The Random Walk of High Frequency Trading

This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. First, we characterize the distributional behavior of high-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news events, trade-time returns of the highly liquid near-month E-mini S&P 500 futures contract are well characterized by a Gaussian distribution at very fine time scales. Second, we develop a structured and parsimonious model of clock-time returns by subordinating a trade-time Gaussian distribution with a trade arrival process that is associated with a modified Markov-Switching Multifractal Duration (MSMD) model. This model provides an excellent characterization of high-frequency inter-trade durations. Over-dispersion in this distribution of inter-trade durations leads to leptokurtosis and volatility clustering in clock-time returns, even when trade-time returns are Gaussian. Finally, we use our model to extrapolate the empirical relationship between trade rate and volatility in an effort to understand conditions of market failure. Our model suggests that the 1,200 km physical separation of financial markets in Chicago and New York/New Jersey provides a natural ceiling on systemic volatility and may contribute to market stability during periods of extremely heavy trading

Web Services Support for Dynamic Business Process Outsourcing

Outsourcing of business processes is crucial for organizations to be effective, efficient and flexible. To meet fast-changing market conditions, dynamic outsourcing is required, in which business relationships are established and enacted on-the-fly in an adaptive, fine-grained way unrestricted by geographic distance. This requires automated means for both the establishment of outsourcing relationships and for the enactment of services performed in these relationships over electronic channels. Due to wide industry support and the underlying model of loose coupling of services, Web services increasingly become the mechanism of choice to connect organizations across organizational boundaries. This paper analyzes to which extent Web services support the dynamic process outsourcing paradigm. We discuss contract -based dynamic business process outsourcing to define requirements and then introduce the Web services framework. Based on this, we investigate the match between the two. We observe that the Web services framework requires further support for cross - organizational business processes and mechanisms for contracting, QoS management and process-based transaction support and suggest ways to fill those gaps

Analysis and Verification of Service Interaction Protocols - A Brief Survey

Modeling and analysis of interactions among services is a crucial issue in Service-Oriented Computing. Composing Web services is a complicated task which requires techniques and tools to verify that the new system will behave correctly. In this paper, we first overview some formal models proposed in the literature to describe services. Second, we give a brief survey of verification techniques that can be used to analyse services and their interaction. Last, we focus on the realizability and conformance of choreographies.Comment: In Proceedings TAV-WEB 2010, arXiv:1009.330

Oceanographic and underwater acoustics research : conducted during the period 1 November 1960 - 30 April 1961

Digital computing techniques have been used in special computing applications in underwater acoustics at WHOI for many years, but recently we have commenced intensive application of digital data handling and computing facilities to a variety of computing, data storage, and data handling problems. Progress in these applications is described under Acoustic Instrumentation below. Some bathymetric studies carried out recently under another contract have shown that even very narrow-beam, single-beam echo sounders simply cannot provide reliable depth sounding information where the topography is complex. In this work we have been experimenting with the inverted echo sounder, discussed below, originally developed to measure depth of the sound velocimeter. The inverted echo sounder is lowered to a position within a few feet of the bottom. The total acoustic travel time from surface to bottom may be read as the sum of the travel times from the instrument to the bottom and surface . True depth is then computed in the usual way with appropriate s cnmd velocity data. In its present form the inverted echo sounder is suitable for mapping ~mall areas~ a few square miles, provided there is a suitable means of positioning the instrument. We have experimented with radio-acoustic navigation, and intend to experiment with vertical triangulation from the suspending ship as well. Steady demands for new, modified, and improved instrumentation have been responded to in echo sounding, seismic profiling, and spectrum analysis, as detailed below.Undersea Warfare Branch Office of Naval Research Under Contracts Nonr-1367(00)NR261-102 and Nonr-2129(00)NR261-10

