their modular structure. We present a simple network model where the weights are generated dynamically and they shape the developing topology. By tuning a model parameter governing the importance of weights, the resulting networks undergo a gradual structural transition from a module-free topology to one with communities. The model also reproduces many features of large social networks, including the "weak links" property.     

Gold as intermolecular glue: a theoretical study of nanostrips based on quinoline-type monomers

A family of infinite nanostrips is computationally predicted. In it monomers of single, double or triple aromatic rings are linked to each other by strong C-Au-C, C-Au <-- N or N --> Au <-- N bonds. Depending on the geometry of the system and saturation of the bonds, these 1-D nanostrips are found to be insulators, narrow- or zero-gap semiconductors, or metals. The calculated dimerization and polymerization energies suggest clear exothermicity of formation. Varying the nitrogen content in the aromatic ring is found to little affect the geometry, and the 1-D band structure of the strips can be interpreted in a rigid-band picture. The orbital character of the states at the Fermi level has been analyzed. One of the new structures is found to be closely similar to graphene with respect to its band structure properties.     

Continuous learning methods in two-buyer pricing problem

This paper presents continuous learning methods in a monopoly pricing problem where the firm has uncertainty about the buyers’ preferences. The firm designs a menu of quality-price bundles and adjusts them using only local information about the buyers’ preferences. The learning methods define different paths, and we compare how much profit the firm makes on these paths, how long it takes to learn the optimal tariff, and how the buyers’ utilities change during the learning period. We also present a way to compute the optimal path in terms of discounted profit with dynamic programming and complete information. Numerical examples show that the optimal path may involve jumps where the buyer types switch from one bundle to another, and this is a property which is difficult to include in the learning methods. The learning methods have, however, the benefit that they can be generalized to pricing problems with many buyers types and qualities.