Statistical Properties and Pre-Hit Dynamics of Price Limit Hits in the Chinese Stock Markets

Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders’ short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-limits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.     

Liquidity Spillover in International Stock Markets through Distinct Time Scales

This paper identifies liquidity spillovers through different time scales based on a wavelet multiscaling method. We decompose daily data from U.S., British, Brazilian and Hong Kong stock markets indices in order to calculate the scale correlation between their illiquidities. The sample is divided in order to consider non-crisis, sub-prime crisis and Eurozone crisis. We find that there are changes in correlations of distinct scales and different periods. Association in finest scales is smaller than in coarse scales. There is a rise on associations in periods of crisis. In frequencies, there is predominance for significant distinctions involving the coarsest scale, while for crises periods there is predominance for distinctions on the finest scale.     

The Effects of Twitter Sentiment on Stock Price Returns

Social media are increasingly reflecting and influencing behavior of other complex systems. In this paper we investigate the relations between a well-known micro-blogging platform Twitter and financial markets. In particular, we consider, in a period of 15 months, the Twitter volume and sentiment about the 30 stock companies that form the Dow Jones Industrial Average (DJIA) index. We find a relatively low Pearson correlation and Granger causality between the corresponding time series over the entire time period. However, we find a significant dependence between the Twitter sentiment and abnormal returns during the peaks of Twitter volume. This is valid not only for the expected Twitter volume peaks (e.g., quarterly announcements), but also for peaks corresponding to less obvious events. We formalize the procedure by adapting the well-known “event study” from economics and finance to the analysis of Twitter data. The procedure allows to automatically identify events as Twitter volume peaks, to compute the prevailing sentiment (positive or negative) expressed in tweets at these peaks, and finally to apply the “event study” methodology to relate them to stock returns. We show that sentiment polarity of Twitter peaks implies the direction of cumulative abnormal returns. The amount of cumulative abnormal returns is relatively low (about 1–2%), but the dependence is statistically significant for several days after the events.     

Crisis-Like Behavior in China's Stock Market and Its Interpretation

In order for China to play a bigger, more positive role in the world, it is important for China to have a healthy capital market. This perception motivates us to examine the health of China''s capital market, especially the severity of the overall loss of the listed companies in China and the effects of accounting irregularities on the losses. We show the overall loss of the listed companies was very severe, in particular, crisis-like behavior emerged in the fourth quarter of 2002, 2004, 2005, and 2008. We further observe that loss in the fourth quarter was much greater than the average loss of the first three quarters in the same year. The most straightforward interpretation of this loss pattern is that companies underreported losses in the first three quarters, to boost their stock values in most time of the year. However, in the fourth quarter, accounting balance of the whole year dictated that the reported loss in the fourth quarter had to be much greater than the actual loss. Fortunately, such irregularity has been greatly reduced, thanks to the accounting reforms in China in 2007.     

Group-Wise Herding Behavior in Financial Markets: An Agent-Based Modeling Approach

In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon entropy. First, an agent-based model is used to analyze the characteristics of the group behaviors at different levels of irrationality. Second, the Hurst exponent is applied to analyze the characteristics of the trend-following irrationality group. Third, the Shannon entropy is used to analyze the randomness and unpredictability of group behavior. We show that in a system that focuses on macro-monetary policy, steep fluctuations occur, meaning that the medium-level irrationality group has the highest Hurst exponent and Shannon entropy among all of the groups. However, in a system that focuses on micro-monetary policy, all group behaviors follow a stable trend, and the medium irrationality group thus remains stable, too. Likewise, in a system that focuses on both micro- and macro-monetary policies, all groups tend to be stable. Consequently, we find that group behavior varies across economic units at each irrationality level for micro- and macro-monetary policy in the financial market. Together, these findings offer key insights into monetary policy.     

Impact of Stock Market Structure on Intertrade Time and Price Dynamics

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies'' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing patterns in price prediction and risk management optimization on different stock markets.     

Movements and Swimming Behavior of Three Species of Sharks in La Jolla Canyon, California

