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Peter Lerner

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Papers by Peter Lerner

A New Entropic Measure for the Causality of the Financial Time Series

Journal of Risk and Financial Management

A new econometric methodology based on deep learning is proposed for determining the causality of... more A new econometric methodology based on deep learning is proposed for determining the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks and also in exchange-traded funds (ETFs) with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than transaction imbalances in the entire market despite the domination of single-issue stocks in imbalance messages.

Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010

Mathematics

This paper proposes and motivates a dynamical model of the Chinese stock market based on linear r... more This paper proposes and motivates a dynamical model of the Chinese stock market based on linear regression in a dual state-space connected to the original state-space of correlations between the volume-at-price buckets by a Fourier transform. We apply our model to the price migration of orders executed by Chinese brokerages in 2009–2010. We use our brokerage tapes to conduct a natural experiment assuming that tapes correspond to randomly assigned, informed, and uninformed traders. Our analysis demonstrates that customers’ orders were tightly correlated—in the highly nonlinear sense of prediction by the neural networks—with Chinese market sentiment, significantly correlated with the returns of the Chinese stock market, and exhibited no correlations with the yield of the bellwether bond of the Bank of China. We did not notice any spike of illiquidity transmitting from the US Flash Crash in May 2010 to trading in China.

The market drives ETFs or ETFs the market: causality without Granger

SSRN Electronic Journal, 2022

This paper develops a deep learning-based econometric methodology to determine the causality of t... more This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks, as well as the ETFs reported to SEC with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than the transaction imbalances in the entire market. Characteristically, a sheer number of imbalance messages related to the individual stocks dominates the imbalance messages due to the ETF in the proportion of 8:1.

Monte carlo simulations of carrier transport in diamond and GaN thin films: The effect of dislocations and electron interactions

10th International Conference on Vacuum Microelectronics, 1997

ABSTRACT Not Available

Stimulated thermal scattering of laser light at an exothermal reaction front in a dielectric gas waveguide

Investigation of 1998 'Russian Contagion' for the Hungary-Germany Pair of Interest Rates in a Reduced-Form Model

In this paper I use a reduced-form, tree-based model to fit the term structure for the AAA-rated ... more In this paper I use a reduced-form, tree-based model to fit the term structure for the AAA-rated (German) and risky (Hungarian; spread 120-140 bp) bonds in the 2-month period immediately preceding Aug. 1998 Russian default. The term structure was optimized by the stochastic, derivatives-free algorithm with accuracy typically better than 1% for risk-free and 1.5% for risky rates for all maturities. This study was motivated by the desire to observe contagion, because the default was such a momentous event for emerging-market finance, far exceeding the significance of Russian economy for the world markets in 1998. Both Germany and Hungary at the time were heavily exposed to the Russian market, Germany, in particular, as Russia's largest creditor. Moreover, the dynamics of Hungarian interest rates was closely following German rates (the coefficient of correlation ≥ 0.8). Despite an obvious strain on Russian finances, which was obvious to German holders of Russian debt well before Au...

Microstructure and Noise in Financial Markets

Market microstructure is a discipline studying the features of the financial markets, which are t... more Market microstructure is a discipline studying the features of the financial markets, which are the result of deliberate design as well as economic laws and technological infrastructure. It has recently increased in importance because of the propagation of programmatic trading and the proliferation of ever more sophisticated financial fraud. My book deals with the subject of microstructure of financial markets not as a collection of miscellaneous results but as a connection between few underlying ideas. These ideas concern the formation of the bid-ask spread as a result of information asymmetry, order processing and inventory maintenance and consequent bid-ask bounce, the influence of frictions on volatility and the relationship between natural (continuous) and transaction (discrete) time. Empirical examples involve event studies of the developed (NYSE, Nasdaq) as well as emerging markets such as Russian sovereign bond market in the late 90s and Venezuelan short-term debt.

