Drift dependence of optimal trade execution strategies under transient price impact

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the derivative of the drift. Our approach uses elements from singular stochastic control, even though the problem is essentially non-Markovian due to the transience of price impact and the lack in Markovian structure of the underlying price process. As a corollary, we give a complete solution to the minimization of a certain cost-risk criterion in our setting

Geomagnetism and Aeronomy activities in Italy during IGY, 1957/58

In 2007 several events were organized to celebrate the fiftieth anniversary of the International Geophysical Year (IGY, 1957-1958). The celebrations will last until 2009 and are taking place within different contexts: the International Polar Year (IPY), the International Heliophysical Year (IHY), the electronic Geophysical Year (eGY) and the International Year of Planet Earth (IYPE). IGY offered a very appropriate and timely occasion to undertake a series of coordinated observations of various geophysical phenomena all over the globe. Italy took part in the broad international effort stimulated by IGY. In fact, Italy participated in observations and studies in many of the proposed scientific areas, in particular Geomagnetism and Aeronomy. The Istituto Nazionale di Geofisica (ING) started the installation of observatories, and updated and ensured continuous recording of geophysical observations. Geomagnetism, ionospheric physics, seismology, and other geophysical disciplines, were advanced. Although much of the work was undertaken in Italy, some attention was also devoted to other areas of the world, in particular Antarctica, where Italy participated in seismological observations. This paper gives a summary of the Geomagnetism and Ionospheric Physics activities within IGY. Furthermore, we highlight the importance of this historical event and its outcomes for the improvement of geophysical observations and the post-IGY growth of scientific investigations in Italy

Hot Zero and Full Power Validation of PHISICS RELAP-5 Coupling

PHISICS is a reactor analysis toolkit developed over the last 3 years at the Idaho National Laboratory. It has been coupled with the reactor safety analysis code RELAP5-3D. PHISICS is aimed at providing an optimal trade off between needed computational resources (in the range of 10~100 computer processors) and accuracy. In fact, this range has been identified as the next 5 to 10 years average computational capability available to nuclear reactor design and optimization nuclear reactor cores. Detailed information about the individual modules of PHISICS can be found in [1]. An overview of the modules used in this study is given in the next subsection. Lately, the Idaho National Laboratory gained access plant data for the first cycle of a PWR, including Hot Zero Power (HZP) and Hot Full Power (HFP). This data provides the opportunity to validate the transport solver, the interpolation capability for mixed macro and micro cross section and the criticality search option of the PHISICS pack

Optimal execution strategies in limit order books with general shape functions

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for modeling the resilience of the LOB after a large market order: the exponential recovery of the number of limit orders, i.e., of the volume of the LOB, or the exponential recovery of the bid-ask spread. We consider both of these resilience modes and, in each case, derive explicit optimal execution strategies in discrete time. Applying our results to a block-shaped LOB, we obtain a new closed-form representation for the optimal strategy, which explicitly solves the recursive scheme given in Obizhaeva and Wang (2005). We also provide some evidence for the robustness of optimal strategies with respect to the choice of the shape function and the resilience-type

What is the best approach for managing recurrent bacterial vaginosis?

The best way to prevent recurrent bacterial vaginosis is to treat the initial episode with the most effective regimen. Metronidazole (500 mg orally twice daily for 7 days) has the lowest recurrence rate among antimicrobial regimens for bacterial vaginosis (20% vs 34%-50% for other agents) (strength of recommendation [SOR]: A). Women should be treated if they are symptomatic (SOR: A), undergoing gynecologic surgery (SOR: B), or at risk for preterm labor (SOR: B)

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

Dynamic PRA: an Overview of New Algorithms to Generate, Analyze and Visualize Data

State of the art PRA methods, i.e. Dynamic PRA (DPRA) methodologies, largely employ system simulator codes to accurately model system dynamics. Typically, these system simulator codes (e.g., RELAP5 ) are coupled with other codes (e.g., ADAPT, RAVEN that monitor and control the simulation. The latter codes, in particular, introduce both deterministic (e.g., system control logic, operating procedures) and stochastic (e.g., component failures, variable uncertainties) elements into the simulation. A typical DPRA analysis is performed by: 1. Sampling values of a set of parameters from the uncertainty space of interest 2. Simulating the system behavior for that specific set of parameter values 3. Analyzing the set of simulation runs 4. Visualizing the correlations between parameter values and simulation outcome Step 1 is typically performed by randomly sampling from a given distribution (i.e., Monte-Carlo) or selecting such parameter values as inputs from the user (i.e., Dynamic Event Tre