572 research outputs found
Topics in stochastic control with applications to algorithmic trading
This thesis considers three topics in stochastic control theory. Each of these topics is motivated by an application in finance. In each of the stochastic control problems formulated, the optimal strategy is characterised using dynamic programming. Closed form solutions are derived in a number of special cases.
The first topic is about the market making problem in which a market maker manages his risk from inventory holdings of a certain asset. The magnitude of this inventory is stochastic with changes occurring due to client trading activity, and can be controlled by making small adjustments to the so-called skew, namely, the quoted price offered to the clients. After formulating the stochastic control problem, closed form solutions are derived for the special cases that arise if the asset price is modelled by a Brownian motion with drift or a geometric Brownian motion. In both cases the impact of skew is additive. The optimal controls are time dependent affine functions of the inventory size and the inventory process under the optimal skew is an Ornstein-Uhlenbeck process. As a result, the asset price is mean reverting around a reference rate.
In the second topic the same framework is expanded to include a hedging control that can be used by the market maker to manage the inventory. In particular, the market impact is assumed to be of the Almgren and Chriss type. Explicit solutions are derived in the special case where the asset price follows a Brownian motion with drift.
The third topic is about Merton’s portfolio optimisation problem with the additional feature that the risky asset price is modelled in a way that exhibits support and resistance levels. In particular, the risky asset price is modelled using a skew Brownian motion. After formulating the stochastic control problem, closed form solutions are derived
The Functional Vision for Communication Questionnaire (FVC-Q):Exploring Parental Report of Non-Speaking Children's Fixation Skills Using a Structured History-Taking Approach
This paper explores whether a structured history-taking tool yields useful descriptions of children’s looking skills. Parents of 32 children referred to a specialist communication clinic reported their child’s looking skills using the Functional Vision for Communication Questionnaire (FVC-Q), providing descriptions of single object fixation, fixation shifts between objects and fixation shifts from object to person. Descriptions were compared with clinical assessment. 24/32 children were reported to have some limitation in fixation. Limitation was subsequently seen in 30/32 children. Parental report and assessment agreed fully in 23/32 (72%). The largest area of discrepancy was object-person fixation shifts, with five children not observed to show this behavior despite its being reported. Findings indicate a structured questionnaire yields description of fixations, which correspond well with clinical assessment. Descriptions supported discussion between parents and clinicians. It is proposed that the FVC-Q is a valuable tool in supporting clinicians in eliciting information about fixation skills
Ariel - Volume 2 Number 5
Editors
Delvyn C. Case, Jr.
Paul M. Fernhoff
News Editors
Richard Bonanno
Robin A. Edwards
Features Editors
Stephen P. Flynn
Steven A. Ager
Lay-Out Editor
Carol Dolinskas
Contributing Editors
Michael J. Blecker
W. Cherry Light
Eugenia Miller
Lin Sey Edwards
Jack Guralnik
Tom Williams
James Noco
The Functional Vision for Communication Questionnaire (FVC-Q):Exploring Parental Report of Non-Speaking Children's Fixation Skills Using a Structured History-Taking Approach
This paper explores whether a structured history-taking tool yields useful descriptions of children’s looking skills. Parents of 32 children referred to a specialist communication clinic reported their child’s looking skills using the Functional Vision for Communication Questionnaire (FVC-Q), providing descriptions of single object fixation, fixation shifts between objects and fixation shifts from object to person. Descriptions were compared with clinical assessment. 24/32 children were reported to have some limitation in fixation. Limitation was subsequently seen in 30/32 children. Parental report and assessment agreed fully in 23/32 (72%). The largest area of discrepancy was object-person fixation shifts, with five children not observed to show this behavior despite its being reported. Findings indicate a structured questionnaire yields description of fixations, which correspond well with clinical assessment. Descriptions supported discussion between parents and clinicians. It is proposed that the FVC-Q is a valuable tool in supporting clinicians in eliciting information about fixation skills
Multidisciplinary investigation of the pit circuit at Durrington Walls, UK
ISBN: 9782753585874.– Comprehensive geophysical assessment of huge pits; ERT, GPR, mag and EM. – Novel approach to testing and interpreting pits via coring. – Largest pit circuit confirmed in both the Stonehenge landscape and the UK.Publisher PDFPeer reviewe
Minimally Complex Nucleic Acid Feedback Control Systems for First Experimental Implementations
Chemical reaction networks based on catalysis, degradation, and annihilation may be used as building blocks to construct a variety of dynamical and feedback control systems in Synthetic Biology. DNA strand-displacement, which is based on DNA hybridisation programmed using Watson-Crick base pairing, is an effective primitive to implement such reactions experimentally. However, experimental construction, validation and scale-up of nucleic acid control systems is still significantly lagging theoretical developments, due to several technical challenges, such as leakage, crosstalk, and toehold sequence design. To help the progress towards experimental implementation, we provide here designs representing two fundamental classes of reference tracking control circuits (integral and state-feedback control), for which the complexity of the chemical reactions required for implementation has been minimised. The supplied 'minimally complex' control circuits should be ideal candidates for first experimental validations of nucleic acid controllers.</p
Genetic improvement of meat quality and fertility using the national nucleus
Knowledge is power and the National Swine Registry (NSR) is the only source of complete, publicly available, genetic records on nucleus populations. NSR has offered STAGES \u27, a BLUP genetic improvement program with bio-economic indexes for over 17 years. NSR members submit information on 3 sow productivity traits and 3 postweaning performance traits and in return receive across-herd Expected Progeny Deviations (EPDs) for these traits along with indexes for Sow Productivity, Maternal Line (sow productivity and postweaning performance) and Terminal (postweaning traits only) to be used in genetic selection. Not only is this genetic information available to members but genetic values and trends for these traits are also available to any commercial producer or genetic advisor. This program has led NSR members to make substantial genetic improvement for these traits within all four breeds. In addition, this transparent system allows commercial producers to design programs and select animals that allow them the greatest potential for their situation. As the pork industry continues ro change, multiple pork chains are forming to meets distinct specifications desired by subsets of consumers. To continue to meet the demand of these dissimilar pork chains, differentiated genetic lines are necessary to provide products that match their specifications. In addition, as profit per pig continues to decline pork producers must be able to increase product sold per unit of investment. To facilitate this key profitability indicator, the fertility of breeding females must improve. To address these two key drivers in today\u27s pork industry, the NSR has updated their genetic improvement program in these two areas
- …