Transmission of Trading Orders through Communication Line with Relativistic Delay

International Journal of Financial Studies, 2021

The notion of “relativistic finance” became ingrained in the public imagination and has been asse... more The notion of “relativistic finance” became ingrained in the public imagination and has been asserted in many mass-media reports. However, despite an observed drive of the most reputable Wall Street firms to establish their servers ever closer to the trading hubs, there is surprisingly little concrete information related to the relativistic delay of the trading orders. There is an underlying assumption that faster electronics are always beneficial to the stability of the network. In this paper, the author proposes a modified M/M/G queue theory to describe the propagation of the trading signal with finite velocity. Based on this theory, we demonstrate that, even if the reaction time of the system is negligible, the propagating signal is distorted by simple acts of trading along the transmission line.

Model calculations of internal field emission and J–V characteristics of a composite n-Si and N–diamond cold cathode source

Journal of Vacuum Science & Technology B: Microelectronics and Nanometer Structures Processing, Measurement, and Phenomena, 1998

A model to describe internal field emission through the interface between highly n-doped Si and n... more A model to describe internal field emission through the interface between highly n-doped Si and nitrogen (N)-doped diamond is presented. We describe the roughness on the Si surface as a collection of sharp, spherically pointed Si asperities embedded in the diamond film. These “tips” provide enhancement of the applied electric field, which, in conjunction with the high N doping of diamond, results in the formation of a Schottky barrier which allows for tunneling or internal field emission from the Si into the conduction band of diamond. This enhanced electric field is also sufficient to induce valence band tunneling from the Si into the diamond conduction band. In our model limitations on the field mediated transport of holes from the n-doped Si/diamond interface to the cathode base leads to charging of the Si asperities. This charge accumulation results in band bending in Si and a significant reduction in the valence band current. The calculated J–V characteristics for the internal ...

Hot electron and quasiballistic transport of nonequilibrium electrons in diamond thin films

Journal of Vacuum Science & Technology B: Microelectronics and Nanometer Structures Processing, Measurement, and Phenomena, 1997

A molecular dynamics simulation of conduction-band transport in diamond has been carried out that... more A molecular dynamics simulation of conduction-band transport in diamond has been carried out that combines classical propagation of electrons with choice of scattering events determined by a Monte Carlo algorithm using quantum mechanical rates. The high-field regime is dominated by hot optical phonon scattering for n⩽1019 cm−3 and by electron–plasmon emission for higher electron concentrations. Electron–electron and electron–hole binary processes do not significantly influence the transport characteristics but extend the high-energy tail and asymmetry of the electron distribution, making it more “Maxwellian.” The results demonstrate the possibility of achieving quasiballistic transport in thin diamond films with a significant portion of the field energy imparted to the electrons at high fields (F≈102 V/μm) and electron concentrations up to n≈1018 cm−3.

Informational Criteria for Positive and Negative Bubbles: An Experiment in Forensic Finance

SSRN Electronic Journal, 2015

The notion of bubbles is ubiquitous in the public discussion of finance. Yet, the empirical disco... more The notion of bubbles is ubiquitous in the public discussion of finance. Yet, the empirical discovery of bubbles is notoriously difficult. The main shortcoming of the current approaches is that they rely on the estimation of the “fundamental value of an asset”, which is hard to estimate and interpret. In 2006-2007, Jarrow, Protter and Shimbo (JPS) proposed another approach to bubbles, one, which does not rely on the notion of the fundamental value of an asset. In 2008, the author developed two hypotheses (or theorems) connecting the JPS approach with the serial correlations in returns of specially designed assets. These hypotheses were tested by the author on a proverbial example of the Nasdaq index in 1999-2001 — the time of a hypothetical dot-com bubble. By this work, I continue this study by applying informational criteria to the cases of a sharp drop in oil prices in the end of 1980s and the beginning of 1990s. The sharp drop in oil prices can indicate unknown fundamental factors in oil prices, or a negative bubble. While the application of JPS theory to negative bubbles is tenuous, a sheer possibility that the subject of a negative bubble can be empirically studied for commodities, offers a fascinating glimpse into the market behavior.

