arXiv subjects

Tyler J. Gray

Publications and source records attributed to Tyler J. Gray.

4 recordsLinked to original sources

arXiv2020

Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities

Using the most comprehensive, commercially-available dataset of trading activity in U.S. equity markets, we catalog and analyze quote dislocations between the SIP National Best Bid and Offer (NBBO) and a synthetic BBO constructed from direct feeds. We observe a total of over 3.1 billion dislocation segments in the Russell 3000 during trading in 2016, roughly 525 per second of trading. However, these dislocations do not occur uniformly throughout the trading day. We identify a characteristic structure that features more dislocations near the open and close. Additionally, around 23% of observed trades executed during dislocations. These trades may have been impacted by stale information, leading to estimated opportunity costs on the order of $ 2 billion USD. A subset of the constituents of the S&P 500 index experience the greatest amount of opportunity cost and appear to drive inefficiencies in other stocks. These results quantify impacts of the physical structure of the U.S. National Market System.

q-fin.TR↗

arXiv2019

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30

Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest. Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude. During this period, roughly 22% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over $160 million when compared with a single feed, single exchange alternative---a conservative estimate that does not take into account intra-day offsetting events.

q-fin.TR↗

arXiv2019

Hahahahaha, Duuuuude, Yeeessss!: A two-parameter characterization of stretchable words and the dynamics of mistypings and misspellings

Stretched words like `heellllp' or `heyyyyy' are a regular feature of spoken language, often used to emphasize or exaggerate the underlying meaning of the root word. While stretched words are rarely found in formal written language and dictionaries, they are prevalent within social media. In this paper, we examine the frequency distributions of `stretchable words' found in roughly 100 billion tweets authored over an 8 year period. We introduce two central parameters, `balance' and `stretch', that capture their main characteristics, and explore their dynamics by creating visual tools we call `balance plots' and `spelling trees'. We discuss how the tools and methods we develop here could be used to study the statistical patterns of mistypings and misspellings, along with the potential applications in augmenting dictionaries, improving language processing, and in any area where sequence construction matters, such as genetics.

cs.CL↗

arXiv2019

English verb regularization in books and tweets

The English language has evolved dramatically throughout its lifespan, to the extent that a modern speaker of Old English would be incomprehensible without translation. One concrete indicator of this process is the movement from irregular to regular (-ed) forms for the past tense of verbs. In this study we quantify the extent of verb regularization using two vastly disparate datasets: (1) Six years of published books scanned by Google (2003--2008), and (2) A decade of social media messages posted to Twitter (2008--2017). We find that the extent of verb regularization is greater on Twitter, taken as a whole, than in English Fiction books. Regularization is also greater for tweets geotagged in the United States relative to American English books, but the opposite is true for tweets geotagged in the United Kingdom relative to British English books. We also find interesting regional variations in regularization across counties in the United States. However, once differences in population are accounted for, we do not identify strong correlations with socio-demographic variables such as education or income.

cs.CL↗