Clearing price distributions in call auctions

We propose a model for price formation in financial markets based on clearing of a standard call auction with random orders, and verify its validity for prediction of the daily closing price distribution statistically. The model considers random buy and sell orders, placed following demand- and supply-side valuation distributions; an equilibrium equation then leads to a distribution for clearing price and transacted volume. Bid and ask volumes are left as free parameters, permitting possibly heavy-tailed or very skewed order flow conditions. In highly liquid auctions, the clearing price distribution converges to an asymptotically normal central limit, with mean and variance in terms of supply/demand-valuation distributions and order flow imbalance. By means of simulations, we illustrate the influence of variations in order flow and valuation distributions on price/volume, noting a distinction between high- and low-volume auction price variance. To verify the validity of the model statistically, we predict a year's worth of daily closing price distributions for 5 constituents of the Eurostoxx 50 index; Kolmogorov-Smirnov statistics and QQ-plots demonstrate with ample statistical significance that the model predicts closing price distributions accurately, and compares favourably with alternative methods of prediction

Dependencies and Simultaneity in Membrane Systems

Membrane system computations proceed in a synchronous fashion: at each step all the applicable rules are actually applied. Hence each step depends on the previous one. This coarse view can be refined by looking at the dependencies among rule occurrences, by recording, for an object, which was the a rule that produced it and subsequently (in a later step), which was the a rule that consumed it. In this paper we propose a way to look also at the other main ingredient in membrane system computations, namely the simultaneity in the rule applications. This is achieved using zero-safe nets that allows to synchronize transitions, i.e., rule occurrences. Zero-safe nets can be unfolded into occurrence nets in a classical way, and to this unfolding an event structure can be associated. The capability of capturing simultaneity of zero-safe nets is transferred on the level of event structure by adding a way to express which events occur simultaneously

A virtual place of memory: Virtual reality as a method for communicating conflicted heritage at Camp Westerbork

An important goal of the project Accessing Campscapes: inclusive strategies for using European Conflicted Heritage (iC-ACCESS), has been to develop inclusive approaches for the presentation and communication of contending perspectives on Nazi and Stalinist sites (Dolghin et al. 2017). A key objective for treating these 'heritagescapes' has been to 'develop state-of-the-art strategies and implement innovative tools which provide sustainable in-situ and virtual forms of investigation, presentation and representation' (Van der Laarse 2020). A central issue which is gaining increasing attention in heritage studies and management is the dilemma of preserving and exhibiting material remnants of Wehrmacht and SS-barracks or residencies at Holocaust memorial camps which are generally framed as victimhood sites. The Commander's house at Herinneringscentrum Westerbork is a case in point and can be placed in different perspectives on the history of the camp terrain and all related sensibilities on its meaning as an object of heritage. In order to realise an application that can accommodate these perspectives, iC-ACCESS project leader Prof. dr. R. van der Laarse contracted two laboratories specialised consecutively in 3D visualisation technologies and spatial information to cooperate on its development, the 4D Research Lab (University of Amsterdam, The Netherlands) and the SPINlab (Vrije Universiteit Amsterdam). This paper illustrates the ideas, discussions and choices related to the production of the 'Campscapes – Westerbork Commander's House App', provides a concise technical description of the actual application and presents a short prospection on potential future developments

Two-channel speech denoising through minimum tracking

A blind two-channel interference reduction algorithm to suppress localised interferers in reverberant environments is presented. The algorithm requires neither knowledge of source positions nor a speech-free noise reference. The goal is to estimate the speech signal as observed at one of the microphones, without any additional filtering effects that are typical in convolutive blind source separation

Classifying Invariant Structures of Step Traces

In the study of behaviours of concurrent systems, traces are sets of behaviourally equivalent action sequences. Traces can be represented by causal partial orders. Step traces, on the other hand, are sets of behaviourally equivalent step sequences, each step being a set of simultaneous actions. Step traces can be represented by relational structures comprising non-simultaneity and weak causality. In this paper, we propose a classification of step alphabets as well as the corresponding step traces and relational structures representing them. We also explain how the original trace model fits into the overall framework.Algorithms and the Foundations of Software technolog