HUANG Weibing

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No summary available.

This thesis is made of two connected parts, the rst one about limit order book modeling and the second one about tick value eects. In the rst part, we present our framework for Markovian order book modeling. The queuereactive model is rst introduced, in which we revise the traditional zero-intelligence approach by adding state dependency in the order arrival processes. An empirical study shows that this model is very realistic and reproduces many interesting microscopic features of the underlying asset such as the distribution of the order book. We also demonstrate that it can be used as an ecient market simulator, allowing for the assessment of complex placement tactics. We then extend the queue-reactive model to a general Markovian framework for order book modeling. Ergodicity conditions are discussed in details in this setting. Under some rather weak assumptions, we prove the convergence of the order book state towards an invariant distribution and that of the rescaled price process to a standard Brownian motion. In the second part of this thesis, we are interested in studying the role played by the tick value at both microscopic and macroscopic scales. First, an empirical study of the consequences of a tick value change is conducted using data from the 2014 Japanese tick size reduction pilot program. A prediction formula for the eects of a tick value change on the trading costs is derived and successfully tested. Then, an agent-based model is introduced in order to explain the relationships between market volume, price dynamics, bid-ask spread, tick value and the equilibrium order book state. In particular, we show that the bid-ask spread emerges naturally from the fact that orders placed too close to the ecient price have in general negative expected returns. We also nd that the bid-ask spread turns out to be the sum of the tick value and the intrinsic bid-ask spread, which corresponds to a hypothetical value of the bid-ask spread under innitesimal tick value.

This thesis is made of two connected parts, the first one about limit order book modeling and the second one about tick value effects. In the first part, we present our framework for Markovian order book modeling. The queue-reactive model is first introduced, in which we revise the traditional zero-intelligence approach by adding state dependency in the order arrival processes. An empirical study shows that this model is very realistic and reproduces many interesting microscopic features of the underlying asset such as the distribution of the order book. We also demonstrate that it can be used as an efficient market simulator, allowing for the assessment of complex placement tactics. We then extend the queue-reactive model to a general Markovian framework for order book modeling. Ergodicity conditions are discussed in details in this setting. Under some rather weak assumptions, we prove the convergence of the order book state towards an invariant distribution and that of the rescaled price process to a standard Brownian motion. In the second part of this thesis, we are interested in studying the role played by the tick value at both microscopic and macroscopic scales. First, an empirical study of the consequences of a tick value change is conducted using data from the 2014 Japanese tick size reduction pilot program. A prediction formula for the effects of a tick value change on the trading costs is derived and successfully tested. Then, an agent-based model is introduced in order to explain the relationships between market volume, price dynamics, bid-ask spread, tick value and the equilibrium order book state.

No summary available.

This thesis consists of two related parts, the first on the order book and the second on tick value effects. In the first part, we present our backlog modeling framework. The tail-reactive model is first introduced, in which we revise the traditional zero-intelligence approach by adding dependence on the order book state. An empirical study shows that this model is very realistic and reproduces many interesting microscopic features of the underlying asset such as the backlog distribution. We also show that it can be used as an efficient market simulator, allowing the evaluation of complex investment tactics. We then extend the tail-reactive model to a general Markovian framework. Ergodicity conditions are discussed in detail in this setting. In the second part of this thesis, we are interested in studying the role played by the tick value at two microscopic and macroscopic scales. First, an empirical study of the consequences of a change in tick value is performed using data from the Japanese 2014 tick size reduction pilot program. A prediction formula for the effects of a tick value change on transaction costs is derived. Then, a multi-agent model is introduced to explain the relationships between market volume, price dynamics, bid-ask spread, tick value and equilibrium order book state.

Background: Porcine chromosome X harbors four QTL strongly affecting backfat thickness (BFT), ham weight (HW), intramuscular fat content (IMF) and loin eye area (LEA). The confidence intervals (CI) of these QTL overlap and span more than 30 cM, or approximately 80 Mb. This study therefore attempts to fine map these QTL by joint analysis of two large-scale F2 populations (Large White × Meishan and White Duroc × Erhualian constructed by INRA and JXAU respectively) and furthermore, to determine whether these QTL are caused by mutations in three positional candidate genes (ACSL4, SERPINA7 and IRS4) involved in lipid biosynthesis.[br/] Results: A female-specific linkage map with an average distance of 2 cM between markers in the initial QTL interval (SW2456-SW1943) was created and used here. The CI of QTL for BFT, HW and LEA were narrowed down to 6-7 cM, resulting from the joint analysis. For IMF, two linked QTL were revealed in the INRA population but not in the JXAU population, causing a wider CI (13 cM) for IMF QTL. Linkage analyses using two subsets of INRA F1 dam families demonstrate that the BFT and HW QTL were segregating in the Meishan pigs. Moreover, haplotype comparisons between these dams suggest that within the refined QTL region, the recombination coldspot (~34 Mb) flanked by markers MCSE3F14 and UMNP1218 is unlikely to contain QTL genes. Two SNPs in the ACSL4 gene were identified and showed significant association with BFT and HW, but they and the known polymorphisms in the other two genes are unlikely to be causal mutations.[br/] Conclusion: The candidate QTL regions have been greatly reduced and the QTL are most likely located downstream of the recombination coldspot. The segregation of SSCX QTL for BFT and HW within Meishan breed provides an opportunity for us to make effective use of Meishan chromosome X in crossbreeding. Further studies should attempt to identify the impact of additional DNA sequence (e.g. CNV) and expression variation in the three genes or their surrounding genes on these traits.