The adaptive nature of liquidity taking in limit order books

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 last mechanism is able to counterbalance the persistence of order flow and restore efficiency and diffusivity, the first acts in opposite direction. We introduce a statistical order book model where the persistence of the order flow is mitigated by adjusting the market order volume to the predictability of the order flow. The model reproduces the diffusive behaviour of prices at all time scales without fine-tuning the values of parameters, as well as the behaviour of most order book quantities as a function of the local predictability of order flow.Comment: 40 pages, 14 figures, and 2 tables; old figure 12 removed. Accepted for publication on JSTA

Chaotic Behaviour in Some Discrete –Time Adaptive Control Systems

It has been shown that nonlinear discrete maps can display extremely rich behaviour and under certain parameter conditions to show chaotic phenomenon. This work looks at adaptive control feedback systems which can be represented as nonlinear discrete maps and shows how model mismatch can lead to undesired complicated and chaotic behaviour. Moreover that a discrete-time adaptive control system which can display chaotic behaviour can be extended into higher order systems and the results show that under certain parameter conditions, the higher order systems also behave chaotically. A generalised equation form for the eigenvalues is also given

Occupant behaviour in naturally ventilated and hybrid buildings

Adaptive thermal comfort criteria for building occupants are now becoming established. In this paper we illustrate their use in the prediction of occupant behaviour and make a comparison with a non-adaptive temperature threshold approach. A thermal comfort driven adaptive behavioural model for window opening is described and its use within dynamic simulation illustrated for a number of building types. Further development of the adaptive behavioural model is suggested including use of windows, doors, ceiling fans, night cooling, air conditioning and heating, also the setting of opportunities and constraints appropriate to a particular situation. The integration in dynamic simulation of the thermal adaptive behaviours together with non-thermally driven behaviours such as occupancy, lights and blind use is proposed in order to create a more complete model of occupant behaviour. It is further proposed that this behavioural model is implemented in a methodology that includes other uncertainties (e.g. in internal gains) so that a realistic range of occupant behaviours is represented at the design stage to assist in the design of robust, comfortable and low energy buildings

Integration of an adaptive infotainment system in a vehicle and validation in real driving scenarios

More services, functionalities, and interfaces are increasingly being incorporated into current vehicles and may overload the driver capacity to perform primary driving tasks adequately. For this reason, a strategy for easing driver interaction with the infotainment system must be defined, and a good balance between road safety and driver experience must also be achieved. An adaptive Human Machine Interface (HMI) that manages the presentation of information and restricts drivers’ interaction in accordance with the driving complexity was designed and evaluated. For this purpose, the driving complexity value employed as a reference was computed by a predictive model, and the adaptive interface was designed following a set of proposed HMI principles. The system was validated performing acceptance and usability tests in real driving scenarios. Results showed the system performs well in real driving scenarios. Also, positive feedbacks were received from participants endorsing the benefits of integrating this kind of system as regards driving experience and road safety.Postprint (published version

Viscoelastic adaptation of tendon graft material to compression: biomechanical quantification of graft preconditioning

Purpose: The tensile viscoelastic behaviour of tendon tissue is of central biomechanical importance and well examined. However, the viscoelastic tendon adaptation to external compression, such as when a tendon graft is fixated with an interference screw, has not been investigated before. Here, we quantify this adaptive behaviour in order to develop a new method to mechanically precondition tendon grafts and to better understand volumetric changes of tendinous tissue. The hypothesis of this study was that under compressive loads, tendon grafts will undergo a temporary volumetric (and therefore diametric) reduction, due to the extrusion of water from the tendon. Methods: Compressive testing was performed on a material testing machine and load applied through the use of a custom-made mould, with a semi-circular cross section to accommodate the tendon graft. The effects of different compressive forces on the length, diameter and weight of tendon grafts were measured by calipers and a weighing scale, respectively. Further, different strain rates (1 vs. 10mm/min) (n=6, per rate), compression method (steady compression vs. creep) (n=15 for each method) and different compression durations (1, 5, 10min) (n=5 for each duration) were tested to identify the most effective combination to reduce graft size by preserving its macroscopic structure. Results: The effect of compression on volume reduction (75% of initial volume and weight) reached a plateau at 6,000N on an 8-mm tendon bundle. Length thereby increased by approximately 10%. Both steady compression and creeping were able to reduce dimensions of the graft; however, creeping was more effective. There was no difference in effect with different durations for compression (p>0.05) in both methods. Conclusion: The viscoelastic behaviour of hamstring tendon grafts under pressure allows preconditioning of the grafts for reduction of volume and diameter and therefore to drill a smaller bone tunnel, retaining more of the original bone. At the same time, the collagen content of the transplant is preserved and a tight fit of the transplant in the bone tunnel achieve

