The Price Impact of Order Book Events

We study the price impact of order book events - limit orders, market orders and cancelations - using the NYSE TAQ data for 50 U.S. stocks. We show that, over short time intervals, price changes are mainly driven by the order flow imbalance, defined as the imbalance between supply and demand at the best bid and ask prices. Our study reveals a linear relation between order flow imbalance and price changes, with a slope inversely proportional to the market depth. These results are shown to be robust to seasonality effects, and stable across time scales and across stocks. We argue that this linear price impact model, together with a scaling argument, implies the empirically observed "square-root" relation between price changes and trading volume. However, the relation between price changes and trade volume is found to be noisy and less robust than the one based on order flow imbalance

Coherent states, constraint classes, and area operators in the new spin-foam models

Recently, two new spin-foam models have appeared in the literature, both motivated by a desire to modify the Barrett-Crane model in such a way that the imposition of certain second class constraints, called cross-simplicity constraints, are weakened. We refer to these two models as the FKLS model, and the flipped model. Both of these models are based on a reformulation of the cross-simplicity constraints. This paper has two main parts. First, we clarify the structure of the reformulated cross-simplicity constraints and the nature of their quantum imposition in the new models. In particular we show that in the FKLS model, quantum cross-simplicity implies no restriction on states. The deeper reason for this is that, with the symplectic structure relevant for FKLS, the reformulated cross-simplicity constraints, in a certain relevant sense, are now \emph{first class}, and this causes the coherent state method of imposing the constraints, key in the FKLS model, to fail to give any restriction on states. Nevertheless, the cross-simplicity can still be seen as implemented via suppression of intertwiner degrees of freedom in the dynamical propagation. In the second part of the paper, we investigate area spectra in the models. The results of these two investigations will highlight how, in the flipped model, the Hilbert space of states, as well as the spectra of area operators exactly match those of loop quantum gravity, whereas in the FKLS (and Barrett-Crane) models, the boundary Hilbert spaces and area spectra are different.Comment: 21 pages; statements about gamma limits made more precise, and minor phrasing change

Value at Risk models with long memory features and their economic performance

We study alternative dynamics for Value at Risk (VaR) that incorporate a slow moving component and information on recent aggregate returns in established quantile (auto) regression models. These models are compared on their economic performance, and also on metrics of first-order importance such as violation ratios. By better economic performance, we mean that changes in the VaR forecasts should have a lower variance to reduce transaction costs and should lead to lower exceedance sizes without raising the average level of the VaR. We find that, in combination with a targeted estimation strategy, our proposed models lead to improved performance in both statistical and economic terms

Entropy of generic quantum isolated horizons

We review our recent proposal of a method to extend the quantization of spherically symmetric isolated horizons, a seminal result of loop quantum gravity, to a phase space containing horizons of arbitrary geometry. Although the details of the quantization remain formally unchanged, the physical interpretation of the results can be quite different. We highlight several such differences, with particular emphasis on the physical interpretation of black hole entropy in loop quantum gravity.Comment: 4 pages, contribution to loops '11 conference proceedings; 2 references added, a sentence remove

Volatility return intervals analysis of the Japanese market

We investigate scaling and memory effects in return intervals between price volatilities above a certain threshold $q$ for the Japanese stock market using daily and intraday data sets. We find that the distribution of return intervals can be approximated by a scaling function that depends only on the ratio between the return interval $\tau$ and its mean $$. We also find memory effects such that a large (or small) return interval follows a large (or small) interval by investigating the conditional distribution and mean return interval. The results are similar to previous studies of other markets and indicate that similar statistical features appear in different financial markets. We also compare our results between the period before and after the big crash at the end of 1989. We find that scaling and memory effects of the return intervals show similar features although the statistical properties of the returns are different.Comment: 11 page

Revisiting the Simplicity Constraints and Coherent Intertwiners

In the context of loop quantum gravity and spinfoam models, the simplicity constraints are essential in that they allow to write general relativity as a constrained topological BF theory. In this work, we apply the recently developed U(N) framework for SU(2) intertwiners to the issue of imposing the simplicity constraints to spin network states. More particularly, we focus on solving them on individual intertwiners in the 4d Euclidean theory. We review the standard way of solving the simplicity constraints using coherent intertwiners and we explain how these fit within the U(N) framework. Then we show how these constraints can be written as a closed u(N) algebra and we propose a set of U(N) coherent states that solves all the simplicity constraints weakly for an arbitrary Immirzi parameter.Comment: 28 page

Black hole entropy from an SU(2)-invariant formulation of Type I isolated horizons

A detailed analysis of the spherically symmetric isolated horizon system is performed in terms of the connection formulation of general relativity. The system is shown to admit a manifestly SU(2) invariant formulation where the (effective) horizon degrees of freedom are described by an SU(2) Chern-Simons theory. This leads to a more transparent description of the quantum theory in the context of loop quantum gravity and modifications of the form of the horizon entropy.Comment: 30 pages, 1 figur

Logarithmic Corrections to Schwarzschild and Other Non-extremal Black Hole Entropy in Different Dimensions

Euclidean gravity method has been successful in computing logarithmic corrections to extremal black hole entropy in terms of low energy data, and gives results in perfect agreement with the microscopic results in string theory. Motivated by this success we apply Euclidean gravity to compute logarithmic corrections to the entropy of various non-extremal black holes in different dimensions, taking special care of integration over the zero modes and keeping track of the ensemble in which the computation is done. These results provide strong constraint on any ultraviolet completion of the theory if the latter is able to give an independent computation of the entropy of non-extremal black holes from microscopic description. For Schwarzschild black holes in four space-time dimensions the macroscopic result seems to disagree with the existing result in loop quantum gravity.Comment: LaTeX, 40 pages; corrected small typos and added reference