Market versus limit orders in an imperfectly competitive security

This paper analyzes the choice between limit and market orders in animperfectly competitive noisy rational expectations economy. There is a uniqueinsider, who takes into account the effect their trading has on prices. If theinsider behaves as a price taker, she will choose market orders if her privateinformation is very precise and she will choose limit orders otherwise. On thecontrary, if the insider recognizes and exploits her ability to affect themarket price, her optimal choice is to place limit orders whatever the precisionof her private information.

Implicit collusion on wide spreads

Recent empirical findings suggest that spreads quoted in dealershipmarkets might be uncompetitive. This paper analyzes theoretically if pricecompetition between risk--averse market--makers leaves room for implicitcollusive behavior. We compare the spread and risk--sharing efficiencyarising in several market structures differing in terms of i) the priorityrule followed in case of ties, and ii) the type of schedules market makersmay use, namely: general schedules, linear schedules, or limit orders. Ingeneral, competitive pricing does not arise in equilibrium, and there isa conflict between risk sharing efficiency and the tightness of the spread.This conflict can be mitigated by an appropriate market structure design.The limit order market is the only market structure in which the competitiveequilibrium is the unique equilibrium.

Minimum size limit for useful locomotion by free-swimming microbes

Formulas are derived for the effect of size on a free-swimming microbe’s ability to follow chemical, light, or temperature stimuli or to disperse in random directions. The four main assumptions are as follows: (i) the organisms can be modeled as spheres, (ii) the power available to the organism for swimming is proportional to its volume, (iii) the noise in measuring a signal limits determination of the direction of a stimulus, and (iv) the time available to determine stimulus direction or to swim a straight path is limited by rotational diffusion caused by Brownian motion. In all cases, it is found that there is a sharp size limit below which locomotion has no apparent benefit. This size limit is estimated to most probably be about 0.6 μm diameter and is relatively insensitive to assumed values of the other parameters. A review of existing descriptions of free-floating bacteria reveals that the smallest of 97 motile genera has a mean length of 0.8 μm, whereas 18 of 94 nonmotile genera are smaller. Similar calculations have led to the conclusion that a minimum size also exists for use of pheromones in mate location, although this size limit is about three orders of magnitude larger. In both cases, the application of well-established physical laws and biological generalities has demonstrated that a common feature of animal behavior is of no use to small free-swimming organisms.

Complex Oscillations and Limit Cycles in Autonomous Two-Component Incommensurate Fractional Dynamical Systems

MSC 2010: 26A33, 34D05, 37C25

Quasinormal modes of black holes in anti-de Sitter space: A numerical study of the eikonal limit

Using series solutions and time-domain evolutions, we probe the eikonal limit of the gravitational and scalar-field quasinormal modes of large black holes and black branes in anti-de Sitter backgrounds. These results are particularly relevant for the AdS/CFT correspondence, since the eikonal regime is characterized by the existence of long-lived modes which (presumably) dominate the decay time scale of the perturbations. We confirm all the main qualitative features of these slowly damped modes as predicted by Festuccia and Liu [G. Festuccia and H. Liu, arXiv:0811.1033.] for the scalar-field (tensor-type gravitational) fluctuations. However, quantitatively we find dimensional-dependent correction factors. We also investigate the dependence of the quasinormal mode frequencies on the horizon radius of the black hole (brane) and the angular momentum (wave number) of vector- and scalar-type gravitational perturbations.

Upper limit on the diffuse flux of ultrahigh energy tau neutrinos from the Pierre Auger Observatory

The surface detector array of the Pierre Auger Observatory is sensitive to Earth-skimming tau neutrinos that interact in Earth's crust. Tau leptons from nu(tau) charged-current interactions can emerge and decay in the atmosphere to produce a nearly horizontal shower with a significant electromagnetic component. The data collected between 1 January 2004 and 31 August 2007 are used to place an upper limit on the diffuse flux of nu(tau) at EeV energies. Assuming an E(nu)(-2) differential energy spectrum the limit set at 90% C. L. is E(nu)(2)dN(nu tau)/dE(nu) < 1: 3 x 10(-7) GeV cm(-2) s(-1) sr(-1) in the energy range 2 x 10(17) eV< E(nu) < 2 x 10(19) eV.

Perturbative finiteness of three-dimensional supersymmetric QED to all orders

Within the superfield formalism, we study the ultraviolet properties of the three-dimensional super-symmetric quantum electrodynamics. The theory is shown to be finite at all loop orders in a particular gauge.

Cavity-Controlled Collective Scattering at the Recoil Limit

We study collective scattering with Bose-Einstein condensates interacting with a high-finesse ring cavity. The condensate scatters the light of a transverse pump beam superradiantly into modes which, in contrast to previous experiments, are not determined by the geometrical shape of the condensate, but specified by a resonant cavity mode. Moreover, since the recoil-shifted frequency of the scattered light depends on the initial momentum of the scattered fraction of the condensate, we show that it is possible to employ the good resolution of the cavity as a filter selecting particular quantized momentum states.

