Realtime market microstructure analysis: online Transaction Cost Analysis

Motivated by the practical challenge in monitoring the performance of a large number of algorithmic trading orders, this paper provides a methodology that leads to automatic discovery of the causes that lie behind a poor trading performance. It also gives theoretical foundations to a generic framework for real-time trading analysis. Academic literature provides different ways to formalize these algorithms and show how optimal they can be from a mean-variance, a stochastic control, an impulse control or a statistical learning viewpoint. This paper is agnostic about the way the algorithm has been built and provides a theoretical formalism to identify in real-time the market conditions that influenced its efficiency or inefficiency. For a given set of characteristics describing the market context, selected by a practitioner, we first show how a set of additional derived explanatory factors, called anomaly detectors, can be created for each market order. We then will present an online methodology to quantify how this extended set of factors, at any given time, predicts which of the orders are underperforming while calculating the predictive power of this explanatory factor set. Armed with this information, which we call influence analysis, we intend to empower the order monitoring user to take appropriate action on any affected orders by re-calibrating the trading algorithms working the order through new parameters, pausing their execution or taking over more direct trading control. Also we intend that use of this method in the post trade analysis of algorithms can be taken advantage of to automatically adjust their trading action.Comment: 33 pages, 12 figure

Big Data and the Internet of Things

Advances in sensing and computing capabilities are making it possible to embed increasing computing power in small devices. This has enabled the sensing devices not just to passively capture data at very high resolution but also to take sophisticated actions in response. Combined with advances in communication, this is resulting in an ecosystem of highly interconnected devices referred to as the Internet of Things - IoT. In conjunction, the advances in machine learning have allowed building models on this ever increasing amounts of data. Consequently, devices all the way from heavy assets such as aircraft engines to wearables such as health monitors can all now not only generate massive amounts of data but can draw back on aggregate analytics to "improve" their performance over time. Big data analytics has been identified as a key enabler for the IoT. In this chapter, we discuss various avenues of the IoT where big data analytics either is already making a significant impact or is on the cusp of doing so. We also discuss social implications and areas of concern.Comment: 33 pages. draft of upcoming book chapter in Japkowicz and Stefanowski (eds.) Big Data Analysis: New algorithms for a new society, Springer Series on Studies in Big Data, to appea

Climate Services for Resilient Development (CSRD) Partnership’s work in Latin America

The Climate Services for Resilient Development (CSRD) Partnership is a private-public collaboration led by USAID, which aims to increase resilience to climate change in developing countries through the development and dissemination of climate services. The partnership began with initial projects in three countries: Colombia, Ethiopia, and Bangladesh. The International Center for Tropical Agriculture (CIAT) was the lead organization for the Colombian CSRD efforts – which then expanded to encompass work in the whole Latin American region

Prospects of a mathematical theory of human behavior in complex man-machine systems tasks

A hierarchy of human activities is derived by analyzing automobile driving in general terms. A structural description leads to a block diagram and a time-sharing computer analogy. The range of applicability of existing mathematical models is considered with respect to the hierarchy of human activities in actual complex tasks. Other mathematical tools so far not often applied to man machine systems are also discussed. The mathematical descriptions at least briefly considered here include utility, estimation, control, queueing, and fuzzy set theory as well as artificial intelligence techniques. Some thoughts are given as to how these methods might be integrated and how further work might be pursued

Medical data processing and analysis for remote health and activities monitoring

Recent developments in sensor technology, wearable computing, Internet of Things (IoT), and wireless communication have given rise to research in ubiquitous healthcare and remote monitoring of human\u2019s health and activities. Health monitoring systems involve processing and analysis of data retrieved from smartphones, smart watches, smart bracelets, as well as various sensors and wearable devices. Such systems enable continuous monitoring of patients psychological and health conditions by sensing and transmitting measurements such as heart rate, electrocardiogram, body temperature, respiratory rate, chest sounds, or blood pressure. Pervasive healthcare, as a relevant application domain in this context, aims at revolutionizing the delivery of medical services through a medical assistive environment and facilitates the independent living of patients. In this chapter, we discuss (1) data collection, fusion, ownership and privacy issues; (2) models, technologies and solutions for medical data processing and analysis; (3) big medical data analytics for remote health monitoring; (4) research challenges and opportunities in medical data analytics; (5) examples of case studies and practical solutions

From Social Simulation to Integrative System Design

As the recent financial crisis showed, today there is a strong need to gain "ecological perspective" of all relevant interactions in socio-economic-techno-environmental systems. For this, we suggested to set-up a network of Centers for integrative systems design, which shall be able to run all potentially relevant scenarios, identify causality chains, explore feedback and cascading effects for a number of model variants, and determine the reliability of their implications (given the validity of the underlying models). They will be able to detect possible negative side effect of policy decisions, before they occur. The Centers belonging to this network of Integrative Systems Design Centers would be focused on a particular field, but they would be part of an attempt to eventually cover all relevant areas of society and economy and integrate them within a "Living Earth Simulator". The results of all research activities of such Centers would be turned into informative input for political Decision Arenas. For example, Crisis Observatories (for financial instabilities, shortages of resources, environmental change, conflict, spreading of diseases, etc.) would be connected with such Decision Arenas for the purpose of visualization, in order to make complex interdependencies understandable to scientists, decision-makers, and the general public.Comment: 34 pages, Visioneer White Paper, see http://www.visioneer.ethz.c

Science-based restoration monitoring of coastal habitats, Volume Two: Tools for monitoring coastal habitats

Healthy coastal habitats are not only important ecologically; they also support healthy coastal communities and improve the quality of people’s lives. Despite their many benefits and values, coastal habitats have been systematically modified, degraded, and destroyed throughout the United States and its protectorates beginning with European colonization in the 1600’s (Dahl 1990). As a result, many coastal habitats around the United States are in desperate need of restoration. The monitoring of restoration projects, the focus of this document, is necessary to ensure that restoration efforts are successful, to further the science, and to increase the efficiency of future restoration efforts

Data based identification and prediction of nonlinear and complex dynamical systems

We thank Dr. R. Yang (formerly at ASU), Dr. R.-Q. Su (formerly at ASU), and Mr. Zhesi Shen for their contributions to a number of original papers on which this Review is partly based. This work was supported by ARO under Grant No. W911NF-14-1-0504. W.-X. Wang was also supported by NSFC under Grants No. 61573064 and No. 61074116, as well as by the Fundamental Research Funds for the Central Universities, Beijing Nova Programme.Peer reviewedPostprin