Terrorism as a Corporate Governance Problem

SSRN Electronic Journal, 2012

In this paper I formulate hypothesis on a typology of the business forms of the underworld. It ha... more In this paper I formulate hypothesis on a typology of the business forms of the underworld. It has been so far, based on the hearsay accounts but it is of paramount importance if we want to understand strong and weak parts of the terrorist organizations. I distinguish between three historical organization models, which are called paternalistic, militaristic and decentralized. The paper is concluded by the comparative discussion of two terrorist organizations about which significant credible information is in existence: Russian "People's Will" in the XIX century, which ostensibly pioneered the species, and the German RAF.

Filtration fabric produced by wet laid process

Field emission from diamond and other wide-bandgap materials

IEEE International Conference on Plasma Science

Summary form only given. There has recently been a dramatic increase in the use of new materials ... more Summary form only given. There has recently been a dramatic increase in the use of new materials for field emitters for application in vacuum microelectronics, field emission displays, and high frequency applications. In particular, experimental studies of electron field emission from CVD diamond films or diamond coated tips have indicated that large emission currents from diamond can be obtained at low applied fields relative to metals or narrow-band semiconductors. Diamond is a wide-band-gap material with Eg=5.45 eV and exhibits a negative electron affinity for H-terminated (111) and (110) surfaces. Electron emission from surface states and/or the defect bands which the authors proposed exist in the gap yields sufficient transmission probabilities to produce the low power-high current observed in the experiments of Gels et al. (1995) and Zhu et al. (1995). In addition to the J-F (I-V) characteristics, energy distributions for model CVD diamond films have been obtained which indica...

Review of Several Hypotheses in Market Microstructure

The working paper has been superseded by the book quoted above. My own comments on the published ... more The working paper has been superseded by the book quoted above. My own comments on the published book are provided below. The book was prepared without professional editing and proofreading was done on my own account. Hence, the book contains many errors, which could only be corrected by paying exorbitant fines to the publishers. Moreover, the graphics is awful and the price - also not my choice - but the editors, is absurd. Despite numerous errors and defects, both in style and substance, my book is the first attempt after M. O’Hara’s classic “Market microstructure” (1995) to put the entire field into a coherent framework of underlying ideas. I believe that the following statements will survive the test of time.1. The prices of securities evolve due to changes in order processing cost, inventory maintenance costs and change in beliefs of the market agents (Stoll, 2003). Of these three contributions, only the last (information asymmetry) is impacted by the economic fundamentals. 2. ...

Was There a Bubble in Nasdaq? Information-Based Reexamination

SSRN Electronic Journal, 2008

There is a little doubt in public mind that the dot-com boom on Nasdaq in the end of the 90s repr... more There is a little doubt in public mind that the dot-com boom on Nasdaq in the end of the 90s represented a stock market bubble. Indeed, major violations of rationality were observed. For instance, some dot-coms, which terminated their business still held positive market value. Market cap of dot-coms, which were parts of established companies sometimes exceeded market caps of their corporate parents (Shiller, 2000, Malkiel, 2005). However, academics are not so united in diagnosing the situation, which existed with hi-tech stocks at the turn of the century as the bubble, as well as the existence of asset pricing bubbles in principle (Siegel, 2003, Donaldson and Kamstra, 1996, Oftek and Richardson, 2003). In this paper, I use two CBOE indexes: Nasdaq 100 Buywrite Index and Volatility Index, to investigate alleged existence of a bubble in 1999-2000, as well as the empirical applicability of the bubble theory (Jarrow, Protter and Shimbo, 2006). Distinctive feature of my tests is that they do not involve estimation of the "fundamental value" of the stock market and, consequently, the uncertainties inherent in any valuation model. My results are consistent with the facts that: (1) Merton no-dominance hypothesis of asset prices holds, but (2) price and volatility of the Nasdaq-100 index are mispriced and exhibit long-term correlations in the period between Jan. 1999 and Apr. 2000. We interpret the latter as an evidence of a bubble in Nasdaq-100 Index.

