Order Flow Research Articles

Spontaneous symmetry breaking in two dimensions under non-equilibrium laminar flows

Abstract We study the long-range order in two dimensions, where an order parameter is advected by laminar flows such as rotational, shear and elongational flows. Under these flows, we analyze the ordered state of the O(N) scalar model in the large-N limit. We show that the stability of the ordered state depends on the flow pattern; shear and elongational flows stabilize the long-range order but rotational flow does not. We discuss the physical mechanism underlying our results by connecting static correlations between fluctuations and their dynamics based on the interaction representation used in quantum mechanics. We find that advective transport induces superdiffusion under shear and elongational flows, thereby stabilizing the long-range order.

Social movements boosted online orders for US Black-owned restaurants after the murder of George Floyd.

We use the rise of Black Lives Matter and the sentiment of racial sympathy to examine the interplay between the social movement and citizens' sympathetic actions in supporting Black people. Using detailed food order flow information from one of the largest online food delivery platforms in the USA, we find that the total number of food orders from Black-owned restaurants increased by 39% relative to nearby non-Black-owned restaurants in the 140 days following the murder of George Floyd on the basis of a difference-in-difference model. The platform company's strategic traffic allocation acted as an accelerator, enhancing the sympathetic responses of individuals, but it did not drive the entire surge in food orders. Protests resulting in severe injuries and those linked to demands for defunding the police diminished the positive sympathetic responses, highlighting a potential risk associated with protests. Our study provides large-scale, micro-level evidence that social movements and increased sympathy can foster collective actions to support marginalized communities.

Significance of heat transfer in a reversible esterification of Arrhenius activation energy with partial slip

The significance of heat transfer during a reversible esterification process in a magnetohydrodynamic boundary layer Casson fluid flow along a vertical stretching plate is examined. The multi-slip conditions are considered in a porous medium. The presence of chemical process requiring an activation energy is considered in the analysis. The study also investigates the hydromagnetic boundary layer Casson fluid flow alongwith partial slip conditions across a vertical stretching plate. The incorporation of multi-slip constraints in a porous medium, alongside magnetic fields and other parameters, highlights its relevance in diverse engineering fields such as thermal engineering, polymerization, and biodiesel industries. Understanding the characteristics of such fluids under complex conditions is vital for optimizing heat and mass transfer in industrial applications, making this investigation timely and valuable. The nonlinear differential set of equations are solved numerically involving Runge Kutta based shooting approach of fourth order and the results are verified with the bvp4c tool and the findings are explored using graphical plots. The predominance of significant factors on flow configurations are analyzed and presented in graphs and tables. A comprehensive analysis is provided on the effects on velocity, concentration, and temperature of diverse parameters such as reaction rate constant, magnetic parameter, suction parameter, mass Grashof number, Prandtl number, Casson parameter, thermal radiation parameter and slip parameters. The tabular representation of the adverse effects of drag coefficient, rate of mass transfer and Nusselt number on flow configurations for various significant parameters is presented. It is inferred that for the case of reversible and irreversible flows, the shear stress rate escalates by 29% when the magnetic parameter elevates from 0.5 to 1.5 and about 35% when the Casson parameter elevates from 0.5 to 1.5. For the suction parameter, the coefficient of drag increased by 27% and 26% for irreversible and reversible flows respectively. When the reaction rate increases from 0.5 to 1.5, the rate of shear stress elevates by 0.5% and 0.02% for irreversible and reversible flows in order. The Nusselt number decreased about 7% and 8% when the magnetic parameter and Casson parameter rises from 0.5 to 1.5 respectively, for irreversible and reversible flows. It is noteworthy that the previous studies are in precise agreement with the present investigation.

