Extracting information from the signature of a financial data stream

Market events such as order placement and order cancellation are examples of the complex and substantial flow of data that surrounds a modern financial engineer. New mathematical techniques, developed to describe the interactions of complex oscillatory systems (known as the theory of rough paths) provides new tools for analysing and describing these data streams and extracting the vital information. In this paper we illustrate how a very small number of coefficients obtained from the signature of financial data can be sufficient to classify this data for subtle underlying features and make useful predictions. This paper presents financial examples in which we learn from data and then proceed to classify fresh streams. The classification is based on features of streams that are specified through the coordinates of the signature of the path. At a mathematical level the signature is a faithful transform of a multidimensional time series. (Ben Hambly and Terry Lyons \cite{uniqueSig}), Hao Ni and Terry Lyons \cite{NiLyons} introduced the possibility of its use to understand financial data and pointed to the potential this approach has for machine learning and prediction. We evaluate and refine these theoretical suggestions against practical examples of interest and present a few motivating experiments which demonstrate information the signature can easily capture in a non-parametric way avoiding traditional statistical modelling of the data. In the first experiment we identify atypical market behaviour across standard 30-minute time buckets sampled from the WTI crude oil future market (NYMEX). The second and third experiments aim to characterise the market "impact" of and distinguish between parent orders generated by two different trade execution algorithms on the FTSE 100 Index futures market listed on NYSE Liffe

Dimension-free Euler estimates of rough differential equations

We give a dimension-free Euler estimation of solution of rough differential equations in term of the driving rough path. In the meanwhile, we prove that, the solution of rough differential equation is close to the exponential of a Lie series, with a concrete error bound

Specimen Size and Shape Effect on the Compressive Strength of Normal Strength Concrete

Present study deals with the effect of size and shape on the compressive strength of concrete. Mixes of five different strengths were designed, all between C20/25 and C50/60 strength class (normal strength concretes). Different size specimens were casted from all mixes in cube (edge length: 50 to 200 mm) and in cylinder (diameter: 60 to 150 mm) shapes as well. An equation was derived to estimate the compressive strength of the differently sized specimen. The parameters of the equation were optimized based on measurement data using nonlinear least-squares method with SSE (sum of squared errors) cost function. The parameter optimization was performed in different models (estimation based on the standard strength of cube or cylinder to approximate the different size specimens' cylinder or cube strength with the edge length, the surface area or the volume as dimension data). The test results showed good agreement between the laboratory measurements and the literature data (compressive strength is decreasing with the increase of the size of the specimen). The derived estimation models showed good correlation with the measurement data and with the literature estimation models, in some cases even with lower errors. The results indicated that size effect is stronger on concretes with lower strength class due to the higher level of inhomogeneity of the material. It was observed that size effect is more significant on cube specimens than on cylinder samples, which can be caused by the side ratios of the specimens and the size of the purely compressed zone. A limit value for the size of both cube and cylinder specimens was determined, above which the size effect on compressive strength can be neglected

A gyulai dologház felállítása és működése 1837–1846

A dologház egy büntetés-végrehajtási eszköz, amelyben keveredik a jótékony célú erkölcsnevelés a bűncselekmény megtorlásával. A dologházba utalt, vagy kényszerített ember ellátásban részesült, amelyért egész nap dolgoznia kellett börtönszerű körülmények között. A legjellemzőbb tulajdonsága a kemény munka, a fegyelmezés, a tanítás. A dologház intézménye alappillérként szolgált a modern büntetés-végrehajtásnak. A 19. században a dologházak a börtönök mellett működtek, csökkentve ezzel a költségeiket és hozzájárulva a börtönök kiadásaihoz

A Gyulai Királyi Törvényszék büntetőjogi gyakorlatának statisz-tikai elemzése 1900-tól 1930-ig

Tanulmányomban a Gyulai Királyi Törvényszék büntetőjogi gyakorlatának statisztikai elemzését végzem. A kutatásom alapját a Magyar Nemzeti Levéltár Békés Megyei Levéltárának 1900-tól 1930-ig terjedő időszakát magába foglaló ítéletek képezik, összesen 6 doboznyi iratanyag. Először egy rövid kitekintést teszek az előzményekről, a bűnözésről általában, majd néhány szó erejéig a válság követezményeiről szólók, hiszen a gazdasági világválság nagyban hozzájárult a bűnözés és a bűncselekmények számához és típusához. Ezt követően a királyi törvényszékekkel foglalkozom általában, mivel az ítéletek amelyeket feldolgoztam törvényszéki határskörből kerültek ki. Végezetül tanulmányom legnagyobb részét a jogesetek elemzése képezi. Abból kiindulva, hogy az általam meghatározott korszak társadalmi problémáinak következményeként a lopások vannak a legnagyobb számban, így egy nagyobb hangvételű szerepet kapot. A lopások után ismertetem a magzatelhajtás és az emberölés tényállását, amelyeket szintén konkrét levéltári példákkal teszek megfoghatóvá. A tanulmányt az erőszakos nemi közösülés bűncselekményével zárom

