Statistical properties of stock order books: empirical results and models

We investigate several statistical properties of the order book of three liquid stocks of the Paris Bourse. The results are to a large degree independent of the stock studied. The most interesting features concern (i) the statistics of incoming limit order prices, which follows a power-law around the current price with a diverging mean; and (ii) the humped shape of the average order book, which can be quantitatively reproduced using a `zero intelligence' numerical model, and qualitatively predicted using a simple approximation.Comment: Revised version, 10 pages, 4 .eps figures. to appear in Quantitative Financ

Emergence of time-horizon invariant correlation structure in financial returns by subtraction of the market mode

We investigate the emergence of a structure in the correlation matrix of assets' returns as the time-horizon over which returns are computed increases from the minutes to the daily scale. We analyze data from different stock markets (New York, Paris, London, Milano) and with different methods. Result crucially depends on whether the data is restricted to the ``internal'' dynamics of the market, where the ``center of mass'' motion (the market mode) is removed or not. If the market mode is not removed, we find that the structure emerges, as the time-horizon increases, from splitting a single large cluster. In NYSE we find that when the market mode is removed, the structure of correlation at the daily scale is already well defined at the 5 minutes time-horizon, and this structure accounts for 80 % of the classification of stocks in economic sectors. Similar results, though less sharp, are found for the other markets. We also find that the structure of correlations in the overnight returns is markedly different from that of intraday activity.Comment: 12 pages, 17 figure

On the top eigenvalue of heavy-tailed random matrices

We study the statistics of the largest eigenvalue lambda_max of N x N random matrices with unit variance, but power-law distributed entries, P(M_{ij})~ |M_{ij}|^{-1-mu}. When mu > 4, lambda_max converges to 2 with Tracy-Widom fluctuations of order N^{-2/3}. When mu < 4, lambda_max is of order N^{2/mu-1/2} and is governed by Fr\'echet statistics. The marginal case mu=4 provides a new class of limiting distribution that we compute explicitely. We extend these results to sample covariance matrices, and show that extreme events may cause the largest eigenvalue to significantly exceed the Marcenko-Pastur edge. Connections with Directed Polymers are briefly discussed.Comment: 4 pages, 2 figure

One-dimensional lattice of oscillators coupled through power-law interactions: Continuum limit and dynamics of spatial Fourier modes

We study synchronization in a system of phase-only oscillators residing on the sites of a one-dimensional periodic lattice. The oscillators interact with a strength that decays as a power law of the separation along the lattice length and is normalized by a size-dependent constant. The exponent $\alpha$ of the power law is taken in the range $0 \le \alpha <1$. The oscillator frequency distribution is symmetric about its mean (taken to be zero), and is non-increasing on $[0,\infty)$. In the continuum limit, the local density of oscillators evolves in time following the continuity equation that expresses the conservation of the number of oscillators of each frequency under the dynamics. This equation admits as a stationary solution the unsynchronized state uniform both in phase and over the space of the lattice. We perform a linear stability analysis of this state to show that when it is unstable, different spatial Fourier modes of fluctuations have different stability thresholds beyond which they grow exponentially in time with rates that depend on the Fourier modes. However, numerical simulations show that at long times, all the non-zero Fourier modes decay in time, while only the zero Fourier mode (i.e., the "mean-field" mode) grows in time, thereby dominating the instability process and driving the system to a synchronized state. Our theoretical analysis is supported by extensive numerical simulations.Comment: 7 pages, 4 figures. v2: new simulation results added, close to the published versio

The Least-core and Nucleolus of Path Cooperative Games

Cooperative games provide an appropriate framework for fair and stable profit distribution in multiagent systems. In this paper, we study the algorithmic issues on path cooperative games that arise from the situations where some commodity flows through a network. In these games, a coalition of edges or vertices is successful if it enables a path from the source to the sink in the network, and lose otherwise. Based on dual theory of linear programming and the relationship with flow games, we provide the characterizations on the CS-core, least-core and nucleolus of path cooperative games. Furthermore, we show that the least-core and nucleolus are polynomially solvable for path cooperative games defined on both directed and undirected network

A well applied ballast tank coating = green ballast tank coating

When a ship reaches the end of its service life it is broken down at a demolition site to recover steel and other useful items. The recycling process itself imposes risks to the human health and safety, as well as to our habitat by sending toxic components into the atmosphere and the maritime environment. Not all parts and products can be recycled and thus waste, toxic and non-toxic, is generated. Extending the service life of a ship can contribute to the protection of human life and the environment.The same is valid when looking at the service life from the ship construction point of view. If the service life of a ship is extended less ships have to be built. To estimate the energy consumption of steel production Javaherdashti (2008) suggests that the energy required to produce one ton of steel is approximately equal to the energy an average family consumes over 3 months and roughly worldwide one ton of steel turns into rust every 90 seconds (Javaherdashti, 2008). The service life of a ship is not determined by the external battering of the ship's hull by wind and waves but mainly by the internal gradual corrosion of the ballast tanks (Thapar, 2013). The latter implicates that a coating with a longer service life will have a direct impact on the life cycle of the ship, the toxic components send into the atmosphere and the energy consumption.Most ballast tanks are prepared and coated according to the IMO Performance Standard for Protective Coating (PSPC), using a light-coloured epoxy coating that, when on board maintenance is being performed by the crew, should remain in a good condition for 15 years. Ship owners are not only pushed by international legislation (IMO, 2009) but also by commercial needs in preserving a good reputation, to keep the ballast tanks of their vessels in a good condition to avoid extra inspections and costs. Aiming to extend the service life of your vessel to 25 years with ballast tanks in a good condition, a full-recoat must be considered. Recoating is bad for the environment as toxic components are sent into the atmosphere

Quenched complexity of the p-spin spherical spin-glass with external magnetic field

We consider the p-spin spherical spin-glass model in the presence of an external magnetic field as a general example of a mean-field system where a one step replica symmetry breaking (1-RSB) occurs. In this context we compute the complexity of the Thouless-Anderson-Palmer states, performing a quenched computation. We find what is the general connection between this method and the standard static 1-RSB one, formulating a clear mapping between the parameters used in the two different calculations. We also perform a dynamical analysis of the model, by which we confirm the validity of our results.Comment: RevTeX, 11 pages, including 2 EPS figure

Noise Dressing of Financial Correlation Matrices

We show that results from the theory of random matrices are potentially of great interest to understand the statistical structure of the empirical correlation matrices appearing in the study of price fluctuations. The central result of the present study is the remarkable agreement between the theoretical prediction (based on the assumption that the correlation matrix is random) and empirical data concerning the density of eigenvalues associated to the time series of the different stocks of the S&P500 (or other major markets). In particular the present study raises serious doubts on the blind use of empirical correlation matrices for risk management.Comment: Latex (Revtex) 3 pp + 2 postscript figures (in-text