The role of trait emotional intelligence and social and emotional skills in students’ emotional and behavioural strengths and difficulties : a study of Greek adolescents’ perceptions

The emergence of the Trait Emotional Intelligence construct shifted the interest in personality research to the investigation of the effect of global personality characteristics on behaviour. A second body of research in applied settings, the Social and Emotional Learning movement, emphasized the cultivation of emotional and social skills for positive relationships in a school environment. In this paper we investigate the role of both personality traits and social and emotional skills, in the occurrence of emotional and behavioural strengths and difficulties, according to adolescent students’ self-perceptions. Five hundred and fifty-nine students from state secondary schools in Greece, aged 12-14 years old, completed The Trait Emotional Intelligence Questionnaire-Adolescent Short Form, The Matson Evaluation of Social Skills with Youngsters, and The Strengths and Difficulties Questionnaire. It was found that students with higher Trait Emotional Intelligence and stronger social and emotional skills were less likely to present emotional, conduct, hyperactivity and peer difficulties and more likely to present prosocial behaviour. Gender was a significant factor for emotional difficulties and grade for peer difficulties. The paper describes the underlying mechanisms of students’ emotional and behavioural strengths and difficulties, and provides practical implications for educators to improve the quality of students’ lives in schools.peer-reviewe

A Framework for Evaluating Model-Driven Self-adaptive Software Systems

In the last few years, Model Driven Development (MDD), Component-based Software Development (CBSD), and context-oriented software have become interesting alternatives for the design and construction of self-adaptive software systems. In general, the ultimate goal of these technologies is to be able to reduce development costs and effort, while improving the modularity, flexibility, adaptability, and reliability of software systems. An analysis of these technologies shows them all to include the principle of the separation of concerns, and their further integration is a key factor to obtaining high-quality and self-adaptable software systems. Each technology identifies different concerns and deals with them separately in order to specify the design of the self-adaptive applications, and, at the same time, support software with adaptability and context-awareness. This research studies the development methodologies that employ the principles of model-driven development in building self-adaptive software systems. To this aim, this article proposes an evaluation framework for analysing and evaluating the features of model-driven approaches and their ability to support software with self-adaptability and dependability in highly dynamic contextual environment. Such evaluation framework can facilitate the software developers on selecting a development methodology that suits their software requirements and reduces the development effort of building self-adaptive software systems. This study highlights the major drawbacks of the propped model-driven approaches in the related works, and emphasise on considering the volatile aspects of self-adaptive software in the analysis, design and implementation phases of the development methodologies. In addition, we argue that the development methodologies should leave the selection of modelling languages and modelling tools to the software developers.Comment: model-driven architecture, COP, AOP, component composition, self-adaptive application, context oriented software developmen

Improving the adaptability of simulated evolutionary swarm robots in dynamically changing environments

One of the important challenges in the field of evolutionary robotics is the development of systems that can adapt to a changing environment. However, the ability to adapt to unknown and fluctuating environments is not straightforward. Here, we explore the adaptive potential of simulated swarm robots that contain a genomic encoding of a bio-inspired gene regulatory network (GRN). An artificial genome is combined with a flexible agent-based system, representing the activated part of the regulatory network that transduces environmental cues into phenotypic behaviour. Using an artificial life simulation framework that mimics a dynamically changing environment, we show that separating the static from the conditionally active part of the network contributes to a better adaptive behaviour. Furthermore, in contrast with most hitherto developed ANN-based systems that need to re-optimize their complete controller network from scratch each time they are subjected to novel conditions, our system uses its genome to store GRNs whose performance was optimized under a particular environmental condition for a sufficiently long time. When subjected to a new environment, the previous condition-specific GRN might become inactivated, but remains present. This ability to store 'good behaviour' and to disconnect it from the novel rewiring that is essential under a new condition allows faster re-adaptation if any of the previously observed environmental conditions is reencountered. As we show here, applying these evolutionary-based principles leads to accelerated and improved adaptive evolution in a non-stable environment