When to Cross the Spread: Curve Following with Singular Control

In this article the problem of curve following in an illiquid market is addressed. Using techniques of singular stochastic control, we extend the results of [NW11] to a twosided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. We first show existence and uniqueness of an optimal control. In a second step, a suitable version of the stochastic maximum principle is derived which yields a characterisation of the optimal trading strategy in terms of a nonstandard coupled FBSDE. We show that the optimal control can be characterised via buy, sell and no-trade regions. The new feature is that we now get a nondegenerate no-trade region, which implies that market orders are only used when the spread is small. This allows to describe precisely when it is optimal to cross the bid ask spread, which is a fundamental problem of algorithmic trading. We also show that the controlled system can be described in terms of a reflected BSDE. As an application, we solve the portfolio liquidation problem with passive orders.Stochastic maximum principle, Convex analysis, Fully coupled forward backward stochastic differential equations, Trading in illiquid markets

Illiquidity and Derivative Valuation

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic interactions into the model of Almgren and Chriss (2001). Specifically, we consider a financial market model with several strategically interacting players that hold European contingent claims and whose trading decisions have an impact on the price evolution of the underlying. We establish existence and uniqueness of equilibrium results for risk neutral and CARA investors and show that the equilibrium dynamics can be characterized in terms of a coupled system of possibly non-linear PDEs. For the linear cost function used in Almgren and Chriss (2001), we obtain a (semi) closed form solution. Analyzing this solution, we show how market manipulation can be reduced

Synsedimentary Vertisols in Upper Jurassic sequences of the Wiehengebirge mountain range (Northwest-Germany)

Als abschließende Glieder regressiver Sedimentationsphasen treten im westlichen Wiehengebirge innerhalb oberjurassischer Sand-, Mergel- und Tonstein-Wechselfolgen "Bröckeltonsteine" auf, die sich durch große Mächtigkeit (bis über 10 m), homogene schluffig-tonige Textur, auffallend grobpolyedrische Struktur, glänzende, mit etwa 20°–40° Grad geneigte Gleitflächen ("Slickensides") und domartige, einander randlich durchschneidende Aufwölbungs-Strukturen von 1,5 - 3 m horizontaler Ausdehnung auszeichnen. Die in semiariden bis subhumiden Überflutungs- Landschaften gebildeten Sedimente wurden synsedimentär durch Peloturbation beeinflusst. Dies erklärt die teilweise extrem große Mächtigkeit der vertischen Merkmale. Mikromorphologisch zeigt das Material deutlich ausgeprägte Bioturbations-Merkmale sowie Stress-Kutane. Erhöhte Temperaturen durch die Aktivität eines Plutons in der Kreide-Zeit scheinen eine Smektit-zu-Illit-Umwandlung und eine diagenetische Kornvergrößerung bewirkt zu haben. Im Verlauf der synsedimentären Bodenbildung kam es zu einer deutlichen Kompaktierung, sodass Groß-Dinosaurier über die Flächen hinweg schreiten konnten, ohne tiefer als etwa 5 cm einzusinken. Im Quartär dürfte es zu teilweise intensiver Eisen-Umverteilung, zum Eindringen von Ton in Spalten sowie zur Freilegung der bereits im Jura präformierten Polyeder ("Bröckel") gekommen sein.Within Upper Jurassic sequences exposed in numerous profiles of the mountain range of „Wiehengebirge“ (Northwest-Germany), conspicuously uniform fluviatile sediments have been deposited as final sections of regressive, near-continental sedimentary cycles under semi-arid to subhumid conditions. Their layering is rather indistinct despite occasional thicknesses of 10 m and more. It tends to fall appart in medium- to large-sized polyhedra – hence its conventional designation in German literature as „Bröckeltonstein“ („crumbly claystone“). The material exhibits shiny slickensides which form part of conspicuous dome-shaped aggregates following vertically in close distance parallel to each other and rising concentrically to an inner top with inclination angles of 20–40°. The horizontal size of such domes ranges from 1.5 to 3 m, and their shiny surfaces marginally cut those of the neighbouring ones. The unexpected depth of these vertic features is in contrast to recent Vertisols and can be related to synsedimentary soil development. Initial vertic structures may have been repeatedly brought in deeper positions caused by repetitive burial under thin fluviatile sediments. Micromorphologically, the material exhibits strong indications of bioturbation as well as stress cutans. High temperature caused by long lasting plutonic activity may have enhanced diagenetic smectite to illite transformation and grain size increase. Compaction in course of synsedimentary vertisol genesis seems to have been adequate to enable great dinosaurs to stride across such land surfaces leaving foot imprints of no more than 5 cm depth. In the course of the Quarternary period, an intensive iron redistribution aswell as clay illuviationwithin cracks and exposure of preformated polyhedrical structures („Bröckel“) caused by periglacial weathering processes seems to have taken place

Rare earth luminescence: a way to overcome concentration quenching

A model is developed to simulate the rare earth luminescence intensity in dependence of both the excitation rate and the dopant concentration. For low excitation rates, as in the case of photoluminescence investigations, concentration quenching is expected. In contrast for high excitation rates (as generally realized in cathodoluminescence experiments) concentration quenching can be suppressed and thus luminescence intensity increases with increasing dopant concentration. These results reconcile the recent photo- and cathodoluminescence results on GaN:Er presented by Chen et al. (APL 96, 181901, 2010). Further experimental results indicate that the physical basis of the model is adequate

