arXiv subjects

B. Moews

Publications and source records attributed to B. Moews.

3 recordsLinked to original sources

arXiv2024

Data-driven measures of high-frequency trading

High-frequency trading (HFT) accounts for almost half of equity trading volume, yet it is not identified in public data. We develop novel data-driven measures of HFT activity that separate strategies that supply and demand liquidity. We train machine learning models to predict HFT activity observed in a proprietary dataset using concurrent public intraday data. Once trained on the dataset, these models generate HFT measures for the entire U.S. stock universe from 2010 to 2023. Our measures outperform conventional proxies, which struggle to capture HFT's time dynamics. We further validate them using shocks to HFT activity, including latency arbitrage, exchange speed bumps, and data feed upgrades. Finally, our measures reveal how HFT affects fundamental information acquisition. Liquidity-supplying HFTs improve price discovery around earnings announcements while liquidity-demanding strategies impede it.

q-fin.CP↗

arXiv2024

ELEPHANT: ExtragaLactic alErt Pipeline for Hostless AstroNomical Transients

Context. Transient astronomical events that exhibit no discernible association with a host galaxy are commonly referred to as hostless. These rare phenomena are associated with extremely energetic events, and they can offer unique insights into the properties and evolution of stars and galaxies. However, the sheer number of transients captured by contemporary high-cadence astronomical surveys renders the manual identification of all potential hostless transients impractical. Therefore, creating a systematic identification tool is crucial for studying these elusive events. Aims. We present the ExtragaLactic alErt Pipeline for Hostless AstroNomical Transients (ELEPHANT), a framework for filtering hostless transients in astronomical data streams. Methods. We used Fink to access all the ZTF alerts produced between January/2022 and December/2023, selecting only those associated with extragalactic transients. We then processed the associated stamps using a sequence of image analysis techniques to retrieve hostless candidates. Results. We find that less than 2% of all analyzed transients are potentially hostless. Among them, approximately 10% have a spectroscopic class reported on TNS, with Type Ia supernova being the most common class, followed by SLSN. Among the hostless candidates retrieved by our pipeline, there was SN 2018ibb, which has been proposed to be a PISN candidate; and SN 2022ann, one of only five known SNe Icn. When no class is reported on TNS, the dominant classes are QSO and SN candidates, the former obtained from SIMBAD and the latter inferred using the Fink ML classifier. Conclusions. ELEPHANT represents an effective strategy to filter extragalactic events within large and complex astronomical alert streams. There are many applications for which this pipeline will be useful, ranging from transient selection for follow-up to studies of transient environments.

astro-ph.IM↗

arXiv2019

Gaia DR2 unravels incompleteness of nearby cluster population: New open clusters in the direction of Perseus

Open clusters (OCs) are popular tracers of the structure and evolutionary history of the Galactic disk. The OC population is often considered to be complete within 1.8 kpc of the Sun. The recent Gaia Data Release 2 (DR2) allows the latter claim to be challenged. We perform a systematic search for new OCs in the direction of Perseus using precise and accurate astrometry from Gaia DR2. We implement a coarse-to-fine search method. First, we exploit spatial proximity using a fast density-aware partitioning of the sky via a k-d tree in the spatial domain of Galactic coordinates, (l, b). Secondly, we employ a Gaussian mixture model in the proper motion space to quickly tag fields around OC candidates. Thirdly, we apply an unsupervised membership assignment method, UPMASK, to scrutinise the candidates. We visually inspect colour-magnitude diagrams to validate the detected objects. Finally, we perform a diagnostic to quantify the significance of each identified overdensity in proper motion and in parallax space We report the discovery of 41 new stellar clusters. This represents an increment of at least 20% of the previously known OC population in this volume of the Milky Way. We also report on the clear identification of NGC 886, an object previously considered an asterism. This letter challenges the previous claim of a near-complete sample of open clusters up to 1.8 kpc. Our results reveal that this claim requires revision, and a complete census of nearby open clusters is yet to be found.

astro-ph.GA↗