An Adaptive Dual-level Reinforcement Learning Approach for Optimal Trade Execution

The purpose of this research is to devise a tactic that can closely track the daily cumulative volume-weighted average price (VWAP) using reinforcement learning. Previous studies often choose a relatively short trading horizon to implement their models, making it difficult to accurately track the daily cumulative VWAP since the variations of financial data are often insignificant within the short trading horizon. In this paper, we aim to develop a strategy that can accurately track the daily cumulative VWAP while minimizing the deviation from the VWAP. We propose a method that leverages the U-shaped pattern of intraday stock trade volumes and use Proximal Policy Optimization (PPO) as the learning algorithm. Our method follows a dual-level approach: a Transformer model that captures the overall(global) distribution of daily volumes in a U-shape, and a LSTM model that handles the distribution of orders within smaller(local) time intervals. The results from our experiments suggest that this dual-level architecture improves the accuracy of approximating the cumulative VWAP, when compared to previous reinforcement learning-based models.Comment: Submitted to Expert Systems with Applications (Under 2nd review

Determination of Chlorinity of Water without the Use of Chromate Indicator

A new method for determining chlorinity of water was developed in order to improve the old method by alleviating the environmental problems associated with the toxic chromate. The method utilizes a mediator, a weak acid that can form an insoluble salt with the titrant. The mediator triggers a sudden change in pH at an equivalence point in a titration. Thus, the equivalence point can be determined either potentiometrically (using a pH meter) or simply with an acid-base indicator. Three nontoxic mediators (phosphate, EDTA, and sulfite) were tested, and optimal conditions for the sharpest pH changes were sought. A combination of phosphate (a mediator) and phenolphthalein (an indicator) was found to be the most successful. The choices of the initial pH and the concentration of the mediator are critical in this approach. The optimum concentration of the mediator is ca. 1~2 mM, and the optimum value of the initial pH is ca. 9 for phosphate/phenolphthalein system. The method was applied to a sample of sea water, and the results are compared with those from the conventional Mohr-Knudsen method. The new method yielded chlorinity of a sample of sea water of (17.58 ± 0.22) g/kg, which is about 2.5% higher than the value (17.12 ± 0.22) g/kg from the old method

Evaluation of the Function Exp (X2) Erfc (X) to Higher Precisions for Higher-Order Derivative Polarography of CE-Type Electrode Process

The function exp(x2)erfc(x), which is often encountered in studies of electrode kinetics, is evaluated to an extended precision with 32 significant decimal digits in order to find theoretical relationships used in derivative polarography/voltammetry for a chemically-coupled electrode process. Computations with a lower precision are not successful. Evaluation of the function is accomplished by using three types of expansions for the function. Best ranges of arguments are selected for each equation for particular precisions for efficiencies. The method is successfully applied to calculate higher-order derivatives of the current-potential curves in all potential ranges for a reversible electron transfer reaction coupled with a prior chemical equilibrium (i.e., a CE type process). Various parameters that characterize the peak asymmetry (such as ratios of peak-heights, ratios of half-peak-widths, and separations in peak-potentials) are analyzed to find how kinetic and thermodynamic parameters influence shapes of the derivatives. The results from the CE process is compared with those from an EC process in which a reversible electron transfer is coupled with a follow-up homogeneous chemical reaction. The two processes exibit quite contrasting differences for values of the parameters

A study on decoding models for the reconstruction of hand trajectories from the human magnetoencephalography

Decoding neural signals into control outputs has been a key to the development of brain-computer interfaces (BCIs). While many studies have identified neural correlates of kinematics or applied advanced machine learning algorithms to improve decoding performance, relatively less attention has been paid to optimal design of decoding models. For generating continuous movements from neural activity, design of decoding models should address how to incorporate movement dynamics into models and how to select a model given specific BCI objectives. Considering nonlinear and independent speed characteristics, we propose a hybrid Kalman filter to decode the hand direction and speed independently. We also investigate changes in performance of different decoding models (the linear and Kalman filters) when they predict reaching movements only or predict both reach and rest. Our offline study on human magnetoencephalography (MEG) during point-to-point arm movements shows that the performance of the linear filter or the Kalman filter is affected by including resting states for training and predicting movements. However, the hybrid Kalman filter consistently outperforms others regardless of movement states. The results demonstrate that better design of decoding models is achieved by incorporating movement dynamics into modeling or selecting a model according to decoding objectives.open0

The Psychometric Properties and Clinical Utility of the Korean Version of GAD-7 and GAD-2

