Ecologies of Value in a Wall Street Trading Room

Our task in this paper is to analyze the organization of trading in the era of quantitative finance. To do so, we conduct an ethnography of arbitrage, the trading strategy that best exemplifies finance in the wake of the quantitative revolution. In contrast to value and momentum investing, we argue, arbitrage involves an art of association-the construction of equivalence (comparability) of properties across different assets. In place of essential or relational characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else-associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Asymptotic robust inferences in the analysis of mean and covariance structures

Structural equation models are widely used in economic, socialand behavioral studies to analyze linear interrelationships amongvariables, some of which may be unobservable or subject to measurementerror. Alternative estimation methods that exploit different distributionalassumptions are now available. The present paper deals with issues ofasymptotic statistical inferences, such as the evaluation of standarderrors of estimates and chi--square goodness--of--fit statistics,in the general context of mean and covariance structures. The emphasisis on drawing correct statistical inferences regardless of thedistribution of the data and the method of estimation employed. A(distribution--free) consistent estimate of $\Gamma$, the matrix ofasymptotic variances of the vector of sample second--order moments,will be used to compute robust standard errors and a robust chi--squaregoodness--of--fit squares. Simple modifications of the usual estimateof $\Gamma$ will also permit correct inferences in the case of multi--stage complex samples. We will also discuss the conditions under which,regardless of the distribution of the data, one can rely on the usual(non--robust) inferential statistics. Finally, a multivariate regressionmodel with errors--in--variables will be used to illustrate, by meansof simulated data, various theoretical aspects of the paper.

Further evidence on the statistical properties of real GNP

The well-known lack of power of unit root tests has often been attributed to the shortlength of macroeconomic variables and also to DGP s that depart from the I(1)-I(0)alternatives. This paper shows that by using long spans of annual real GNP and GNPper capita (133 years) high power can be achieved, leading to the rejection of both theunit root and the trend-stationary hypothesis. This suggests that possibly neither modelprovides a good characterization of these data. Next, more flexible representations areconsidered, namely, processes containing structural breaks (SB) and fractional ordersof integration (FI). Economic justification for the presence of these features in GNP isprovided. It is shown that the latter models (FI and SB) are in general preferred to theARIMA (I(1) or I(0)) ones. As a novelty in this literature, new techniques are appliedto discriminate between FI and SB models. It turns out that the FI specification ispreferred, implying that GNP and GNP per capita are non-stationary, highly persistentbut mean-reverting series. Finally, it is shown that the results are robust when breaksin the deterministic component are allowed for in the FI model. Some macroeconomicimplications of these findings are also discussed.

How to recognize opportunities: Heterarchical search in a Wall Street trading room

Our task in this paper is to analyze the organization of trading in the era of quantitativefinance. To do so, we conduct an ethnography of arbitrage, the trading strategy that bestexemplifies finance in the wake of the quantitative revolution. In contrast to value andmomentum investing, we argue, arbitrage involves an art of association - the constructionof equivalence (comparability) of properties across different assets. In place of essentialor relationa l characteristics, the peculiar valuation that takes place in arbitrage is based on an operation that makes something the measure of something else - associating securities to each other. The process of recognizing opportunities and the practices of making novel associations are shaped by the specific socio-spatial and socio-technical configurations of the trading room. Calculation is distributed across persons and instruments as the trading room organizes interaction among diverse principles of valuation.

Noise-induced phase separation: Mean-field results

We present a study of a phase-separation process induced by the presence of spatially correlated multiplicative noise. We develop a mean-field approach suitable for conserved-order-parameter systems and use it to obtain the phase diagram of the model. Mean-field results are compared with numerical simulations of the complete model in two dimensions. Additionally, a comparison between the noise-driven dynamics of conserved and nonconserved systems is made at the level of the mean-field approximation.

Mean field model for spatially extended systems in the presence of multiplicative noise

We present a mean field model that describes the effect of multiplicative noise in spatially extended systems. The model can be solved analytically. For the case of the phi4 potential it predicts that the phase transition is shifted. This conclusion is supported by numerical simulations of this model in two dimensions.

