Diffusive behavior and the modeling of characteristic times in limit order executions

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orders and the time to cancel (TTC) for canceled ones in a double auction market. We find that the distribution of all three quantities decays asymptotically as a power law, but that of FPT has significantly fatter tails than that of TTF. Thus a simple first passage time model cannot account for the observed TTF of limit orders. We propose that the origin of this difference is the presence of cancellations. We outline a simple model, which assumes that prices are characterized by the empirically observed distribution of the first passage time and orders are canceled randomly with lifetimes that are asymptotically power law distributed with an exponent lambda_LT. In spite of the simplifying assumptions of the model, the inclusion of cancellations is enough to account for the above observations and enables one to estimate characteristics of the cancellation strategies from empirical data.Comment: 17 pages, 9 figures, 6 tables, to appear in Quantitative Financ

Distributed Environment for Efficient Virtual Machine Image Management in Federated Cloud Architectures

The use of Virtual Machines (VM) in Cloud computing provides various benefits in the overall software engineering lifecycle. These include efficient elasticity mechanisms resulting in higher resource utilization and lower operational costs. VM as software artifacts are created using provider-specific templates, called VM images (VMI), and are stored in proprietary or public repositories for further use. However, some technology specific choices can limit the interoperability among various Cloud providers and bundle the VMIs with nonessential or redundant software packages, leading to increased storage size, prolonged VMI delivery, stagnant VMI instantiation and ultimately vendor lock-in. To address these challenges, we present a set of novel functionalities and design approaches for efficient operation of distributed VMI repositories, specifically tailored for enabling: (i) simplified creation of lightweight and size optimized VMIs tuned for specific application requirements; (ii) multi-objective VMI repository optimization; and (iii) efficient reasoning mechanism to help optimizing complex VMI operations. The evaluation results confirm that the presented approaches can enable VMI size reduction by up to 55%, while trimming the image creation time by 66%. Furthermore, the repository optimization algorithms, can reduce the VMI delivery time by up to 51% and cut down the storage expenses by 3%. Moreover, by implementing replication strategies, the optimization algorithms can increase the system reliability by 74%

Contribution of micro‐PIXE to the characterization of settled dust events in an urban area affected by industrial activities

This study aimed to identify possible sources of settled dust events that occurred in an urban area nearby an industrial park, which alarmed the local population. Settled dust was collected in January 2019 and its chemical characterization was assessed by micro-PIXE, focusing on a total of 29 elements. Comparison with chemical profiles of particulate matter from different types of environment was conducted, along with the assessment of crustal enrichment factors and Spearman correlations, allowing to understand which sources were contributing to this settled dust event. A nearby industrial area’s influence was identified due to the contents of Fe, Cr and Mn, which are typical tracers of iron and steel industries.info:eu-repo/semantics/publishedVersio

Characterization of a settled dust event in an urban area affected by industrial activities

Trabalho apresentado em 7th Iberian Meeting Aerosol Science and Technology – RICTA19, 2019, Lisbon, PortugalN/

Change in physical activity after smoking cessation: the Coronary Artery Risk Development in Young Adults (CARDIA) study.

AIMS: To estimate physical activity trajectories for people who quit smoking, and compare them to what would have been expected had smoking continued. DESIGN, SETTING AND PARTICIPANTS: A total of 5115 participants in the Coronary Artery Risk Development in Young Adults Study (CARDIA) study, a population-based study of African American and European American people recruited at age 18-30 years in 1985/6 and followed over 25 years. MEASUREMENTS: Physical activity was self-reported during clinical examinations at baseline (1985/6) and at years 2, 5, 7, 10, 15, 20 and 25 (2010/11); smoking status was reported each year (at examinations or by telephone, and imputed where missing). We used mixed linear models to estimate trajectories of physical activity under varying smoking conditions, with adjustment for participant characteristics and secular trends. FINDINGS: We found significant interactions by race/sex (P = 0.02 for the interaction with cumulative years of smoking), hence we investigated the subgroups separately. Increasing years of smoking were associated with a decline in physical activity in black and white women and black men [e.g. coefficient for 10 years of smoking: -0.14; 95% confidence interval (CI) = -0.20 to -0.07, P < 0.001 for white women]. An increase in physical activity was associated with years since smoking cessation in white men (coefficient 0.06; 95% CI = 0 to 0.13, P = 0.05). The physical activity trajectory for people who quit diverged progressively towards higher physical activity from the expected trajectory had smoking continued. For example, physical activity was 34% higher (95% CI = 18 to 52%; P < 0.001) for white women 10 years after stopping compared with continuing smoking for those 10 years (P = 0.21 for race/sex differences). CONCLUSIONS: Smokers who quit have progressively higher levels of physical activity in the years after quitting compared with continuing smokers

Chemical characterization of atmospheric particulate matter and source apportionment in an urban-industrial area of the Lisbon Metropolitan Area (Portugal)

Trabalho apresentado em 11th International Aerosol Conference (IAC2022), 4-9 de setembro 2022, Atenas, GréciaN/

Citizens involvement in the assessment of atmospheric contamination in an industrial area

Trabalho apresentado em 25th International Clean Air and Environment Conference CASANZ 2021, 17-21 de maio 2021, onlineN/

Herding model and 1/f noise

We provide evidence that for some values of the parameters a simple agent based model, describing herding behavior, yields signals with 1/f power spectral density. We derive a non-linear stochastic differential equation for the ratio of number of agents and show, that it has the form proposed earlier for modeling of 1/f^beta noise with different exponents beta. The non-linear terms in the transition probabilities, quantifying the herding behavior, are crucial to the appearance of 1/f noise. Thus, the herding dynamics can be seen as a microscopic explanation of the proposed non-linear stochastic differential equations generating signals with 1/f^beta spectrum. We also consider the possible feedback of macroscopic state on microscopic transition probabilities strengthening the non-linearity of equations and providing more opportunities in the modeling of processes exhibiting power-law statistics