Search results for "efficien"
showing 10 items of 3014 documents
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…
Uniform convergence and asymptotic confidence bands for model-assisted estimators of the mean of sampled functional data
2013
When the study variable is functional and storage capacities are limited or transmission costs are high, selecting with survey sampling techniques a small fraction of the observations is an interesting alternative to signal compression techniques, particularly when the goal is the estimation of simple quantities such as means or totals. We extend, in this functional framework, model-assisted estimators with linear regression models that can take account of auxiliary variables whose totals over the population are known. We first show, under weak hypotheses on the sampling design and the regularity of the trajectories, that the estimator of the mean function as well as its variance estimator …
Multivariate nonparametric tests of independence
2005
New test statistics are proposed for testing whether two random vectors are independent. Gieser and Randles, as well as Taskinen, Kankainen, and Oja have introduced and discussed multivariate extensions of the quadrant test of Blomqvist. This article serves as a sequel to this work and presents new multivariate extensions of Kendall's tau and Spearman's rho statistics. Two different approaches are discussed. First, interdirection proportions are used to estimate the cosines of angles between centered observation vectors and between differences of observation vectors. Second, covariances between affine-equivariant multivariate signs and ranks are used. The test statistics arising from these …
Energy efficient modulation of dendritic processing functions
1998
The voltage dependent ionic conductances and the passive properties of the neural membrane determine how external inputs are processed by the dendritic tree, and define the computational characteristics of neurons. However, what controls these characteristics and how they are implemented at the single neuron level, in such a way that an external input results in the coding of the appropriate output, is essentially unknown. We show here that a slow inactivation of the Na+ channel, involved in the attenuation and/or failure of APs in the dendrites, acts as an active and energy efficient filter of synaptic input, and results in an activity-dependent control of the properties of individual neur…
Quantum correlations in generalized spin star system
2006
The problem of detecting quantum signatures in the correlations formed in dynamical evolution of quantum bipartite systems receives a lot of attention in current literature. Generally speaking, the occurrence of correlations between two observables of a system does not necessarily reflect nonclassical behaviour. In this paper, the exact dynamics of a pair of uncoupled spins 1/2 interacting with a common spin 1/2 bath is investigated. Starting from a separable initial condition, the ability of the system to develop purely quantum correlations is brought to light. Physical interpretation of the concurrence function as well as a suggestion on how to measure it are given.
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…
Escape Times in Fluctuating Metastable Potential and Acceleration of Diffusion in Periodic Fluctuating Potentials
2004
The problems of escape from metastable state in randomly flipping potential and of diffusion in fast fluctuating periodic potentials are considered. For the overdamped Brownian particle moving in a piecewise linear dichotomously fluctuating metastable potential we obtain the mean first-passage time (MFPT) as a function of the potential parameters, the noise intensity and the mean rate of switchings of the dichotomous noise. We find noise enhanced stability (NES) phenomenon in the system investigated and the parameter region of the fluctuating potential where the effect can be observed. For the diffusion of the overdamped Brownian particle in a fast fluctuating symmetric periodic potential w…
Clusters of effects curves in quantile regression models
2018
In this paper, we propose a new method for finding similarity of effects based on quantile regression models. Clustering of effects curves (CEC) techniques are applied to quantile regression coefficients, which are one-to-one functions of the order of the quantile. We adopt the quantile regression coefficients modeling (QRCM) framework to describe the functional form of the coefficient functions by means of parametric models. The proposed method can be utilized to cluster the effect of covariates with a univariate response variable, or to cluster a multivariate outcome. We report simulation results, comparing our approach with the existing techniques. The idea of combining CEC with QRCM per…
Nonlinear parametric quantile models
2020
Quantile regression is widely used to estimate conditional quantiles of an outcome variable of interest given covariates. This method can estimate one quantile at a time without imposing any constraints on the quantile process other than the linear combination of covariates and parameters specified by the regression model. While this is a flexible modeling tool, it generally yields erratic estimates of conditional quantiles and regression coefficients. Recently, parametric models for the regression coefficients have been proposed that can help balance bias and sampling variability. So far, however, only models that are linear in the parameters and covariates have been explored. This paper …
Main individual and product characteristics influencing in-mouth flavour release during eating masticated food products with different textures: mech…
2013
Research Areas: Life Sciences & Biomedicine - Other Topics; Mathematical & Computational Biology; A mechanistic model predicting flavour release during oral processing of masticated foods was developed. The description of main physiological steps (product mastication and swallowing) and physical mechanisms (mass transfer, product breakdown and dissolution) occurring while eating allowed satisfactory simulation of in vivo release profiles of ethyl propanoate and 2-nonanone, measured by Atmospheric Pressure Chemical Ionization Mass Spectrometry on ten representative subjects during the consumption of four cheeses with different textures. Model sensitivity analysis showed that the main paramet…