Statistical mechanics in the extended Gaussian ensemble

The extended Gaussian ensemble (EGE) is introduced as a generalization of the canonical ensemble. This ensemble is a further extension of the Gaussian ensemble introduced by Hetherington [J. Low Temp. Phys. 66, 145 (1987)]. The statistical mechanical formalism is derived both from the analysis of the system attached to a finite reservoir and from the maximum statistical entropy principle. The probability of each microstate depends on two parameters ß and ¿ which allow one to fix, independently, the mean energy of the system and the energy fluctuations, respectively. We establish the Legendre transform structure for the generalized thermodynamic potential and propose a stability criterion. We also compare the EGE probability distribution with the q-exponential distribution. As an example, an application to a system with few independent spins is presented.

Coarsening of solid-liquid mixtures in a random acceleration field

The effects of flow induced by a random acceleration field (g-jitter) are considered in two related situations that are of interest for microgravity fluid experiments: the random motion of isolated buoyant particles, and diffusion driven coarsening of a solid-liquid mixture. We start by analyzing in detail actual accelerometer data gathered during a recent microgravity mission, and obtain the values of the parameters defining a previously introduced stochastic model of this acceleration field. The diffusive motion of a single solid particle suspended in an incompressible fluid that is subjected to such random accelerations is considered, and mean squared velocities and effective diffusion coefficients are explicitly given. We next study the flow induced by an ensemble of such particles, and show the existence of a hydrodynamically induced attraction between pairs of particles at distances large compared with their radii, and repulsion at short distances. Finally, a mean field analysis is used to estimate the effect of g-jitter on diffusion controlled coarsening of a solid-liquid mixture. Corrections to classical coarsening rates due to the induced fluid motion are calculated, and estimates are given for coarsening of Sn-rich particles in a Sn-Pb eutectic fluid, an experiment to be conducted in microgravity in the near future.

Lattice-gas model of particles with orientational and positional degrees of freedom: Mean-field treatment

We consider a lattice-gas model of particles with internal orientational degrees of freedom. In addition to antiferromagnetic nearest-neighbor (NN) and next-nearest-neighbor (NNN) positional interactions we also consider NN and NNN interactions arising from the internal state of the particles. The system then shows positional and orientational ordering modes with associated phase transitions at Tp and To temperatures at which long-range positional and orientational ordering are, respectively, lost. We use mean-field techniques to obtain a general approach to the study of these systems. By considering particular forms of the orientational interaction function we study coupling effects between both phase transitions arising from the interplay between orientational and positional degrees of freedom. In mean-field approximation coupling effects appear only for the phase transition taking place at lower temperatures. The strength of the coupling depends on the value of the long-range order parameter that remains finite at that temperature.

Fertilization with filter cake and micronutrients in plant cane

The response of sugarcane to application of micronutrients is still not very well known. In view of the need for this information, the aim of this study was to evaluate the application of the micronutrients Zn, Cu, Mn, Fe, B, and Mo to plant cane in three soils, with and without application of filter cake. This study consisted of three experiments performed in the State of São Paulo, Brazil, (in Igaraçu do Tiete, on an Oxisol; in Santa Maria da Serra, on an Entisol, both in the 2008/2009 growing season; and in Mirassol, on an Ultisol, in the 2009/2010 growing season) in a randomized block design with four replications with a 8 x 2 factorial combination of micronutrients (1 - no application/control, 2 - addition of Zn, 3 - addition of Cu, 4 - addition of Mn 5 - addition of Fe, 6 - addition of B, 7 - addition of Mo, 8 - Addition of Zn, Cu, Mn, Fe, B, and Mo) and filter cake (0 and 30 t ha-1 of filter cake) in the furrow at planting. The application of filter cake was more efficient than of Borax in raising leaf B concentration to sufficiency levels for sugarcane in the Entisol, and it increased mean stalk yield in the Oxisol. In areas without filter cake application, leaf concentrations were not affected by the application of Zn, Cu, Mn, Fe, B, and Mo in the furrow at planting; however, Zn and B induced an increase in stalk and sugar yield in micronutrient-poor sandy soil.

Electrical colonic stimulation reduces mean transit time in a porcine model.

