Search results for " Microstructure"
showing 10 items of 105 documents
Evolution and biomineralization of pteropod shells
2021
12 pages; International audience; Shelled pteropods, known as sea butterflies, are a group of small gastropods that spend their entire lives swimming and drifting in the open ocean. They build thin shells of aragonite, a metastable polymorph of calcium carbonate. Pteropod shells have been shown to experience dissolution and reduced thickness with a decrease in pH and therefore represent valuable bioindicators to monitor the impacts of ocean acidification. Over the past decades, several studies have highlighted the striking diversity of shell microstructures in pteropods, with exceptional mechanical properties, but their evolution and future in acidified waters remains uncertain. Here, we re…
A Simulation Analysis of the Microstructure of an Order Driven Financial Market with Multiple Securities and Portfolio Choices
2005
In this paper we propose an artificial market where multiple risky assets are exchanged. Agents are constrained by the availability of resources and trade to adjust their portfolio according to an exogenously given target portfolio. We model the trading mechanism as a continuous auction order-driven market. Agents are heterogeneous in terms of desired target portfolio allocations, but they are homogeneous in terms of trading strategies. We investigate the role played by the trading mechanism in affecting the dynamics of prices, trading volume and volatility. We show that the institutional setting of a double auction market is sufficient to generate a non-normal distribution of price changes…
Contagion in Bitcoin Networks
2019
12 pages, 6 figures. Paper accepted in 2nd Workshop on Blockchain and Smart Contract Technologies (BSCT 2019), workshop satellite of 22nd International Conference on Business Information Systems (BIS 2019); International audience; We construct the Google matrices of bitcoin transactions for all year quarters during the period of January 11, 2009 till April 10, 2013. During the last quarters the network size contains about 6 million users (nodes) with about 150 million transactions. From PageRank and CheiRank probabilities, analogous to trade import and export, we determine the dimensionless trade balance of each user and model the contagion propagation on the network assuming that a user go…
P-T path development derived from shearband boudin microstructure
2016
This work focuses on the development of a regional P-T-path from the Malpica-Lamego Ductile Shear Zone, NW Portugal, based on the microstructures of shearband boudins evolved during progressive simple shear. The combination of microstructural analysis, fluid inclusion studies, crystallographic pre- ffered orientation and fractal geometry analyses, allows to link several stages in the internal evolution of the boudin to regional P-T conditions. The boudinage process is initiated under differential stress after the original layer achieved sufficient viscosity contrast relative to the surrounding matrix. Two main transformations occur simultaneously: i) change in the external shape with contin…
Modeling the Probability of Informed Trading in the European Carbon Market
2012
We provide evidence of informed trading in the European carbon market. We adapt Easley et al.’s (1996) PIN methodology to the particularities of this market by isolating the trading activity on the two carbon offsets: European Union Allowances (EUAs) and Certified Emission Reductions (CERs). We find that the PIN regularly increases before the publication of the yearly verified-emission reports. CERs exhibit lower average PIN than EUAs. While the PIN of CERs has increased over time, together with its share in total trading activity, EUAs’ PIN has remained pretty stable. Our findings suggest that CERs must not be avoided in any decision or analysis made by researchers, regulators or traders i…
Market reaction to a bid-ask spread change: a power-law relaxation dynamics.
2009
We study the relaxation dynamics of the bid-ask spread and of the midprice after a sudden variation of the spread in a double auction financial market. We find that the spread decays as a power law to its normal value. We measure the price reversion dynamics and the permanent impact, i.e., the long-time effect on price, of a generic event altering the spread and we find an approximately linear relation between immediate and permanent impact. We hypothesize that the power-law decay of the spread is a consequence of the strategic limit order placement of liquidity providers. We support this hypothesis by investigating several quantities, such as order placement rates and distribution of price…
Study of the effects of salt crystallisation on degradation of limestone rocks
2013
Salt crystallization is widely recognized as a cause of deterioration of porous building materials. In particular, the crystallization pressure of salt crystals growing in confined pores is found to be the main cause for damage. The aim of this study is to better understand the degradation of porous rocks induced by salt crystallisation and correlate such processes with the intrinsic characteristics of materials. With this intend, an experimental salt weathering simulation has been carried out on two limestones widely used in the Baroque architecture of eastern Sicily. A systematic approach including petrographic, porosimetric and colorimetric analyses, was used to evaluate the correlation …
Market efficiency and price discovery relationships between spot, futures and forward prices: the case of the Iberian Electricity Market (MIBEL)
2016
ABSTRACTThis paper analyses the relationships between prices from three different markets within the Spanish zone of the Iberian Electricity Market (MIBEL), namely futures, spot and over the counter (OTC) forward markets. The study focuses on three items: (i) contrasting the Weak-form efficiency hypothesis of the markets involved in the study, (ii) analysing the Semi-strong-form efficient market hypothesis (EMH) of the MIBEL futures market and (iii) examining the price discovery relationships between the series of prices of the considered markets.The empirical results confirm that 1-month-, 1-quarter-, 1-year-ahead futures and spot markets satisfy, generally, the Weak-form efficiency hypoth…
The timeline of trading frictions in the European carbon market
2012
We evaluate the quality of prices of EU-ETS, the most active European derivative market for greenhouse gas emissions allowances (EUAs). So far, this market has had two phases, a trial phase (from 2005 to 2007) and a commitment phase (from 2008 to 2012). The true value of a trial-phase EUA at the beginning of 2008 was inevitably zero because it could not be used in the commitment phase to cover emission targets. However, continued rumors of over-allocation of EUAs led to an early collapse of the market by May 2007. We study whether this market breakdown and the subsequent outbreak of the international financial crisis had a persistent effect on the quality of the commitment phase. We provide…
Why is equity order flow so persistent?
2015
Abstract Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by bro…