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.     

Full fitting analysis of the relative intermediate form factor measured by neutron spin echo

This paper describes the dynamics of a water-in-oil microemulsion from the dilute to the dense droplet region. Using the relative intermediate form factor method for neutron spin echo data analyses [M. Nagao, H. Seto, Phys. Rev. E 78 (2008) 011507], the shape and structure fluctuations of a droplet microemulsion are successfully decoupled. In the previous paper, we used the first cumulant analysis of the shape fluctuation model, while the full fitting form of the same model is applied in this paper. The final results of the fittings using the first cumulant approximation and the full form of the model are almost identical, and therefore, the validity of the method is strengthened. The estimated bending modulus of the surfactant membrane, κ, is basically the same, within the experimental errors, in the previous and present results. The κ is not affected much by an increase of the droplet concentration. A clear dynamic slowing down of the water droplets is highlighted at the length scale corresponding to the inter-droplet distance from the structure fluctuation analysis.     

meso–meso‐Linked Diarylamine‐Fused Porphyrin Dimers

A meso–meso‐linked diphenylamine‐fused porphyrin dimer and its methoxy‐substituted analogue were synthesized from a meso–meso‐linked porphyrin dimer by a reaction sequence involving Ir‐catalyzed β‐selective borylation, iodination, meso‐chlorination, and S_NAr reactions with diarylamines followed by electron‐transfer‐mediated intramolecular double C?H/C?I coupling. While these dimers commonly display characteristic split Soret bands and small oxidation potentials, they produced different products upon oxidation with tris(4‐bromophenyl)aminium hexachloroantimonate. Namely, the diphenylamine‐fused porphyrin dimer was converted into a dicationic closed‐shell quinonoidal dimer, while the methoxy‐substituted dimer gave a meso–meso, β‐β doubly linked porphyrin dimer.     

III–V quantum devices and circuits based on nanoscale Schottky gate control of hexagonal quantum wire networks

The concept, the present status, key issues and future prospects of a novel hexagonal binary decision diagram (BDD) quantum circuit approach for III–V quantum large-scale integrated circuits (QLSIs) are presented and discussed. In this approach, the BDD logic circuits are implemented on III–V semiconductor-based hexagonal nanowire networks controlled by nanoscale Schottky gates. The hexagonal BDD QLSIs can operate at delay-power products near the quantum limit in the quantum regime as well as in the many-electron classical regime. To demonstrate the feasibility of the present approach, GaAs Schottky wrap gate (WPG)-based single-electron BDD node devices and their integrated circuits were fabricated and their proper operations were confirmed. Selectively grown InGaAs sub-10 nm quantum wires and their hexagonal networks have been investigated to form high-density hexagonal BDD QLSIs operating in the quantum regime at room temperature.     

Strongly nonlinear luminescence in oxidized porous silicon films

Partially oxidized free-standing porous silicon films show a strongly superlinear increase in photoluminescence (PL) intensity above a threshold cw excitation intensity of 10 W/cm². The PL-intensity increase can be expressed by a power law with n9 as a function of the excitation intensity. The PL-peak wavelength of this emission is slightly redshifted from that at low-excitation levels. These changes are fully reversible and reproducible, but not observed in samples on substrate. We attribute this behavior to thermal reexcitation of carriers trapped at the dangling bond states in initially nonluminescent Si nanocrystallites.     

On random complete packing by discs

Summary A computational algorithm for random complete packing by discs is proposed. Monte Carlo simulations using this algorithm give the value 0.5473 for random packing density of discs. It greatly improves the Solomon's result, 04756. The Institute of Statistical Mathematics     

High-energy quasi-phase-matched optical parametric oscillation in a periodically poled MgO:LiNbO3 device with a 5 mm x 5 mm aperture

Fabrication of a 5 mm thick periodically poled MgO-doped LiNbO3 device with a 32.1 microm period for mid-infrared generation was demonstrated. The periodic structure was evaluated by measurement of second-harmonic generation with the d31 coefficient. Optical parametric oscillation using this device with an uncoated 5 mm x 5 mm aperture and a 36 mm effective length realized a high-energy output of 77 mJ for both signal (wavelength 1.83 microm) and idler (2.54 microm) waves with a 72% slope efficiency at 110 mJ pumping of a Q-switched Nd:YAG laser with a 12 ns pulse duration.     

Modulational instability and parametric amplification induced by loss dispersion in optical fibers

We show that modulational instability may arise even in the normal group-velocity dispersion regime of an optical fiber when the fiber loss (gain) varies depending on the wavelength. A simple analytical expression for the instability gain is obtained, which reveals that the odd-order terms of the loss dispersion are responsible for this phenomenon. The instability gain is measured experimentally in an optical-parametric-amplification configuration. Large parametric gain is induced in a non-phase-matched regime as we apply narrow band loss at the idler wavelength.     

High-energy quasi-phase-matched optical parametric oscillation in a 3-mm-thick periodically poled MgO:LiNbO3 device

We have demonstrated high-energy quasi-phase-matched optical parametric oscillation in a 3-mm-thick periodically poled 5-mol. % MgO-doped LiNbO3 device with a 32.1-microm grating period and a 30-mm length. With a large-spot-size pump laser of 2.2-mm diameter, we obtained a total output pulse energy of 22 mJ for both the signal (wavelength 1.82 microm) and the idler (2.56 microm) waves at an input pump energy of 46 mJ.