Exogenous and endogenous factors affecting stock market transactions: A Hawkes process analysis of the Tokyo Stock Exchange during the COVID-19 pandemic.

Transactions in financial markets are not evenly spaced but can be concentrated within a short period of time. In this study, we investigated the factors that determine the transaction frequency in financial markets. Specifically, we employed the Hawkes process model to identify exogenous and endogenous forces governing transactions of individual stocks in the Tokyo Stock Exchange during the COVID-19 pandemic. To enhance the accuracy of our analysis, we introduced a novel EM algorithm for the estimation of exogenous and endogenous factors that specifically addresses the interdependence of the values of these factors over time. We detected a substantial change in the transaction frequency in response to policy change announcements. Moreover, there is significant heterogeneity in the transaction frequency among individual stocks. We also found a tendency where stocks with high market capitalization tend to significantly respond to external news, while their excitation relationship between transactions is weak. This suggests the capability of quantifying the market state from the viewpoint of the exogenous and endogenous factors generating transactions for various stocks.

Measuring Liquid-Level Utilizing Wedge Wave.

A new technique for measuring liquid-level utilizing wedge wave is presented and demonstrated through FEM simulation and a corresponding experiment. The velocities of wedge waves in the air and the water, and the sensitivities for the measurement, are compared with the simulation and the results obtained in the experiments. Combining the simulation and the measurement theory, it is verified that the foundation framework for the methods is available. The liquid-level sensing is carried out using the aluminum waveguide with a 30° wedge in the water. The liquid-level is proportional to the traveling time of the mode 1 wedge wave. The standard deviations and the uncertainties of the measurement are 0.65 mm and 0.21 mm using interface echo, and 0.39 mm and 0.12 mm utilized by end echo, which are smaller than the industry standard of 1.5 mm. The measurement resolutions are 7.68 µm using the interface echo, which is the smallest among all the guided acoustic wave-based liquid-level sensing.