Analysis of Individual High-Frequency Traders’ Buy–Sell Order Strategy Based on Multivariate Hawkes Process

Traders who instantly react to changes in the financial market and place orders in milliseconds are called high-frequency traders (HFTs). HFTs have recently become more prevalent and attracting attention in the study of market microstructures. In this study, we used data to track the order history of individual HFTs in the USD/JPY forex market to reveal how individual HFTs interact with the order book and what strategies they use to place their limit orders. Specifically, we introduced an 8-dimensional multivariate Hawkes process that included the excitations due to the occurrence of limit orders, cancel orders, and executions in the order book change, and performed maximum likelihood estimations of the limit order processes for 134 HFTs. As a result, we found that the limit order generation processes of 104 of the 134 HFTs were modeled by a multivariate Hawkes process. In this analysis of the EBS market, the HFTs whose strategies were modeled by the Hawkes process were categorized into three groups according to their excitation mechanisms: (1) those excited by executions; (2) those that were excited by the occurrences or cancellations of limit orders; and (3) those that were excited by their own orders.     

Transverse mode control by manipulating gain distribution in a Yb:YAG ceramic thin disk

We demonstrated that transverse mode can be controlled by manipulating gain distribution in a Yb:YAG ceramic thin disk. Several elongated higher order transverse modes of a Hermite-Gaussian beam were observed when a straight-line-shaped gain region was created by using a diode laser output from an optical fiber. An orthogonally crossing pair of straight-line-shaped gain regions created with an additional optical fiber output resulted in the generation of a doughnut-shaped Laguerre-Gaussian beam. This implies that easy and quick switching of Hermite-Gaussian and Laguerre-Gaussian beams is possible without mechanical handling.     

Optical interconnection between different spatial modes using double phase conjugate mirror with polarization alignment system

We propose a fundamental interconnection method using a polarization alignment system for waveguides having different spatial modes. In addition, as an example for the verification of the fundamental operation, we demonstrate an interconnection between a photonic crystal fiber and a laser that have obviously different spatial modes. The polarization alignment system operates synergistically with a self-written waveguide formed with a double phaseconjugate mirror. This technique enables us to interconnect a photonic crystal fiber with a laser source without complicated and time-consuming optical alignment. In this method, although it is not necessary to perform an external control for interconnection, the waveguide most suitable for connection is formed autonomously in a Sn₂P₂S₆:Sb crystal developed for this purpose. There was a marked reduction in the polarization dependence of coupling efficiency, compared with that observed using a stand-alone double phase-conjugate mirror.     

Acceptable range of speech level in noisy sound fields for young adults and elderly persons

The acceptable range of speech level as a function of background noise level was investigated on the basis of word intelligibility scores and listening difficulty ratings. In the present study, the acceptable range is defined as the range that maximizes word intelligibility scores and simultaneously does not cause a significant increase in listening difficulty ratings from the minimum ratings. Listening tests with young adult and elderly listeners demonstrated the following. (1) The acceptable range of speech level for elderly listeners overlapped that for young listeners. (2) The lower limit of the acceptable speech level for both young and elderly listeners was 65 dB (A-weighted) for noise levels of 40 and 45 dB (A-weighted), a level with a speech-to-noise ratio of +15 dB for noise levels of 50 and 55 dB, and a level with a speech-to-noise ratio of +10 dB for noise levels from 60 to 70 dB. (3) The upper limit of the acceptable speech level for both young and elderly listeners was 80 dB for noise levels from 40 to 55 dB and 85 dB or above for noise levels from 55 to 70 dB.     

Continuous-wave diode-pumped laser action of Nd³⁺-doped photo-thermo-refractive glass

Laser action of the photo-thermo-refractive (PTR) glass, which is the photosensitive material for holographic recording of volume Bragg gratings (VBGs), was demonstrated for the first time by introducing Nd3?. Nd:PTR glass has a bandwidth of 27.8 nm and 16.0 nm for luminescence and absorption, respectively. An uncoated 2 mm thick Nd:PTR element generated cw laser output of 124 mW, with a slope efficiency of 25%, by laser diode pumping. This Nd:PTR glass also performed wide bandwidth laser action at 1053.9-1063.3 nm, where the decrease of the pump-absorption efficiency was held off below 30%, even under a 3.5 nm shift of pump wavelength from its absorption center.     

A novel liquid plasma AOP device integrating microwaves and ultrasounds and its evaluation in defluorinating perfluorooctanoic acid in aqueous media

A simplified and energy-saving integrated device consisting of a microwave applicator and an ultrasonic homogenizer has been fabricated to generate liquid plasma in a medium possessing high dielectric factors, for example water. The microwave waveguide and the ultrasonic transducer were interconnected through a tungsten/titanium alloy stick acting both as the microwave antenna and as the horn of the ultrasonic homogenizer. Both microwaves and ultrasonic waves are simultaneously transmitted to the aqueous media through the tungsten tip of the antenna. The microwave discharge liquid plasma was easily generated in solution during ultrasonic cavitation. The simple device was evaluated by carrying out the degradation of the perfluorooctanoic acid (PFOA), a system highly recalcitrant to degradation by conventional advanced oxidation processes (AOPs). PFOA is 59% degraded in an aqueous medium after only 90 s of irradiation by the plasma. Intermediates were identified by electrospray mass spectral techniques in the negative ion mode.     

Frequency dependence of H2O2 generation from distilled water

The frequency dependence of H2O2 generation from H2O by a sonochemical reaction was detected experimentally. The results are in good agreement with previous experimental results, which indicate that in sonochemical reactions, frequencies higher than 90 kHz are more effective than frequencies of several tens of kilohertz. The phonon concept of acoustic waves makes it clear that energy depends on frequency, i.e. on the condition of equal phonon density; higher frequency means higher energy. The concentration and accumulation of acoustic energy will be performed through a bubble surface. From the analogy of photoelectric effects, the frequency dependence of the sonochemical reaction was discussed using the phonon concept.