Drift dependence of optimal trade execution strategies under transient price impact

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the derivative of the drift. Our approach uses elements from singular stochastic control, even though the problem is essentially non-Markovian due to the transience of price impact and the lack in Markovian structure of the underlying price process. As a corollary, we give a complete solution to the minimization of a certain cost-risk criterion in our setting

La ionosfera: comunicare... naturalmente!

La ionosfera è la parte della media-alta atmosfera compresa tra i 60 e i 1000 km di quota. Essa è caratterizzata da una concentrazione di elettroni tale da modificare la propagazione delle onde radio che la attraversano

Calibration of optimal execution of financial transactions in the presence of transient market impact

Trading large volumes of a financial asset in order driven markets requires the use of algorithmic execution dividing the volume in many transactions in order to minimize costs due to market impact. A proper design of an optimal execution strategy strongly depends on a careful modeling of market impact, i.e. how the price reacts to trades. In this paper we consider a recently introduced market impact model (Bouchaud et al., 2004), which has the property of describing both the volume and the temporal dependence of price change due to trading. We show how this model can be used to describe price impact also in aggregated trade time or in real time. We then solve analytically and calibrate with real data the optimal execution problem both for risk neutral and for risk averse investors and we derive an efficient frontier of optimal execution. When we include spread costs the problem must be solved numerically and we show that the introduction of such costs regularizes the solution.Comment: 31 pages, 8 figure

Botulinum toxin A modifies nociceptive withdrawal reflex in subacute stroke patients

Objectives: The aims of this study were to evaluate the pattern of the nociceptive withdrawal reflex (NWR) of the upper limb at rest and after injection of Botulinum toxin type A (BoNT-A) in poststroke subacute hemiparetic patients. Methods: Fourteen patients with poststroke subacute hemiparesis underwent clinical and instrumental evaluation and BoNT-A injection. Painful electrical stimulation was applied to induce the NWR. Baseline EMG activity and NWR recordings (EMG and kinematic response) were performed at T0, one month (T1), and three months (T2) after the BoNT-A injection, as were Modified Ashworth Scale (MAS) and Functional Independence Measure (FIM) scores. Results: Comparison of results at T0, T1, and T2 revealed significant changes in the MAS score for the elbow (p < 0.001) and wrist joints (p < 0.001) and in the FIM score at T0 and T2. BoNT-A injection had a significant effect on both NWR amplitude and baseline EMG activity in the posterior deltoid (PD) and flexor carpi radialis (FCR) muscles as well as in all averaged muscles. Analysis of elbow kinematics before and after treatment revealed that the reflex probability rates were significantly higher at T1 and T2 than at T0. Conclusion: Injection of BoNT-A in the subacute phase of stroke can modify both the baseline EMG activity and the NWR-related EMG responses in the upper limb muscles irrespective of the site of injection; furthermore, the reflex-mediated defensive mechanical responses, that is, shoulder extension and abduction and elbow flexion, increased after treatment. BoNT-A injection may be a useful treatment in poststroke spasticity with a potential indirect effect on spinal neurons

Ionospheric Observatory Development At Mario Zucchelli Station

Since 1995 Italian Ionospheric Antarctic Observatory at Terra Nova Bay, now “MARIO ZUCCHELLI”, station (geographic coordinates: 74.70°S, 164.11°E) performs continuous and systematic ionospheric vertical soundings. Long time series of continuous and accurate ionospheric observations (more than one solar cycle) are necessary for a deeper understanding of the complex phenomena occurring in the upper atmosphere at high latitude; furthermore high rate soundings (at least four soundings per hour or more) contribute to the short-time prediction of the radiopropagation conditions and to the Space Weather. During 2003–2004 Antarctic campaign a new digital ionosonde, recently developed at the Istituto Nazionale di Geofisica e Vulcanologia (INGV) in Rome, (Italy), has been installed the Ionospheric Observatory and preliminary tests have been carried out. This new Advanced Ionospheric Sounder-INGV, briefly AIS, is integrated in a stand alone system during winter time: the sounding, device settings and data sending to Rome are completely automatic and remote programmable. Ionograms are available on line at the INGV web and ftp server. The new features of the Ionospheric Observatory are presented and preliminary statistics on the reliability and validation of the experimental observation are shown and discussed

Pricing and Hedging Asian Basket Options with Quasi-Monte Carlo Simulations

In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by the aid of the Malliavin Calculus, extending the procedure employed by Montero and Kohatsu-Higa (2003). Efficient path-generation algorithms, such as Linear Transformation and Principal Component Analysis, exhibit a high computational cost in a market with time-dependent volatilities. We present a new and fast Cholesky algorithm for block matrices that makes the Linear Transformation even more convenient. Moreover, we propose a new-path generation technique based on a Kronecker Product Approximation. This construction returns the same accuracy of the Linear Transformation used for the computation of the deltas and the prices in the case of correlated asset returns while requiring a lower computational time. All these techniques can be easily employed for stochastic volatility models based on the mixture of multi-dimensional dynamics introduced by Brigo et al. (2004).Comment: 16 page

Planilhas de cálculo para estimativa do ciclo de culturas, a partir de graus-dia.

A temperatura é um dos principais fatores de controle do desenvolvimento vegetal. Por volta de 1735, Reaumur, na França, realizou os primeiros estudos relacionando desenvolvimento vegetal e temperatura do ar, quando ele observou que o somatório da temperatura do ar era praticamente constante durante o ciclo de desenvolvimento de várias espécies em diferentes anos (Pereira et ai., 2002). Dessa forma, foi desenvolvido o conceito de Graus-dia que baseia-se no fato de que existem duas temperaturas base, uma mínima e outra máxima, entre as quais a planta tem pleno desenvolvimento. Fora desse intervalo, a planta não se desenvolve ou o faz em taxas muito reduzidas (Pereira et al., 2002). Nesse sentido, a temperatura pode ser considerada o fator principal de controle do desenvolvimento das plantas e de grande influência na sua distribuição geográfica (Holmes e Robertson, 1959). Assim, pode-se considerar que a teoria dos graus-dia pode ser utilizada, na estimativa dos ciclos das culturas, previsão de data de colheita e, principalmente, no zoneamento agrícola, fazendo com que este último deixe de ser estático e passe a ser dinâmico. Pedro Júnior et al. (1975) mostraram que o cálculo de graus-dia a partir de equações de regressão múltipla, para o estado de São Paulo, é viável, tornando-se uma técnica útil para o planejamento do plantio e colheita. A partir dessas afirmações, este trabalho teve como objetivo desenvolver uma planilha de cálculo em ambiente computacional Excel for WindowsTM para facilitar os cálculos de graus-dia a partir da estimativa das temperaturas médias de várias regiões e auxiliar no cálculo dos ciclos das culturas.CBAgro 2005