The Self-Paced Graz Brain-Computer Interface: Methods and Applications

We present the self-paced 3-class Graz brain-computer interface (BCI) which is based on the detection of sensorimotor electroencephalogram (EEG) rhythms induced by motor imagery. Self-paced operation means that the BCI is able to determine whether the ongoing brain activity is intended as control signal (intentional control) or not (non-control state). The presented system is able to automatically reduce electrooculogram (EOG) artifacts, to detect electromyographic (EMG) activity, and uses only three bipolar EEG channels. Two applications are presented: the freeSpace virtual environment (VE) and the Brainloop interface. The freeSpace is a computer-game-like application where subjects have to navigate through the environment and collect coins by autonomously selecting navigation commands. Three subjects participated in these feedback experiments and each learned to navigate through the VE and collect coins. Two out of the three succeeded in collecting all three coins. The Brainloop interface provides an interface between the Graz-BCI and Google Earth

Precise measurement of the Bragg curve for 800 MeV/u 238^{238}U ions stopping in polyethylene and its implications for calculation of heavy ion ranges

Stopping power predictions in radiation transport codes are based on the Bethe-Bloch formula and different corrections. For very heavy ions at relativistic energies the available experimental data are scarce and therefore verification of stopping power predictions is only possible to a limited extent. In this work, a full experimental Bragg curve for 800 MeV/u $^{238}$U ions stopping in polyethylene is presented. The measurements were conducted at the experimental area Cave A at GSI Helmholtzzentrum für Schwerionenforschung in Darmstadt, Germany. The 800 MeV/u $^{238}$U beam was provided by the SIS18 heavy ion synchrotron. The Bragg curve was measured with a setup consisting of a binary range shifter and two large area parallel plate ionization chambers. Complementary Monte Carlo simulations using the FLUKA code were performed and compared with the experimental Bragg curve. The mean ionization potential of polyethylene was fine-tuned to match the measured primary ion range with FLUKA simulations. The impact of the Bloch and Mott corrections to the stopping power calculation were studied by switching them off intentionally in separate simulations. A detailed description of the implementation of the stopping power formulae and the Mott correction in FLUKA is provided

Persistent hyperglycemia is an independent predictor of outcome in acute myocardial infarction

BACKGROUND: Elevated blood glucose values are a prognostic factor in myocardial infarction (MI) patients. The unfavourable relation between hyperglycemia and outcome is known for admission glucose and fasting glucose after admission. These predictors are single measurements and thus not indicative of overall hyperglycemia. Increased persistent hyperglycemia may better predict adverse events in MI patients. METHODS: In a prospective study of MI patients treated with primary percutaneous coronary intervention (PCI) frequent blood glucose measurements were obtained to investigate the relation between glucose and the occurrence of major adverse cardiac events (MACE) at 30 days follow-up. MACE was defined as death, recurrent infarction, repeat primary coronary intervention, and left ventricular ejection fraction equal to or smaller than 30%. RESULTS: MACE occurred in 89 (21.3%) out 417 patients. In 17 patients (4.1%) it was a fatal event. A mean of 7.4 glucose determinations were available per patient. Mean +/- SD admission glucose was 10.1 +/- 3.7 mmol/L in patients with a MACE versus 9.1 +/- 2.7 mmol/L in event-free patients (P = 0.0024). Mean glucose during the first two days after admission was 9.0 +/- 2.8 mmol/L in patients with MACE compared to 8.1 +/- 2.0 mmol/L in event free patients (P < 0.0001). The area under the receiver operator characteristic curve was 0.64 for persistent hyperglycemia and 0.59 for admission glucose. Persistent hyperglycemia emerged as a significant independent predictor (P < 0.001). CONCLUSION: Persistent hyperglycemia in MI has a stronger relation with 30-day MACE than elevated glucose at admission

Long-term firn and mass balance modelling for Abramov Glacier in the data-scarce Pamir Alay

Several studies identified heterogeneous glacier mass changes in western High Mountain Asia over the last decades. Causes for these mass change patterns are still not fully understood. Modelling the physical interactions between glacier surface and atmosphere over several decades can provide insight into relevant processes. Such model applications, however, have data needs which are usually not met in these data-scarce regions. Exceptionally detailed glaciological and meteorological data exist for the Abramov Glacier in the Pamir Alay range. In this study, we use weather station measurements in combination with downscaled reanalysis data to force a coupled surface energy balance–multilayer subsurface model for Abramov Glacier for 52 years. Available in situ data are used for model calibration and validation. We find an overall negative mass balance of −0.27 mw.e.a-1 for 1968/1969–2019/2020 and a loss of firn pore space causing a reduction of internal accumulation. Despite increasing air temperatures, we do not find an acceleration of glacier-wide mass loss over time. Such an acceleration is compensated for by increasing precipitation rates (+0.0022 mw.e.a-1, significant at a 90 % confidence level). Our results indicate a significant correlation between annual mass balance and precipitation (R2 = 0.72).</p

The role of glucose lowering agents on restenosis after percutaneous coronary intervention in patients with diabetes mellitus

Introduction: The prevalence of diabetes is increasing rapidly, and individuals with diabetes are at high risk for cardiovascular disorders. Subsequently the percentage of patients with diabetes subjected to revascularisation, i.e. either percutaneous coronary intervention (PCI) or coronary artery bypass grafting (CABG) also rises rapidly. The outcome of patients with diabetes after PCI is worse than for patients without diabetes. Restenosis is the main limiting factor of the long-term success of PCI. Although stents and antithrombotics improved outcome after PCI in both diabetics and non-diabetics, diabetics still have a worse prognosis. This leads to the suggestion that the restenosis mechanism in diabetics might be different from that in non-diabetics. Conclusion: Several glucose lowering agents have been shown to influence the restenosis process and thus the outcome after PCI. Current data of especially metformin and thiazolidinediones indicate beneficial results as compared to insulin and sulfonylurea on restenosis. However, no large trials have been undertaken in which the effect of glucose lowering agents on restenosis is associated with improved outcome. The purpose of this review is to summarize the effect of diabetes and glucose lowering agents on restenosis