Markets and microstructure

This document contains three papers examining the microstructure of financial interaction in development and market settings. I first examine the industrial organization of financial exchanges, specifically limit order markets. In this section, I perform a case study of Google stock surrounding a surprising earnings announcement in the 3rd quarter of 2009, uncovering parameters that describe information flows and liquidity provision. I then explore the disbursement process for community-driven development projects. This section is game theoretic in nature, using a novel three-player ultimatum structure. I finally develop econometric tools to simulate equilibrium and identify equilibrium models in limit order markets.

In chapter two, I estimate an equilibrium model using limit order data, finding parameters that describe information and liquidity preferences for trading. As a case study, I estimate the model for Google stock surrounding an unexpected good-news earnings announcement in the 3rd quarter of 2009. I find a substantial decrease in asymmetric information prior to the earnings announcement. I also simulate counterfactual dealer markets and find empirical evidence that limit order markets perform more efficiently than do their dealer market counterparts.

In chapter three, I examine Community-Driven Development. Community-Driven Development is considered a tool empowering communities to develop their own aid projects. While evidence has been mixed as to the effectiveness of CDD in achieving disbursement to intended beneficiaries, the literature maintains that local elites generally take control of most programs. I present a three player ultimatum game which describes a potential decentralized aid procurement process. Players successively split a dollar in aid money, and the final player--the targeted community member--decides between whistle blowing or not. Despite the elite capture present in my model, I find conditions under which money reaches targeted recipients. My results describe a perverse possibility in the decentralized aid process which could make detection of elite capture more difficult than previously considered. These processes may reconcile recent empirical work claiming effectiveness of the decentralized aid process with case studies which claim otherwise.

In chapter four, I develop in more depth the empirical and computational means to estimate model parameters in the case study in chapter two. I describe the liquidity supplier problem and equilibrium among those suppliers. I then outline the analytical forms for computing certainty-equivalent utilities for the informed trader. Following this, I describe a recursive algorithm which facilitates computing equilibrium in supply curves. Finally, I outline implementation of the Method of Simulated Moments in this context, focusing on Indirect Inference and formulating the pseudo model.

Nuclear Hartree-Fock calculations on parallel computers

Hartree-Fock (HF) calculations have had remarkable success in describing large nuclei at high spin, temperature and deformation. To allow full range of possible deformations, the Skyrme HF equations can be discretized on a three-dimensional mesh. However, such calculations are currently limited by the computational resources provided by traditional supercomputers. To take advantage of recent developments in massively parallel computing technology, we have implemented the LLNL Skyrme-force static and rotational HF codes on Intel's DELTA and GAMMA systems at Caltech.

We decomposed the HF code by assigning a portion of the mesh to each node, with nearest neighbor meshes assigned to nodes connected by communication· channels. This kind of decomposition is well-suited for the DELTA and the GAMMA architecture because the only non-local operations are wave function orthogonalization and the boundary conditions of the Poisson equation for the Coulomb field.

Our first application of the HF code on parallel computers has been the study of identical superdeformed (SD) rotational bands in the Hg region. In the last ten years, many SD rotational bands have been found experimentally. One very surprising feature found in these SD rotational bands is that many pairs of bands in nuclei that differ by one or two mass units have nearly identical deexcitation gamma-ray energies. Our calculations of the five rotational bands in ^(192)Hg and ^(194)Pb show that the filling of specific orbitals can lead to bands with deexcitation gamma-ray energies differing by at most 2 keV in nuclei differing by two mass units and over a range of angular momenta comparable to that observed experimentally. Our calculations of SD rotational bands in the Dy region also show that twinning can be achieved by filling or emptying some specific orbitals.

The interpretation of future precise experiments on atomic parity nonconservation (PNC) in terms of parameters of the Standard Model could be hampered by uncertainties in the atomic and nuclear structure. As a further application of the massively parallel HF calculations, we calculated the proton and neutron densities of the Cesium isotopes from A = 125 to A = 139. Based on our good agreement with experimental charge radii, binding energies, and ground state spins, we conclude that the uncertainties in the ratios of weak charges are less than 10^(-3), comfortably smaller than the anticipated experimental error.

