Synthesis and Stochastic Assessment of Cost-Optimal Schedules

We present a novel approach to synthesize good schedules for a class of scheduling problems that is slightly more general than the scheduling problem FJm,a|gpr,r_j,d_j|early/tardy. The idea is to prime the schedule synthesizer with stochastic information more meaningful than performance factors with the objective to minimize the expected cost caused by storage or delay. The priming information is obtained by stochastic simulation of the system environment. The generated schedules are assessed again by simulation. The approach is demonstrated by means of a non-trivial scheduling problem from lacquer production. The experimental results show that our approach achieves in all considered scenarios better results than the extended processing times approach

Bounded Concurrent Timestamp Systems Using Vector Clocks

Shared registers are basic objects used as communication mediums in asynchronous concurrent computation. A concurrent timestamp system is a higher typed communication object, and has been shown to be a powerful tool to solve many concurrency control problems. It has turned out to be possible to construct such higher typed objects from primitive lower typed ones. The next step is to find efficient constructions. We propose a very efficient wait-free construction of bounded concurrent timestamp systems from 1-writer multireader registers. This finalizes, corrects, and extends, a preliminary bounded multiwriter construction proposed by the second author in 1986. That work partially initiated the current interest in wait-free concurrent objects, and introduced a notion of discrete vector clocks in distributed algorithms.Comment: LaTeX source, 35 pages; To apper in: J. Assoc. Comp. Mac

Randomized Two-Process Wait-Free Test-and-Set

We present the first explicit, and currently simplest, randomized algorithm for 2-process wait-free test-and-set. It is implemented with two 4-valued single writer single reader atomic variables. A test-and-set takes at most 11 expected elementary steps, while a reset takes exactly 1 elementary step. Based on a finite-state analysis, the proofs of correctness and expected length are compressed into one table.Comment: 9 pages, 4 figures, LaTeX source; Submitte

Market impacts and the life cycle of investors orders

In this paper, we use a database of around 400,000 metaorders issued by investors and electronically traded on European markets in 2010 in order to study market impact at different scales. At the intraday scale we confirm a square root temporary impact in the daily participation, and we shed light on a duration factor in $1/T^{\gamma}$ with $\gamma \simeq 0.25$. Including this factor in the fits reinforces the square root shape of impact. We observe a power-law for the transient impact with an exponent between $0.5$ (for long metaorders) and $0.8$ (for shorter ones). Moreover we show that the market does not anticipate the size of the meta-orders. The intraday decay seems to exhibit two regimes (though hard to identify precisely): a "slow" regime right after the execution of the meta-order followed by a faster one. At the daily time scale, we show price moves after a metaorder can be split between realizations of expected returns that have triggered the investing decision and an idiosynchratic impact that slowly decays to zero. Moreover we propose a class of toy models based on Hawkes processes (the Hawkes Impact Models, HIM) to illustrate our reasoning. We show how the Impulsive-HIM model, despite its simplicity, embeds appealing features like transience and decay of impact. The latter is parametrized by a parameter $C$ having a macroscopic interpretation: the ratio of contrarian reaction (i.e. impact decay) and of the "herding" reaction (i.e. impact amplification).Comment: 30 pages, 12 figure