3,248 research outputs found

    Diversification philosophy and boosting technique for trade execution strategy

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    University of Technology, Sydney. Faculty of Information Technology.This thesis explores the rationale and effectiveness of diversification across time and strategies, which is an important philosophy for risk management in practice, in the framework of developing trade execution strategies. In this thesis, the strategies are defined as making a series of decisions based on real-time state variables over a fixed period to achieve high reward and low risk with given resources. Trade execution strategies are to make a series of decisions on how to place an order in markets based on real-time market information over a fixed period to fill the order with low cost and risk in the end. In the 1st part, this thesis explores diversification across time. The research of trade execution has shown that although limit order strategy achieves lower cost than market order strategy does, it may incur nonexecution risk and miss trading opportunities. This thesis proposes a strategy that reflects the idea of diversification across time to improve the limit order strategy. In the 2nd part, this thesis explores diversification across strategies. Techniques for implementing this idea have been proposed to acquire strategies from a candidate strategy set and determine their weights. For those techniques, the candidate strategy set normally only contains finite strategies and the risk that they reduce is only measured by one specific standard. This thesis proposes a technique that overcomes those drawbacks. In the 3rd part, the proposed technique is applied to improve trade execution strategies. The strategy proposed in the 1st part is called DF (dynamic focus) strategy, which incorporates a series of small market orders with different volume into the limit order strategy and dynamically adjusts each market order volume based on two real-time state variables: inventory and order book imbalance. The sigmoid function is adopted to map the variables to the market order volume. Experiments show that the DF strategy achieves lower cost and risk than the limit order strategy does. The technique proposed in the 2nd part extends the key idea of the AdaBoost (adaptive boosting) technique, which is discussed mostly in the supervised learning field. It is named DAB (diversification based on AdaBoost) in this thesis. The DAB technique adaptively updates the probability distribution on training examples in the learning process, acquires strategies from a candidate strategy set and determines their weights. Resources (e.g. money or an order) are allocated to each acquired strategy in proportion with its weight and all acquired strategies are then executed in parallel with their allocated resources. The DAB technique allows the candidate strategy set to contain infinite strategies. Analysis shows that as the learning steps increase, the DAB technique lowers the candidate strategy set's risk, which can be measured by different standards, and limits the decrease in its reward. The DAB technique is applied in the 3rd part to acquire DF strategies from a candidate DF strategy set and determine their weights. The entire order is allocated to each acquired DF strategy in proportion with its weight and all acquired DF strategies are then executed in parallel to fill their allocated order. In this thesis, this parallel execution is called BONUS (boosted dynamic focus) strategy. Experiments support theoretical analysis and show that the BONUS strategy achieves lower risk and cost than the optimal DF strategy and two simple diversification techniques do. This thesis is contributed to both finance and computer science fields from the theoretical and empirical perspectives. First, the proposed DF strategy verifies the effectiveness of diversification across time through improving the existing trade execution strategies. Second, the proposed DAB technique provides a flexible way for implementing diversification across strategies to complement the existing diversification techniques and enrich the research of the AdaBoost technique. Third, the proposed DAB technique and BONUS strategy provide a flexible way to improve trade execution strategies

    Acoustic study of non-interrogative usages of the interrogative pronoun in Mandarin

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    Treballs Finals del Màster en Ciència Cognitiva i Llenguatge, Facultat de Filosofia, Universitat de Barcelona, Curs: 2023-2024, Tutor: Mireia FarrúsIn Mandarin Chinese, the interrogative pronoun “shen2me0” not only can be used to express interrogation, but also has multiple non-interrogative usages. In sentences with same syntactic structure, by applying different intonations, this wh-word can convey various meanings. However, due to the lack of grammatical markers, it could be a complex problem for Automatic Speech Recognition (ASR). Therefore, this study chose to investigate the acoustic features of these usages of “shen2me0”. Through two experiments, this present compared the acoustic features including pitch contours, sentence stress, duration, pitch range, boundary tone of sentence and the wh-word of the interrogative, empty reference, rhetorical, and referential substitution usages in same sentences under different contexts. Also, the use of modal particles at the end of the sentences was considered. The results showed that interrogative usage had moderate pitch fluctuation and the use of modal particle would influence how people pronounced the wh-word. In empty reference usage, “shen2me0” had a neutral nature as a placeholder rather than a focus, and thus the sentence showed a flat pitch curve. Rhetorical usage had dynamic pitch changes, especially at the word “hai2”, to express strong emotion. Referential substitution usage had a flatter pitch curve at the beginning, which rose higher at the end, with prolonged pronunciation of “me0”. Moreover, this study also discussed about meaning for ASR and the improvements in further study