Dense, efficient chip-to-chip communication at the extremes of computing

The scalability of CMOS technology has driven computation into a diverse range of applications across the power consumption, performance and size spectra. Communication is a necessary adjunct to computation, and whether this is to push data from node-to-node in a high-performance computing cluster or from the receiver of wireless link to a neural stimulator in a biomedical implant, interconnect can take up a significant portion of the overall system power budget. Although a single interconnect methodology cannot address such a broad range of systems efficiently, there are a number of key design concepts that enable good interconnect design in the age of highly-scaled CMOS: an emphasis on highly-digital approaches to solving ‘analog’ problems, hardware sharing between links as well as between different functions (such as equalization and synchronization) in the same link, and adaptive hardware that changes its operating parameters to mitigate not only variation in the fabrication of the link, but also link conditions that change over time. These concepts are demonstrated through the use of two design examples, at the extremes of the power and performance spectra.

A novel all-digital clock and data recovery technique for high-performance, high density interconnect has been developed. Two independently adjustable clock phases are generated from a delay line calibrated to 2 UI. One clock phase is placed in the middle of the eye to recover the data, while the other is swept across the delay line. The samples produced by the two clocks are compared to generate eye information, which is used to determine the best phase for data recovery. The functions of the two clocks are swapped after the data phase is updated; this ping-pong action allows an infinite delay range without the use of a PLL or DLL. The scheme's generalized sampling and retiming architecture is used in a sharing technique that saves power and area in high-density interconnect. The eye information generated is also useful for tuning an adaptive equalizer, circumventing the need for dedicated adaptation hardware.

On the other side of the performance/power spectra, a capacitive proximity interconnect has been developed to support 3D integration of biomedical implants. In order to integrate more functionality while staying within size limits, implant electronics can be embedded onto a foldable parylene (‘origami’) substrate. Many of the ICs in an origami implant will be placed face-to-face with each other, so wireless proximity interconnect can be used to increase communication density while decreasing implant size, as well as facilitate a modular approach to implant design, where pre-fabricated parylene-and-IC modules are assembled together on-demand to make custom implants. Such an interconnect needs to be able to sense and adapt to changes in alignment. The proposed array uses a TDC-like structure to realize both communication and alignment sensing within the same set of plates, increasing communication density and eliminating the need to infer link quality from a separate alignment block. In order to distinguish the communication plates from the nearby ground plane, a stimulus is applied to the transmitter plate, which is rectified at the receiver to bias a delay generation block. This delay is in turn converted into a digital word using a TDC, providing alignment information.

Electrical and optical interconnects for high-performance computing

Technology scaling has enabled drastic growth in the computational and storage capacity of integrated circuits (ICs). This constant growth drives an increasing demand for high-bandwidth communication between and within ICs. In this dissertation we focus on low-power solutions that address this demand. We divide communication links into three subcategories depending on the communication distance. Each category has a different set of challenges and requirements and is affected by CMOS technology scaling in a different manner. We start with short-range chip-to-chip links for board-level communication. Next we will discuss board-to-board links, which demand a longer communication range. Finally on-chip links with communication ranges of a few millimeters are discussed.

Electrical signaling is a natural choice for chip-to-chip communication due to efficient integration and low cost. IO data rates have increased to the point where electrical signaling is now limited by the channel bandwidth. In order to achieve multi-Gb/s data rates, complex designs that equalize the channel are necessary. In addition, a high level of parallelism is central to sustaining bandwidth growth. Decision feedback equalization (DFE) is one of the most commonly employed techniques to overcome the limited bandwidth problem of the electrical channels. A linear and low-power summer is the central block of a DFE. Conventional approaches employ current-mode techniques to implement the summer, which require high power consumption. In order to achieve low-power operation we propose performing the summation in the charge domain. This approach enables a low-power and compact realization of the DFE as well as crosstalk cancellation. A prototype receiver was fabricated in 45nm SOI CMOS to validate the functionality of the proposed technique and was tested over channels with different levels of loss and coupling. Measurement results show that the receiver can equalize channels with maximum 21dB loss while consuming about 7.5mW from a 1.2V supply. We also introduce a compact, low-power transmitter employing passive equalization. The efficacy of the proposed technique is demonstrated through implementation of a prototype in 65nm CMOS. The design achieves up to 20Gb/s data rate while consuming less than 10mW.

