Price limit trading rules are adopted in some stock markets (especially emerging markets) trying to cool off traders short-term trading mania on individual stocks and increase market efficiency. Under such a microstructure, stocks may hit their up-li
mits and down-limits from time to time. However, the behaviors of price limit hits are not well studied partially due to the fact that main stock markets such as the US markets and most European markets do not set price limits. Here, we perform detailed analyses of the high-frequency data of all A-share common stocks traded on the Shanghai Stock Exchange and the Shenzhen Stock Exchange from 2000 to 2011 to investigate the statistical properties of price limit hits and the dynamical evolution of several important financial variables before stock price hits its limits. We compare the properties of up-limit hits and down-limit hits. We also divide the whole period into three bullish periods and three bearish periods to unveil possible differences during bullish and bearish market states. To uncover the impacts of stock capitalization on price limit hits, we partition all stocks into six portfolios according to their capitalizations on different trading days. We find that the price limit trading rule has a cooling-off effect (object to the magnet effect), indicating that the rule takes effect in the Chinese stock markets. We find that price continuation is much more likely to occur than price reversal on the next trading day after a limit-hitting day, especially for down-limit hits, which has potential practical values for market practitioners.
Theoretical analyses of the Dendritic Cell Algorithm (DCA) have yielded several criticisms about its underlying structure and operation. As a result, several alterations and fixes have been suggested in the literature to correct for these findings. A
contribution of this work is to investigate the effects of replacing the classification stage of the DCA (which is known to be flawed) with a traditional machine learning technique. This work goes on to question the merits of those unique properties of the DCA that are yet to be thoroughly analysed. If none of these properties can be found to have a benefit over traditional approaches, then fixing the DCA is arguably less efficient than simply creating a new algorithm. This work examines the dynamic filtering property of the DCA and questions the utility of this unique feature for the anomaly detection problem. It is found that this feature, while advantageous for noisy, time-ordered classification, is not as useful as a traditional static filter for processing a synthetic dataset. It is concluded that there are still unique features of the DCA left to investigate. Areas that may be of benefit to the Artificial Immune Systems community are suggested.
As one of the emerging algorithms in the field of Artificial Immune Systems (AIS), the Dendritic Cell Algorithm (DCA) has been successfully applied to a number of challenging real-world problems. However, one criticism is the lack of a formal definit
ion, which could result in ambiguity for understanding the algorithm. Moreover, previous investigations have mainly focused on its empirical aspects. Therefore, it is necessary to provide a formal definition of the algorithm, as well as to perform runtime analyses to revealits theoretical aspects. In this paper, we define the deterministic version of the DCA, named the dDCA, using set theory and mathematical functions. Runtime analyses of the standard algorithm and the one with additional segmentation are performed. Our analysis suggests that the standard dDCA has a runtime complexity of O(n2) for the worst-case scenario, where n is the number of input data instances. The introduction of segmentation changes the algorithms worst case runtime complexity to O(max(nN; nz)), for DC population size N with size of each segment z. Finally, two runtime variables of the algorithm are formulated based on the input data, to understand its runtime behaviour as guidelines for further development.
As one of the solutions to intrusion detection problems, Artificial Immune Systems (AIS) have shown their advantages. Unlike genetic algorithms, there is no one archetypal AIS, instead there are four major paradigms. Among them, the Dendritic Cell Al
gorithm (DCA) has produced promising results in various applications. The aim of this chapter is to demonstrate the potential for the DCA as a suitable candidate for intrusion detection problems. We review some of the commonly used AIS paradigms for intrusion detection problems and demonstrate the advantages of one particular algorithm, the DCA. In order to clearly describe the algorithm, the background to its development and a formal definition are given. In addition, improvements to the original DCA are presented and their implications are discussed, including previous work done on an online analysis component with segmentation and ongoing work on automated data preprocessing. Based on preliminary results, both improvements appear to be promising for online anomaly-based intrusion detection.
Understanding the statistical properties of recurrence intervals of extreme events is crucial to risk assessment and management of complex systems. The probability distributions and correlations of recurrence intervals for many systems have been exte
nsively investigated. However, the impacts of microscopic rules of a complex system on the macroscopic properties of its recurrence intervals are less studied. In this Letter, we adopt an order-driven stock market model to address this issue for stock returns. We find that the distributions of the scaled recurrence intervals of simulated returns have a power law scaling with stretched exponential cutoff and the intervals possess multifractal nature, which are consistent with empirical results. We further investigate the effects of long memory in the directions (or signs) and relative prices of the order flow on the characteristic quantities of these properties. It is found that the long memory in the order directions (Hurst index $H_s$) has a negligible effect on the interval distributions and the multifractal nature. In contrast, the power-law exponent of the interval distribution increases linearly with respect to the Hurst index $H_x$ of the relative prices, and the singularity width of the multifractal nature fluctuates around a constant value when $H_x<0.7$ and then increases with $H_x$. No evident effects of $H_s$ and $H_x$ are found on the long memory of the recurrence intervals. Our results indicate that the nontrivial properties of the recurrence intervals of returns are mainly caused by traders behaviors of persistently placing new orders around the best bid and ask prices.
As one of the newest members in the field of artificial immune systems (AIS), the Dendritic Cell Algorithm (DCA) is based on behavioural models of natural dendritic cells (DCs). Unlike other AIS, the DCA does not rely on training data, instead domain
or expert knowledge is required to predetermine the mapping between input signals from a particular instance to the three categories used by the DCA. This data preprocessing phase has received the criticism of having manually over-?tted the data to the algorithm, which is undesirable. Therefore, in this paper we have attempted to ascertain if it is possible to use principal component analysis (PCA) techniques to automatically categorise input data while still generating useful and accurate classication results. The integrated system is tested with a biometrics dataset for the stress recognition of automobile drivers. The experimental results have shown the application of PCA to the DCA for the purpose of automated data preprocessing is successful.