Limit on the diffuse flux of ultrahigh energy tau neutrinos with the surface detector of the Pierre Auger Observatory

Data collected at the Pierre Auger Observatory are used to establish an upper limit on the diffuse flux of tau neutrinos in the cosmic radiation. Earth-skimming nu(tau) may interact in the Earth's crust and produce a tau lepton by means of charged-current interactions. The tau lepton may emerge from the Earth and decay in the atmosphere to produce a nearly horizontal shower with a typical signature, a persistent electromagnetic component even at very large atmospheric depths. The search procedure to select events induced by tau decays against the background of normal showers induced by cosmic rays is described. The method used to compute the exposure for a detector continuously growing with time is detailed. Systematic uncertainties in the exposure from the detector, the analysis, and the involved physics are discussed. No tau neutrino candidates have been found. For neutrinos in the energy range 2x10(17) eV < E(nu)< 2x10(19) eV, assuming a diffuse spectrum of the form E(nu)(-2), data collected between 1 January 2004 and 30 April 2008 yield a 90% confidence-level upper limit of E(nu)(2)dN(nu tau)/dE(nu)< 9x10(-8) GeV cm(-2) s(-1) sr(-1).

LIMIT THEOREMS FOR A GENERAL STOCHASTIC RUMOUR MODEL

We study a general stochastic rumour model in which an ignorant individual has a certain probability of becoming a stifler immediately upon hearing the rumour. We refer to this special kind of stifler as an uninterested individual. Our model also includes distinct rates for meetings between two spreaders in which both become stiflers or only one does, so that particular cases are the classical Daley-Kendall and Maki-Thompson models. We prove a Law of Large Numbers and a Central Limit Theorem for the proportions of those who ultimately remain ignorant and those who have heard the rumour but become uninterested in it.

Extensions of discrete triangular distributions and boundary bias in kernel estimation for discrete functions

Asymmetric discrete triangular distributions are introduced in order to extend the symmetric ones serving for discrete associated kernels in the nonparametric estimation for discrete functions. The extension from one to two orders around the mode provides a large family of discrete distributions having a finite support. Establishing a bridge between Dirac and discrete uniform distributions, some different shapes are also obtained and their properties are investigated. In particular, the mean and variance are pointed out. Applications to discrete kernel estimators are given with a solution to a boundary bias problem. (C) 2010 Elsevier B.V. All rights reserved.

What loggers leave behind: Impacts on big-leaf mahogany (Swietenia macrophylla) commercial populations and potential for post-logging recovery in the Brazilian Amazon

The sustainability of current harvest practices for high-value Meliaceae can be assessed by quantifying logging intensity and projecting growth and survival by post-logging populations over anticipated intervals between harvests. From 100%-area inventories of big-leaf mahogany (Swietenia macrophylla) covering 204 ha or more at eight logged and unlogged forest sites across southern Brazilian Amazonia, we report generally higher landscape-scale densities and smaller population-level mean diameters in eastern forests compared to western forests, where most commercial stocks survive. Density of trees >= 20 cm diameter varied by two orders of magnitude and peaked at 1.17 ha(-1). Size class frequency distributions appeared unimodal at two high-density sites, but were essentially arnodal or flat elsewhere; diameter increment patterns indicate that populations were multi- or all-aged. At two high-density sites, conventional logging removed 93-95% of commercial trees (>= 45 cm diameter at the time of logging), illegally eliminated 31-47% of sub-merchantable trees, and targeted trees as small as 20 cm diameter. Projected recovery by commercial stems during 30 years after conventional logging represented 9.9-37.5% of initial densities and was highly dependent on initial logging intensity and size class frequency distributions of commercial trees. We simulated post-logging recovery over the same period at all sites according to the 2003 regulatory framework for mahogany in Brazil, which raised the minimum diameter cutting limit to 60 cm and requires retention during the first harvest of 20% of commercial-sized trees. Recovery during 30 years ranged from approximately 0 to 31% over 20% retention densities at seven of eight sites. At only one site where sub-merchantable trees dominated the population did the simulated density of harvestable stems after 30 years exceed initial commercial densities. These results indicate that 80% harvest intensity will not be sustainable over multiple cutting cycles for most populations without silvicultural interventions ensuring establishment and long-term growth of artificial regeneration to augment depleted natural stocks, including repeated tending of outplanted seedlings. Without improved harvest protocols for mahogany in Brazil as explored in this paper, future commercial supplies of this species as well as other high-value tropical timbers are endangered. Rapid changes in the timber industry and land-use in the Amazon are also significant challenges to sustainable management of mahogany. (C) 2007 Elsevier B.V. All rights reserved.

A method to lower the detection limit for optical beat signals from a frequency-dithered stabilized laser

A narrow absorption feature in an atomic or molecular gas (such as iodine or methane) is used as the frequency reference in many stabilized lasers. As part of the stabilization scheme an optical frequency dither is applied to the laser. In optical heterodyne experiments, this dither is transferred to the RF beat signal, reducing the spectral power density and hence the signal to noise ratio over that in the absence of dither. We removed the dither by mixing the raw beat signal with a dithered local oscillator signal. When the dither waveform is matched to that of the reference laser the output signal from the mixer is rendered dither free. Application of this method to a Winters iodine-stabilized helium-neon laser reduced the bandwidth of the beat signal from 6 MHz to 390 kHz, thereby lowering the detection threshold from 5 pW of laser power to 3 pW. In addition, a simple signal detection model is developed which predicts similar threshold reductions.