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.     

Preoperative localization of the sensorimotor area using independent component analysis of resting-state fMRI

Analysis of resting-state functional magnetic resonance imaging (fMRI) data is based on detecting low-frequency signal fluctuations in functionally connected brain areas. These synchronous fluctuations in resting-state networks have been observed in several studies with healthy subjects. In this study, we explored if independent component analysis (ICA) can be used to localize the sensorimotor area from resting-state fMRI data in patients with brain tumors. Finger-tapping activation task and resting-state blood-oxygenation-level-dependent fMRI data were acquired from 8 patients with brain tumors and 10 healthy volunteers. Sensorimotor task independent components (IC_task) were used to verify resting-state independent components (IC_rest) individually. In addition, sensorimotor IC_rests were compared between the groups and no significant differences were detected in volume, spatial correlation or temporal correlation. These results show that it is possible to localize a sensorimotor area from resting-state data using ICA in patients with brain tumors. This offers a complementary method for assessing the sensorimotor area in subjects with brain tumors who have difficulties in performing motor paradigms.     

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.     

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.     

Acidic herbicides in surface waters of Lower Fraser Valley, British Columbia, Canada

In the period 2003-2005 a study was conducted to determine the occurrence, spatial and temporal distribution of five acidic herbicides in the Lower Fraser Valley (LFV) region of British Columbia, Canada. A high-resolution gas chromatography/high-resolution mass spectrometry (HRGC/HRMS) method capable of detecting analytes at the sub ng/L level was developed for this study. Samples were collected and analyzed from two references, five agricultural, two urban and five agricultural and urban mixed sites. Only (4-chloro-2-methylphenoxy)acetic acid and triclopyr were detected at the reference sites. The highest concentration of herbicide detected at the reference sites was 0.109ng/L for (4-chloro-2-methylphenoxy)acetic acid. Varying levels of all of the herbicides monitored were detected at the urban, agricultural and the mixed sites. For the urban sites the highest concentration of herbicide detected was 66.6ng/L for 2-(4-chloro-2-methylphenoxy)propanoic acid. For the agricultural sites the highest concentration of herbicide detected was 345ng/L for (2,4-dichlorophenoxy)acetic acid (2,4-D). For the mixed sites the highest concentration of herbicide detected was 1230ng/L for 2,4-D. Overall the mixed sites showed highest concentrations and detection frequencies followed by the agricultural and urban sites. With few exceptions higher concentrations of herbicides were observed for samples collected during spring than for samples collected during fall. The detected concentrations of herbicides were evaluated against established water quality criteria. Herbicide data presented in this study provide reference levels for future pesticide monitoring programs in the region.     

Geometric ergodicity of Harris recurrent Marcov chains with applications to renewal theory

Let (X_n) be a positive recurrent Harris chain on a general state space, with invariant probability measure π. We give necessary and sufficient conditions for the geometric convergence of λPⁿf towards its limit π(f), and show that when such convergence happens it is, in fact, uniform over f and in L¹(π)-norm. As a corollary we obtain that, when (Xn) is geometrically ergodic, ∝ π(dx)6Pⁿ(x,·)-π6 converges to zero geometrically fast. We also characterize the geometric ergodicity of (X_n) in terms of hitting time distributions. We show that here the so-called small sets act like individual points of a countable state space chain. We give a test function criterion for geometric ergodicity and apply it to random walks on the positive half line. We apply these results to non-singular renewal processes on [0,∞) providing a probabilistic approach to the exponencial convergence of renewal measures.     

Hall effect and pinning regimes in thin films doped with nanoparticles

Hall effect and flux pinning in YBa₂Cu₃O_6+x (YBCO) thin films doped with BaZrO₃ (BZO) nanoparticles is investigated. The results show that sign reversal of the Hall coefficient from positive hole-like to negative electron-like occurs in vortex-liquid regime of undoped and BZO-doped YBCO films. With increasing BZO concentration the amplitude of the negative Hall effect is suppressed while the temperature position of the anomalous Hall effect does not depend significantly on doping level. In addition, it is shown that Hall conductivity increases non-monotonically with increasing BZO doping. These results support a model where BZO at low doping concentration induces point pinning centres turning to strong columnar pinning defects in films doped with 4% BZO.     

Supersymmetric extension of technicolor & fermion mass generation

We provide a complete extension of Minimal Walking Technicolor able to account for the Standard Model fermion masses. The model is supersymmetric at energies greater or equal to the technicolor compositeness scale. We integrate out, at the supersymmetry breaking scale, the elementary Higgses. We use the resulting four-fermion operators to derive the low energy effective theory. We then determine the associated tree-level vacuum and low energy spectrum properties. Furthermore we investigate the phenomenological viability of the model by comparing its predictions with electroweak precision tests and experimental bounds on the mass spectrum. We then turn to the composite Higgs phenomenology at the LHC and show that current data are already constraining the parameter space of the model.