Molecular Dynamics Simulation of Transport in Diamond and GaN: Role of Collective Excitations

MRS Proceedings, 1997

ABSTRACTIn this paper we consider the role of collective excitations in transport of charge carri... more ABSTRACTIn this paper we consider the role of collective excitations in transport of charge carriers in the conduction band of diamond and GaN. The present molecular dynamics simulation uses a Monte Carlo algorithm to determine the time between collisions with scattering rates calculated quantum mechanically using the Fermi Golden Rule. For very thin films (L=0.01 μm) and for low fields (F<10 V/μm), the energy spectra of both diamond and GaN contain a series of peaks which are attributed to the absorption and emission of discrete plasmons. In diamond. the intervalley LA, LO and TO scattering becomes increasingly more important at higher fields while electron-plasmon interactions decrease. For thicker diamond films (L=0.1 μm), there is hot electron transport for F∼10 V/μm and quasi-ballistic transport for F-100 V/μm. In GaN with L=0.01 μm and fields F∼10 V/μm, there is a discrete series of peaks in the energy spectrum corresponding to excitations associated with polar optical scat...

Patience and Impatience of Stock Traders

SSRN Electronic Journal, 2012

An ability to postpone one's execution without much penalty provides an important strategic advan... more An ability to postpone one's execution without much penalty provides an important strategic advantage in high-frequency trading. To quantify competition between traders one has to resort to a consistent theory of formation of the execution price from market expectations and quotes. This theory was provided in 2005 by Foucault, Kadan and Kandel. I derive asymptotic distribution of the bids/offers as a function of the ratio of patient and impatient traders using my modification of the Foucault, Kadan and Kandel dynamic Limit Order Book (LOB) model. My modification of the LOB model allows stylized but sufficiently realistic representation of the trading markets. In particular, dynamic LOB allows simulation of the distribution of execution times and spreads from high-frequency quotes. Significant analytic progress is made towards understanding of trading as competition for immediacy of execution between traders. The results are qualitatively compared with empirical volume-at-price distribution of highly liquid stocks.

Formation of hot electrons in noble gases by intense-field ionization: A quasistatic tunneling, independent-electron model

Physical Review A, 1995

ABSTRACT Recent experiments by Mohideen [ital et] [ital al]. [Phys. Rev. Lett. 71, 509 (1993)] de... more ABSTRACT Recent experiments by Mohideen [ital et] [ital al]. [Phys. Rev. Lett. 71, 509 (1993)] demonstrated that more hot electrons result from high-intensity above-threshold ionization of atoms than had been predicted by existing models. In this paper we explain most of the discrepancy between the theory and experimental data on the basis of a quasistatic tunneling independent-electron (QTIE) model, formulated using a simple set of rate equations with quasistatic expressions for ionization probabilities. Because of the efficiency of the QTIE approach, one can easily perform calculations of strong-field ionization for many-electron atoms. We demonstrate the properties of tunneling ionization in applications to He, Ne, Ar, Kr, and Xe.

Ionization of He by ultrastrong single-cycle pulses

Physical Review A, 1994

Recently, the progress of experimental techniques has allowed the realization of less-than-a-cycl... more Recently, the progress of experimental techniques has allowed the realization of less-than-a-cycle pulses. Though these pulses are as yet too weak to ionize atoms from the ground state, the rapid progress in experimental methods warrants the investigation of possibilities opened up by these new achievements. In this paper we use the quasiclassical Fermi molecular-dynamics method to study the dynamics of ionization and the electron correlations of initially ground-state He atoms in single-cycle infrared pulses. An interpretation is also made in terms of a quasistatic ionization model.