An alternative to electrical signaling is to employ optical signaling for chip-to-chip interconnections, which offers low channel loss and cross-talk while providing high communication bandwidth. In this work we demonstrate the possibility of building compact and low-power optical receivers. A novel RC front-end is proposed that combines dynamic offset modulation and double-sampling techniques to eliminate the need for a short time constant at the input of the receiver. Unlike conventional designs, this receiver does not require a high-gain stage that runs at the data rate, making it suitable for low-power implementations. In addition, it allows time-division multiplexing to support very high data rates. A prototype was implemented in 65nm CMOS and achieved up to 24Gb/s with less than 0.4pJ/b power efficiency per channel. As the proposed design mainly employs digital blocks, it benefits greatly from technology scaling in terms of power and area saving.

As the technology scales, the number of transistors on the chip grows. This necessitates a corresponding increase in the bandwidth of the on-chip wires. In this dissertation, we take a close look at wire scaling and investigate its effect on wire performance metrics. We explore a novel on-chip communication link based on a double-sampling architecture and dynamic offset modulation technique that enables low power consumption and high data rates while achieving high bandwidth density in 28nm CMOS technology. The functionality of the link is demonstrated using different length minimum-pitch on-chip wires. Measurement results show that the link achieves up to 20Gb/s of data rate (12.5Gb/s/$\mu$m) with better than 136fJ/b of power efficiency.

Cloud computing services for seismic networks

This thesis describes a compositional framework for developing situation awareness applications: applications that provide ongoing information about a user's changing environment. The thesis describes how the framework is used to develop a situation awareness application for earthquakes. The applications are implemented as Cloud computing services connected to sensors and actuators. The architecture and design of the Cloud services are described and measurements of performance metrics are provided. The thesis includes results of experiments on earthquake monitoring conducted over a year. The applications developed by the framework are (1) the CSN --- the Community Seismic Network --- which uses relatively low-cost sensors deployed by members of the community, and (2) SAF --- the Situation Awareness Framework --- which integrates data from multiple sources, including the CSN, CISN --- the California Integrated Seismic Network, a network consisting of high-quality seismometers deployed carefully by professionals in the CISN organization and spread across Southern California --- and prototypes of multi-sensor platforms that include carbon monoxide, methane, dust and radiation sensors.

Ortho-positronium annihilation: steps toward computing the first order radiative corrections

The 0.2% experimental accuracy of the 1968 Beers and Hughes measurement of the annihilation lifetime of ortho-positronium motivates the attempt to compute the first order quantum electrodynamic corrections to this lifetime. The theoretical problems arising in this computation are here studied in detail up to the point of preparing the necessary computer programs and using them to carry out some of the less demanding steps -- but the computation has not yet been completed. Analytic evaluation of the contributing Feynman diagrams is superior to numerical evaluation, and for this process can be carried out with the aid of the Reduce algebra manipulation computer program.

The relation of the positronium decay rate to the electronpositron annihilation-in-flight amplitude is derived in detail, and it is shown that at threshold annihilation-in-flight, Coulomb divergences appear while infrared divergences vanish. The threshold Coulomb divergences in the amplitude cancel against like divergences in the modulating continuum wave function.

Using the lowest order diagrams of electron-positron annihilation into three photons as a test case, various pitfalls of computer algebraic manipulation are discussed along with ways of avoiding them. The computer manipulation of artificial polynomial expressions is preferable to the direct treatment of rational expressions, even though redundant variables may have to be introduced.

Special properties of the contributing Feynman diagrams are discussed, including the need to restore gauge invariance to the sum of the virtual photon-photon scattering box diagrams by means of a finite subtraction.

A systematic approach to the Feynman-Brown method of Decomposition of single loop diagram integrals with spin-related tensor numerators is developed in detail. This approach allows the Feynman-Brown method to be straightforwardly programmed in the Reduce algebra manipulation language.