Study on heat transfer and flow of molten pool during the deposition process of laser wire additive manufacturing

In the laser wire additive manufacturing process, the molten pool acts as the critical link between the wire and the deposited part. The heat transfer and flow behavior within the molten pool predominantly determine the quality of the final deposition. Under laser power ranging from 2400 to 3000 W, traverse speeds between 0.01 and 0.04 m/s, and wire feeding speeds from 0.03 to 0.08 m/s, three distinct flow states—single-swirl, double-swirl, and no-swirl—were observed with increasing heat input. Under the optimum process parameters, the molten pool with stable temperature distribution and orderly flow was obtained. In multilayer deposition, the implementation of a laser decay strategy mitigates steep temperature gradients, diminishes the Marangoni effect within the molten pool, and effectively reduces both heat accumulation and lateral flow. Consequently, the flow mode transitions from no-swirl to swirl, and the maximum flow velocity decreases by 40%.

Trading Volume Shares and Market Quality: Pre- and Post- Zero Commissions

After the adoption of zero-commissions by major brokers, they increasingly route orders to wholesale market makers to possibly earn payment for order flow given the loss of commissions. Retail investors assets held by zero-commission and commission-charging brokers increase 7% and decrease 9%, respectively. Retail investors earn less price improvement per share and submit more orders and smaller orders. Effective spreads decline because retail limit prices are increasingly posted within the bid-ask spread. Intraday volatility increases and price impact falls, as orders become more uninformed, while realized spreads remain unchanged.

Device for preventing the formation of liquid plugs in a gas collection system or in a non-straight gas well

Relevance. Almost all gas fields, both in Russia and in the world, are developed under water-pressure conditions, which means that sooner or later the field operator is faced with the problem of well watering and liquid accumulation at their bottom. The control methods proposed at this stage of development of science and technology and the useful models and inventions applied for this, although they show their effectiveness in removing droplet liquid from the production wellbore, do not contribute to the further advancement of the removed fluid through the system for collecting and preparing products. Because of this fact, a number of problems arise, for example, the formation of local resistance in the form of ice or hydrate plugs, the cause of which is the fluid removed from the wellbore. Aim. Development of a universal device that can be used both in the production collection and preparation system and inside production wells, capable of injecting produced water into the gas flow in order to prevent the formation of “stagnant zones” of liquid. Objects. Flooded gas wells, the gas pressure in which is not enough to remove droplet liquid from the wellbore or transport this liquid to the place of product preparation. Methods. Assessment and analysis of existing devices to prevent the formation of liquid plugs in a gas collection system, identifying their main shortcomings, as well as mathematical modeling of the proposed model, in which these shortcomings are eliminated. Results and conclusions. The paper introduces a brief description of the problem under study and studies and discusses the main methods of preventing the formation of liquid plugs, used in gas fields both in Russia and in other countries. The authors have proposed the design of a universal device, which is devoid of the main identified disadvantages of analogue devices, and carried out its simplified mathematical calculation.

Does maker-taker limit order subsidy improve market outcomes? Quasi-natural experimental evidence

We provide a new theory of exchange access fees that explains why fees relatively reduce the probability of execution and increase the limit order queue length on “maker-taker” platforms. Nonetheless, the limit order subsidy greatly improves market depth, together with market efficiency and trading volume. Moreover, fee structures never “wash out” regardless of the minimum tick. The regulatory requirement that trading and order flow depend only on raw (nominal) spreads and prices underpins the multi-billion-dollar subsidy to limit orders. So long as a platform remains competitive, elimination of the fee structure does not alter the raw spread, but it does lower the cum fee spread. We test these implications with a unilateral maker-taker fee/rebate reduction using NASDAQ's “quasi-natural” $1.9 trillion experiment to find support for our theory.

Securities Markets in Which Some Investors Receive Information About Cash Flow Betas

We analyze a single-factor setting in which there is private information regarding cash flows as well as their betas. Private information about betas, together with market makers’ risk aversion and mean betas’ nonnegativity, implies a nonlinear price schedule whose stochastic slope covaries positively with order flow when the expected factor payoff is positive and vice versa. We predict a negative relation between the covariance and expected returns and an attenuation of the beta anomaly in asset returns after accounting for this relation. Empirical tests confirm these predictions. This paper was accepted by Lukas Schmid, finance. Funding: L. Yang acknowledges the Social Sciences and Humanities Research Council of Canada [Grant 435-2021-0040] and Bank of Canada Fellowship for financial support. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.02061 .

