Search results for " Microstructure"
showing 10 items of 105 documents
A Comparison of Mechanical Properties and Microstructure in Friction Stir Welded and MIG Welded Light Alloys
2012
Joining technologies are in a very interesting phase today due to some relevant innovations concerning new techniques. Friction Stir Welding (FSW) is a relatively new process, patented by TWI in 1991, able to weld through a solid state bonding materials considered difficult to be welded or unweldable by more traditional fusion welding techniques. By using this process welded joints are obtained with no external heat supplier, generating the required temperature increase by means of a revolving pin that follows a proper trajectory partially sunk in the workpiece surface. As for today, although first examples of industrial application can be found in the aeronautical and aerospace fields, the…
Identification of clusters of investors from their real trading activity in a financial market
2012
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.
Le figement dans le Nuovo vocabolario commerciale fraseologico de Caricati et Mariotti
2020
L’article, tout d’abord, aborde le concept de langue de spécialité ou Microlingua, l’attention se focalise ensuite sur l’analyse du Nuovo vocabolario commerciale fraseologico italiano-francese ad uso degli studenti delle scuole commerciali, dei commercianti, corrispondenti, professionisti de Caricati et Mariotti et prend en considération le traitement du figement dans la préface, dans la macrostructure et enfin dans la microstructure.
Modeling the coupled return-spread high frequency dynamics of large tick assets
2015
Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We introduce a Markov-switching modeling approach for price change, where the latent Markov process is the transition between spreads. We then use a finite Markov mixture of logit regressions on past squared returns to describe the dependence of the probability of price changes. The model can thus be seen as a Double Chain Markov Model. We show that the model describes the shape of return distribution at different time aggregations, volatility clustering, and the anomalo…
Trading leads to scale-free self-organization
2009
Financial markets display scale-free behavior in many different aspects. The power-law behavior of part of the distribution of individual wealth has been recognized by Pareto as early as the nineteenth century. Heavy-tailed and scale-free behavior of the distribution of returns of different financial assets have been confirmed in a series of works. The existence of a Pareto-like distribution of the wealth of market participants has been connected with the scale-free distribution of trading volumes and price-returns. The origin of the Pareto-like wealth distribution, however, remained obscure. Here we show that it is the process of trading itself that under two mild assumptions spontaneously…
Calibration of optimal execution of financial transactions in the presence of transient market impact
2012
Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate wit…
The adaptive nature of liquidity taking in limit order books
2014
In financial markets, the order flow, defined as the process assuming value one for buy market orders and minus one for sell market orders, displays a very slowly decaying autocorrelation function. Since orders impact prices, reconciling the persistence of the order flow with market efficiency is a subtle issue. A possible solution is provided by asymmetric liquidity, which states that the impact of a buy or sell order is inversely related to the probability of its occurrence. We empirically find that when the order flow predictability increases in one direction, the liquidity in the opposite side decreases, but the probability that a trade moves the price decreases significantly. While the…
Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
2016
In this comment we discuss the problem of reconciling the linear efficiency of price returns with the long-memory of supply and demand. We present new evidence that shows that efficiency is maintained by a liquidity imbalance that co-moves with the imbalance of buyer vs. seller initiated transactions. For example, during a period where there is an excess of buyer initiated transactions, there is also more liquidity for buy orders than sell orders, so that buy orders generate smaller and less frequent price responses than sell orders. At the moment a buy order is placed the transaction sign imbalance tends to dominate, generating a price impact. However, the liquidity imbalance rapidly incre…
A Data-Driven Approach for Studying the Influence of Carbides on Work Hardening of Steel
2022
This study proposes a new approach to determine phenomenological or physical relations between microstructure features and the mechanical behavior of metals bridging advanced statistics and materials science in a study of the effect of hard precipitates on the hardening of metal alloys. Synthetic microstructures were created using multi-level Voronoi diagrams in order to control microstructure variability and then were used as samples for virtual tensile tests in a full-field crystal plasticity solver. A data-driven model based on Functional Principal Component Analysis (FPCA) was confronted with the classical Voce law for the description of uniaxial tensile curves of synthetic AISI 420 ste…
Identification of Clusters of Investors from Their Real Trading Activity in a Financial Market
2011
We use statistically validated networks, a recently introduced method to validate links in a bipartite system, to identify clusters of investors trading in a financial market. Specifically, we investigate a special database allowing to track the trading activity of individual investors of the stock Nokia. We find that many statistically detected clusters of investors show a very high degree of synchronization in the time when they decide to trade and in the trading action taken. We investigate the composition of these clusters and we find that several of them show an over-expression of specific categories of investors.