Optimal execution strategies in limit order books with general shape functions

We consider optimal execution strategies for block market orders placed in a limit order book (LOB). We build on the resilience model proposed by Obizhaeva and Wang (2005) but allow for a general shape of the LOB defined via a given density function. Thus, we can allow for empirically observed LOB shapes and obtain a nonlinear price impact of market orders. We distinguish two possibilities for modeling the resilience of the LOB after a large market order: the exponential recovery of the number of limit orders, i.e., of the volume of the LOB, or the exponential recovery of the bid-ask spread. We consider both of these resilience modes and, in each case, derive explicit optimal execution strategies in discrete time. Applying our results to a block-shaped LOB, we obtain a new closed-form representation for the optimal strategy, which explicitly solves the recursive scheme given in Obizhaeva and Wang (2005). We also provide some evidence for the robustness of optimal strategies with respect to the choice of the shape function and the resilience-type

Amphiphile Kammpolymere von Poly(2,7-carbazol)

Die vorliegende Dissertation beschreibt die Verschmelzung der Konzepte von konjugierten Polyelektrolyten und amphiphilen Kammpolymeren in Form von konjugierten, Poly(2,7-carbazol)-basierenden Polyelektrolytkammpolymeren mit Poly(L-lysin)seitenketten sowie Alkyl- oder Polyethylenglykolsubstituenten. Die Synthese wurde durch die Suzuki-Polykondensation von monodispersen Makromonomeren erreicht. Hierbei fand die Precursor-Synthesestrategie Anwendung. In diesem Ansatz war die ε-Aminofunktion des Lysins mit einer Benzoyloxycarbonylschutzgruppe geschützt. Der Aufbau der benötigten monodispersen Makromonomere erfolgte durch die Kupplung von Poly(L-lysin)ketten an den Carbazolbaustein mittels eines aktivierten Esters. Eine Besonderheit der hergestellten Kammpolymere lag in den konformativen Eigenschaften seiner einzelnen Komponenten. Dabei konnte die Konformation der Poly(L-lysin)seitenketten infolge ihres Polyelektrolyt- und Peptidcharakters gezielt mit Hilfe des pH-Wertes und der Ionenstärke variiert werden, wohingegen das konjugierte Rückgrat seine steife Konformation beibehielt. Infolge des Polyelektrolytcharakters zeigte sich zudem, dass die Polymere in sauren und neutralen, wässrigen Lösungen zu großen Teilen in Form von Domänenstrukturen auftraten, während im Basischen eine sofortige Aggregation eintrat. Ein weiteres Merkmal der vorgestellten Polyelektrolytkammpolymere war ihr amphiphiler Charakter. Diese Amphiphilie der in dieser Arbeit vorgestellten Polyelektrolytkammpolymere beeinflusste dabei maßgeblich ihre unstrukturierte Anordnung in Lösung, in der festen Phase sowie an Oberflächen.The given dissertation describes the combination of the concepts of conjugated polyelectrolytes and amphiphilic comb-type polymers as conjugated, poly(2,7-carbazols)-based polyelectrolyte comb-type polymers with poly(L-lysine)side chains and additional alkyl or polyethylene glycol substituents. The synthesis was realized by the Suzuki-polycondensation of monodispers macromonomers. Therefore, the precursor strategy was applied. Within this approach, the ε-functionality of lysine was blocked by a Benzoyloxycarbonyl protecting group. The required monodispers macromonomers were synthesized by coupling poly(L-lysine) and the carbazole building block using the chemistry of an activated ester. The synthesized comb-type polymers were characterized by the special conformational properties of each of the components. Due to the polyelectrolyte and peptide character of the poly(L-lysine) side chains it became possible the change their conformation in dependence on the pH and ionic strength in solution. Thereby, the extended conformation of the conjugated backbone remained unchanged. As a result of the polyelectrolyte character of the polymers it was observed that under acidic and neutral aqueous conditions the polymers formed domain structures, whereas in basic media a spontaneous aggregation was found. A further feature of the presented polyelectrolyte comb-type polymers was their amphiphilic character. This amphilicity significantly influenced their unstructured assembly in solution, on surface, and in solid phase