Generalized anxiety disorder (GAD) is a common but serious form of anxiety disorder. Despite this, the rate of GAD recognition in primary care remains low in both Western and Eastern countries. The GAD-7 and GAD-2 were developed to efficiently identify people with GAD, and their reliability and validity have been well-documented in Western countries. The GAD-7 and GAD-2 have also been widely utilized to screen for other anxiety disorders; however, their diagnostic utility has not been fully justified with empirical support, especially in East Asian samples. In this study, we examined the diagnostic sensitivity and specificity of these screening tools for identifying individuals with GAD or other anxiety disorders, and recommended screening cutoff scores for GAD and other anxiety disorders for use in Korea. Based on the rigorous standard suggested by the Quality Assessment of Diagnostic Accuracy Studies-2, a total of 1,157 participants randomly recruited from the community completed the GAD-7, GAD-2, and other anxiety and depression measures in a counter-balanced order. All participants were assessed, and their psychiatric diagnosis confirmed through a structured clinical interview conducted by independent clinicians blinded to the results of the self-report questionnaires. The GAD-7 and GAD-2 both showed excellent reliability and validity. Notably, both the GAD-7 and GAD-2 demonstrated acceptable diagnostic accuracy in detecting GAD with similar recommended cut-off scores as those reported in Western countries, but unacceptable diagnostic accuracy for other anxiety disorders. We conclude that given their brevity, the GAD-7 and GAD-2 can be well-utilized to identify people with GAD for preventative evaluation and treatment in Korea. Use of the GAD-7 and GAD-2 for screening other anxiety disorders should be cautioned

Estimation of hospital-based HIV seroprevalence as a nationwide scale by novel method; 2002-2008 in Korea

<p>Abstract</p> <p>Background</p> <p>In Korea, approximately 70% of HIV-positive individuals are currently diagnosed in hospitals, while most HIV-positive patients were diagnosed at public health centers in 1980 s and 1990 s. However, there are no reporting systems to identify how many HIV tests are performed in the Korean hospitals different from public health centers and Blood centers. We estimated how many HIV tests were performed in hospitals and analyzed the nationwide hospital-based HIV seroprevalence in the present study.</p> <p>Methods</p> <p>Between 2002 and 2008, data included HIV tests on insurance claims in hospitals and the proportion of computerized insurance claims from the Health Insurance Review and Assessment Services. The number of HIV tests from the survey in the External Quality Assurance Scheme for hospital laboratories was collected to calculate the insurance claim proportion. HIV seroprevalence was estimated using data of tested individuals, including infected individuals. Statistical analysis was confirmed with the 95% confidence interval. Statistical significance was defined at p-values < 0.05.</p> <p>Results</p> <p>The number of HIV tests in hospitals increased from 2.7 million in 2002 to 5.0 million in 2008. The trend of HIV seroprevalence was decrease (1.5-1.3 per 10,000 individuals, P < 0.0028), except in 2002. The number of women tested was greater than men, and the proportion increased in older individuals and in small towns. Men had a higher annual HIV seroprevalence than women (P < 0.0001). The annual seroprevalence decreased in men (P = 0.0037), but was stable in women. The seroprevalence in the 30-39 year age group demonstrated higher than other age groups except 2008.</p> <p>Conclusions</p> <p>The nationwide hospital-based number of HIV tests and seroprevalence were estimated using a new method and seroprevalence trends were identified. This information will facilitate improvement in national HIV prevention strategies.</p

Physical properties of transparent perovskite oxides (Ba,La)SnO3 with high electrical mobility at room temperature

Transparent electronic materials are increasingly in demand for a variety of optoelectronic applications. BaSnO3 is a semiconducting oxide with a large band gap of more than 3.1 eV. Recently, we discovered that La doped BaSnO3 exhibits unusually high electrical mobility of 320 cm^2(Vs)^-1 at room temperature and superior thermal stability at high temperatures [H. J. Kim et al. Appl. Phys. Express. 5, 061102 (2012)]. Following that work, we report various physical properties of (Ba,La)SnO3 single crystals and films including temperature-dependent transport and phonon properties, optical properties and first-principles calculations. We find that almost doping-independent mobility of 200-300 cm^2(Vs)^-1 is realized in the single crystals in a broad doping range from 1.0x10^19 to 4.0x10^20 cm^-3. Moreover, the conductivity of ~10^4 ohm^-1cm^-1 reached at the latter carrier density is comparable to the highest value. We attribute the high mobility to several physical properties of (Ba,La)SnO3: a small effective mass coming from the ideal Sn-O-Sn bonding, small disorder effects due to the doping away from the SnO2 conduction channel, and reduced carrier scattering due to the high dielectric constant. The observation of a reduced mobility of ~70 cm^2(Vs)^-1 in the film is mainly attributed to additional carrier-scatterings which are presumably created by the lattice mismatch between the substrate SrTiO3 and (Ba,La)SnO3. The main optical gap of (Ba,La)SnO3 single crystals remained at about 3.33 eV and the in-gap states only slightly increased, thus maintaining optical transparency in the visible region. Based on these, we suggest that the doped BaSnO3 system holds great potential for realizing all perovskite-based, transparent high-frequency high-power functional devices as well as highly mobile two-dimensional electron gas via interface control of heterostructured films.Comment: 31 pages, 7 figure