Search results for " Microstructure"

UNEVEN DISTRIBUTION OF ORGANOCLAY IN HDPE/PA6 BLENDS - IMPACT OF MICROSTRUCTURE AND MECHANICAL BEHAVIOUR

2009

Diffusive behavior and the modeling of characteristic times in limit order executions

2007

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancellations. We outline a simple model, which assumes that prices are characterized by the empirically observed distribution …

Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices

2006

I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution of the problem gives insight on the origin of the recently empirically observed power law distribution of limit order prices. In the framework of the model, the most likely proximate cause of this power law is a power law heterogeneity of traders' investment time horizons .

How does the market react to your order flow?

2012

We present an empirical study of the intertwined behaviour of members in a financial market. Exploiting a database where the broker that initiates an order book event can be identified, we decompose the correlation and response functions into contributions coming from different market participants and study how their behaviour is interconnected. We find evidence that (1) brokers are very heterogeneous in liquidity provision -- some are consistently liquidity providers while others are consistently liquidity takers. (2) The behaviour of brokers is strongly conditioned on the actions of {\it other} brokers. In contrast brokers are only weakly influenced by the impact of their own previous ord…

Digital rock physics: Effect of fluid viscosity on effective elastic properties

2011

Abstract This paper is concerned with the effect of pore fluid viscosity on effective elastic properties using digitized rocks. We determine a significant velocity dispersion in wave propagation simulations by the variation of the pore fluid viscosity. Several attenuation regimes are considered which may contribute to this observation. Starting point is a virtual rock physics approach. Numerical simulations of effective transport and effective mechanical properties are applied to statistically representative rock samples. The rock microstructure is imaged by 3D X-ray tomography. Permeability values were estimated through Lattice-Boltzmann flow simulations. The dry rock moduli and the tortuo…

A theory for long-memory in supply and demand

2004

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets [2, 19]. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the size of such large orders is power law distributed, this gives rise to power law decaying autocorrelations in the signs of executed orders. More specifically, we show that if the cumulative distribution of large orders of volume v is proportional to v to the power -alpha and the size of executed orders is constant, the autocorrelation of order signs as a function of the lag tau is asymptotica…

Stock markets and quantum dynamics: A second quantized description

2009

In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved

A cohesive boundary element approach to material degradation in three-dimensional polycrystalline aggregates

2013

A new three-dimensional grain-level formulation for intergranular degradation and failure in polycrystalline materials is presented. The polycrystalline microstructure is represented as a Voronoi tessellation and the boundary element method is used to express the elastic problem for each crystal of the aggregate. The continuity of the aggregate is enforced through suitable conditions at the intergranular interfaces. The grain-boundary model takes into account the onset and evolution of damage by means of an irreversible linear cohesive law, able to address mixed-mode failure conditions. Upon interface failure, a non-linear frictional contact analysis is introduced for addressing the contact…

A three-dimensional boundary element model for the analysis of polycrystalline materials at the microscale

2012

A three-dimensional multi-domain anisotropic boundary element formulation is presented for the analysis of polycrystalline microstructures. The formulation is naturally expressed in terms of intergranular displacements and tractions that play an important role in polycrystalline micromechanics, micro-damage and micro-cracking. The artificial morphology is generated by Hardcore Voronoi tessellation, which embodies the main statistical features of polycrystalline microstructures. Each crystal is modeled as an anisotropic elastic region and the integrity of the aggregate is restored by enforcing interface continuity and equilibrium between contiguous grains. The developed technique has been ap…

THE STATE OF FRACTIONAL HEREDITARY MATERIALS (FHM)

2014

The widespread interest on the hereditary behavior of biological and bioinspired materials motivates deeper studies on their macroscopic ``minimal" state. The resulting integral equations for the detected relaxation and creep power-laws, of exponent $\beta$, are characterized by fractional operators. Here strains in $SBV_{loc}$ are considered to account for time-like jumps. Consistently, starting from stresses in $L_{loc}^{r}$, $r\in [1,\beta^{-1}], \, \, \beta\in(0,1)$ we reconstruct the corresponding strain by extending a result in [42]. The ``minimal" state is explored by showing that different histories delivering the same response are such that the fractional derivative of their differ…