Dominance or tolerance? Causes and consequences of a period of increased intercommunity encounters among bonobos (Pan paniscus) at LuiKotale

Group-living primates exhibit variable reactions to intergroup encounters (or IGEs), reflecting species-specific strategies and individual motivations. In chimpanzees (Pan troglodytes), dominating in IGEs provides fitness benefits. Less is known about responses to IGEs in bonobos (Pan paniscus) despite their equal relevance for understanding the origins of human intergroup relations. We observed the Bompusa West (WBp) bonobo community at LuiKotale during a 2-month shift in ranging resulting in frequent IGEs with the smaller Bompusa East (EBp) community. We tested whether incursions provided ecological benefits, and whether responses to IGEs were consistent with inter-community dominance or tolerance. We measured fruit availability and collected activity scans from 26 mature WBp community members when in their core ranging area, during incursions into the EBp ranging area, and during IGEs. We collected data on sexual interactions and aggression with in-group and out-group members during 19 independent IGEs. During their shift in ranging, fruit availability was greater in the EBp ranging area, and WBp bonobos consumed more fruit during incursions than when in their core ranging area. Coalitionary intergroup aggression occurred during nine IGEs, and outcomes were consistent with imbalances in fighting power, in that larger WBp parties supplanted smaller EBp parties from the immediate area. However, communities reformed associations following 70% of coalitionary conflicts, and prolonged IGEs facilitated out-group sexual interactions and female transfers. The WBp community shift in ranging was likely motivated by ecological factors and responses to increased IGEs reflected a mixture of competitive and tolerant strategies

Transition to siblinghood causes a substantial and long-lasting increase in urinary cortisol levels in wild bonobos

In animals with slow ontogeny and long-term maternal investment, immatures are likely to experience the birth of a younger sibling before reaching maturity. In these species, the birth of a sibling marks a major event in an offspring's early life, as the older siblings experience a decrease in maternal support. The transition to siblinghood (TTS) is often considered to be stressful for the older offspring, but physiological evidence is lacking. To explore the TTS in wild bonobos, we investigated physiological changes in urinary cortisol (stress response), neopterin (cell-mediated immunity), and total triiodothyronine (T3, metabolic rate), as well as changes in behaviors that reflect the mother-offspring relationship. Following a sibling's birth, urinary cortisol levels of the older offspring increased fivefold, independent of their age, and remained elevated for seven months. The cortisol level increase was associated with declining neopterin levels, however T3 levels and behavioral measures did not change. Our results indicate that the TTS is accompanied by elevated cortisol levels and that this change does not coincide with nutritional weaning and attainment of physical independence. Our results suggest that bonobos and humans experience TTS in similar ways and that this developmental event may have emerged in the last common ancestor

The Berlin Exoplanet Search Telescope II. Catalog of Variable Stars. I. Characterization of Three Southern Target Fields

A photometric survey of three Southern target fields with BEST II yielded the detection of 2,406 previously unknown variable stars and an additional 617 stars with suspected variability. This study presents a catalog including their coordinates, magnitudes, light curves, ephemerides, amplitudes, and type of variability. In addition, the variability of 17 known objects is confirmed, thus validating the results. The catalog contains a number of known and new variables that are of interest for further astrophysical investigations, in order to, e.g., search for additional bodies in eclipsing binary systems, or to test stellar interior models. Altogether, 209,070 stars were monitored with BEST II during a total of 128 nights in 2009/2010. The overall variability fraction of 1.2-1.5% in these target fields is well comparable to similar ground-based photometric surveys. Within the main magnitude range of $R\in\left[11,17\right]$, we identify 0.67(3)% of all stars to be eclipsing binaries, which indicates a completeness of about one third for this particular type in comparison to space surveys.Comment: accepted to A

Variability survey in the CoRoT SRa01 field: Implications of eclipsing binary distribution on cluster formation in NGC 2264