A New Entropic Measure for the Causality of the Financial Time Series

Journal of Risk and Financial Management

A new econometric methodology based on deep learning is proposed for determining the causality of... more A new econometric methodology based on deep learning is proposed for determining the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks and also in exchange-traded funds (ETFs) with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than transaction imbalances in the entire market despite the domination of single-issue stocks in imbalance messages.

Fourier Integral Operator Model of Market Liquidity: The Chinese Experience 2009–2010

Mathematics

This paper proposes and motivates a dynamical model of the Chinese stock market based on linear r... more This paper proposes and motivates a dynamical model of the Chinese stock market based on linear regression in a dual state-space connected to the original state-space of correlations between the volume-at-price buckets by a Fourier transform. We apply our model to the price migration of orders executed by Chinese brokerages in 2009–2010. We use our brokerage tapes to conduct a natural experiment assuming that tapes correspond to randomly assigned, informed, and uninformed traders. Our analysis demonstrates that customers’ orders were tightly correlated—in the highly nonlinear sense of prediction by the neural networks—with Chinese market sentiment, significantly correlated with the returns of the Chinese stock market, and exhibited no correlations with the yield of the bellwether bond of the Bank of China. We did not notice any spike of illiquidity transmitting from the US Flash Crash in May 2010 to trading in China.

The market drives ETFs or ETFs the market: causality without Granger

SSRN Electronic Journal, 2022

This paper develops a deep learning-based econometric methodology to determine the causality of t... more This paper develops a deep learning-based econometric methodology to determine the causality of the financial time series. This method is applied to the imbalances in daily transactions in individual stocks, as well as the ETFs reported to SEC with a nanosecond time stamp. Based on our method, we conclude that transaction imbalances of ETFs alone are more informative than the transaction imbalances in the entire market. Characteristically, a sheer number of imbalance messages related to the individual stocks dominates the imbalance messages due to the ETF in the proportion of 8:1.

Monte carlo simulations of carrier transport in diamond and GaN thin films: The effect of dislocations and electron interactions

10th International Conference on Vacuum Microelectronics, 1997

ABSTRACT Not Available

Stimulated thermal scattering of laser light at an exothermal reaction front in a dielectric gas waveguide

Investigation of 1998 'Russian Contagion' for the Hungary-Germany Pair of Interest Rates in a Reduced-Form Model

In this paper I use a reduced-form, tree-based model to fit the term structure for the AAA-rated ... more In this paper I use a reduced-form, tree-based model to fit the term structure for the AAA-rated (German) and risky (Hungarian; spread 120-140 bp) bonds in the 2-month period immediately preceding Aug. 1998 Russian default. The term structure was optimized by the stochastic, derivatives-free algorithm with accuracy typically better than 1% for risk-free and 1.5% for risky rates for all maturities. This study was motivated by the desire to observe contagion, because the default was such a momentous event for emerging-market finance, far exceeding the significance of Russian economy for the world markets in 1998. Both Germany and Hungary at the time were heavily exposed to the Russian market, Germany, in particular, as Russia's largest creditor. Moreover, the dynamics of Hungarian interest rates was closely following German rates (the coefficient of correlation ≥ 0.8). Despite an obvious strain on Russian finances, which was obvious to German holders of Russian debt well before Au...

Microstructure and Noise in Financial Markets

Market microstructure is a discipline studying the features of the financial markets, which are t... more Market microstructure is a discipline studying the features of the financial markets, which are the result of deliberate design as well as economic laws and technological infrastructure. It has recently increased in importance because of the propagation of programmatic trading and the proliferation of ever more sophisticated financial fraud. My book deals with the subject of microstructure of financial markets not as a collection of miscellaneous results but as a connection between few underlying ideas. These ideas concern the formation of the bid-ask spread as a result of information asymmetry, order processing and inventory maintenance and consequent bid-ask bounce, the influence of frictions on volatility and the relationship between natural (continuous) and transaction (discrete) time. Empirical examples involve event studies of the developed (NYSE, Nasdaq) as well as emerging markets such as Russian sovereign bond market in the late 90s and Venezuelan short-term debt.