We tracked six individuals of three shark species, the shortfin mako, Isurus oxyrinchus, great white, Carcharodon carcharias, and blue, Prionace glauca, near the submarine canyon off La Jolla, southern California during the summers of 1995 and 1997. The duration of tracking ranged from 2 to 38 h per shark. The mode of travel differed in one respect among species. The rate of movement of the endothermic species, the mako and white shark, exceeded that of the ectothermic species, the blue shark. Similarities among species were more common. Firstly, individuals of all three species swam in a directional manner. Secondly, individuals constantly moved up and down in the water column, exhibiting oscillatory or yo-yo swimming. Thirdly, members of the three species swam at the surface for prolonged periods. Finally, the movements of the mako and white sharks were at times loosely associated with bottom topography. We discuss the various adaptive advantages that have been proposed for these behavioral patterns. Oscillatory swimming has been attributed to the following: (1) heating the body in the warm surface waters after swimming in cold, deep water, (2) alternating between two strata of water, one carrying chemical information as to its source, and deriving a direction to that stratum's origin, (3) conserving energy by quickly propelling oneself upward with many tail beats and slowly gliding downward with few beats, and (4) descending to where magnetic gradients are steeper, more perceptible, and useful to guide migratory movements. At the surface, an individual would be able to swim in a straight line by using following features as a reference: (1) celestial bodies, (2) polarized light, or (3) the earth's main dipole field. Furthermore, an individual would conserve energy because of the greater ease to maintaining a warm body in the heated surface waters.     

Stock Portfolio Structure of Individual Investors Infers Future Trading Behavior

Although the understanding of and motivation behind individual trading behavior is an important puzzle in finance, little is known about the connection between an investor''s portfolio structure and her trading behavior in practice. In this paper, we investigate the relation between what stocks investors hold, and what stocks they buy, and show that investors with similar portfolio structures to a great extent trade in a similar way. With data from the central register of shareholdings in Sweden, we model the market in a similarity network, by considering investors as nodes, connected with links representing portfolio similarity. From the network, we find investor groups that not only identify different investment strategies, but also represent individual investors trading in a similar way. These findings suggest that the stock portfolios of investors hold meaningful information, which could be used to earn a better understanding of stock market dynamics.     

Hedging Your Bets: Intermediate Movements as Optimal Behavior in the Context of an Incomplete Decision

Existing theories of movement planning suggest that it takes time to select and prepare the actions required to achieve a given goal. These theories often appeal to circumstances where planning apparently goes awry. For instance, if reaction times are forced to be very low, movement trajectories are often directed between two potential targets. These intermediate movements are generally interpreted as errors of movement planning, arising either from planning being incomplete or from parallel movement plans interfering with one another. Here we present an alternative view: that intermediate movements reflect uncertainty about movement goals. We show how intermediate movements are predicted by an optimal feedback control model that incorporates an ongoing decision about movement goals. According to this view, intermediate movements reflect an exploitation of compatibility between goals. Consequently, reducing the compatibility between goals should reduce the incidence of intermediate movements. In human subjects, we varied the compatibility between potential movement goals in two distinct ways: by varying the spatial separation between targets and by introducing a virtual barrier constraining trajectories to the target and penalizing intermediate movements. In both cases we found that decreasing goal compatibility led to a decreasing incidence of intermediate movements. Our results and theory suggest a more integrated view of decision-making and movement planning in which the primary bottleneck to generating a movement is deciding upon task goals. Determining how to move to achieve a given goal is rapid and automatic.     

Behavior, Diet, and Movements of the Sulawesi Crested Black Macaque (Macaca nigra)

We present the first field study of activity budgets, diet and ranging patterns of the Sulawesi crested black macaque, Macaca nigra, one of seven macaque species endemic to Sulawesi, Indonesia. We studied three crested macaque groups, ranging in size from 50 to 97 individuals, for 18 months in the Tangkoko-DuaSudara Nature Reserve, North Sulawesi. They spent 59% of the day moving and procuring food, especially fruits, and 41% of the day resting and socializing. Their diet is composed of more than 145 species of fruit (66% of observed feeding bouts), vegetative material (2.5%), invertebrates (31.5%), and occasional vertebrate prey. Group differences were more pronounced than seasonal or diurnal differences. Specifically, the largest group moved farther during the day, moved at a faster and more uniform rate, ate less fruit, rested more, and socialized less than the smaller groups did. The largest group had the largest home range, but it included less primary forest and more disturbed habitat than the ranges of smaller groups. There are individual differences in activity budgets of adult males and females in time spent moving, resting, feeding, and socializing that may reflect differences in reproductive strategies of males versus females. The behavior of large juveniles is more similar to that of adults than to that of small juveniles. Daily movements and use of home range are correlated with diet. Macaques moved shorter distances as the proportion of time spent feeding on fruit increased, and the top four dietary items accounted for most of the variance in entry into hectare blocks of home range.     

