Intraday pattern in bid-ask spreads and its power-law relaxation for Chinese A-share stocks

We use high-frequency data of 1364 Chinese A-share stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange to investigate the intraday patterns in the bid-ask spreads. The daily periodicity in the spread time series is confirmed by Lomb analysis and the intraday bid-ask spreads are found to exhibit $L$-shaped pattern with idiosyncratic fine structure. The intraday spread of individual stocks relaxes as a power law within the first hour of the continuous double auction from 9:30AM to 10:30AM with exponents $\beta_{\rm{SHSE}}=0.19\pm0.069$ for the Shanghai market and $\beta_{\rm{SZSE}}=0.18\pm0.067$ for the Shenzhen market. The power-law relaxation exponent $\beta$ of individual stocks is roughly normally distributed. There is evidence showing that the accumulation of information widening the spread is an endogenous process.Comment: 12 Elsart pages including 7 eps figure

Decentralized Stochastic Linear-Quadratic Optimal Control with Risk Constraint and Partial Observation

This paper addresses a risk-constrained decentralized stochastic linear-quadratic optimal control problem with one remote controller and one local controller, where the risk constraint is posed on the cumulative state weighted variance in order to reduce the oscillation of system trajectory. In this model, local controller can only partially observe the system state, and sends the estimate of state to remote controller through an unreliable channel, whereas the channel from remote controller to local controllers is perfect. For the considered constrained optimization problem, we first punish the risk constraint into cost function through Lagrange multiplier method, and the resulting augmented cost function will include a quadratic mean-field term of state. In the sequel, for any but fixed multiplier, explicit solutions to finite-horizon and infinite-horizon mean-field decentralized linear-quadratic problems are derived together with necessary and sufficient condition on the mean-square stability of optimal system. Then, approach to find the optimal Lagrange multiplier is presented based on bisection method. Finally, two numerical examples are given to show the efficiency of the obtained results

Tunable Unidirectional Sound Propagation through a Sonic-Crystal-Based Acoustic Diode

Nonreciprocal wave propagation typically requires strong nonlinear materials to break time reversal symmetry. Here, we utilized a sonic-crystal-based acoustic diode that had broken spatial inversion symmetry and experimentally realized sound unidirectional transmission in this acoustic diode. These novel phenomena are attributed to different mode transitions as well as their associated different energy conversion efficiencies among different diffraction orders at two sides of the diode. This nonreciprocal sound transmission could be systematically controlled by simply mechanically rotating the square rods of the sonic crystal. Different from nonreciprocity due to the nonlinear acoustic effect and broken time reversal symmetry, this new model leads to a one-way effect with higher efficiency, broader bandwidth, and much less power consumption, showing promising applications in various sound devices

A comparative study between deep learning algorithm and bayesian network on Advanced Persistent Threat (APT) attack detection

Advanced Persistent Threat (APT) attacks are a major concern for the cybersecurity in digital world due to their advanced nature. Attackers are skilful to cause maximal destruction for targeted cyber environment. These APT attacks are also well funded by governments in many cases. The APT attacker can achieve his hostile goals by obtaining information and gaining financial benefits regarding the infrastructure of a network. It is highly important to study proper countermeasures to detect these attacks as early as possible due to sophisticated methods. It is difficult to detect this type of attack since the network may crash because of high traffic. Hence, in this study, this research is to study the comparison between Multilayer Perceptron and Naïve-Bayes of APT attack detection. Since the APT attack is persistent and permanent presence in the victim system, so minimal false positive rate (FPR) and high accuracy detection is required to detect the APT attack detection. Besides, Multilayer Perceptron algorithm has high true positive rate (TPR) in the detection of APT attack compared to Naïve Bayes algorithm. This means that Multilayer Perceptron algorithm can detect APT attack more accurately. Based on the result, it also can conclude that the lower the false positive rate (FPR), the more accurate to detect APT attack. Lastly, the research would also help to spread the awareness about the APT intrusion where it possibly can cause huge damage to everyone

Further understanding the nature of Ω(2012)\Omega(2012) within a chiral quark model