Transmission of Trading Orders through Communication Line with Relativistic Delay

International Journal of Financial Studies, 2021

The notion of “relativistic finance” became ingrained in the public imagination and has been asse... more The notion of “relativistic finance” became ingrained in the public imagination and has been asserted in many mass-media reports. However, despite an observed drive of the most reputable Wall Street firms to establish their servers ever closer to the trading hubs, there is surprisingly little concrete information related to the relativistic delay of the trading orders. There is an underlying assumption that faster electronics are always beneficial to the stability of the network. In this paper, the author proposes a modified M/M/G queue theory to describe the propagation of the trading signal with finite velocity. Based on this theory, we demonstrate that, even if the reaction time of the system is negligible, the propagating signal is distorted by simple acts of trading along the transmission line.

Model calculations of internal field emission and J–V characteristics of a composite n-Si and N–diamond cold cathode source

Journal of Vacuum Science & Technology B: Microelectronics and Nanometer Structures Processing, Measurement, and Phenomena, 1998

A model to describe internal field emission through the interface between highly n-doped Si and n... more A model to describe internal field emission through the interface between highly n-doped Si and nitrogen (N)-doped diamond is presented. We describe the roughness on the Si surface as a collection of sharp, spherically pointed Si asperities embedded in the diamond film. These “tips” provide enhancement of the applied electric field, which, in conjunction with the high N doping of diamond, results in the formation of a Schottky barrier which allows for tunneling or internal field emission from the Si into the conduction band of diamond. This enhanced electric field is also sufficient to induce valence band tunneling from the Si into the diamond conduction band. In our model limitations on the field mediated transport of holes from the n-doped Si/diamond interface to the cathode base leads to charging of the Si asperities. This charge accumulation results in band bending in Si and a significant reduction in the valence band current. The calculated J–V characteristics for the internal ...

Hot electron and quasiballistic transport of nonequilibrium electrons in diamond thin films

Journal of Vacuum Science & Technology B: Microelectronics and Nanometer Structures Processing, Measurement, and Phenomena, 1997

A molecular dynamics simulation of conduction-band transport in diamond has been carried out that... more A molecular dynamics simulation of conduction-band transport in diamond has been carried out that combines classical propagation of electrons with choice of scattering events determined by a Monte Carlo algorithm using quantum mechanical rates. The high-field regime is dominated by hot optical phonon scattering for n⩽1019 cm−3 and by electron–plasmon emission for higher electron concentrations. Electron–electron and electron–hole binary processes do not significantly influence the transport characteristics but extend the high-energy tail and asymmetry of the electron distribution, making it more “Maxwellian.” The results demonstrate the possibility of achieving quasiballistic transport in thin diamond films with a significant portion of the field energy imparted to the electrons at high fields (F≈102 V/μm) and electron concentrations up to n≈1018 cm−3.

Informational Criteria for Positive and Negative Bubbles: An Experiment in Forensic Finance

SSRN Electronic Journal, 2015

The notion of bubbles is ubiquitous in the public discussion of finance. Yet, the empirical disco... more The notion of bubbles is ubiquitous in the public discussion of finance. Yet, the empirical discovery of bubbles is notoriously difficult. The main shortcoming of the current approaches is that they rely on the estimation of the “fundamental value of an asset”, which is hard to estimate and interpret. In 2006-2007, Jarrow, Protter and Shimbo (JPS) proposed another approach to bubbles, one, which does not rely on the notion of the fundamental value of an asset. In 2008, the author developed two hypotheses (or theorems) connecting the JPS approach with the serial correlations in returns of specially designed assets. These hypotheses were tested by the author on a proverbial example of the Nasdaq index in 1999-2001 — the time of a hypothetical dot-com bubble. By this work, I continue this study by applying informational criteria to the cases of a sharp drop in oil prices in the end of 1980s and the beginning of 1990s. The sharp drop in oil prices can indicate unknown fundamental factors in oil prices, or a negative bubble. While the application of JPS theory to negative bubbles is tenuous, a sheer possibility that the subject of a negative bubble can be empirically studied for commodities, offers a fascinating glimpse into the market behavior.

