Macroeconomic News and LOB in Foreign Exchange ECN Market

We investigate the macroeconomic news effect on the dynamics of the limit order books (LOB) for euro-dollar ECN market in different economic states between Jan. 2006 to Dec. 2009. Using a VAR-STR model on the news surprise, pure news, aggregated good and bad news, we show that news effects on the LOB dynamics vary in different states of economy. The LOB dynamics are measured by depth, spread, slope and volatility. In contract to slope and volatility, depth and spread strongly respond to news surprise and pure news during recession and expansion. These characteristics are more affected by aggregated good and bad news during expansion. News effects are robust to alternative characteristic measures, the different sides of the LOB and the different levels in the LOB.

An Abstract Algebraic Theory of L-Fuzzy Relations for Relational Databases

Classical relational databases lack proper ways to manage certain real-world situations including imprecise or uncertain data. Fuzzy databases overcome this limitation by allowing each entry in the table to be a fuzzy set where each element of the corresponding domain is assigned a membership degree from the real interval [0…1]. But this fuzzy mechanism becomes inappropriate in modelling scenarios where data might be incomparable. Therefore, we become interested in further generalization of fuzzy database into L-fuzzy database. In such a database, the characteristic function for a fuzzy set maps to an arbitrary complete Brouwerian lattice L. From the query language perspectives, the language of fuzzy database, FSQL extends the regular Structured Query Language (SQL) by adding fuzzy specific constructions. In addition to that, L-fuzzy query language LFSQL introduces appropriate linguistic operations to define and manipulate inexact data in an L-fuzzy database. This research mainly focuses on defining the semantics of LFSQL. However, it requires an abstract algebraic theory which can be used to prove all the properties of, and operations on, L-fuzzy relations. In our study, we show that the theory of arrow categories forms a suitable framework for that. Therefore, we define the semantics of LFSQL in the abstract notion of an arrow category. In addition, we implement the operations of L-fuzzy relations in Haskell and develop a parser that translates algebraic expressions into our implementation.