Price dynamics in a Markovian limit order market

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical expressions for various quantities of interest such as the distribution of the duration between price changes, the distribution and autocorrelation of price changes, and the probability of an upward move in the price, {\it conditional} on the state of the order book. We study the diffusion limit of the price process and express the volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These analytical results provide some insight into the relation between order flow and price dynamics in order-driven markets.Comment: 18 pages, 5 figure

Price Dynamics in a Markovian Limit Order Market

We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical expressions for various quantities of interest such as the distribution of the duration between price changes, the distribution and autocorrelation of price changes, and the probability of an upward move in the price, conditional on the state of the order book. We study the diffusion limit of the price process and express the volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These analytical results provide some insight into the relation between order flow and price dynamics in order-driven markets.limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process

Macroscopic behavior of bidisperse suspensions of noncolloidal particles in yield stress fluids

We study both experimentally and theoretically the rheological behavior of isotropic bidisperse suspensions of noncolloidal particles in yield stress fluids. We focus on materials in which noncolloidal particles interact with the suspending fluid only through hydrodynamical interactions. We observe that both the elastic modulus and yield stress of bidisperse suspensions are lower than those of monodisperse suspensions of same solid volume fraction. Moreover, we show that the dimensionless yield stress of such suspensions is linked to their dimensionless elastic modulus and to their solid volume fraction through the simple equation of Chateau et al.[J. rheol. 52, 489-506 (2008)]. We also show that the effect of the particle size heterogeneity can be described by means of a packing model developed to estimate random loose packing of assemblies of dry particles. All these observations finally allow us to propose simple closed form estimates for both the elastic modulus and the yield stress of bidisperse suspensions: while the elastic modulus is a function of the reduced volume fraction $\phi/\phi_m$ only, where $\phi_m$ is the estimated random loose packing, the yield stress is a function of both the volume fraction $\phi$ and the reduced volume fraction

Lightweight Concrete Produced Using a Two-Stage Casting Process

The type of lightweight aggregate and its volume fraction in a mix determine the density of lightweight concrete. Minimizing the density obviously requires a higher volume fraction, but this usually causes aggregates segregation in a conventional mixing process. This paper proposes a two-stage casting process to produce a lightweight concrete. This process involves placing lightweight aggregates in a frame and then filling in the remaining interstitial voids with cementitious grout. The casting process results in the lowest density of lightweight concrete, which consequently has low compressive strength. The irregularly shaped aggregates compensate for the weak point in terms of strength while the round-shape aggregates provide a strength of 20 MPa. Therefore, the proposed casting process can be applied for manufacturing non-structural elements and structural composites requiring a very low density and a strength of at most 20 MPaopen0

CASTonCAST: Superficies arquitectónicas complejas a partir de componentes prefabricados apilables