Eye Movements in Ephedrone-Induced Parkinsonism

Patients with ephedrone parkinsonism (EP) show a complex, rapidly progressive, irreversible, and levodopa non-responsive parkinsonian and dystonic syndrome due to manganese intoxication. Eye movements may help to differentiate parkinsonian syndromes providing insights into which brain networks are affected in the underlying disease, but they have never been systematically studied in EP. Horizontal and vertical eye movements were recorded in 28 EP and compared to 21 Parkinson''s disease (PD) patients, and 27 age- and gender-matched healthy subjects using standardized oculomotor tasks with infrared videooculography. EP patients showed slow and hypometric horizontal saccades, an increased occurrence of square wave jerks, long latencies of vertical antisaccades, a high error rate in the horizontal antisaccade task, and made more errors than controls when pro- and antisaccades were mixed. Based on oculomotor performance, a direct differentiation between EP and PD was possible only by the velocity of horizontal saccades. All remaining metrics were similar between both patient groups. EP patients present extensive oculomotor disturbances probably due to manganese-induced damage to the basal ganglia, reflecting their role in oculomotor system.     

Hygroscopic Movements in Platycerium Leaves

Hygroscopic movements were observed in the dead mantle leavesof the West African species of Platycerium, when the plantswere subjected to dry conditions. It is suggested that the functionof these movements is to protect the growing point from directexposure to the sun when the natural habitat is disturbed.     

Movements of marsh-dwelling invertebrates

SUMMARY. 1. Invertebrate movement was monitored in a parkland marsh in central Alberta, Canada, for 24 h periods every 2 weeks during the ice-free season. Stationary plankton nets captured organisms moving towards or away from shore.
2. Movement occurred throughout the sampling programme, particularly during the warm summer months. Most organisms were night active and exhibited directional movements. Hyalella azteca (Saussure) and Caenis simulans McDunnough constituted most of the catch.
3. Although there was a significant positive seasonal relationship between maximum water temperature and total numbers of animals captured. no physical factor appeared to control movement on a daily basis.     

Kick and Thrust Foot Movements in the Righting and Escape Behavior of Marine Prosobranch Gastropods (Mollusca: Gastropoda)

This is a comparative study of the righting behavior of 59 species of marine prosobranch gastropods. All but a few species examined are able to right by pulling on the substrate with their foot. Some gastropods also are capable of kicking (with the operculum) or thrusting (without the use of the operculum) the metapodium against the substrate to right. Kick and thrust righting appear to be restricted to those gastropods which exhibit similar or identical movements in escape from molluscivorous asteroids and/or gastropods. It is inferred, therefore, that these movements arose primarily in the context of escape. This is supported by more refined comparisons where some closely related, ecologically similar gastropods which differ with respect to escape and righting behaviors are examined.     

Vertical Movements and Patterns in Diving Behavior of Whale Sharks as Revealed by Pop-Up Satellite Tags in the Eastern Gulf of Mexico

The whale shark (Rhincodon typus) is a wide-ranging, filter-feeding species typically observed at or near the surface. This shark’s sub-surface habits and behaviors have only begun to be revealed in recent years through the use of archival and satellite tagging technology. We attached pop-up satellite archival transmitting tags to 35 whale sharks in the southeastern Gulf of Mexico off the Yucatan Peninsula from 2003–2012 and three tags to whale sharks in the northeastern Gulf off Florida in 2010, to examine these sharks’ long-term movement patterns and gain insight into the underlying factors influencing their vertical habitat selection. Archived data were received from 31 tags deployed on sharks of both sexes with total lengths of 5.5–9 m. Nine of these tags were physically recovered facilitating a detailed long-term view into the sharks’ vertical movements. Whale sharks feeding inshore on fish eggs off the northeast Yucatan Peninsula demonstrated reverse diel vertical migration, with extended periods of surface swimming beginning at sunrise followed by an abrupt change in the mid-afternoon to regular vertical oscillations, a pattern that continued overnight. When in oceanic waters, sharks spent about 95% of their time within epipelagic depths (<200 m) but regularly undertook very deep (“extreme”) dives (>500 m) that largely occurred during daytime or twilight hours (max. depth recorded 1,928 m), had V-shaped depth-time profiles, and comprised more rapid descents (0.68 m sec^-1) than ascents (0.50 m sec^-1). Nearly half of these extreme dives had descent profiles with brief but conspicuous changes in vertical direction at a mean depth of 475 m. We hypothesize these stutter steps represent foraging events within the deep scattering layer, however, the extreme dives may have additional functions. Overall, our results demonstrate complex and dynamic patterns of habitat utilization for R. typus that appear to be in response to changing biotic and abiotic conditions influencing the distribution and abundance of their prey.     

Movements of water in cells of Nitella

When one end of a Nitella cell (A) is bathed in water and a solution of sucrose is placed at the other (B) we find that water enters at A, travels along inside the cell, and escapes at B. The solutes which cannot pass out through the protoplasm at B remain behind so that the osmotic pressure increases at B and diminishes at A until equilibrium is reached and the motion stops. An equation is given which enables us to predict with considerable accuracy the amount of flow required to produce equilibrium.