Analysis of order book flows using a non-parametric estimation of the branching ratio matrix

We introduce a new non-parametric method that allows for a direct, fast and efficient estimation of the matrix of kernel norms of a multivariate Hawkes process, also called branching ratio matrix. We demonstrate the capabilities of this method by applying it to high-frequency order book data from the EUREX exchange. We show that it is able to uncover (or recover) various relationships between all the first-level order book events associated with some asset when mapped to a 12-dimensional process. We then scale up the model so as to account for events on two assets simultaneously and we discuss the joint high-frequency dynamics.     

仓储中心拣选作业研究综述

在仓储中心拣选作业中,以降低人员行走距离、提高拣选效率的研究为对象,对拣选作业中的相关研究问题和解决方案进行了讨论和综述。     

Runs in an ordered sequence of random variables

Let be independent and identically distributed random variables with continuous distribution function. Denote by the corresponding order statistics. In the present paper, the concept of -neighbourhood runs, which is an extension of the usual run concept to the continuous case, is developed for the sequence of ordered random variables      

Mean residual life functions of finite mixtures,order statistics and coherent systems

We study properties of the mean residual life functions of finite mixtures. Specifically, we study ordering properties, monotonicity and the limiting behaviour. We show, under some mild conditions, that the limiting behaviour is similar to that of the strongest member (in the mean residual life order) of the mixture. We also consider the case of negative mixtures (i.e., mixtures with some negative coefficients) which is applied to study the behaviour of the mean residual life of order statistics and coherent systems with possibly dependent components. Partially Supported by Ministerio de Ciencia y Tecnologí a under grant BFM2003-02947 and Fundación Séneca under grant 00698/PI/04.     

出生排序与行为偏好的经济实验研究

作为社会科学研究中的一个家庭背景指标,出生顺序和子女性别结构会影响人们的行为选择以及行为结果。文章以大学生为被试,采用实验室实验方法研究了出生顺序和子女性别结构对信任行为、风险偏好与竞争偏好的影响。实验研究发现：二胎的信任水平和竞争偏好都显著高于一胎。虽然二胎的风险偏好高于一胎,但统计上并不显著;同时,子女性别结构会影响出生顺序效应。在信任水平方面,混合结构下的二胎显著高于一胎,而同性结构下的出生顺序效应并不显著;在风险偏好与竞争偏好方面,同性结构下的二胎显著高于一胎,而混合结构下的出生顺序效应不显著。文章结论能够加深人们对不同出生顺序下个体行为偏好异质性的理解,具有一定的政策含义。     

Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse

This paper develops a high-frequency risk measure: the Liquidity-adjusted Intraday Value at Risk (LIVaR). Our objective is to explicitly consider the endogenous liquidity dimension associated with order size. By reconstructing the open Limit Order Book of Deutsche Börse, changes in the tick-by-tick (ex-ante) frictionless return and actual return are modeled jointly. The risk related to the ex-ante liquidity premium is then quantified. Our model can be used to identify the impact of ex-ante liquidity risk on total risk, and to provide an estimation of the VaR for the actual return at a point in time. In our sample, liquidity risk can account for up to 32% of total risk depending on order size.     

在我国对外开放的伟大事业中发挥民营经济的作用

本文描绘了迈向21世纪时，世界经济发展的特点和趋势，表现为经济体制和机制市场化、经济波动平稳化、经济关系全球化、区域经济集团化、经济格局多极化、高新技术产业化和财富分配两极化等；阐述了我国政府建立公正合理的国际新秩序的五项原则，着重提出南北关系是国际新秩序的关键，在改善南北关系的同时，也要增进南南关系，加强同它们的经济、贸易和技术合作；最后介绍了我国对外开放事业中民营企业迅速发展的情况以及它们所作的贡献。     

Order flow and central bank intervention: An empirical analysis of recent Bank of Japan actions in the foreign exchange market

This paper examines the behaviour of end-user order flows in the foreign exchange market around periods of intense and large-scale intervention activity by the Bank of Japan. First, we find very limited evidence that corporate customers are more than usually likely to be net sellers of yen on days when the Bank of Japan is intervening to sell yen. However, there is somewhat stronger evidence that financial customers are more likely to be net buyers of yen on the same days. Second, we find very clear evidence that intervention matters in a microstructure analysis. The strong contemporaneous correlation between order flows and exchange rate changes essentially disappears on days in which the Bank of Japan intervenes.     

Extreme order statistics on Galton-Watson trees

This paper studies the asymptotic behaviour of extreme order statistics of i.i.d. random scores ascribed to each individual in a Galton-Watson family tree. Of interest is the asymptotic behaviour of the order statistics within thenth generation, or up to and including thenth generation, and the index of the generation up to thenth which contains the largest observation.     

Can quote competition reduce preferenced trading? A reexamination of the SEC’s 1997 order handling rules

In 1997, the SEC implemented the new order handling rules (OHRs) on the NASDAQ. We observe that some uncompetitive positions gained market share without improving quote competitiveness after the implementation of the OHRs. Also observed is a significant decline in the sensitivity of trading volume to quote competitiveness, indicating lower incentive for NASDAQ dealers to engage in quote competition in the post‐OHR regime. We find that positions that gained trading volume without improving quote competitiveness were less competitive and were more closely associated with stocks showing low information asymmetry, which suggests that preferenced trading might be responsible for the decline in the trading volume sensitivity. Examining entries and exits around the periods of adopting OHRs, we observe net entry of uncompetitive positions and net exit of competitive positions, which indicates that preferenced trading crowded out quote competition subsequent to the OHRs. Our findings suggest that forcing intense quote competition alone produced an unwanted effect that preferencing emerged as a more attractive alternative to quote competition.