Do order imbalances predict Chinese stock returns? New evidence from intraday data

In this paper we examine whether order imbalances can predict the Chinese stock market returns. We use intraday data, a panel data predictive regression model that accounts for persistent and endogenous order imbalances and cross-sectional dependence in returns, and show that order imbalances predict stock returns from 1-minute trading to 90-minute trading. On the basis of this predictability evidence using multiple trading strategies we show that profits persist during the day. These results imply that a source of Chinese market inefficiency is order imbalances.

Microstructural changes befor macroeconomic announcements: Predictability of economic surprises in the U.S. market

Flow of new information is what produces price changes, understanding if the market is unbalanced is fundamental to know how much inventory market makers should keep during an important economic release. After identifying which economic indicators impact the S&P and 10 year Treasuries. The Volume Synchronized Probability of Information-Based Trading (VPIN) will be used as a predictability measure. The results point to some predictability power over economic surprises of the VPIN metric, mainly when calculated using the S&P. This finding appears to be supported when analysing depth imbalance before economic releases. Inferior results were achieved when using treasuries. The final aim of this study is to fill the gap between microstructural changes and macroeconomic events.

The volume and volatility relation in the Australian stock market

The thesis studies the volume-volatility relation in the Australian Securities Market. It is concluded that the number of trades is the most important variable driving realized volatility. The average trade size is significant but its explanatory power is only trivial. Order imbalance does not drive volatility in the Australian market.

Initiation of trades on the Chinese stock market

The flow of orders from buyers and sellers, relative to past returns and stock characteristics, was examined in the Chinese stock market. Order imbalance (the gap between buyer-and seller-initiated trades) was found to be negatively related to long term returns. Turn of the calendar year trading provided strong indications of tax-motivated trading as well as support for the flight-to-quality hypothesis, which suggests selling in response to perceived increases in market risk.

Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

IQ Imbalance in Multiuser Systems: Channel Estimation and Compensation

In this paper, we consider the uplink of a single-cell multi-user single-input multiple-output (MU-SIMO) system with in-phase and quadrature-phase imbalance (IQI). Particularly, we investigate the effect of receive (RX) IQI on the performance of MU-SIMO systems with large antenna arrays employing maximum-ratio combining (MRC) receivers. In order to study how IQI affects channel estimation, we derive a new channel estimator for the IQI-impaired model and show that the higher the value of signal-to-noise ratio (SNR) the higher the impact of IQI on the spectral efficiency (SE). Moreover, a novel pilot-based joint estimator of the augmented MIMO channel matrix and IQI coefficients is described and then, a low-complexity IQI compensation scheme is proposed which is based on the
IQI coefficients’ estimation and it is independent of the channel gain. The performance of the proposed compensation scheme is analytically evaluated by deriving a tractable approximation of the ergodic SE assuming transmission over Rayleigh fading channels with large-scale fading. Furthermore, we investigate how many MSs should be scheduled in massive multiple-input multiple-output (MIMO) systems with IQI and show that the highest SE loss occurs at the optimal operating point. Finally,
by deriving asymptotic power scaling laws, and proving that the SE loss due to IQI is asymptotically independent of the number of BS antennas, we show that massive MIMO is resilient to the effect of RX IQI.

Application of the Lighthill-Ford theory of spontaneous imbalance to clear-air turbulence forecasting

A new method of clear-air turbulence (CAT) forecasting based on the Lighthill–Ford theory of spontaneous imbalance and emission of inertia–gravity waves has been derived and applied on episodic and seasonal time scales. A scale analysis of this shallow-water theory for midlatitude synoptic-scale flows identifies advection of relative vorticity as the leading-order source term. Examination of leading- and second-order terms elucidates previous, more empirically inspired CAT forecast diagnostics. Application of the Lighthill–Ford theory to the Upper Mississippi and Ohio Valleys CAT outbreak of 9 March 2006 results in good agreement with pilot reports of turbulence. Application of Lighthill–Ford theory to CAT forecasting for the 3 November 2005–26 March 2006 period using 1-h forecasts of the Rapid Update Cycle (RUC) 2 1500 UTC model run leads to superior forecasts compared to the current operational version of the Graphical Turbulence Guidance (GTG1) algorithm, the most skillful operational CAT forecasting method in existence. The results suggest that major improvements in CAT forecasting could result if the methods presented herein become operational.

