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Regularities and irregularities in order flow data [PDF]
The European Physical Journal B, 2017 We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders.
Theißen, Martin +2 more
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Investigating the Impact of Order Flow Imbalance and Information Asymmetry on Treasury Bill Price Changes [PDF]
تحقیقات مالیObjectiveThe information-based model is one of the prevalent frameworks in the market microstructure literature, examining trader behavior in the presence of information asymmetry and its subsequent impact on price formation.
Ali Namaki, Aysa Kazemi bavil
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High order mimetic difference simulation of unsaturated flow using Richards equation
Mathematics in Applied Sciences and Engineering, 2020 The vadose zone is the portion of the subsurface above the water table and its pore space usually contains air and water. Due to the presence of infiltration, erosion, plant growth, microbiota, contaminant transport, aquifer recharge, and discharge to ...
Angel Boada Velazco +2 more
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Second-order optic flow processing
Vision Research, 2007 Optic flow-large-field rotational and radial motion-is processed as efficiently as translational motion for first-order (luminance-defined) stimuli. However, it has been suggested recently that the same pattern does not hold for second-order (e.g. contrast-defined) stimuli.
Aaen-Stockdale, Craig +2 more
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Multi-Level Order-Flow Imbalance in a Limit Order Book [PDF]
Market Microstructure and Liquidity, 2018 We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for six liquid stocks on Nasdaq, we fit a simple, linear relationship between MLOFI and the contemporaneous change in mid-price.
Xu, K, Gould, MD, Howison, SD
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Utility of high-order scheme for unsteady flow simulations: Comparison with second-order tool
Journal of Ocean Engineering and ScienceThe objective of this work is to investigate the utility and effectiveness of the high-order scheme for simulating unsteady turbulent flows. To achieve it, the studies are conducted from two perspectives: (i) the ability of different numerical schemes to
Peng Jiang +4 more
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A Fourth Order Energy Dissipative Scheme for a Traffic Flow Model
Mathematics, 2020 We propose, analyze and numerically validate a new energy dissipative scheme for the Ginzburg–Landau equation by using the invariant energy quadratization approach.
Xiaowei Chen, Mingzhan Song, Songhe Song
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Second order chiral kinetic theory under gravity and antiparallel charge-energy flow
Journal of High Energy Physics, 2021 We derive the chiral kinetic theory under the presence of a gravitational Riemann curvature. It is well-known that in the chiral kinetic theory there inevitably appears a redundant ambiguous vector corresponding to the choice of the Lorentz frame.
Tomoya Hayata +2 more
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Propulsion and Power Research, 2021 This communication reports, the flow of viscoelastic nanofluid with third order slip flow condition, Cattaneo-Christov heat and mass diffusion model. The joined non-linear ordinary differential equations (ODEs) were acquired from the partial differential
Wubshet Ibrahim +2 more
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Higher order Yang–Mills flow [PDF]
Calculus of Variations and Partial Differential Equations, 2019 We define a family of functionals generalizing the Yang-Mills functional. We study the corresponding gradient flows and prove long-time existence and convergence results for subcritical dimensions as well as a bubbling criterion for the critical dimensions.
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