Using conditional probability to identify trends in intra-day high-frequency equity pricing

By examining the conditional probabilities of price movements in a popular US stock over different high-frequency intra-day timespans, varying levels of trend predictability are identified. This study demonstrates the existence of predictable short-term trends in the market; understanding the probability of price movement can be useful to high-frequency traders. Price movement was examined in trade-by-trade (tick) data along with temporal timespans between 1 s to 30 min for 52 one-week periods for one highly-traded stock. We hypothesize that much of the initial predictability of trade-by-trade (tick) data is due to traditional market dynamics, or the bouncing of the price between the stock’s bid and ask. Only after timespans of between 5 to 10 s does this cease to explain the predictability; after this timespan, two consecutive movements in the same direction occur with higher probability than that of movements in the opposite direction. This pattern holds up to a one-minute interval, after which the strength of the pattern weakens.     

Luminescence in amorphous semiconductors

A review of the luminescence properties of amorphous semiconductors is presented. The materials covered are chalcogenide glasses, silicon and arsenic. Luminescence spectra, excitation spectra, temperature dependences and lifetimes are described.

The radiative transition in chalcogenides is the recombination of an electron in the conduction band tail and a trapped hole. A strong electron-phonon coupling distorts the lattice near the trapped hole, lowering its energy. This interaction is responsible for the broadness of the luminescence band and its position at about half the band gap energy. The recombination centre is thought to be a charged dangling bond with density 10¹⁷ cm^-3 in arsenic chalcogenides and 10¹⁶ cm^-3 in selenium. The same centre is observed in the hole drift mobility, and thermally stimulated conductivity.

Luminescence in amorphous silicon also originates from recombination between the band tails and deep centres, with three separate transitions identified. In contrast to chalcogenides the electron-phonon coupling is not strong. The shape and intensity of the spectra are very sensitive to sample preparation and treatment, and correlate with other electrical and optical properties of Si.     

The $${\square_{b}}$$ heat equation and multipliers via the wave equation

Recently, Nagel and Stein studied the \({\square_{b}}\) -heat equation, where \({\square_{b}}\) is the Kohn Laplacian on the boundary of a weakly pseudoconvex domain of finite type in \({\mathbb{C}^2}\) . They showed that the Schwartz kernel of \({e^{-t\square_{b}}}\) satisfies good “off-diagonal” estimates, while that of \({e^{-t\square_{b}}-\pi}\) satisfies good “on-diagonal” estimates, where π denotes the Szegö projection. We offer a simple proof of these results, which easily generalizes to other, similar situations. Our methods involve adapting the well-known relationship between the heat equation and the finite propagation speed of the wave equation to this situation. In addition, we apply these methods to study multipliers of the form \({m(\square_{b})}\) . In particular, we show that \({m(\square_{b})}\) is an NIS operator, where m satisfies an appropriate Mihlin–Hörmander condition.     

The magnetic properties of the manganese-gallium-aluminum-germanium system

The properties of solid solutions of composition MnGa_1?xAl_xGe formed from ferromagnetic MnGaGe (T_c = 185°C) and MnAlGe (T_c = 245°C) have been examined. In the range, 0 < x < 0.1, the Curie temperature and saturation magnetization are not a monotonic function of x as might be expected for a solid solution of two ferromagnets. Instead, for x = 0.025, the Curie temperature is actually ～77°C lower than that of MnGaGe. Despite the similarity in the structure and lattice constants of MnGaGe and MnAlGe, aluminum rich compositions, e.g., x = 0.95 show no solid solution. Attempts to prepare other ferromagnetic ternary Mn (IIIA) (IVA) compounds have not been successful.     

Drift mobility in amorphous selenium-sulfur alloys

Drift mobility measurements have been made on thin amorphous films of selenium-sulfur alloys in the composition range from 14 at % to 31 at % sulfur. Carrier lifetimes were found to be 10–20 μsec for holes and > 10^?3 sec for electrons. These lifetimes are considerably longer than those reported by Schottmiller et al. in lower sulfur concentration films. The drift mobilities decrease with increasing sulfur concentrations and were characterized by activation energies of 0.33 eV for holes and 0.43 eV for electrons. Only a trap-controlled drift mobility model is consistent with the constant activation energies and decreasing mobility observed with increasing sulfur content. The optical absorption and photoconductivity edges were found to shift to higher photon energies with increasing sulfur content.     

The valence electronic structure of conducting pyrrole polymers: Evidence against a linear metallic chain picture

A UPS study of various conducting polypyrrole films is presented. Most of the valence band features can be explained by states derived from the orbitals of the pyrrole monomer and the associated anion molecules. In close vicinity of the Fermi energy, a density of states is observed which decreases linearly towards E_F. The corresponding states are introduced by oligomer formation. The π-electronic density at E_F is reduced by at least two orders of magnitude compared to ordinary sp-metals. The UPS spectra are consistent with short conjugation lengths and large amounts of disorder, but the corresponding defect states can not directly be observed.     

An Auger and X-ray photoelectron spectroscopic study of sodium metal and sodium oxide

Photoelectron and Auger electron measurements have been made on polycrystalline films of sodium metal evaporated in ultra high vacuum, and on Na₂O produced by in-situ oxidation by dry oxygen. Most of the spectra were recorded using Mg Kα (1254 eV) radiation but excitation by 5 keV electrons or monochromatized Al Kα (1487 eV) X-rays was used for specific purposes. Core and valence electron binding energies, photoionization cross-sections relative to Na 1s, KLL and KLV Auger energies and transition probabilities are reported. Energy losses in the metal and oxide are discussed and the relative intensities of surface and bulk plasmon losses have been used to calculate mean electron escape depths in the metal. When corrections were made for experimental geometry, escape depths of 10 Å at 180 eV and 31 Å at 1200 eV were obtained. An escape depth of 23 Å at 980 eV was obtained by Na 1s-Na K-Auger intensity correlation and this is consistent with the plasmon data. Data on Auger satellite lines are presented and, in particular, evidence has been obtained which indicates that a high energy satellite should not be attributed to a plasmon gain mechanism. Valence band influences on the KLV Auger spectra are discussed with reference to the XPS spectrum and other sources of valence band information. Unexpected structure was found in the KLV spectra of the metal which, pending thorough interpretation, offsets the sensitivity and resolution advantages which these spectra otherwise offer for valence band studies.