FISSURES FOR ENSEMBLE

The present work[1] accomplishes such a process that does not have a clear exposition, nor the linearity of the main conflict, not does the denouement have a clear conclusive character – so in this sense the musical discourse neglects the traditional dramaturgical principles. As when we talk about fissures, cracks: we see them, we perceive their forms, we can even study them, but we do not know with confidence the factor whose effect generated the process of fissuring on the structure of the respective material, and we cannot predict whether the final fracture will occur or not. The whole process in its entire duration can take place in front of our eyes, or it may unfold with such a slow course of action that we cannot perceive its progress, which may result in a "motionless" tension. Therefore, the image that is placed in front of us is a proposal to watch, meditate, follow and study the small forms. We can look at every single small detail from a microscopic view or at the whole entity as one single unit from a macroscopic view, but a successive alternation of these is also possible. So in the musical sense we are talking about a continuous organic evolution with interspersed stagnations. The musical material is incessantly transformed, divided, "fissured", fragmented, gradually new small structures are created, some threads go forward together in parallel, others alternately, sometimes some of them are merged and take a new direction and there are elements that come back several times and others that stop quickly after starting. All these are charged with various types of tension, which result in accumulations, dissolutions and different contrasts. Some of the microstructural organizations produced in this way, are transposed at macrostructural level. The musical discourse develops several different materials, from short gestures or just signals, through some melody allusions, to large surfaced timbre textures. Furthermore, some of the textures use controlled aleatoric techniques with various levels of freedom in different tempos and densities. In fact, in the whole dramaturgical unfolding of the piece the tempo, density, dynamic fluctuations of the successive events oscillate on a large spectrum, which affects continuously the mechanism of time perception. Also, in this sense, sometimes a contrasting duality emerges caused by the uneven pulsation of the instruments playing and the stable pulsation of the metronome. The chamber ensemble consists of: flute, oboe, clarinet in Bb (also bass clarinet in Bb), violin, percussions and piano.   [1] The piece was written in 2015 for the contemporary music project called Panoramic Componistic Contemporan (Contemporary Composition Panoramic), and its world premier was on Ferbruary 25th 2015 at the „Gheorghe Dima” National Music Academy, Cluj-Napoca, performed by Ramona Țuțuianu (flute), Ruxandra Sericiuc (oboe), Krisztina Nagy (clarinet/bass clarinet), Ioan Dărăban (percussion), Mira Gavriș (piano), Sonia Vulturar (violin), conducted by Dalma Kovács. Recording on: https://soundcloud.com/aron-torok-gyurko/aron-torok-gyurko-fissures-201

Tíz év turizmus, tíz év társadalom

Magyarországon a  társadalmi és az  idegenforgalmi statisztikai mutatók a  globális folyamatoknak megfelelő változást mutatnak. A  régióban tapasztalható népességfogyás hazánkat is sújtja, a  munkanélküliségi arány a  2008-as gazdasági világválságot követően csökkenő tendenciát mutat. A  turizmus vonatkozásában a  válság szintén fontos szerepet kapott, ugyanis nagymértékben gátolta a  turistaérkezések bővülését, stagnálás volt tapasztalható. A  válságos időszakot követően a  vendégéjszakák és a  turisták száma is jelentősen bővült. A  turizmus nemzetgazdasági szinten meghatározó iparággá nőtte ki magát világszerte, így hazánkban is, annak ellenére, hogy Magyarország nem kifejezetten egy turisztikai „nagyhatalom”. Két nemzetközi szinten is ismert desztinációnk van (Balaton és Budapest), viszont magashegységek és tengerpart híján nincs reális esély, hogy globális turisztikai piaccá váljon hazánk. A  regionális turistaérkezések és a  belföldi turizmus által generált bevételek ennek ellenére is kiemelt gazdasági szektorrá teszik az idegenforgalmat. A turisztikai mutatók hazai bővülése és a demográfiai folyamtok szűkülése – főként a népességfogyás – ihlette jelen sorok íróját arra, hogy megvizsgálja, milyen összefüggések találhatóak a társadalmi és a turisztikai folyamatok között. ----- In Hungary the society and the tourism statistics are growing like anywhere in the world. In the Eastern Europe the population are decline like our country, the unemployment rate is decreases after the 2008 World Economic Crisis. The economic crisis was an important part of in the tourism sector because it hindered expansion, the statistics have stagnated. After the crisis the number of guest nights and the number of tourists also have increased considerably. Tourism is a  national economy-determining sector in the world and also in our country, but Hungary is not a tourism “great power”. There are two internationally renowned destinations (Balaton and Budapest) but in Hungary there are no realistic opportunities to become a global tourism market without high mountains or see. However, regional tourist arrivals and revenues generated by domestic tourism make it a major priority economy sector. From the above I thought it would be interesting to study at the relationship between society and tourism

SPLINTER(S) FOR VIOLIN

"Splinter(s)" is a miniature piece for violin, a sonic microcosmos in one short movement. The dramaturgical unfolding of this movement starts with the search of the sound material by different-colored and articulated short notes, followed then by the found melody-like material and then by the sphere of the harmonics, which leaves the field of the previous material. In fact, the dramaturgical structure of this first musical idea – containing all the materials of the piece – becomes the macrostructure of the whole movement, but with a different final resolution. From a constructional point of view, the musical discourse consists in the confrontation of these contrasting elements, which have their own evolutionary processes. At the beginning they reappear several times together, one after another in short contrasting microprocesses, but every time they are varied and developed in different ways. In the end of the piece, this contrast between the three elements will become blurrier because of the last conclusive section made up of a fusional material, which combines the first and the third element – a harmonics based surface, interwoven with short pizzicatos. The piece was written in 2014 for the festival Academia Sighișoara (Sighisoara Academy), where it premiered on August 12th, 2015, performed by Sonia Vulturar[1].   [1] Recording on: https://soundcloud.com/aron-torok-gyurko/aron-torok-gyurko-splinters-for-violin-201