Terrorism as a Corporate Governance Problem

SSRN Electronic Journal, 2012

In this paper I formulate hypothesis on a typology of the business forms of the underworld. It ha... more In this paper I formulate hypothesis on a typology of the business forms of the underworld. It has been so far, based on the hearsay accounts but it is of paramount importance if we want to understand strong and weak parts of the terrorist organizations. I distinguish between three historical organization models, which are called paternalistic, militaristic and decentralized. The paper is concluded by the comparative discussion of two terrorist organizations about which significant credible information is in existence: Russian "People's Will" in the XIX century, which ostensibly pioneered the species, and the German RAF.

Filtration fabric produced by wet laid process

Field emission from diamond and other wide-bandgap materials

IEEE International Conference on Plasma Science

Summary form only given. There has recently been a dramatic increase in the use of new materials ... more Summary form only given. There has recently been a dramatic increase in the use of new materials for field emitters for application in vacuum microelectronics, field emission displays, and high frequency applications. In particular, experimental studies of electron field emission from CVD diamond films or diamond coated tips have indicated that large emission currents from diamond can be obtained at low applied fields relative to metals or narrow-band semiconductors. Diamond is a wide-band-gap material with Eg=5.45 eV and exhibits a negative electron affinity for H-terminated (111) and (110) surfaces. Electron emission from surface states and/or the defect bands which the authors proposed exist in the gap yields sufficient transmission probabilities to produce the low power-high current observed in the experiments of Gels et al. (1995) and Zhu et al. (1995). In addition to the J-F (I-V) characteristics, energy distributions for model CVD diamond films have been obtained which indica...

Review of Several Hypotheses in Market Microstructure

The working paper has been superseded by the book quoted above. My own comments on the published ... more The working paper has been superseded by the book quoted above. My own comments on the published book are provided below. The book was prepared without professional editing and proofreading was done on my own account. Hence, the book contains many errors, which could only be corrected by paying exorbitant fines to the publishers. Moreover, the graphics is awful and the price - also not my choice - but the editors, is absurd. Despite numerous errors and defects, both in style and substance, my book is the first attempt after M. O’Hara’s classic “Market microstructure” (1995) to put the entire field into a coherent framework of underlying ideas. I believe that the following statements will survive the test of time.1. The prices of securities evolve due to changes in order processing cost, inventory maintenance costs and change in beliefs of the market agents (Stoll, 2003). Of these three contributions, only the last (information asymmetry) is impacted by the economic fundamentals. 2. ...

Was There a Bubble in Nasdaq? Information-Based Reexamination

SSRN Electronic Journal, 2008

There is a little doubt in public mind that the dot-com boom on Nasdaq in the end of the 90s repr... more There is a little doubt in public mind that the dot-com boom on Nasdaq in the end of the 90s represented a stock market bubble. Indeed, major violations of rationality were observed. For instance, some dot-coms, which terminated their business still held positive market value. Market cap of dot-coms, which were parts of established companies sometimes exceeded market caps of their corporate parents (Shiller, 2000, Malkiel, 2005). However, academics are not so united in diagnosing the situation, which existed with hi-tech stocks at the turn of the century as the bubble, as well as the existence of asset pricing bubbles in principle (Siegel, 2003, Donaldson and Kamstra, 1996, Oftek and Richardson, 2003). In this paper, I use two CBOE indexes: Nasdaq 100 Buywrite Index and Volatility Index, to investigate alleged existence of a bubble in 1999-2000, as well as the empirical applicability of the bubble theory (Jarrow, Protter and Shimbo, 2006). Distinctive feature of my tests is that they do not involve estimation of the "fundamental value" of the stock market and, consequently, the uncertainties inherent in any valuation model. My results are consistent with the facts that: (1) Merton no-dominance hypothesis of asset prices holds, but (2) price and volatility of the Nasdaq-100 index are mispriced and exhibit long-term correlations in the period between Jan. 1999 and Apr. 2000. We interpret the latter as an evidence of a bubble in Nasdaq-100 Index.