    Studies of influencing factors for shale gas reservoir performance

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    Shale gas resource plays a significant role in energy supply worldwide. For economic production of shale gas, technologies of horizontal well and hydraulic fracturing are used for shale gas reservoirs. Therefore, the productivity of the shale gas reservoirs will be influenced by both reservoir condition, and hydraulic fracture properties. In this thesis, parameters that will influence shale gas production were classified into two categories: reservoir properties and hydraulic fracture properties. Published shale gas simulation studies were surveyed for determining the typical ranges of those properties. CMG-GEM was employed to finish the reservoir simulation work, and CMG-CMOST was used to complete the sensitivity analysis work. A three dimensional single phase dual-permeability shale gas reservoir model was created. Three flow mechanisms (Darcy flow, Non-Darcy flow, and Gas diffusion) as well as gas adsorption and desorption mechanism were considered in this model. Sensitivity checks for each parameter were performed to analyze the effect of factors to forecast the production of shale gas reservoir. Influences of reservoir and hydraulic fracture parameters for different time periods were quantified by simulation of 1 yr., 5 yr., 10 yr., and 20 yr. production --Abstract, page iii

    Solar Power System Modeling and Performance Analysis

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    At present the main source of our power and energy needs are from fossil fuel; almost all transportation tools and nearly 70% of electrical power are produced by fossil fuel. But unfortunately these materials are limited in our planet, with obvious drawback such as pollution. So looking for new kinds of energy supply is an urgent matter. Solar-powered photovoltaic system provides a clean energy solution to this problem. It is developing fast all over the world in terms of both research work and actual applications. It is estimated that the power supplied by solar energy can provide 10 percent of United States power needs. This thesis mainly discusses photovoltaic system modeling from the beginning of site selection to system sizing. Some tools are used during the project. A GIS application is used to help developers in the preliminary studies. Photovoltaic system simulation software PVsyst involves the system components setting and sizing process. Two types of systems are built in this study: stand-alone system and grid connected system; the location is set at Denver, Colorado. For each system the array mounting, analysis of loads and modules selection are studied. The simulation is performed after the system model is completed, the results includes loss diagrams, system energy yields and system efficiencies. At last the economic analysis and comparison between the two types of PV systems is analyzed

    A usability assessment for a career planning educational video game

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    This study focused on the design, implementation and usability assessment of an educational 2D iPad job matching game The Place You’ll Go (TPYG), which meant for matching student skill sets with career profiles. The development of the game is conducted in collaboration with Purdue University’s Krannert School of Management and Polytech Institute. A total of 7 subjects, as high school teachers, participated in the usability study. TPYG as one possible solution for job matching data visualization, did not provide players with a good experience. However, conclusions and findings can be used in similar education game development. Based on survey and analysis, new feasible and scientific plans were made for future development

    Mass Transport of Metallic Nanostructures during Sintering Process: A Molecular Dynamics Perspective

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    Sintering of nanomaterials has been broadly utilized as a joining technique in various applications for achieving excellent mechanical, thermal, and electronic properties. However, the joining of the nanomaterial will facilitate the growth of the nanograin, which deteriorate the performance of the mechanical properties. Also, different defects developed during the sintering process deteriorate the thermal and electronic properties. Therefore, how to prevent the growth of the nanograin and the development of the defects during sintering have become an extremely important issue for improving the properties of sintered joints. This research employs molecular dynamics approach to reveal the atomic-scale sintering dynamics and study the properties of the sintered products of Cu-Ag core-shell nanoparticles (NPs) and nanowires (NWs), over a wide range of temperatures and on three different sintering models: (1) two core-shell NP model; (2) two core-shell NW model; (3) multiple core-shell NP model. Two new sintering mechanisms are found: (1) crystallization-amorphization-recrystallization during solid-phase sintering process and (2) wetting in the sintering of two unequally sized NPs induced by its own small size of existence of Cu core. A three-stage sintering is found for both NPs and NWs. The rupture strength of the sintered joint in the NW is found even higher than the CS NW itself. The effect of porosity and NP agglomeration effect on sintering of multiple core-shell NP model is unravled and the properties of the sintered structure at different temperatures are analyzed in terms of the porosity, grain size, and crystallinity. Through these researches, size and temperature effects on the sintering dynamics of the Cu-Ag core shell NPs/NWs are unraveled, enhanced understanding in defects formation and grain growth are achieved. Those results are expected to contribute to the development of various applications such as electronic packaging, wearable electronics, and energy devices
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