Quantitative model of price diffusion and market friction based on trading as a mechanistic random process

We model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of markets, such as the diffusion rate of prices (which is the standard measure of financial risk) and the spread and price impact functions (which are the main determinants of transaction cost). Guided by dimensional analysis, simulation, and mean-field theory, we find scaling relations in terms of order flow rates. We show that even under completely random order flow the need to store supply and demand to facilitate trading induces anomalous diffusion and temporal structure in prices.     

Forward scattering of pulses from a rough sea surface by Fourier synthesis of parabolic equation solutions

A variable depth step implementation of the range-dependent acoustic model (RAM) is applied to the modeling of forward scattering from a rough sea surface. The sea surface is treated within RAM simply as an internal interface between a water layer and an air upper halfspace. A comparison with a numerically exact integral equation is undertaken for the scattering of single frequencies from Pierson-Moskowitz sea surfaces. The method is extended to model the variability of linear frequency modulated pulses from a series of frozen sea surfaces in a shallow water waveguide. The subsequent effect of rough boundary scattering on the replica correlation process is investigated.     

Electronic core levels of hydroxyls at the surface of chromia related to their XPS O 1s signature: A DFT + U study

The Cr 2p and O 1s binding energy (BE) levels have been calculated by first principles methods for different models of hydroxylated (0001)-Cr₂O₃ surfaces. Several surface terminations have been considered. The calculations allow us to reproduce the O 1s shifts between O in oxide and OH groups. It is found that two main effects account for the OH binding energy shifts. On the one hand, the increased covalency of the O–H bond with respect to the Cr–O bond, lowers the electronic O (1s and 2p) energy, and in consequence the BE of the core levels (O 1s) are higher. On the other hand, the lower the OH coordination number, the higher the valence and core levels energy, and the lower the BE. Consequently, mono-coordinated hydroxyls have a binding energy near that of O^2? in the oxide (ΔBE_OH–O = ? 0.2–0.0 eV). Two-fold coordinated hydroxyls have a slightly higher BE (ΔBE_OH–O = + 0.3 eV). Three-fold coordinated OH groups have a higher binding energy (ΔBE_OH–O = + 0.6?0.7 eV), corresponding to that experimentally measured for OH groups. Finally, water adsorbed above OH groups exhibits a still higher BE (ΔBE_HOH–O = + 0.9–1.0 eV). The ΔBE are slightly under-estimated under the initial state approximation, and overestimated under the final state (Z + 1) approximation.     

Determination of the c(2 × 2) structure of sulfur on Fe{001} by low-energy electron diffraction

In the early stages of reaction with sulfur, a clean Fe{001} surface develops a c(2 × 2) superstructure. A low-energy electron diffraction analysis of this structure leads to a model in which the S atoms lie in the four-fold symmetrical sites on the Fe{001} surface, the S-Fe interplanar spacing being $\text{1.09 ± 0.05}\text{A}\text{?}$ and corresponding to an effective radius of 1.06 Å for the chemisorbed S atoms. In contrast to Fe{001} 1 × 1-O, the first interlayer spacing of the substrate here is not significantly expanded.     

A comparison of electron-phonon interaction in metallic hydrogen and free electron like metals

The electron-phonon interaction 〈I)²〉 for metallic hydrogen is calculated directly from McMillan's expression and compared with the result recently obtained by Papaconstantopoulos and Klein using the Gaspari-Gyorffy theory. Comparison is also made with 〈I)²〉 for Na.     

Highly sensitive single-beam heterodyne coherent anti-Stokes Raman scattering

Single-beam coherent anti-Stokes Raman-scattering (CARS) microspectroscopy achieves a complete CARS scheme with a femtosecond laser. Here, we introduce heterodyne detection in a simple experimental extension: the optical fields driving the CARS process and the local oscillator used for heterodyning are derived from a single beam of ultrashort laser pulses by pulse shaping. The heterodyne signal is amplified by more than 3 orders of magnitude and is linearly dependent on the concentration of Raman scatterers. This dramatically increases the sensitivity of chemically selective detection at microscopic resolution while maintaining the simplicity of the single-beam setup.     

Simple approach to one-laser, broadband coherent anti-Stokes Raman scattering microscopy

Coherent anti-Stokes Raman scattering (CARS) microscopy is emerging as a powerful method for imaging materials and biological systems, partly because of its noninvasiveness and selective chemical sensitivity. However, its full potential for species-selective imaging is limited by a restricted spectral bandwidth. Recent increases in bandwidth are promising but still are not sufficient for the level of robust component discrimination that would be needed in a chemically complex milieu found, for example, in intracellular and extracellular environments. We demonstrate a truly broadband CARS imaging instrument that we use to acquire hyperspectral images with vibrational spectra over a bandwidth of 2500 cm(-1) with a resolution of 13 cm(-1).     

Octaboraneyl Complexes of Nickel: Monomers for Redox-Active Coordination Polymers

Herein, we establish the preparation, characterization, and reactivity of a new diphosphine ligand, 1,2-bis(di(3-dicyclohexylboraneyl)propylphosphino)ethane (P₂B^Cy₄), a scaffold that contains four pendant boranes. An entryway into the coordination chemistry of P₂B^Cy₄ is established by using nickel, providing the octaboraneyl complex [Ni(P₂B^Cy₄)₂]—this species contains a boron-rich secondary coordination sphere that reacts readily with Lewis bases. In the case of 4,4′-bipyridine, an air-sensitive coordination polymer is obtained. Characterization of this material by solid-state NMR and EPR spectroscopy reveals the presence of a charge-transfer polymer, which forms as a function of intramolecular Ni→4,4′-bpy electron transfer (ET), providing an array of oxidized nickel sites and reduced 4,4′-bpy radical anion sites. Notably, the related intermolecular reaction between the model fragments [Ni(dnppe)₂] (dnppe=1,2-bis(di-n-propylphosphino)ethane) and a bis(boraneyl)-protected 4,4′-bpy, provides no ET. Overall, the P₂B^Cy₄ fragment provides a unique opportunity for Lewis base activation, in one case allowing for the facile construction of monomers for incorporation into redox-active macromolecules.