The determinants of predatory trading: experimental evidence

We investigate the level and determinants of front-running in an experimental asset market game. Participants receive perfect signals about future order-flow that can be exploited to manipulate prices and generate profits. We quantify the changes in front-running activity as we vary the direction, concentration, and noise level of the scheduled order flow. Front-running activity increases with larger, more concentrated, or buy-side anticipated future orders and decreases with noise. Our findings suggest that the inclusion of a large stock in an index should be done in multiple stages to reduce the trading cost of passive investors tracking the index.

Insider trading in discrete time Kyle games

AbstractWe present a new discrete time version of Kyle’s (Econometrica 53(6):1315–1335, 1985) classic model of insider trading, formulated as a generalised extensive form game. The model has three kinds of traders: an insider, random noise traders, and a market maker. The insider aims to exploit her informational advantage and maximise expected profits while the market maker observes the total order flow and sets prices accordingly. First, we show how the multi-period model with finitely many pure strategies can be reduced to a (static) social system in the sense of Debreu (Proc Natl Acad Sci 38(10):886–893, 1952) and prove the existence of a sequential Kyle equilibrium, following Kreps and Wilson (Econometrica 50(4):863–894, 1982). This works for any probability distribution with finite support of the noise trader’s demand and the true value, and for any finite information flow of the insider. In contrast to Kyle (1985) with normal distributions, equilibria exist in general only in mixed strategies and not in pure strategies. In the single-period model we establish bounds for the insider’s strategy in equilibrium. Finally, we prove the existence of an equilibrium for the game with a continuum of actions, by considering an approximating sequence of games with finitely many actions. Because of the lack of compactness of the set of measurable price functions, standard infinite-dimensional fixed point theorems are not applicable.

Development of hard X-ray photoelectron spectroscopy in liquid cells using optimized microfabricated silicon nitride membranes.

We present first hard X-ray photoelectron spectroscopy (HAXPES) results of aqueous salt solutions and dispersions of gold nanoparticles in liquid cells equipped with specially designed microfabricated thin silicon nitride membranes, with thickness in the 15-25 nm range, mounted in a high-vacuum-compatible environment. The experiments have been performed at the HAXPES endstation of the GALAXIES beamline at the SOLEIL synchrotron radiation facility. The low-stress membranes are fabricated from 100 mm silicon wafers using standard lithography techniques. Platinum alignment marks are added to the chips hosting the membranes to facilitate the positioning of the X-ray beam on the membrane by detecting the corresponding photoemission lines. Two types of liquid cells have been used, a static one built on an Omicron-type sample holder with the liquid confined in the cell container, and a circulating liquid cell, in which the liquid can flow in order to mitigate the effects due to beam damage. We demonstrate that the membranes are mechanically robust and able to withstand 1 bar pressure difference between the liquid inside the cell and vacuum, and the intense synchrotron radiation beam during data acquisition. This opens up new opportunities for spectroscopic studies of liquids.

Integrable flows on null curves in the Anti-de Sitter 3-space

Abstract We formulate integrable flows related to the Korteweg–De Vries (KdV) hierarchy on null curves in the anti-de Sitter 3-space ( AdS ). Exploiting the specific properties of the geometry of AdS , we analyze their interrelationships with Pinkall flows in centro-affine geometry. We show that closed stationary solutions of the lower order flow can be explicitly found in terms of periodic solutions of a Lamé equation. In addition, we study the evolution of non-stationary curves arising from a 3-parameter family of periodic solutions of the KdV equation.