In our previous works, we have analyzed the two-body strong decays of the low-lying $\Omega$ baryon states within a chiral quark model. The results show that the $\Omega(2012)$ resonance favors the three-quark state with $J^P=3/2^-$ classified in the quark model. With this assignment, in the present work we further study the three-body strong decay $\Omega(2012)\to \Xi^*(1530)\bar{K} \to \Xi\pi\bar{K}$ and coupled-channel effects on $\Omega(2012)$ from nearby channels $\Xi \bar{K}$, $\Omega\eta$ and $\Xi^*(1530)\bar{K}$ within the chiral quark model as well. It is found that the $\Omega(2012)$ resonance has a sizeable decay rate into the three-body final state $\Xi\pi\bar{K}$. The predicted ratio $R_{\Xi\bar{K}}^{\Xi\pi\bar{K}}=\mathcal{B}[\Omega(2012)\to \Xi^*(1530)\bar{K}\to \Xi\pi\bar{K}]/\mathcal{B}[\Omega(2012)\to \Xi\bar{K}]\simeq 12\%$ is close to the up limit $11\%$ measured by the Belle Collaboration in 2019, however, our predicted ratio is too small to be comparable with the recent data $0.97\pm 0.31$. Furthermore, our results show that the coupled-channel effects on the $\Omega(2012)$ is not large, its components should be dominated by the bare three-quark state, while the proportion of the molecular components is only $\sim 16\%$. To clarify the nature of $\Omega(2012)$, the ratio $R_{\Xi\bar{K}}^{\Xi\pi\bar{K}}$ is expected to be tested by other experiments.Comment: 7 pages, 3 figure

An evolutionary algorithm with double-level archives for multiobjective optimization

Existing multiobjective evolutionary algorithms (MOEAs) tackle a multiobjective problem either as a whole or as several decomposed single-objective sub-problems. Though the problem decomposition approach generally converges faster through optimizing all the sub-problems simultaneously, there are two issues not fully addressed, i.e., distribution of solutions often depends on a priori problem decomposition, and the lack of population diversity among sub-problems. In this paper, a MOEA with double-level archives is developed. The algorithm takes advantages of both the multiobjective-problemlevel and the sub-problem-level approaches by introducing two types of archives, i.e., the global archive and the sub-archive. In each generation, self-reproduction with the global archive and cross-reproduction between the global archive and sub-archives both breed new individuals. The global archive and sub-archives communicate through cross-reproduction, and are updated using the reproduced individuals. Such a framework thus retains fast convergence, and at the same time handles solution distribution along Pareto front (PF) with scalability. To test the performance of the proposed algorithm, experiments are conducted on both the widely used benchmarks and a set of truly disconnected problems. The results verify that, compared with state-of-the-art MOEAs, the proposed algorithm offers competitive advantages in distance to the PF, solution coverage, and search speed

The Design and Realization for a Multiplex Time Sequence Controller

AbstractIn order to meet the demand of activating several devices at different moments, a multiplex time sequence controller is developed in this paper. When the controller receives the trigger signal for starting, the time sequential control circuit module, consisting of the microcontroller and the FPGA, it can generate a delay trigging signal according to the preset delay value, which will activate the testing device after being driven. The delay value is import by the computer or the dial on the panel. The real firing results show that the time sequence controller can realize the delay of 20-channel independently, one of which is able to be adjustable within 0∼10s, the maximum amplitude of output delay trigging signal is 12V, the width of the signal is 5ms and the error of the delay time is less than 2colons. The multiplex time sequence controller can satisfy the requirements of technical specifications of testing system in conventional shooting range, and it can meet the demand of activating several testing devices operating at different moments

Methyl isonicotinate 1-oxide

In the title compound, C7H7NO3, the benzene ring and the methyl ester group are nearly coplanar, forming a dihedral of 3.09 (9)°. The crystal structure is stabilized by inter­molecular C—H⋯O hydrogen bonds, forming layers parallel to (101)

Anti–DNA B Cells in MRL/lpr Mice Show Altered Differentiation and Editing Pattern

We have studied the regulation of anti–DNA B cells in transgenic mice with a heavy chain transgene (3H9H/56R). This transgene codes for a heavy chain that forms anti–double-stranded DNA (dsDNA) antibody when paired with most members of the endogenous Vκ repertoire, but certain L chains, referred to as Vκ editors, do not sustain dsDNA binding in combination with 3H9H/56R. In the nonautoimmune 3H9H/56R BALB/c, most B cells generated do not bind DNA because the transgene itself is edited or is associated with a Vκ editor. A minor population of B cells (30%) bind dsDNA and express the λ1 light chain (known to sustain 3H9H/56R DNA binding). These 3H9/56R/λ1 B cells coexpress a κ editor, and we propose that the down-regulation of the anti-DNA BCR caused by the dual L chain expression may prevent activation of this κ/λ population. These κ/λ B cells are sequestered in the marginal zone. Here, we studied the influence of autoimmunity on expression and regulation of 3H9H/56R. In 3H9H/56R MRL/lpr mice, the expression of anti-dsDNA is vastly accelerated. Anti–dsDNA B cells use noneditor κs but, in addition, most anti–dsDNA B cells have edited the heavy chain transgene. λ1 B cells (without the coexpression of a κ editor) are found and the κ/λ1 MZ population is absent. Our results suggest that improper editing and failure to sequester autoreactive B cells may contribute to the breakdown of tolerance in MRL/lpr mice