Clearing price distributions in call auctions

We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers random buy and sell orders, placed following demand- and supply-side valuation distributions; an equilibrium equation then leads to a distribution for clearing price and transacted volume. Bid and ask volumes are left as free parameters, permitting possibly heavy-tailed or very skewed order flow conditions. In highly liquid auctions, the clearing price distribution converges to an asymptotically normal central limit, with mean and variance in terms of supply/demand-valuation distributions and order flow imbalance. By means of simulations, we illustrate the influence of variations in order flow and valuation distributions on price/volume, noting a distinction between high- and low-volume auction price variance. To verify the validity of the model statistically, we predict a year's worth of daily closing price distributions for 5 constituents of the Eurostoxx 50 index; Kolmogorov-Smirnov statistics and QQ-plots demonstrate with ample statistical significance that the model predicts closing price distributions accurately, and compares favourably with alternative methods of prediction

Event Weighted Tests for Detecting Periodicity in Photon Arrival Times

This paper treats the problem of detecting periodicity in a sequence of photon arrival times, which occurs, for example, in attempting to detect gamma-ray pulsars. A particular focus is on how auxiliary information, typically source intensity, background intensity, and incidence angles and energies associated with each photon arrival should be used to maximize the detection power. We construct a class of likelihood-based tests, score tests, which give rise to event weighting in a principled and natural way, and derive expressions quantifying the power of the tests. These results can be used to compare the efficacies of different weight functions, including cuts in energy and incidence angle. The test is targeted toward a template for the periodic lightcurve, and we quantify how deviation from that template affects the power of detection

The break quantity rule in a 1-warehouse, N-retailers distribution system

In this paper the effect of the break quantity rule on the inventory costs in a 1-warehouse, N-retailers distribution system is analyzed. The break quantity rule is to deliver large orders from the warehouse, and small orders from the nearest retailer, where a so--called break quantity determines whether an order is small or large. Under the assumptions that the stock at the warehouse can only be used to satisfy large orders, and that demand during the leadtimes is normally distributed, an expression for the inventory costs is derived. The objective of this paper is to provide insight into the effect of the break quantity rule on the inventory holding costs, and therefore we present extensive computational results, showing that in many cases the rule leads to a significant cost reduction

Permutation entropy as a universal disorder criterion: how disorders at different scale levels are manifestations of the same underlying principle

Action Contro

The Vector-Tensor Supermultiplet with Gauged Central Charge

The vector-tensor multiplet is coupled off-shell to an N=2 vector multiplet such that its central charge transformations are realized locally. A gauged central charge is a necessary prerequisite for a coupling to supergravity and the strategy underlying our construction uses the potential for such a coupling as a guiding principle. The results for the action and transformation rules take a nonlinear form and necessarily include a Chern-Simons term. After a duality transformation the action is encoded in a homogeneous holomorphic function consistent with special geometry.Comment: 8 pages, LATE

On the newsboy model with a cutoff transaction size

In this paper we analyse the effect of satisfying in a different way customers with an order larger than a prespecified cutoff transaction size, in a simple newsboy setting. For compound Poisson demand with discrete order sizes, we show how to determine the expected costs and the optimal cutoff transaction size. Moreover, by approximating the distribution of the total demand during a period by the normal distribution one can determine an expression for the average cost function that depends on the cutoff transaction size only. A main advantage of this approximation is that the computational effort is much less. The quality of using the normal approximation is evaluated through a number of numerical experiments, which show that the approximative results are satisfactory

Neurotransmitters as food supplements: the effects of GABA on brain and behavior

Gamma-aminobutyric acid (GABA) is the main inhibitory neurotransmitter in the human cortex. The food supplement version of GABA is widely available online. Although many consumers claim that they experience benefits from the use of these products, it is unclear whether these supplements confer benefits beyond a placebo effect. Currently, the mechanism of action behind these products is unknown. It has long been thought that GABA is unable to cross the blood–brain barrier (BBB), but the studies that have assessed this issue are often contradictory and range widely in their employed methods. Accordingly, future research needs to establish the effects of oral GABA administration on GABA levels in the human brain, for example using magnetic resonance spectroscopy. There is some evidence in favor of a calming effect of GABA food supplements, but most of this evidence was reported by researchers with a potential conflict of interest. We suggest that any veridical effects of GABA food supplements on brain and cognition might be exerted through BBB passage or, more indirectly, via an effect on the enteric nervous system. We conclude that the mechanism of action of GABA food supplements is far from clear, and that further work is needed to establish the behavioral effects of GABA

Methodieken voor de prioritering van milieumaatregelen bij Zeeuwse bedrijven

VakpublicatieInstitute of Environmental Science

The impact of human-robot synchronization on anthropomorphization

To elucidate the working mechanism behind anthropomorphism, this study investigated whether human participants would anthropomorphize a robot more if they move synchronously versus non-synchronously with it, and whether this is affected by which of the two initiates the movements. We tested two competing hypotheses. The feature-overlap hypothesis predicts that moving in synchrony would increase perceived self-other feature overlap, which in turn might spread activation to codes of features related to humans—which should increase anthropomorphization. In contrast, the autonomy hypothesis predicts that unpredictability increases anthropomorphization, and thus that whenever the robot initiates movements, or when the human initiates movements to which the robot moves non-synchronously, there is an increased perception of the robot as a more human-like, intentionally acting creature, which in turn should increase anthropomorphization. We performed a study with synchrony as within-subjects factor, and initiator (robot or human) as between-subjects factor. To study the impact of synchrony on self-other overlap and perception of human likeness, participants completed two tasks that served as implicit measures of state anthropomorphization, and two questionnaires that served as explicit measures of state anthropomorphization toward the robot. The two implicit measures were the joint Simon task and one-shot Dictator Game. Additionally, participants filled in a trait anthropomorphization questionnaire, to enable correction for baseline tendencies to anthropomorphize. The synchrony manipulation did not affect the joint Simon effect, although there was an effect on average reaction time (RT), where in the group in which the robot initiated the movement, RTs were slower when the human and robot moved non-synchronously. The Dictator Game offer and the state anthropomorphization questionnaires were not affected by the synchrony manipulation. There was, however, a positive correlation between current anthropomorphization of the robot and amount of money offered to it. Given that most measures were not systematically affected by our manipulation, it appears that either our design was suboptimal, or that synchronization does not affect the anthropomorphization of a robot.Action Contro