Research on the Impact of Labor Resource Allocation on Green Technology Innovation

Facing increasingly severe environmental pollution and resource scarcity, China has accelerated its pace of green and low-carbon transformation. Green technological innovation helps economic development by reducing ecological pollution and lowering resource consumption. As an important factor of production for social development, the labor force plays a very significant role in optimizing the economic development structure of our country and achieving high-quality leapfrog development. This article explores the relationship between the allocation of labor resources and green technology innovation based on the aforementioned practical motivations, from both theoretical mechanisms and empirical perspectives. Using provincial panel data from China between 2000 and 2021, a spatial Durbin model was constructed to empirically test the spatial spillover effects of labor resource allocation on green technology innovation and to draw relevant conclusions. Subsequently, to further investigate the heterogeneous impact of labor resource allocation on green technology innovation, China was divided into three major regions—eastern, central, and western—and empirical model tests were conducted on separate samples. The following conclusions have been drawn: Over time, during the 22 years from 2000 to 2021, China's overall labor resource allocation has shown an overall upward trend; China's green technology innovation capability has significantly improved, but regional development is uneven, with a large gap in development between the eastern, central, and western regions; through the study of the spatial Durbin model on the impact of labor resource allocation efficiency on green technology innovation, the results indicate that labor resource allocation has a significant main effect and spillover effect on green technology innovation, meaning that the improvement in labor resource allocation efficiency will promote the increase in the level of local green technology innovation, while the decline in labor resource allocation efficiency will inhibit the increase in the level of local green technology innovation; the impediment effect of the decline in labor resource allocation efficiency on regional green technology innovation varies significantly across different regions, with the central region being the most prominent, followed by the western region, and then the eastern region. Based on the conclusions, the following suggestions are made: Regions should strengthen cooperation and exchanges to promote the coordinated development of green technology innovation. Eastern provinces and cities with a higher level of green technology innovation should lead the surrounding provinces and cities with weaker development, actively engage in cooperation and exchanges in infrastructure and green technology, and establish a more orderly and open green technology trading market, thereby promoting the coordinated development of green technology innovation between regions; adopt market-oriented approaches to remove barriers to the autonomous and orderly flow of labor factors. Give the market a decisive role in resource allocation, reasonably play the role of the government, promote the rational and orderly flow of capital and labor resources between regions, and improve the efficiency of resource allocation.

Assessing and Implementing Efficient Queuing Methods to Address Traffic Congestion at Shekhi-Choli Intersection in Erbil City

Queuing theory is the best way for estimating waiting lines for many phenomena in different fields. Queuing models are used to make decisions on determining the traffic flow in order to avoid congestions in the streets; therefore, it is a useful tool for resolving these issues, which is the objective of this paper. The intersection of Shekhi-Choli in Erbil was undertaken to determine the appropriate queuing models for incoming street lines at the intersection, as well as to solve the problem of a constrained queuing line with excessive wait durations. This intersection is important because it connects three roads that provide access to and from Erbil's big bazaar. Data were obtained from the chosen intersection for 12 days from 3 to 5 PM daily. EasyFit software version 5.4 and TORA software version 2 were used to analyze the data. The primary performance metrics were identified, and optimal queuing models were chosen to service drivers. The empirical distribution of automobile arrivals and departures is a Poisson distribution, with traffic intensities of 92%, 88%, and 80% for the first line (Barzani Namr str.), second line (Shekhi Choli str.), and last line (Sultan Muzaffar str.), respectively. Queuing models involve key features, such as population size, queuing discipline (SIRO, LCFS, FCFS, GD), arrival process, waiting process, and service channels. The Shekhi-Choli Intersection's current queuing scheme to service drivers is (M/M/1):(FCFS/∞/∞) model. As a result, the Erbil traffic police division must decide to provide suitable instruction for the first and second lines in order to minimize driver waiting time. To obtain more reliable information and findings, new studies should be conducted on the same site for three periods of time (morning, afternoon, and evening), in addition to other crowded intersections in Erbil city.