Time-series photometry of the CoRoT field SRa01 was carried out with the Berlin Exoplanet Search Telescope II (BEST II) in 2008/2009. A total of 1,161 variable stars were detected, of which 241 were previously known and 920 are newly found. Several new, variable young stellar objects have been discovered. The study of the spatial distribution of eclipsing binaries revealed the higher relative frequency of Algols toward the center of the young open cluster NGC 2264. In general Algol frequency obeys an isotropic distribution of their angular momentum vectors, except inside the cluster, where a specific orientation of the inclinations is the case. We suggest that we see the orbital plane of the binaries almost edge-on.Comment: 18 pages, 8 figures, accepted for publication in Ap

New Array Processing Algorithms for Maximizing Capacity of Multi-Media Spread-Spectrum Multi-Access Communications

Adaptive arrays are a key technique for maximizing the capacity of wireless multimedia CDMA networks. In this paper, we present two approaches for blind adaptive weight control in CDMA environment which offer low implementation complexity. The first method is based on the concept of a self-generated reference signal combined with traditional LMS and RLS adaptive algorithms. The second method is an eigenspace algorithm which is based on eigenvalue decomposition and interference cancellation. Simulation results for both methods are presented for a low- mobility multipath environment and show reliable convergence with significant SINR improvements in the reception of a desired signal

Periodic variable stars in CoRoT field LRa02 observed with BEST II

The Berlin Exoplanet Search Telescope II (BEST II) is a small wide field-of-view photometric survey telescope system located at the Observatorio Cerro Armazones, Chile. The high duty cycle combined with excellent observing conditions and millimagnitude photometric precision makes this instrument suitable for ground based support observations for the CoRoT space mission. Photometric data of the CoRoT LRa02 target field collected between November 2008 and March 2009 were analysed for stellar variability. The presented results will help in the future analysis of the CoRoT data, particularly in additional science programs related to variable stars. BEST II observes selected CoRoT target fields ahead of the space mission. The photometric data acquired are searched for stellar variability, periodic variable stars are identified with time series analysis of the obtained stellar light curves. We obtained the light curves of 104335 stars in the CoRoT LRa02 field over 41 nights. Variability was detected in light curves of 3726 stars of which 350 showed a regular period. These stars are, with the exception of 5 previously known variable stars, new discoveries.Comment: The figures with light curves can be find in the A&A journal as online onl

The secondary eclipses of WASP-19b as seen by the ASTEP 400 telescope from Antarctica

The ASTEP (Antarctica Search for Transiting ExoPlanets) program was originally aimed at probing the quality of the Dome C, Antarctica for the discovery and characterization of exoplanets by photometry. In the first year of operation of the 40 cm ASTEP 400 telescope (austral winter 2010), we targeted the known transiting planet WASP-19b in order to try to detect its secondary transits in the visible. This is made possible by the excellent sub-millimagnitude precision of the binned data. The WASP-19 system was observed during 24 nights in May 2010. The photometric variability level due to starspots is about 1.8% (peak-to-peak), in line with the SuperWASP data from 2007 (1.4%) and larger than in 2008 (0.07%). We find a rotation period of WASP-19 of 10.7 +/- 0.5 days, in agreement with the SuperWASP determination of 10.5 +/- 0.2 days. Theoretical models show that this can only be explained if tidal dissipation in the star is weak, i.e. the tidal dissipation factor Q'star > 3.10^7. Separately, we find evidence for a secondary eclipse of depth 390 +/- 190 ppm with a 2.0 sigma significance, a phase consistent with a circular orbit and a 3% false positive probability. Given the wavelength range of the observations (420 to 950 nm), the secondary transit depth translates into a day side brightness temperature of 2690(-220/+150) K, in line with measurements in the z' and K bands. The day side emission observed in the visible could be due either to thermal emission of an extremely hot day side with very little redistribution of heat to the night side, or to direct reflection of stellar light with a maximum geometrical albedo Ag=0.27 +/- 0.13. We also report a low-frequency oscillation well in phase at the planet orbital period, but with a lower-limit amplitude that could not be attributed to the planet phase alone, and possibly contaminated with residual lightcurve trends.Comment: Accepted for publication in Astronomy and Astrophysics, 13 pages, 13 figure