Thomas Guhr

Shanshan Wang, Michael Schreckenberg, Thomas Guhr

In a motorway network, correlations between parts or, more precisely, between the sections of (different) motorways, are of considerable interest. Knowledge of flows and velocities on individual motorways is not sufficient, rather, their correlations determine or reflect, respectively, the functionality of and the dynamics on the network. These correlations are time-dependent as the dynamics on the network is highly non-stationary. Apart from the conceptual importance, correlations are also indispensable to detect risks of failure in a traffic network. Here, we proceed with revealing a certain hierarchy of correlations in traffic networks that is due to the presence and to the extent of collectivity. In a previous study, we focused on the collectivity motion present in the entire traffic network, i.e. the collectivity of the system as a whole. Here, we manage to subtract this dominant effect from the data and identify the subdominant collectivities which affect different, large parts of the traffic network. To this end, we employ a spectral analysis of the correlation matrix for the whole system. We thereby extract information from the virtual network induced by the correlations and map it on the true topology, i.e. on the real motorway network. The uncovered subdominant collectivities provide a new characterization of the traffic network. We carry out our study for the large motorway network of North Rhine-Westphalia (NRW), Germany.

Martin Theissen, Sebastian M. Krause, Thomas Guhr

We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.