A Mathematical Approach to Order Book Modeling

Motivated by the desire to bridge the gap between the microscopic description of price formation (agent-based modeling) and the stochastic differential equations approach used classically to describe price evolution at macroscopic time scales, we present a mathematical study of the order book as a multidimensional continuous-time Markov chain and derive several mathematical results in the case of independent Poissonian arrival times. In particular, we show that the cancellation structure is an important factor ensuring the existence of a stationary distribution and the exponential convergence towards it. We also prove, by means of the functional central limit theorem (FCLT), that the rescaled-centered price process converges to a Brownian motion. We illustrate the analysis with numerical simulation and comparison against market data

Likelihood-Based Inference for Discretely Observed Birth-Death-Shift Processes, with Applications to Evolution of Mobile Genetic Elements

Continuous-time birth-death-shift (BDS) processes are frequently used in stochastic modeling, with many applications in ecology and epidemiology. In particular, such processes can model evolutionary dynamics of transposable elements - important genetic markers in molecular epidemiology. Estimation of the effects of individual covariates on the birth, death, and shift rates of the process can be accomplished by analyzing patient data, but inferring these rates in a discretely and unevenly observed setting presents computational challenges. We propose a mutli-type branching process approximation to BDS processes and develop a corresponding expectation maximization (EM) algorithm, where we use spectral techniques to reduce calculation of expected sufficient statistics to low dimensional integration. These techniques yield an efficient and robust optimization routine for inferring the rates of the BDS process, and apply more broadly to multi-type branching processes where rates can depend on many covariates. After rigorously testing our methodology in simulation studies, we apply our method to study intrapatient time evolution of IS6110 transposable element, a frequently used element during estimation of epidemiological clusters of Mycobacterium tuberculosis infections.Comment: 31 pages, 7 figures, 1 tabl

Decay of isolated surface features driven by the Gibbs-Thomson effect in analytic model and simulation

A theory based on the thermodynamic Gibbs-Thomson relation is presented which provides the framework for understanding the time evolution of isolated nanoscale features (i.e., islands and pits) on surfaces. Two limiting cases are predicted, in which either diffusion or interface transfer is the limiting process. These cases correspond to similar regimes considered in previous works addressing the Ostwald ripening of ensembles of features. A third possible limiting case is noted for the special geometry of "stacked" islands. In these limiting cases, isolated features are predicted to decay in size with a power law scaling in time: A is proportional to (t0-t)^n, where A is the area of the feature, t0 is the time at which the feature disappears, and n=2/3 or 1. The constant of proportionality is related to parameters describing both the kinetic and equilibrium properties of the surface. A continuous time Monte Carlo simulation is used to test the application of this theory to generic surfaces with atomic scale features. A new method is described to obtain macroscopic kinetic parameters describing interfaces in such simulations. Simulation and analytic theory are compared directly, using measurements of the simulation to determine the constants of the analytic theory. Agreement between the two is very good over a range of surface parameters, suggesting that the analytic theory properly captures the necessary physics. It is anticipated that the simulation will be useful in modeling complex surface geometries often seen in experiments on physical surfaces, for which application of the analytic model is not straightforward.Comment: RevTeX (with .bbl file), 25 pages, 7 figures from 9 Postscript files embedded using epsf. Submitted to Phys. Rev. B A few minor changes made on 9/24/9

Modeling and analysis of systems with nonlinear functional dependence on random quantities

Many real-world systems exhibit noisy evolution; interpreting their finite-time behavior as arising from continuous-time processes (in the It\^o or Stratonovich sense) has led to significant success in modeling and analysis in a variety of fields. Here we argue that a class of differential equations where evolution depends nonlinearly on a random or effectively-random quantity may exhibit finite-time stochastic behavior in line with an equivalent It\^o process, which is of great utility for their numerical simulation and theoretical analysis. We put forward a method for this conversion, develop an equilibrium-moment relation for It\^o attractors, and show that this relation holds for our example system. This work enables the theoretical and numerical examination of a wide class of mathematical models which might otherwise be oversimplified due to a lack of appropriate tools.Comment: 13 pages, 6 figure

Parallel Load Balancing Strategies for Ensembles of Stochastic Biochemical Simulations

