Stochastic simulation framework for the Limit Order Book using liquidity motivated agents

In this paper we develop a new form of agent-based model for limit order books based on heterogeneous trading agents, whose motivations are liquidity driven. These agents are abstractions of real market participants, expressed in a stochastic model framework. We develop an efficient way to perform statistical calibration of the model parameters on Level 2 limit order book data from Chi-X, based on a combination of indirect inference and multi-objective optimisation. We then demonstrate how such an agent-based modelling framework can be of use in testing exchange regulations, as well as informing brokerage decisions and other trading based scenarios

A modern control theory based algorithm for control of the NASA/JPL 70-meter antenna axis servos

A digital computer-based state variable controller was designed and applied to the 70-m antenna axis servos. The general equations and structure of the algorithm and provisions for alternate position error feedback modes to accommodate intertarget slew, encoder referenced tracking, and precision tracking modes are descibed. Development of the discrete time domain control model and computation of estimator and control gain parameters based on closed loop pole placement criteria are discussed. The new algorithm was successfully implemented and tested in the 70-m antenna at Deep Space Network station 63 in Spain

Improvement of Data-Intensive Applications Running on Cloud Computing Clusters

MapReduce, designed by Google, is widely used as the most popular distributed programming model in cloud environments. Hadoop, an open-source implementation of MapReduce, is a data management framework on large cluster of commodity machines to handle data-intensive applications. Many famous enterprises including Facebook, Twitter, and Adobe have been using Hadoop for their data-intensive processing needs. Task stragglers in MapReduce jobs dramatically impede job execution on massive datasets in cloud computing systems. This impedance is due to the uneven distribution of input data and computation load among cluster nodes, heterogeneous data nodes, data skew in reduce phase, resource contention situations, and network configurations. All these reasons may cause delay failure and the violation of job completion time. One of the key issues that can significantly affect the performance of cloud computing is the computation load balancing among cluster nodes. Replica placement in Hadoop distributed file system plays a significant role in data availability and the balanced utilization of clusters. In the current replica placement policy (RPP) of Hadoop distributed file system (HDFS), the replicas of data blocks cannot be evenly distributed across cluster\u27s nodes. The current HDFS must rely on a load balancing utility for balancing the distribution of replicas, which results in extra overhead for time and resources. This dissertation addresses data load balancing problem and presents an innovative replica placement policy for HDFS. It can perfectly balance the data load among cluster\u27s nodes. The heterogeneity of cluster nodes exacerbates the issue of computational load balancing; therefore, another replica placement algorithm has been proposed in this dissertation for heterogeneous cluster environments. The timing of identifying the straggler map task is very important for straggler mitigation in data-intensive cloud computing. To mitigate the straggler map task, Present progress and Feedback based Speculative Execution (PFSE) algorithm has been proposed in this dissertation. PFSE is a new straggler identification scheme to identify the straggler map tasks based on the feedback information received from completed tasks beside the progress of the current running task. Straggler reduce task aggravates the violation of MapReduce job completion time. Straggler reduce task is typically the result of bad data partitioning during the reduce phase. The Hash partitioner employed by Hadoop may cause intermediate data skew, which results in straggler reduce task. In this dissertation a new partitioning scheme, named Balanced Data Clusters Partitioner (BDCP), is proposed to mitigate straggler reduce tasks. BDCP is based on sampling of input data and feedback information about the current processing task. BDCP can assist in straggler mitigation during the reduce phase and minimize the job completion time in MapReduce jobs. The results of extensive experiments corroborate that the algorithms and policies proposed in this dissertation can improve the performance of data-intensive applications running on cloud platforms