[EN] This article introduces the CASTonCAST system for the design and production of architectural freeform shapes from precast stackable components. This system is composed of two complementary parts: a novel manufacturing technique of precast stackable building components and a new geometric method for the design of freeform shapes by means of stackable solid tiles. This paper describes both parts of the system by means of physical prototypes and geometric studies. Guardar / Salir Siguiente >[ES] Este artículo presenta el sistema CASTonCAST para el diseño y la producción de superficies arquitectónicas complejas a partir de componentes prefabricados apilables. Este sistema está compuesto por dos partes complementarias: una innovadora técnica de fabricación de componentes prefabricados apilables y un nuevo método geométrico para el diseño de superficies complejas a partir de baldosas sólidas apilables. Este trabajo describe las dos partes del sistema mediante prototipos físicos y estudios geométricosWe would like to give special thanks to the LafargeHolcim Foundation for Sustainable Construction for supporting this project with two international awards: 1st Europe Next Generation award 2011 and 3rd Holcim Innovation award 2012. Furthermore, we would like to thank the Architectural Association School of Architecture and in particular our tutors Yusuke Obuchi and Robert Stuart-Smith for their encouragement and support during this research. Finally, we would like to thank Rafel Jaume Deyà for his helpful advice on the geometric method.Enrique, L.; Cepaitis, P.; Ordoñez, D.; Piles, C. (2016). CASTonCAST: Architectural freeform shapes from precast stackable components. VLC arquitectura. Research Journal. 3(1):85-102. doi:10.4995/vlc.2016.4291.SWORD8510231De Larrard, F. Why rheology matters. Concrete International, 1999, 21(8).Khoshnevis, B., Hwang, D., Yao, K. T., & Yeh, Z. (2006). Mega-scale fabrication by Contour Crafting. International Journal of Industrial and Systems Engineering, 1(3), 301. doi:10.1504/ijise.2006.009791Lasemi, A., Xue, D., & Gu, P. (2010). Recent development in CNC machining of freeform surfaces: A state-of-the-art review. Computer-Aided Design, 42(7), 641-654. doi:10.1016/j.cad.2010.04.002Liu, Y., Pottmann, H., Wallner, J., Yang, Y.-L., & Wang, W. (2006). Geometric modeling with conical meshes and developable surfaces. ACM Transactions on Graphics, 25(3), 681. doi:10.1145/1141911.1141941Lim, S., et al. Fabricating construction components using layer manufacturing technology. Global Innovation in Construction Conference, Loughborough University, Leicestershire, September 2009.Lloret, E., et al. Complex concrete structures: Merging existing techniques with digital fabrication. Computer-Aided Design, 2014.Podolny, W. and Muller, J.M., Construction and Design of Pre-stressed Concrete Segmental Bridges. New York: John Wiley & Sons, 1982.Pottmann, H., Schiftner, A., Bo, P., Schmiedhofer, H., Wang, W., Baldassini, N., & Wallner, J. (2008). Freeform surfaces from single curved panels. ACM Transactions on Graphics, 27(3), 1. doi:10.1145/1360612.1360675Pottmann, H., Liu, Y., Wallner, J., Bobenko, A., & Wang, W. (2007). Geometry of multi-layer freeform structures for architecture. ACM SIGGRAPH 2007 papers on - SIGGRAPH ’07. doi:10.1145/1275808.1276458Pronk, A., Rooy, I.V. and Schinkel, P. Double-curved surfaces using a membrane mold. IASS Symposium 2009: Evolution and trends in design, analysis and construction of shell and spatial structures. Valencia, Sept. 2009.Schmieder, M. and Mehrtens, P. Cladding freeform surfaces with curved metal panels: a complete digital production chain. Advances in Architectural Geometry. Wien: Springer, 2012.Vaudeville, B., et al. How irregular geometry and industrial process come together: a case study of the "Fondation Louis Vuitton Pour la Création", Paris. Advances in Architectural Geometry. Wien: Springer, 2012

Experimental investigation of the variability of concrete durability properties

One of the main objectives of the APPLET project was to quantify the variability of concrete properties to allow for a probabilistic performance-based approach regarding the service lifetime prediction of concrete structures. The characterization of concrete variability was the subject of an experimental program which included a significant number of tests allowing the characterization of durability indicators or performance tests. Two construction sites were selected from which concrete specimens were periodically taken and tested by the different project partners. The obtained results (mechanical behavior, chloride migration, accelerated carbonation, gas permeability, desorption isotherms, porosity) are discussed and a statistical analysis was performed to characterize these results through appropriate probability density functions

Multimodal analysis of GRC ageing process using Nonlinear Impact Resonance acoustic Spectroscopy

Glass fibre Reinforced Cement (GRC) is a composite material composed of Portland cement mortar with low w/c (water/cement) ratio and high proportion of glass fibres. This material suffers from the ageing process by losing its strength with time because of its exposure to severe weather conditions. Ageing process damages the fibre surface and decreases the mechanical properties of the structural components made of this material. It reduces the elastic modulus and toughness of GRC. Fracture toughness is traditionally measured by four point bending tests. In a previous study by the authors it was observed that ageing related deterioration or damage of GRC could be monitored by Non Destructive Testing (NDT) techniques such as Non-linear Impact Resonance Acoustic Spectroscopy (NIRAS) and other ultrasonic techniques. The scope of this paper is to corroborate previous investigations and offer early damage detection capability by generating more experimental data points by optimizing location of the point of strike and thus generating more resonance vibration modes in NIRAS tests.The authors acknowledge the financial support of the Ministerio de Ciencia e Innovacion MICINN, Spain, and FEDER funding (Ondacem Project: BIA 2010-19933).Genovés Gómez, V.; Riestra García-San Miguel, C.; Borrachero Rosado, MV.; Eiras Fernández, JN.; Kundu, T.; Paya Bernabeu, JJ. (2015). Multimodal analysis of GRC ageing process using Nonlinear Impact Resonance acoustic Spectroscopy. Composites Part B: Engineering. 76:105-111. https://doi.org/10.1016/j.compositesb.2015.02.020S1051117