The evolution of biochemical systems where some chemical species are present with only a small number of molecules, is strongly influenced by discrete and stochastic effects that cannot be accurately captured by continuous and deterministic models. The budding yeast cell cycle provides an excellent example of the need to account for stochastic effects in biochemical reactions. To obtain statistics of the cell cycle progression, a stochastic simulation algorithm must be run thousands of times with different initial conditions and parameter values. In order to manage the computational expense involved, the large ensemble of runs needs to be executed in parallel. The CPU time for each individual task is unknown before execution, so a simple strategy of assigning an equal number of tasks per processor can lead to considerable work imbalances and loss of parallel efficiency. Moreover, deterministic analysis approaches are ill suited for assessing the effectiveness of load balancing algorithms in this context. Biological models often require stochastic simulation. Since generating an ensemble of simulation results is computationally intensive, it is important to make efficient use of computer resources. This paper presents a new probabilistic framework to analyze the performance of dynamic load balancing algorithms when applied to large ensembles of stochastic biochemical simulations. Two particular load balancing strategies (point-to-point and all-redistribution) are discussed in detail. Simulation results with a stochastic budding yeast cell cycle model confirm the theoretical analysis. While this work is motivated by cell cycle modeling, the proposed analysis framework is general and can be directly applied to any ensemble simulation of biological systems where many tasks are mapped onto each processor, and where the individual compute times vary considerably among tasks

Modeling, Characterizing and Reconstructing Mesoscale Microstructural Evolution in Particulate Processing and Solid-State Sintering

abstract: In material science, microstructure plays a key role in determining properties, which further determine utility of the material. However, effectively measuring microstructure evolution in real time remains an challenge. To date, a wide range of advanced experimental techniques have been developed and applied to characterize material microstructure and structural evolution on different length and time scales. Most of these methods can only resolve 2D structural features within a narrow range of length scale and for a single or a series of snapshots. The currently available 3D microstructure characterization techniques are usually destructive and require slicing and polishing the samples each time a picture is taken. Simulation methods, on the other hand, are cheap, sample-free and versatile without the special necessity of taking care of the physical limitations, such as extreme temperature or pressure, which are prominent issues for experimental methods. Yet the majority of simulation methods are limited to specific circumstances, for example, first principle computation can only handle several thousands of atoms, molecular dynamics can only efficiently simulate a few seconds of evolution of a system with several millions particles, and finite element method can only be used in continuous medium, etc. Such limitations make these individual methods far from satisfaction to simulate macroscopic processes that a material sample undergoes up to experimental level accuracy. Therefore, it is highly desirable to develop a framework that integrate different simulation schemes from various scales to model complicated microstructure evolution and corresponding properties. Guided by such an objective, we have made our efforts towards incorporating a collection of simulation methods, including finite element method (FEM), cellular automata (CA), kinetic Monte Carlo (kMC), stochastic reconstruction method, Discrete Element Method (DEM), etc, to generate an integrated computational material engineering platform (ICMEP), which could enable us to effectively model microstructure evolution and use the simulated microstructure to do subsequent performance analysis. In this thesis, we will introduce some cases of building coupled modeling schemes and present the preliminary results in solid-state sintering. For example, we use coupled DEM and kinetic Monte Carlo method to simulate solid state sintering, and use coupled FEM and cellular automata method to model microstrucutre evolution during selective laser sintering of titanium alloy. Current results indicate that joining models from different length and time scales is fruitful in terms of understanding and describing microstructure evolution of a macroscopic physical process from various perspectives.Dissertation/ThesisDoctoral Dissertation Materials Science and Engineering 201

Brand Equity Evolution: a System Dynamics Model

One of the greatest challenges in brand management lies in monitoring brand equity over time. This paper aimsto present a simulation model able to represent this evolution. The model was drawn on brand equity concepts developed by Aaker and Joachimsthaler (2000), using the system dynamics methodology. The use ofcomputational dynamic models aims to create new sources of information able to sensitize academics and managers alike to the dynamic implications of their brand management. As a result, an easily implementable model was generated, capable of executing continuous scenario simulations by surveying casual relations among the variables that explain brand equity. Moreover, the existence of a number of system modeling tools will allow extensive application of the concepts used in this study in practical situations, both in professional and educational setting