Abstract Electrical stimulation is a new way to treat digestive disorders such as constipation. Colonic propulsive activity can be triggered by battery operated devices. This study aimed to demonstrate the effect of direct electrical colonic stimulation on mean transit time in a chronic porcine model. The impact of stimulation and implanted material on the colonic wall was also assessed. Three pairs of electrodes were implanted into the caecal wall of 12 anaesthetized pigs. Reference colonic transit time was determined by radiopaque markers for each pig before implantation. It was repeated 4 weeks after implantation with sham stimulation and 5 weeks after implantation with electrical stimulation. Aboral sequential trains of 1-ms pulse width (10 V; 120 Hz) were applied twice daily for 6 days, using an external battery operated stimulator. For each course of markers, a mean value was computed from transit times obtained from individual pig. Microscopic examination of the caecum was routinely performed after animal sacrifice. A reduction of mean transit time was observed after electrical stimulation (19 +/- 13 h; mean +/- SD) when compared to reference (34 +/- 7 h; P = 0.045) and mean transit time after sham stimulation (36 +/- 9 h; P = 0.035). Histological examination revealed minimal chronic inflammation around the electrodes. Colonic transit time measured in a chronic porcine model is reduced by direct sequential electrical stimulation. Minimal tissue lesion is elicited by stimulation or implanted material. Electrical colonic stimulation could be a promising approach to treat specific disorders of the large bowel.

Statistical dynamics of dislocation systems: The influence of dislocation-dislocation correlations.

During plastic deformation of crystalline materials, the collective dynamics of interacting dislocations gives rise to various patterning phenomena. A crucial and still open question is whether the long range dislocation-dislocation interactions which do not have an intrinsic range can lead to spatial patterns which may exhibit well-defined characteristic scales. It is demonstrated for a general model of two-dimensional dislocation systems that spontaneously emerging dislocation pair correlations introduce a length scale which is proportional to the mean dislocation spacing. General properties of the pair correlation functions are derived, and explicit calculations are performed for a simple special case, viz pair correlations in single-glide dislocation dynamics. It is shown that in this case the dislocation system exhibits a patterning instability leading to the formation of walls normal to the glide plane. The results are discussed in terms of their general implications for dislocation patterning.

Evaluation of statistical and geostatistical models of digital soil properties mapping in tropical mountain regions

Soil properties have an enormous impact on economic and environmental aspects of agricultural production. Quantitative relationships between soil properties and the factors that influence their variability are the basis of digital soil mapping. The predictive models of soil properties evaluated in this work are statistical (multiple linear regression-MLR) and geostatistical (ordinary kriging and co-kriging). The study was conducted in the municipality of Bom Jardim, RJ, using a soil database with 208 sampling points. Predictive models were evaluated for sand, silt and clay fractions, pH in water and organic carbon at six depths according to the specifications of the consortium of digital soil mapping at the global level (GlobalSoilMap). Continuous covariates and categorical predictors were used and their contributions to the model assessed. Only the environmental covariates elevation, aspect, stream power index (SPI), soil wetness index (SWI), normalized difference vegetation index (NDVI), and b3/b2 band ratio were significantly correlated with soil properties. The predictive models had a mean coefficient of determination of 0.21. Best results were obtained with the geostatistical predictive models, where the highest coefficient of determination 0.43 was associated with sand properties between 60 to 100 cm deep. The use of a sparse data set of soil properties for digital mapping can explain only part of the spatial variation of these properties. The results may be related to the sampling density and the quantity and quality of the environmental covariates and predictive models used.

Exact solution to the mean exit time problem for free inertial processes driven by Gaussian white noise

We obtain the exact analytical expression, up to a quadrature, for the mean exit time, T(x,v), of a free inertial process driven by Gaussian white noise from a region (0,L) in space. We obtain a completely explicit expression for T(x,0) and discuss the dependence of T(x,v) as a function of the size L of the region. We develop a new method that may be used to solve other exit time problems.

Scaling and data collapse for the mean exit time of asset prices

We study theoretical and empirical aspects of the mean exit time (MET) of financial time series. The theoretical modeling is done within the framework of continuous time random walk. We empirically verify that the mean exit time follows a quadratic scaling law and it has associated a prefactor which is specific to the analyzed stock. We perform a series of statistical tests to determine which kind of correlation are responsible for this specificity. The main contribution is associated with the autocorrelation property of stock returns. We introduce and solve analytically both two-state and three-state Markov chain models. The analytical results obtained with the two-state Markov chain model allows us to obtain a data collapse of the 20 measured MET profiles in a single master curve.