Analysis and compensation of I/Q imbalance in MIMO transmit-receive diversity systems

In wireless communication systems, all in-phase and quadrature-phase (I/Q) signal processing receivers face the problem of I/Q imbalance. In this paper, we investigate the effect of I/Q imbalance on the performance of multiple-input multiple-output (MIMO) maximal ratio combining (MRC) systems that perform the combining at the radio frequency (RF) level, thereby requiring only one RF chain. In order to perform the MIMO MRC, we propose a channel estimation algorithm that accounts for the I/Q imbalance. Moreover, a compensation algorithm for the I/Q imbalance in MIMO MRC systems is proposed, which first employs the least-squares (LS) rule to estimate the coefficients of the channel gain matrix, beamforming and combining weight vectors, and parameters of I/Q imbalance jointly, and then makes use of the received signal together with its conjugation to detect the transmitted signal. The performance of the MIMO MRC system under study is evaluated in terms of average symbol error probability (SEP), outage probability and ergodic capacity, which are derived considering transmission over Rayleigh fading channels. Numerical results are provided and show that the proposed compensation algorithm can efficiently mitigate the effect of I/Q imbalance.

Analysis and compensation for the joint effects of HPA nonlinearity, I/Q imbalance and crosstalk in MIMO beamforming systems

In this paper, we investigate the joint effects of high-power amplifier (HPA) nonlinearity, in-phase/quadrature-phase (I/Q) imbalance and crosstalk, on the performance of multiple-input multiple-output (MIMO) transmit beamforming (TB) systems, and propose a compensation method for the three impairments together. The performance of the MIMO TB system equipped with the proposed compensation scheme is evaluated in terms of average symbol error probability and capacity when transmissions are performed over uncorrelated Rayleigh fading channels. Numerical results are provided and show the effects on performance of several system parameters, namely, the HPA parameters, image-leakage ratio, crosstalk, numbers of antennas, length of pilot symbols and phase-shift keying modulation order.

Compensation for HPA nonlinearity and I/Q imbalance in MIMO beamforming systems

In this paper, we investigate the effects of high-power amplifier (HPA) nonlinearity and in-phase and quadrature-phase (I/Q) imbalance on the performance of multiple-input multiple-output (MIMO) transmit beamforming (TB) systems. Specifically, we propose a compensation method for HPA nonlinearity and I/Q imbalance together in MIMO TB systems. The performance of the MIMO TB system under study is evaluated in terms of the average symbol error probability (SEP) and system capacity, considering transmission over uncorrelated frequency-flat Rayleigh fading channels. Numerical results are provided and show the effects of several system parameters, such as the HPA parameters, image-leakage ratio, numbers of transmit and receive antennas, length of pilot symbols, and modulation order of phase-shift keying (PSK), on performance.

On the effect of I/Q imbalance on MIMO transmit-receive diversity systems

In practice, all I/Q signal processing receivers face the problem of I/Q imbalance. In this paper, we investigate the effect of I/Q imbalance on the performance of MIMO maximal ratio combining (MRC) systems that perform the combining at the radio frequency (RF) level, thereby requiring only one RF chain. Based on a system modeling that takes the I/Q imbalance into account, we evaluate the performance in terms of average symbol error probability (SEP), outage probability and system capacity, which are derived considering transmission over uncorrelated Rayleigh fading channels. Numerical results are provided to illustrate the effects of system parameters, such as the image- leakage ratio, numbers of transmit and receive antennas, and modulation order of quadrature amplitude modulation (QAM), on the system performance.

Parameter estimation of one-class SVM on imbalance text classification

Compared with conventional two-class learning schemes, one-class classification simply uses a single class for training purposes. Applying one-class classification to the minorities in an imbalanced data has been shown to achieve better performance than the two-class one. In this paper, in order to make the best use of all the available information during the learning procedure, we propose a general framework which first uses the minority class for training in the one-class classification stage; and then uses both minority and majority class for estimating the generalization performance of the constructed classifier. Based upon this generalization performance measurement, parameter search algorithm selects the best parameter settings for this classifier. Experiments on UCI and Reuters text data show that one-class SVM embedded in this framework achieves much better performance than the standard one-class SVM alone and other learning schemes, such as one-class Naive Bayes, one-class nearest neighbour and neural network.