Model-Based Adaptation of Software Communicating via FIFO Buffers

Software Adaptation is a non-intrusive solution for composing black-box components or services (peers) whose individual functionality is as required for the new system, but that present interface mismatch, which leads to deadlock or other undesirable behaviour when combined. Adaptation techniques aim at automatically generating new components called adapters. All the interactions among peers pass through the adapter, which acts as an orchestrator and makes the involved peers work correctly together by compensating for mismatch. Most of the existing solutions in this field assume that peers interact synchronously using rendezvous communication. However, many application areas rely on asynchronous communication models where peers interact exchanging messages via buffers. Generating adapters in this context becomes a difficult problem because peers may exhibit cyclic behaviour, and their composition often results in infinite systems. In this paper, we present a method for automatically generating adapters in asynchronous environments where peers interact using FIFO buffers.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tech

The Spitzer c2d Survey of Nearby Dense Cores. V. Discovery of a VeLLO in the "Starless" Dense Core L328

This paper reports the discovery of a Very Low Luminosity Object (VeLLO) in the "starless" dense core L328, using the Spitzer Space Telescope and ground based observations from near-infrared to millimeter wavelengths. The Spitzer 8 micron image indicates that L328 consists of three subcores of which the smallest one may harbor a source, L328-IRS while two other subcores remain starless. L328-IRS is a Class 0 protostar according to its bolometric temperature (44 K) and the high fraction ~72 % of its luminosity emitted at sub-millimeter wavelengths. Its inferred "internal luminosity" (0.04 - 0.06 Lsun) using a radiative transfer model under the most plausible assumption of its distance as 200 pc is much fainter than for a typical protostar, and even fainter than other VeLLOs studied previously. Note, however, that its inferred luminosity may be uncertain by a factor of 2-3 if we consider two extreme values of the distance of L328-IRS (125 or 310 pc). Low angular resolution observations of CO do not show any clear evidence of a molecular outflow activity. But broad line widths toward L328, and Spitzer and near-infrared images showing nebulosity possibly tracing an outflow cavity, strongly suggest the existence of outflow activity. Provided that an envelope of at most ~0.1 Msunis the only mass accretion reservoir for L328-IRS, and the star formation efficiency is close to the canonical value ~30%, L328-IRS has not yet accreted more than 0.05 Msun. At the assumed distance of 200 pc, L328-IRS is destined to be a brown dwarf.Comment: 29 pages, 8 figures, 1 table, to be published in Astrophysical Journa

Forum Session at the First International Conference on Service Oriented Computing (ICSOC03)

The First International Conference on Service Oriented Computing (ICSOC) was held in Trento, December 15-18, 2003. The focus of the conference ---Service Oriented Computing (SOC)--- is the new emerging paradigm for distributed computing and e-business processing that has evolved from object-oriented and component computing to enable building agile networks of collaborating business applications distributed within and across organizational boundaries. Of the 181 papers submitted to the ICSOC conference, 10 were selected for the forum session which took place on December the 16th, 2003. The papers were chosen based on their technical quality, originality, relevance to SOC and for their nature of being best suited for a poster presentation or a demonstration. This technical report contains the 10 papers presented during the forum session at the ICSOC conference. In particular, the last two papers in the report ere submitted as industrial papers

Discovery of possible molecular counterparts to the infrared Double Helix Nebula in the Galactic center

We have discovered two molecular features at radial velocities of -35 km/s and 0 km/s toward the infrared Double Helix Nebula (DHN) in the Galactic center with NANTEN2. The two features show good spatial correspondence with the DHN. We have also found two elongated molecular ridges at these two velocities distributed vertically to the Galactic plane over 0.8 degree. The two ridges are linked by broad features in velocity and are likely connected physically with each other. The ratio between the 12CO J=2-1 and J=1-0 transitions is 0.8 in the ridges which is larger than the average value 0.5 in the foreground gas, suggesting the two ridges are in the Galactic center. An examination of the K band extinction reveals a good coincidence with the CO 0 km/s ridge and is consistent with a distance of 8 +/-2 kpc. We discuss the possibility that the DHN was created by a magnetic phenomenon incorporating torsional Alfv\'en waves launched from the circumnuclear disk (Morris, Uchida & Do 2006) and present a first estimate of the mass and energy involved in the DHN.Comment: 32 pages, 23 figures, Accepted by Ap