Molecular Dynamics Simulation of Transport in Diamond and GaN: Role of Collective Excitations

MRS Proceedings, 1997

ABSTRACTIn this paper we consider the role of collective excitations in transport of charge carri... more ABSTRACTIn this paper we consider the role of collective excitations in transport of charge carriers in the conduction band of diamond and GaN. The present molecular dynamics simulation uses a Monte Carlo algorithm to determine the time between collisions with scattering rates calculated quantum mechanically using the Fermi Golden Rule. For very thin films (L=0.01 μm) and for low fields (F<10 V/μm), the energy spectra of both diamond and GaN contain a series of peaks which are attributed to the absorption and emission of discrete plasmons. In diamond. the intervalley LA, LO and TO scattering becomes increasingly more important at higher fields while electron-plasmon interactions decrease. For thicker diamond films (L=0.1 μm), there is hot electron transport for F∼10 V/μm and quasi-ballistic transport for F-100 V/μm. In GaN with L=0.01 μm and fields F∼10 V/μm, there is a discrete series of peaks in the energy spectrum corresponding to excitations associated with polar optical scat...

Patience and Impatience of Stock Traders

SSRN Electronic Journal, 2012

An ability to postpone one's execution without much penalty provides an important strategic advan... more An ability to postpone one's execution without much penalty provides an important strategic advantage in high-frequency trading. To quantify competition between traders one has to resort to a consistent theory of formation of the execution price from market expectations and quotes. This theory was provided in 2005 by Foucault, Kadan and Kandel. I derive asymptotic distribution of the bids/offers as a function of the ratio of patient and impatient traders using my modification of the Foucault, Kadan and Kandel dynamic Limit Order Book (LOB) model. My modification of the LOB model allows stylized but sufficiently realistic representation of the trading markets. In particular, dynamic LOB allows simulation of the distribution of execution times and spreads from high-frequency quotes. Significant analytic progress is made towards understanding of trading as competition for immediacy of execution between traders. The results are qualitatively compared with empirical volume-at-price distribution of highly liquid stocks.

Formation of hot electrons in noble gases by intense-field ionization: A quasistatic tunneling, independent-electron model

Physical Review A, 1995

ABSTRACT Recent experiments by Mohideen [ital et] [ital al]. [Phys. Rev. Lett. 71, 509 (1993)] de... more ABSTRACT Recent experiments by Mohideen [ital et] [ital al]. [Phys. Rev. Lett. 71, 509 (1993)] demonstrated that more hot electrons result from high-intensity above-threshold ionization of atoms than had been predicted by existing models. In this paper we explain most of the discrepancy between the theory and experimental data on the basis of a quasistatic tunneling independent-electron (QTIE) model, formulated using a simple set of rate equations with quasistatic expressions for ionization probabilities. Because of the efficiency of the QTIE approach, one can easily perform calculations of strong-field ionization for many-electron atoms. We demonstrate the properties of tunneling ionization in applications to He, Ne, Ar, Kr, and Xe.

Ionization of He by ultrastrong single-cycle pulses

Physical Review A, 1994

Recently, the progress of experimental techniques has allowed the realization of less-than-a-cycl... more Recently, the progress of experimental techniques has allowed the realization of less-than-a-cycle pulses. Though these pulses are as yet too weak to ionize atoms from the ground state, the rapid progress in experimental methods warrants the investigation of possibilities opened up by these new achievements. In this paper we use the quasiclassical Fermi molecular-dynamics method to study the dynamics of ionization and the electron correlations of initially ground-state He atoms in single-cycle infrared pulses. An interpretation is also made in terms of a quasistatic ionization model.