Modeling and Optimization of Wet ALE Process

Wet ALE (atomic layer etch) processes are emerging as an important alternative to standard ALE processes in semiconductor manufacturing. Here we present a model for simulating an idealized wet ALE process that includes both chemical reactions and liquid flow in order to predict the amount of material etch, how much of the etching is true ALE vs continuous etch, and its uniformity across the wafer. This model is applied to both a simple test flow cell and flow across a spinning wafer in a typical wet single wafer process. Results show that etch amount and uniformity depends on timing of the dispense steps, flow parameters, and the kinetics of the specific chemical reactions.

�Microstructure Modes� � Disentangling the Joint Dynamics of Prices & Order Flow

�Microstructure Modes� � Disentangling the Joint Dynamics of Prices & Order Flow

A Bayesian theory of market impact

Abstract The available liquidity at any time in financial markets falls largely short of the typical size of the orders that institutional investors would trade. In order to reduce the impact on prices due to the execution of large orders, traders in financial markets split large orders into a series of smaller ones, which are executed sequentially. The resulting sequence of trades is called a meta-order. Empirical studies have revealed a non-trivial set of statistical laws on how meta-orders affect prices, which include (i) the square-root behaviour of the expected price variation with the total volume traded, (ii) its crossover to a linear regime for small volumes and (iii) a reversion of average prices towards its initial value, after the sequence of trades is over. Here we recover this phenomenology within a minimal theoretical framework where the market sets prices by incorporating all information on the direction and speed of trade of the meta-order in a Bayesian manner. The simplicity of this derivation lends further support to the robustness and universality of market impact laws. In particular, it suggests that the square-root impact law originates from over-estimation of order flows originating from meta-orders.

Second order and transverse flow visualization through three-dimensional particle image velocimetry in millimetric ducts

Despite recent advances in 3D particle image velocimetry (PIV), challenges remain in measuring small-scale 3D flows, in particular flows with large dynamic range. This study presents a scanning 3D-PIV system tailored for oscillatory flows, capable of resolving transverse flows less than a percent of the axial flow amplitude. The system was applied to visualize transverse flows in millimetric straight, toroidal, and twisted ducts. Two PIV analysis techniques, stroboscopic and semi-Lagrangian PIV, enable the quantification of net motion as well as time-resolved axial and transverse velocities. The experimental results closely align with computational fluid dynamics (CFD) simulations performed in a digitized representation of the experimental model. The proposed method allows the examination of periodic flows in systems down to microscopic scale and is particularly well-suited for applications that cannot be scaled up due to their complex, multi-physics nature.

The information content of retail order flow: Evidence from fragmented markets

We examine the information content of off-exchange retail order flow relative to off-exchange institutional and on-exchange order flow. We use alternative sources of retail order identification and account for the fact that market opacity affects the order routing choices of both institutions and the brokers who sell retail orders. After controlling for volume effects, we find that retail order flow is more informed than off-exchange institutional order flow. Off-exchange price discovery comes mostly from retail order flow. However, on days with greater Robinhood activity, the information content of retail order flow drops. Our results reconcile some mixed findings in this literature.

An unbounded intensity model for point processes

We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a short time interval is negligible, the bursting intensity causes an extreme clustering of events around the singularity. We propose a nonparametric approach to detect such bursts in the intensity. It relies on a heavy traffic condition, which admits inference for point processes over a finite time interval. With Monte Carlo evidence, we show that our testing procedure exhibits size control under the null, whereas it has high rejection rates under the alternative. We implement our approach on high-frequency data for the EUR/USD spot exchange rate, where the test statistic captures abnormal surges in trading activity. We detect a nontrivial amount of intensity bursts in these data and describe their basic properties. Trading activity during an intensity burst is positively related to volatility, illiquidity, and the probability of observing a drift burst. The latter effect is reinforced if the order flow is imbalanced or the price elasticity of the limit order book is large.