TFAW: wavelet-based signal reconstruction to reduce photometric noise in time-domain surveys

There have been many efforts to correct systematic effects in astronomical light curves to improve the detection and characterization of planetary transits and astrophysical variability. Algorithms like the Trend Filtering Algorithm (TFA) use simultaneously-observed stars to remove systematic effects, and binning is used to reduce high-frequency random noise. We present TFAW, a wavelet-based modified version of TFA. TFAW aims to increase the periodic signal detection and to return a detrended and denoised signal without modifying its intrinsic characteristics. We modify TFA's frequency analysis step adding a Stationary Wavelet Transform filter to perform an initial noise and outlier removal and increase the detection of variable signals. A wavelet filter is added to TFA's signal reconstruction to perform an adaptive characterization of the noise- and trend-free signal and the noise contribution at each iteration while preserving astrophysical signals. We carried out tests over simulated sinusoidal and transit-like signals to assess the effectiveness of the method and applied TFAW to real light curves from TFRM. We also studied TFAW's application to simulated multiperiodic signals, improving their characterization. TFAW improves the signal detection rate by increasing the signal detection efficiency (SDE) up to a factor ~2.5x for low SNR light curves. For simulated transits, the transit detection rate improves by a factor ~2-5x in the low-SNR regime compared to TFA. TFAW signal approximation performs up to a factor ~2x better than bin averaging for planetary transits. The standard deviations of simulated and real TFAW light curves are ~40x better than TFA. TFAW yields better MCMC posterior distributions and returns lower uncertainties, less biased transit parameters and narrower (~10x) credibility intervals for simulated transits. We present a newly-discovered variable star from TFRM.Comment: Accepted for publication by A&A. 13 pages, 16 figures and 5 table

High Frequency Trading and Mini Flash Crashes

We analyse all Mini Flash Crashes (or Flash Equity Failures) in the US equity markets in the four most volatile months during 2006-2011. In contrast to previous studies, we find that Mini Flash Crashes are the result of regulation framework and market fragmentation, in particular due to the aggressive use of Intermarket Sweep Orders and Regulation NMS protecting only Top of the Book. We find strong evidence that Mini Flash Crashes have an adverse impact on market liquidity and are associated with Fleeting Liquidity

Information Recovery In Behavioral Networks

In the context of agent based modeling and network theory, we focus on the problem of recovering behavior-related choice information from origin-destination type data, a topic also known under the name of network tomography. As a basis for predicting agents' choices we emphasize the connection between adaptive intelligent behavior, causal entropy maximization and self-organized behavior in an open dynamic system. We cast this problem in the form of binary and weighted networks and suggest information theoretic entropy-driven methods to recover estimates of the unknown behavioral flow parameters. Our objective is to recover the unknown behavioral values across the ensemble analytically, without explicitly sampling the configuration space. In order to do so, we consider the Cressie-Read family of entropic functionals, enlarging the set of estimators commonly employed to make optimal use of the available information. More specifically, we explicitly work out two cases of particular interest: Shannon functional and the likelihood functional. We then employ them for the analysis of both univariate and bivariate data sets, comparing their accuracy in reproducing the observed trends.Comment: 14 pages, 6 figures, 4 table