Enhancing trading strategies with order book signals

We use high-frequency data from the Nasdaq exchange to build a measure of volume imbalance in the limit order (LO) book. We show that our measure is a good predictor of the sign of the next market order (MO), i.e., buy or sell, and also helps to predict price changes immediately after the arrival of an MO. Based on these empirical findings, we introduce and calibrate a Markov chain-modulated pure jump model of price, spread, LO and MO arrivals and volume imbalance. As an application of the model, we pose and solve a stochastic control problem for an agent who maximizes terminal wealth, subject to inventory penalties, by executing trades using LOs. We use in-sample-data (January to June 2014) to calibrate the model to 11 equities traded in the Nasdaq exchange and use out-of-sample data (July to December 2014) to test the performance of the strategy. We show that introducing our volume imbalance measure into the optimization problem considerably boosts the profits of the strategy. Profits increase because employing our imbalance measure reduces adverse selection costs and positions LOs in the book to take advantage of favourable price movements.     

Simultaneous Enantiomeric Separation of Carfentrazone-Ethyl Herbicide and Its Hydrolysis Metabolite Carfentrazone by Cyclodextrin Electrokinetic Chromatography. Analysis of Agrochemical Products and a Degradation Study

The different activity and toxicity that the enantiomers of agrochemicals may have requires the development of stereoselective analytical methodologies enabling the individual determination of each enantiomer. The aim of this work was to develop the first Electrokinetic Chromatography methodology enabling the simultaneous enantiomeric separation of carfentrazone-ethyl herbicide and its hydrolysis metabolite carfentrazone. The use of an anionic cyclodextrin as chiral selector (captisol at 2.5% (w/v)) in a 25 mM acetate buffer, at a temperature of 30 °C, and an applied voltage (reverse polarity) of −30 kV, allowed the simultaneous separation of the four enantiomers of the two compounds studied in 6.8 min with enantiomeric resolutions of 5.0 for carfentrazone-ethyl and 5.1 for carfentrazone. Analytical characteristics of the developed method were evaluated and found adequate to achieve the quantitation of carfentrazone-ethyl and carfentrazone. Analysis of a commercial herbicide formulation showed the potential of the method for the quality control of these agrochemical products. Degradation studies for carfentrazone-ethyl revealed that no significant degradation took place in cleaned sand samples while a significant but not stereoselective degradation took place in soils for the whole period of time considered (seven days).     

Synthesis and Molecular Structure of β‐Phosphinoyl Carboxamides: An Unexpected Case of Chiral Discrimination of Hydrogen‐Bonded Dimers in the Solid State

A series of N,P,P‐trisubstituted aminophosphanes react with diphenylcyclopropenone to afford an easily separable mixture of two diastereomeric α,β‐diphenyl‐β‐phosphinoyl carboxamides in good yields. X‐ray crystal structures reveal that these compounds associate into dimers, formed from two enantiomeric units linked by two bifurcated hydrogen bonds, whereby the oxygen atom of the phosphoryl group acts as a dual acceptor for the vicinal NH and CH of a carbonyl group of a neighbouring molecule. Studies on the interconversion between diastereomeric phosphinoyl carboxamides in basic solution show that the thermodynamically most stable isomer depends on the nature of the substituent at the nitrogen atom. Simple computational calculations explain this phenomenon.     

Statistical evaluation of CZE-UV and CZE-ESI-MS data of intact α-1-acid glycoprotein isoforms for their use as potential biomarkers in bladder cancer

α-1-acid glycoprotein (AGP) is a highly heterogeneous protein that presents a vast number of isoforms (molecules of the protein differing in its peptidic and/or glycosidic moieties). In the last years, several authors have studied the potential use of AGP as a cancer biomarker. These studies focus on the correlation of different features of AGP structure (i.e. fucosylation, antennarity) with cancer or on the total protein blood concentration. In this study, the potential of CZE-UV and CZE-ESI-MS analysis of intact AGP isoforms to study the correlation of this protein with bladder cancer is shown. Samples from 16 individuals (eight healthy, eight bladder cancer) were analyzed and characterized in great detail including data on intact protein isoforms and on released glycans. The analytical data were evaluated employing different statistical techniques (ANOVA; principal component analysis, PCA; linear discriminant analysis; and partial least squares-discriminant analysis). Statistical differences between the two groups of study were observed. The best results were obtained by linear discriminant analysis of the CZE-ESI-MS data for intact AGP isoforms (93.75% of correct classification). Due to MS characterization, it can be observed that differences between the samples are mainly due to higher abundance of AGP isoforms containing tri- and tetra-antennary fucosylated oligosaccharides in cancer patients. The results show the great potential of CE-MS in combination with advanced data processing for the use of intact protein isoforms as disease biomarkers.     

On the Maximum Number of Translates in a Point Set

Given a finite set P⊆ℝ ^d , called a pattern, t _P (n) denotes the maximum number of translated copies of P determined by n points in ℝ ^d . We give the exact value of t _P (n) when P is a rational simplex, that is, the points of P are rationally affinely independent. In this case, we prove that t _P (n)=n−m _r (n), where r is the rational affine dimension of P, and m _r (n) is the r -Kruskal–Macaulay function. We note that almost all patterns in ℝ ^d are rational simplices. The function t _P (n) is also determined exactly when | P |≤3 or when P has rational affine dimension one and n is large enough. We establish the equivalence of finding t _P (n) and the maximum number s _R (n) of scaled copies of a suitable pattern R⊆ℝ⁺ determined by n positive reals. As a consequence, we show that s_Ak(n)=n-\varTheta (n^1-1/p(k))s_{A_{k}}(n)=n-\varTheta (n^{1-1/\pi(k)}) , where A _k ={1,2,…,k} is an arithmetic progression of size k, and π(k) is the number of primes less than or equal to k.     

Topological loops with three-dimensional solvable left translation group

We classify all connected topological loops having a three-dimensional solvable Lie group G as the group topologically generated by their left translations. It is surprising that to the non-nilpotent Lie group G having precisely one one-dimensional normal subgroup there are topological but no differentiable strongly left alternative loops.     

Systems of Hamilton-Jacobi equations

In this article we develop a generalization of the Hamilton-Jacobi theory, by considering in the cotangent bundle an involutive system of dynamical equations.     

A mainly NMR-based structure elucidation of a surprising vindoline trimer with the aid of non-uniform sampled 1H-13C HSQC and HMBC spectra

Structural Chemistry - Two unexpected and unusual vindoline trimers, a ketone and a methyl ether cation, were isolated from a reaction aimed at producing new, synthetically modified vinca...     

New butyrolactone and other metabolites from the bark of Endlicheria arenosa against of the phytopathogen Colletotrichum tamarilloi

In this work, screening of Lauraceae species for their antifungal activity against Collectotrichum tamarilloi was carried out and the ethanol extract derived from the bark of Endlicheria arenosa was found to be the best candidate. From the ethanolic extract of the bark of E. arenosa, the hexane and chloroform fractions were found to be active, from these five fatty acids were identified and two lactones were isolated. The most active fatty acid was the dodecanoic acid with a minimal inhibitory concentration (MIC) of 78.0 μM. The butyrolactone 3R,4R-licunolide A, it has not previously reported, and licunolide B show both the lowest MIC (55.3 μM). This is the first report of compounds of natural origin as growth inhibitors of C. tamarilloi.