The fundamental integrals needed in the wake of the application of the Feynman-Brown decomposition are exhibited and the methods which were used to evaluate them -- primarily dis persion techniques are briefly discussed.

Finally, it is pointed out that while the techniques discussed have permitted the computation of a fair number of the simpler integrals and diagrams contributing to the first order correction of the ortho-positronium annihilation rate, further progress with the more complicated diagrams and with the evaluation of traces is heavily contingent on obtaining access to adequate computer time and core capacity.

The power of quantum Fourier sampling

How powerful are Quantum Computers? Despite the prevailing belief that Quantum Computers are more powerful than their classical counterparts, this remains a conjecture backed by little formal evidence. Shor's famous factoring algorithm [Shor97] gives an example of a problem that can be solved efficiently on a quantum computer with no known efficient classical algorithm. Factoring, however, is unlikely to be NP-Hard, meaning that few unexpected formal consequences would arise, should such a classical algorithm be discovered. Could it then be the case that any quantum algorithm can be simulated efficiently classically? Likewise, could it be the case that Quantum Computers can quickly solve problems much harder than factoring? If so, where does this power come from, and what classical computational resources do we need to solve the hardest problems for which there exist efficient quantum algorithms?

We make progress toward understanding these questions through studying the relationship between classical nondeterminism and quantum computing. In particular, is there a problem that can be solved efficiently on a Quantum Computer that cannot be efficiently solved using nondeterminism? In this thesis we address this problem from the perspective of sampling problems. Namely, we give evidence that approximately sampling the Quantum Fourier Transform of an efficiently computable function, while easy quantumly, is hard for any classical machine in the Polynomial Time Hierarchy. In particular, we prove the existence of a class of distributions that can be sampled efficiently by a Quantum Computer, that likely cannot be approximately sampled in randomized polynomial time with an oracle for the Polynomial Time Hierarchy.

Our work complements and generalizes the evidence given in Aaronson and Arkhipov's work [AA2013] where a different distribution with the same computational properties was given. Our result is more general than theirs, but requires a more powerful quantum sampler.

Entrainment of fine sediments by turbulent flows

A study was made of the means by which turbulent flows entrain sediment grains from alluvial stream beds. Entrainment was considered to include both the initiation of sediment motion and the suspension of grains by the flow. Observations of grain motion induced by turbulent flows led to the formulation of an entrainment hypothesis. It was based on the concept of turbulent eddies disrupting the viscous sublayer and impinging directly onto the grain surface. It is suggested that entrainment results from the interaction between fluid elements within an eddy and the sediment grains.

A pulsating jet was used to simulate the flow conditions in a turbulent boundary layer. Evidence is presented to establish the validity of this representation. Experiments were made to determine the dependence of jet strength, defined below, upon sediment and fluid properties. For a given sediment and fluid, and fixed jet geometry there were two critical values of jet strength: one at which grains started to roll across the bed, and one at which grains were projected up from the bed. The jet strength K, is a function of the pulse frequency, ω, and the pulse amplitude, A, defined by

K = Aω^-s

Where s is the slope of a plot of log A against log ω. Pulse amplitude is equal to the volume of fluid ejected at each pulse divided by the cross sectional area of the jet tube.

Dimensional analysis was used to determine the parameters by which the data from the experiments could be correlated. Based on this, a method was devised for computing the pulse amplitude and frequency necessary either to move or project grains from the bed for any specified fluid and sediment combination.

Experiments made in a laboratory flume with a turbulent flow over a sediment bed are described. Dye injection was used to show the presence, in a turbulent boundary layer, of two important aspects of the pulsating jet model and the impinging eddy hypothesis. These were the intermittent nature of the sublayer and the presence of velocities with vertical components adjacent to the sediment bed.

A discussion of flow conditions, and the resultant grain motion, that occurred over sediment beds of different form is given. The observed effects of the sediment and fluid interaction are explained, in each case, in terms of the entrainment hypothesis.

The study does not suggest that the proposed entrainment mechanism is the only one by which grains can be entrained. However, in the writer’s opinion, the evidence presented strongly suggests that the impingement of turbulent eddies onto a sediment bed plays a dominant role in the process.