High-frequency stock market order transitions during the US-China trade war 2018: A discrete-time Markov chain analysis.

Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks belonging to six different sectors during the US-China trade war of 2018. The Markov property of the order sequence is validated by the Chi-square test. We estimate the transition probability matrix of the sequence using maximum likelihood estimation. From the heatmap of these matrices, we found the presence of active participation by different types of traders during high volatility days. On such days, these traders place limit orders primarily with the intention of deleting the majority of them to influence the market. These findings are supported by high stationary distribution and low mean recurrence values of add and delete orders. Further, we found similar spectral gap and entropy rate values, which indicates that similar trading strategies are employed on both high and low volatility days during the trade war. Among all the sectors considered in this study, we observe that there is a recurring pattern of full execution orders in the Finance & Banking sector. This shows that the banking stocks are resilient during the trade war. Hence, this study may be useful in understanding stock market order dynamics and devise trading strategies accordingly on high and low volatility days during extreme macroeconomic events.

A sentiment-based modeling and analysis of stock price during the COVID-19: U- and Swoosh-shaped recovery.

In the aftermath of stock market crash due to COVID-19, not all sectors recovered in the same way. Recently, a stock price model is proposed by Mahata et al. (2021) that describes V- and L-shaped recovery of the stocks and indices, but fails to simulate the U- and Swoosh-shaped recovery that arises due to sharp fall, continuation at the low price and followed by quick recovery, slow recovery for longer period, respectively. We propose a modified model by introducing a new parameter θ = + 1 , 0 , - 1 to quantify investors' positive, neutral and negative sentiments, respectively. The model explains movement of sectoral indices with positive financial anti-fragility ( ϕ ) showing U- and Swoosh-shaped recovery. Simulation using synthetic fund-flow with different shock lengths, ϕ , negative sentiment period and portion of fund-flow during recovery period show U- and Swoosh-shaped recovery. It shows that recovery of indices with positive ϕ becomes very weak with extended shock and negative sentiment period. Stocks with higher ϕ and fund-flow show quick recovery. Simulation of Nifty Bank, Nifty Financial and Nifty Realty show U-shaped recovery and Nifty IT shows Swoosh-shaped recovery. Simulation results are consistent with stock price movement. The estimated time-scale of shock and recovery of these indices are also consistent with the time duration of change of negative sentiment from the onset of COVID-19. We conclude that investors need to evaluate sentiment along with ϕ before investing in stock markets because negative sentiment can dampen the recovery even in financially anti-fragile stocks.

Characteristics of 2020 stock market crash: The COVID-19 induced extreme event.

A sudden fall of stock prices happens during a pandemic due to the panic sell-off by the investors. Such a sell-off may continue for more than a day, leading to a significant crash in the stock price or, more specifically, an extreme event (EE). In this paper, Hilbert-Huang transformation and a structural break analysis (SBA) have been applied to identify and characterize an EE in the stock market due to the COVID-19 pandemic. The Hilbert spectrum shows a maximum energy concentration at the time of an EE, and hence, it is useful to identify such an event. The EE's significant energy concentration is more than four times the standard deviation above the mean energy of the normal fluctuation of stock prices. A statistical significance test for the intrinsic mode functions is applied, and the test found that the signal is not noisy. The degree of nonstationarity test shows that the indices and stock prices are nonstationary. We identify the time of influence of the EE on the stock price by using SBA. Furthermore, we have identified the time scale ( τ) of the shock and recovery of the stock price during the EE using the intrinsic mode function obtained from the empirical mode decomposition technique. The quality stocks with V-shape recovery during the COVID-19 pandemic have definite τ of shock and recovery, whereas the stressed stocks with L-shape recovery have no definite τ. The identification of τ of shock and recovery during an EE will help investors to differentiate between quality and stressed stocks. These studies will help investors to make appropriate investment decisions.

Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery.

The emergence of the COVID-19 pandemic, a new and novel risk factor, leads to the stock price crash due to the investors' rapid and synchronous sell-off. However, within a short period, the quality sectors start recovering from the bottom. A stock price model has been developed to capture the price dynamics during shock and recovery phases of such crisis. The main variable and parameter of the model are the net fund flow ( Ψ t ) due to institutional investors, and financial antifragility ( ϕ ) of a company, respectively. We assume that during the crash, the stock price fall is independent of the ϕ . We study the effects of shock length ( T S ) and ϕ on the stock price during the crisis period using the Ψ t obtained from both the synthetic fund flow data and real fund flow data. We observed that the possibility of recovery of stock with ϕ > 0 , termed as quality stock, decreases with an increase in T S beyond a specific period. A quality stock with higher ϕ shows V-shape recovery and outperform others. The T S and recovery period of quality stock are almost equal in the Indian market. Financially stressed stocks, i.e., the stocks with ϕ < 0 , show L-shape recovery during the pandemic. The stock data and model analysis show that the investors, in the uncertainty like COVID-19, invest in the quality stocks to restructure their portfolio to reduce the risk. The study may help the investors to make the right investment decision during a crisis.

Conductivitylike Gilbert Damping due to Intraband Scattering in Epitaxial Iron.

Confirming the origin of Gilbert damping by experiment has remained a challenge for many decades, even for simple ferromagnetic metals. Here, we experimentally identify Gilbert damping that increases with decreasing electronic scattering in epitaxial thin films of pure Fe. This observation of conductivitylike damping, which cannot be accounted for by classical eddy-current loss, is in excellent quantitative agreement with theoretical predictions of Gilbert damping due to intraband scattering. Our results resolve the long-standing question about a fundamental damping mechanism and offer hints for engineering low-loss magnetic metals for cryogenic spintronics and quantum devices.

Synthesis and characterization of iron oxide superparticles with various polymers.

Iron oxide superparticles referring to a cluster of smaller nanoparticles have recently attracted much attention because of their enhanced magnetic moments but maintaining superparamagnetic behavior. In this study, iron oxide superparticles have been synthesized using a solvothermal method in the presence of six different polymers (e.g., sodium polyacrylate, pectin sodium alginate, chitosan oligosaccharides, polyethylene glycol, and polyvinylpyrrolidine). The functional group variation in these polymers affected their interactions with precursor iron ions, and subsequently influenced crystalline grain sizes within superparticles and their magnetic properties. These superparticles were extensively characterized by transmission electron microscopy, dynamic light scattering, x-ray diffraction, Fourier transform infrared spectroscopy, and vibrating sample magnetometry.