The effects of periodic and continuous market environments on the performance of trading agents

Simulation experiments are conducted on simple continuous double auction (CDA) markets based on the experimental economics work of Vernon Smith. CDA models within experimental economics usually consist of a sequence of discrete trading periods or “days”, with allocations of stock and currency replenished at the start of each day, a situation we call “periodic” replenishment. In our experiments we look at both periodic and continuous-replenishment versions of the CDA. In this we build on the work of Cliff and Preist (2001) with human subjects, but we replace human traders with Zero Intelligence Plus (ZIP) trading agents, a minimal algorithm that can produce equilibrating market behaviour in CDA models. Our results indicate that continuous-replenishment (CR) CDA markets are similar to conventional periodic CDA markets in their ability to show equilibration dynamics. Secondly we show that although both models produce the same behaviour of price formation, they are different playing fields, as periodic markets are more efficient over time than their continuous counterparts. We also find, however, that the volume of trade in periodic CDA markets is concentrated in the early period of each trading day, and the market is in this sense inefficient. We look at whether ZIP agents require different parameters for optimal behaviour in each market type, and find that this is indeed the case. Overall, our conclusions mirror earlier findings on the robustness of the CDA, but we stress that a CR-CDA marketplace equilibrates in a different way to a periodic one

Doppler lidar results from the San Gorgonio Pass experiments

During FY-84, the Doppler Lidar data from the San Gorgonio Pass experiments were analyzed, evaluated, and interpreted with regard to signal strength, signal width, magnitude and direction of velocity component and a goodness parameter associated with the expected noise level of the signal. From these parameters, a screening criteria was developed to eliminate questionable data. For the most part analysis supports the validity of Doppler Lidar data obtained at San Gorgonio Pass with respect to the mean velocity magnitude and direction. The question as to whether the Doppler width could be interpreted as a measure of the variance of the turbulence within the Doppler Lidar System (DLS) focal volume was not resolved. The stochastic nature of the Doppler broadening from finite residence time of the particles in the beam as well as other Doppler broadening phenomenon tend to mask the Doppler spread associated with small scale turbulence. Future tests with longer pulses may assist in better understanding

Results on Transversal and Axial Motions of a System of Two Beams Coupled to a Joint through Two Legs

In recent years there has been renewed interest in inflatable-rigidizable space structures because of the efficiency they offer in packaging during boost-to-orbit. However, much research is still needed to better understand dynamic response characteristics, including inherent damping, of truss structures fabricated with these advanced material systems. We present results of an ongoing research related to a model consisting of an assembly of two beams with Kelvin-Voight damping, coupled to a simple joint through two legs. The beams are clamped at one end but at the other end they satisfy a boundary condition given in terms of an ODE coupling boundary terms of both beams, which reflects geometric compatibility conditions. The system is then written as a second order differential equation in an appropriate Hilbert space  in which well-posedness, exponential stability as well as other regularity properties of the solutions can be obtained. Two different finite dimensional approximation schemes for the solutions of the system are presented. Numerical results are presented and comparisons are made.Fil: Burns, J. A.. Interdisciplinary Center for Applied Mathematics; Estados UnidosFil: Cliff, E. M.. Interdisciplinary Center for Applied Mathematics; Estados UnidosFil: Liu, Z.. University of Minnesota at Duluth; Estados UnidosFil: Spies, Ruben Daniel. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Santa Fe. Instituto de Matemática Aplicada del Litoral. Universidad Nacional del Litoral. Instituto de Matemática Aplicada del Litoral; Argentin

Energy management of three-dimensional minimum-time intercept

A real-time computer algorithm to control and optimize aircraft flight profiles is described and applied to a three-dimensional minimum-time intercept mission

An on-board near-optimal climb-dash energy management

On-board real time flight control is studied in order to develop algorithms which are simple enough to be used in practice, for a variety of missions involving three dimensional flight. The intercept mission in symmetric flight is emphasized. Extensive computation is required on the ground prior to the mission but the ensuing on-board exploitation is extremely simple. The scheme takes advantage of the boundary layer structure common in singular perturbations, arising with the multiple time scales appropriate to aircraft dynamics. Energy modelling of aircraft is used as the starting point for the analysis. In the symmetric case, a nominal path is generated which fairs into the dash or cruise state. Feedback coefficients are found as functions of the remaining energy to go (dash energy less current energy) along the nominal path

Optimal symmetric flight with an intermediate vehicle model

Optimal flight in the vertical plane with a vehicle model intermediate in complexity between the point-mass and energy models is studied. Flight-path angle takes on the role of a control variable. Range-open problems feature subarcs of vertical flight and singular subarcs. The class of altitude-speed-range-time optimization problems with fuel expenditure unspecified is investigated and some interesting phenomena uncovered. The maximum-lift-to-drag glide appears as part of the family, final-time-open, with appropriate initial and terminal transient exceeding level-flight drag, some members exhibiting oscillations. Oscillatory paths generally fail the Jacobi test for durations exceeding a period and furnish a minimum only for short-duration problems

Deformation Response and Life of Metallic Composites

The project was initially funded for one year (for $100,764) to investigate the potential of particulate reinforced metals for aeropropulsion applications and to generate fatigue results that quantify the mean stress effect for a titanium alloy matrix material (TIMETAL 21S). The project was continued for a second year (for$85,000) to more closely investigate cyclic deformation, especially ratcheting, of the titanium alloy matrix at elevated temperature. Equipment was purchased (for $19,000) to make the experimental program feasible; this equipment included an extensometer calibrator and a multi-channel signal conditioning amplifier. The project was continued for a third year ($50,000) to conduct cyclic relaxation experiments aimed at validating the elastic-viscoelastic-viscoplastic model that NASA GRC had developed for the titanium alloy. Finally, a one-year no cost extension was granted to enable continued analysis of the experimental results and model comparisons