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

Fluid flow queue models for fixed-mobile network evaluation

A methodology for fast and accurate end-to-end KPI, like throughput and delay, estimation is proposed based on the service-centric traffic flow analysis and the fluid flow queuing model named CURSA-SQ. Mobile network features, like shared medium and mobility, are considered defining the models to be taken into account such as the propagation models and the fluid flow scheduling model. The developed methodology provides accurate computation of these KPIs, while performing orders of magnitude faster than discrete event simulators like ns-3. Finally, this methodology combined to its capacity for performance estimation in MPLS networks enables its application for near real-time converged fixed-mobile networks operation as it is proven in three use case scenarios

Joint in-network video rate adaptation and measurement-based admission control: algorithm design and evaluation

The important new revenue opportunities that multimedia services offer to network and service providers come with important management challenges. For providers, it is important to control the video quality that is offered and perceived by the user, typically known as the quality of experience (QoE). Both admission control and scalable video coding techniques can control the QoE by blocking connections or adapting the video rate but influence each other's performance. In this article, we propose an in-network video rate adaptation mechanism that enables a provider to define a policy on how the video rate adaptation should be performed to maximize the provider's objective (e.g., a maximization of revenue or QoE). We discuss the need for a close interaction of the video rate adaptation algorithm with a measurement based admission control system, allowing to effectively orchestrate both algorithms and timely switch from video rate adaptation to the blocking of connections. We propose two different rate adaptation decision algorithms that calculate which videos need to be adapted: an optimal one in terms of the provider's policy and a heuristic based on the utility of each connection. Through an extensive performance evaluation, we show the impact of both algorithms on the rate adaptation, network utilisation and the stability of the video rate adaptation. We show that both algorithms outperform other configurations with at least 10 %. Moreover, we show that the proposed heuristic is about 500 times faster than the optimal algorithm and experiences only a performance drop of approximately 2 %, given the investigated video delivery scenario

Distributed storage manager system for synchronized and scalable AV services across networks

This article has been made available through the Brunel Open Access Publishing Fund - Copyright @ 2011 Hindawi Publishing CorporationThis paper provides an innovative solution, namely, the distributed storage manager that opens a new path for highly interactive and personalized services. The distributed storage manager provides an enhancement to the MHP storage management functionality acting as a value added middleware distributed across the network. The distributed storage manager system provides multiple protocol support for initializing and downloading both streamed and file-based content and provides optimum control mechanisms to organize the storing and retrieval of content that are remained accessible to other multiple heterogeneous devices

Network overload avoidance by traffic engineering and content caching

The Internet traffic volume continues to grow at a great rate, now driven by video and TV distribution. For network operators it is important to avoid congestion in the network, and to meet service level agreements with their customers. This thesis presents work on two methods operators can use to reduce links loads in their networks: traffic engineering and content caching. This thesis studies access patterns for TV and video and the potential for caching. The investigation is done both using simulation and by analysis of logs from a large TV-on-Demand system over four months. The results show that there is a small set of programs that account for a large fraction of the requests and that a comparatively small local cache can be used to significantly reduce the peak link loads during prime time. The investigation also demonstrates how the popularity of programs changes over time and shows that the access pattern in a TV-on-Demand system very much depends on the content type. For traffic engineering the objective is to avoid congestion in the network and to make better use of available resources by adapting the routing to the current traffic situation. The main challenge for traffic engineering in IP networks is to cope with the dynamics of Internet traffic demands. This thesis proposes L-balanced routings that route the traffic on the shortest paths possible but make sure that no link is utilised to more than a given level L. L-balanced routing gives efficient routing of traffic and controlled spare capacity to handle unpredictable changes in traffic. We present an L-balanced routing algorithm and a heuristic search method for finding L-balanced weight settings for the legacy routing protocols OSPF and IS-IS. We show that the search and the resulting weight settings work well in real network scenarios

NegVSR: Augmenting Negatives for Generalized Noise Modeling in Real-World Video Super-Resolution

The capability of video super-resolution (VSR) to synthesize high-resolution (HR) video from ideal datasets has been demonstrated in many works. However, applying the VSR model to real-world video with unknown and complex degradation remains a challenging task. First, existing degradation metrics in most VSR methods are not able to effectively simulate real-world noise and blur. On the contrary, simple combinations of classical degradation are used for real-world noise modeling, which led to the VSR model often being violated by out-of-distribution noise. Second, many SR models focus on noise simulation and transfer. Nevertheless, the sampled noise is monotonous and limited. To address the aforementioned problems, we propose a Negatives augmentation strategy for generalized noise modeling in Video Super-Resolution (NegVSR) task. Specifically, we first propose sequential noise generation toward real-world data to extract practical noise sequences. Then, the degeneration domain is widely expanded by negative augmentation to build up various yet challenging real-world noise sets. We further propose the augmented negative guidance loss to learn robust features among augmented negatives effectively. Extensive experiments on real-world datasets (e.g., VideoLQ and FLIR) show that our method outperforms state-of-the-art methods with clear margins, especially in visual quality