Search results for "Microstructure"
showing 10 items of 707 documents
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…
Structural defects in smectic c* liquid crystals
1992
In this paper the structure of a smectic c* liquid crystalline material which can be switched in an electric field is investigated by electron microscopic techniques. Using this method the director field is revealed and typical disclinations observed. Analysis of these features enables the elastic anisotropy of the material to be calculated. Sample description. For our structure investigations a liquid crystalline material (4-(3-(s)-methyl-2-(s)-chloropentanoyloxy)-4'-octyloxy-biphenyl) with two chiral centres was synthesised using known procedures [I]. This material has been investigated by broadband dielectric spectroscopy, the softand Goldstone modes were analysed [2a] as well as the hig…
Conversion-electron M�ssbauer spectroscopy using 121Sb and a study of powdered ?-Sb2O3
1994
It is shown that 121Sb Conversion-Electron Mossbauer Spectroscopy (CEMS) is possible even at room temperature. The parameters and peculiarities of 121Sb CEMS are summarized. An application to powdered Sb(III) oxide shows that the material on the surface of the grains is not oxidized to Sb(V) but has changed its crystal symmetry, while the bulk of the grains still exhibits the initial cubic-crystal phase.
Controlling spatial inhomogeneity in prototypical multiphase microstructures
2017
A wide variety of real random composites can be studied by means of prototypes of multiphase microstructures with a controllable spatial inhomogeneity. To create them, we propose a versatile model of randomly overlapping super-spheres of a given radius and deformed in their shape by the parameter p. With the help of the so-called decomposable entropic measure, a clear dependence of the phase inhomogeneity degree on the values of the parameter p is found. Thus, a leading trend in changes of the phase inhomogeneity can be forecast. It makes searching for possible structure/property relations easier. For the chosen values of p, examples of two and three-phase prototypical microstructures show …
Vortex solitons in photonic crystal fibers
2003
We demonstrate the existence of vortex soliton solutions in photonic crystal fibers. We analyze the role played by the photonic crystal fiber defect in the generation of optical vortices. An analytical prediction for the angular dependence of the amplitude and phase of the vortex solution based on group theory is also provided. Furthermore, all the analysis is performed in the non-paraxial regime.
Anisotropy in strain gradient elasticity: Simplified models with different forms of internal length and moduli tensors
2018
Abstract Anisotropy of centro-symmetric (first) strain gradient elastic materials is addressed and the role there played by the dual gradient directions (i.e. directions of strain gradient and of double stress lever arm) is investigated. Anisotropy manifests itself not only through the classical fourth-rank elasticity tensor C (21 independent constants) in the form of moduli anisotropy, but also through a sixth-rank elasticity tensor B (171 independent constants) in a unified non-separable form as compound internal length/moduli anisotropy. Depending on the microstructure properties, compound anisotropy may also manifest itself in a twofold separable form through a decoupled tensor B = L C …
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…
Optical Bloch-mode-induced quasi phase matching of quadratic interactions in one-dimensional photonic crystals
2004
We examine in detail the quasi-phase-matching process obtained as a stationary modulation of the fundamental field at the band edge of a finite one-dimensional photonic crystal. The treatment is carried out in terms of the structure Bloch waves and fully explains the behavior of second-harmonic generation in the grating. An integrated microstructured AlGaAs mesa waveguide is proposed that gives efficient second-harmonic and difference-frequency generation in virtue of the combined presence of a periodic modulation of the fundamental-field amplitude and of the photonic bandgap edge.