Compositional nutrient diagnosis of corn using the Mahalanobis distance as nutrient imbalance index

Parent, L. E., Natale, W. and Ziadi, N. 2009. Compositional nutrient diagnosis of corn using the Mahalanobis distance as nutrient imbalance index. Can. J. Soil Sci. 89: 383-390. Compositional nutrient diagnosis (CND) provides a plant nutrient imbalance index (CND - r(2)) with assumed chi(2) distribution. The Mahalanobis distance D(2), which detects outliers in compositional data sets, also has a chi(2) distribution. The objective of this paper was to compare D(2) and CND - r(2) nutrient imbalance indexes in corn (Zea mays L.). We measured grain yield as well as N, P, K, Ca, Mg, Cu, Fe, Mn, and Zn concentrations in the ear leaf at silk stage for 210 calibration sites in the St. Lawrence Lowlands [2300-2700 corn thermal units (CTU)] as well as 30 phosphorus (2300-2700 CTU; 10 sites) and 10 nitrogen (1900-2100 CTU; one site) replicated fertilizer treatments for validation. We derived CND norms as mean, standard deviation, and the inverse covariance matrix of centred log ratios (clr) for high yielding specimens (>= 9.0 Mg grain ha(-1) at 150 g H(2)O kg(-1) moisture content) in the 2300-2700 CTU zone. Using chi(2) = 17 (P < 0.05) with nine degrees of freedom (i.e., nine nutrients) as a rejection criterion for outliers and a yield threshold of 8.6 Mg ha(-1) after Cate-Nelson partitioning between low- and high-yielders in the P validation data set, D(2) misclassified two specimens compared with nine for CND -r(2). The D(2) classification was not significantly different from a chi(2) classification (P > 0.05), but the CND - r(2) classification differed significantly from chi(2) or D(2) (P < 0.001). A threshold value for nutrient imbalance could thus be derived probabilistically for conducting D(2) diagnosis, while the CND - r(2) nutrient imbalance threshold must be calibrated using fertilizer trials. In the proposed CND - D(2) procedure, D(2) is first computed to classify the specimen as possible outlier. Thereafter, nutrient indices are ranked in their order of limitation. The D(2) norms appeared less effective in the 1900-2100 CTU zone.

Overcommitment but not effort-reward imbalance relates to stress-induced coagulation changes in teachers

BACKGROUND: Stress-related hypercoagulability might link job stress with atherosclerosis. PURPOSE: This paper aims to study whether overcommitment, effort-reward imbalance, and the overcommitment by effort-reward imbalance interaction relate to an exaggerated procoagulant stress response. METHODS: We assessed job stress in 52 healthy teachers (49 +/- 8 years, 63% women) at study entry and, after a mean follow-up of 21 +/- 4 months, when they underwent an acute psychosocial stressor and had coagulation measures determined in plasma. In order to increase the reliability of job stress measures, entry and follow-up scores of overcommitment and of effort-reward imbalance were added up to total scores. RESULTS: During recovery from stress, elevated overcommitment correlated with D-dimer increase and with smaller fibrinogen decrease. In contrast, overcommitment was not associated with coagulation changes from pre-stress to immediately post-stress. Effort-reward imbalance and the interaction between overcommitment and effort-reward imbalance did not correlate with stress-induced changes in coagulation measures. CONCLUSIONS: Overcommitment predicted acute stress-induced hypercoagulability, particularly during the recovery period.

Massive MIMO with I/Q imbalance: Performance analysis and compensation

In this paper, we consider the uplink of a single-cell massive multiple-input multiple-output (MIMO) system with inphase and quadrature-phase imbalance (IQI). This scenario is of particular importance in massive MIMO systems, where the deployment of lower-cost, lower-quality components is desirable to make massive MIMO a viable technology. Particularly, we investigate the effect of IQI on the performance of massive MIMO employing maximum-ratio combining (MRC) receivers. In order to study how IQI affects channel estimation, we derive a new channel estimator for the IQI-impaired model and show that IQI can substantially downgrade the performance of MRC receivers. Moreover, a low-complexity IQI compensation scheme, suitable for massive MIMO, is proposed which is based on the IQI coefficients' estimation and it is independent of the channel gain. The performance of the proposed compensation scheme is analytically evaluated by deriving a tractable approximation of the ergodic achievable rate and providing the asymptotic power scaling laws assuming transmission over Rayleigh fading channels with log-normal large-scale fading. Finally, we show that massive MIMO effectively suppresses the residual IQI effects, as long as, the compensation scheme is applied.