An Empirical Analysis of the Shanghai and Shenzen Limit Order Books

This paper investigates the market microstructure of the Shanghai and Shenzhen Stock Ex- changes. The two major Chinese stock markets are pure order-driven trading mechanisms without market makers, and we analyze empirically both limit order books. We begin our empirical model- ing using the vector autoregressive model of Hasbrouck and extend the model to incorporate other information in the limit order book. We also study the market impact on A shares, B shares and H shares, and analyze how the market impact of stocks varies cross sectionally with market capital- ization, tick frequencies, and turnover. Furthermore, we distinguish the market impacts of small, average and block trades, and conclude that the market impacts of small trades are signi?cantly lower than those of other trades.limit order book; Chinese stock market; microstructure; VAR model

Acoustic measurement of lubricant-film thickness distribution in ball bearings

An oil-film thickness monitoring system capable of providing an early warning of lubrication failure in rolling element bearings has been developed. The system is used to measure the lubricant-film thickness in a conventional deep groove ball bearing (shaft diameter 80 mm, ball diameter 12.7 mm). The measurement system comprises a 50 MHz broadband ultrasonic focused transducer mounted on the static outer raceway of the bearing. Typically the lubricant-films in rolling element bearings are between 0.1-1.0 μm in thickness and so are significantly smaller than the ultrasonic wavelength. A quasistatic spring model is used to calculate oil-film thickness from the measured reflection coefficient data. An accurate triggering system has been developed to enable multiple reflection coefficient measurements to be made as the contact ellipse sweeps over the measurement location. Experiments are described in which the loading conditions and rotational speed are varied. Lubricant-film thickness distributions measured ultrasonically are described and are shown to agree well with the predictions from classical elastohydrodynamic (EHD) lubrication theory, particularly at high radial loads and low rotary speeds. A range of parameters affecting the performance of the measurement are discussed and the limits of operation of the measurement technique defined. © 2006 Acoustical Society of America

On the radiation force fields of fractional-order acoustic vortices

Here we report the creation and observation of acoustic vortices of fractional order. Whilst integer orders are known to produce axisymmetric acoustic fields, fractional orders are shown to break this symmetry and produce a vast array of unexplored field patterns, typically exhibiting multiple closely spaced phase singularities. Here, fractional acoustic vortices are created by emitting ultrasonic waves from an annular array of sources using multiple ramps of phase delay around its circumference. Acoustic radiation force patterns, including multiple concentration points, short straight lines, triangles, squares and discontinuous circles are simulated and experimentally observed. The fractional acoustic vortex leading to two closely spaced phase singularities is used to trap, and by controlling the order, reversibly manipulate two microparticles to a proximity of 0.3 acoustic wavelengths

Strategies for guided acoustic wave inspection using mobile robots

Continuous non-destructive monitoring of large-scale structures is extremely challenging with traditional manual inspections. In this paper, we explore possible strategies that a collection of inspection robots could adopt to address this challenge. We envision the continuous inspection of a plate performed by multiple robots or a single robot that combines measurements from multiple locations. The robots use guided ultrasonic waves to interrogate a localized region for defects such as cracking or corrosion. In the detection stage, the receiver operating characteristic defines a detection zone in which a defect is thought to be present. In the localization stage, further measurements are made to locate the defect within this zone to a certain accuracy. We then address the question of what additional measurements are needed to achieve a given level of performance in the presence of uncertainty in robot locations? We explore this problem with Monte Carlo simulations that reveal the compromise between number of robots and performance in terms of defect location accuracy. In an experimental validation example on an aluminium plate, we show that six measurements arranged in a pentagon with a central measurement point leads to localization errors of similar magnitude to the uncertainty in sensor location

Modulating Linker Composition of Haptens Resulted in Improved Immunoassay for Histamine.

Histamine (HA) is an important food contaminant generated during food fermentation or spoilage. However, an immunoassay for direct (derivatization free) determination of HA has rarely been reported due to its small size to induce the desired antibodies by its current hapten-protein conjugates. In this work, despite violating the classical hapten design criteria which recommend introducing a linear aliphatic (phenyl free) linker into the immunizing hapten, a novel haptens, HA-245 designed and synthesized with a phenyl-contained linker, exhibited significantly enhanced immunological properties. Thus, a quality-improved monoclonal antibody (Mab) against HA was elicited by its hapten-carrier conjugates. Then, as the linear aliphatic linker contained haptens, Hapten B was used as linker-heterologous coating haptens to eliminate the recognition of linker antibodies. Indirect competitive ELISA (ic-ELISA) was developed with a 50% inhibition concentration (IC50) of 0.21 mg/L and a limit of detection (LOD) of 0.06 mg/L in buffer solution. The average recoveries of HA from spiked food samples for this ic-ELISA ranged from 84.1% and 108.5%, and the analysis results agreed well with those of referenced LC-MS/MS. This investigation not only realized derivatization-free immunoassay for HA, but also provided a valuable guidance for hapten design and development of immunoassay for small molecules