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

A connection-level call admission control using genetic algorithm for MultiClass multimedia services in wireless networks

Call admission control in a wireless cell in a personal communication system (PCS) can be modeled as an M/M/C/C queuing system with m classes of users. Semi-Markov Decision Process (SMDP) can be used to optimize channel utilization with upper bounds on handoff blocking probabilities as Quality of Service constraints. However, this method is too time-consuming and therefore it fails when state space and action space are large. In this paper, we apply a genetic algorithm approach to address the situation when the SMDP approach fails. We code call admission control decisions as binary strings, where a value of “1” in the position i (i=1,…m) of a decision string stands for the decision of accepting a call in class-i; a value of “0” in the position i of the decision string stands for the decision of rejecting a call in class-i. The coded binary strings are feed into the genetic algorithm, and the resulting binary strings are founded to be near optimal call admission control decisions. Simulation results from the genetic algorithm are compared with the optimal solutions obtained from linear programming for the SMDP approach. The results reveal that the genetic algorithm approximates the optimal approach very well with less complexity

Second language user support

Computer users rarely experience entirely trouble-free interaction. The natural variety ofindividuals ensures that no software systems yield constantly fluent interaction for allusers. In consequence, software designers often strive to ameliorate this situation bybuilding 'user support' into their systems. User support can take different forms but,conventionally, each aims to assist the needy end-user by means of facilities directly supporting the performance of certain operations, or through supply of information thatadvises the user on available system functionality.The present paper briefly characterises a range of user support facilities before describingone requirement in greater detail. This aspect considers the needs of users whose mother-tongue is not English, but who are obliged to use English-based information systems. Inthis context, 'helping the user' must reasonably extend beyond mere advice on systemoperation to selective elucidation of information content. We regard this move as alogical extension of the user support concept, by seeking to address specific interactionneeds in a target user population. An example of this approach is described through aninformation system, in the domain of civil engineering, for native Chinese speakers ofEnglish

Performance analysis of the IEEE 802.11e block ACK scheme in a noisy channel

A block ACK (BTA) scheme has been proposed in IEEE 802.11e to improve medium access control (MAC) layer performance. It is also a promising technique for next-generation high-speed wireless LANs (WLANs) such as IEEE 802.11n. We present a theoretical model to evaluate MAC saturation throughput of this scheme. This model takes into account the effects of both collisions and transmission errors in a noisy channel. The accuracy of this model is validated by NS-2 simulations

Monte Carlo Hamiltonian: Inverse Potential

The Monte Carlo Hamiltonian method developed recently allows to investigate ground state and low-lying excited states of a quantum system, using Monte Carlo algorithm with importance sampling. However, conventional MC algorithm has some difficulties when applying to inverse potentials. We propose to use effective potential and extrapolation method to solve the problem. We present examples from the hydrogen system.Comment: To appear in Communications in Theoretical Physic

Electrical, optical and magnetic resonance studies of novel [pi]-conjugated polymers

Conductivity, optical properties including visible and infrared (IR) absorption and photoluminescence (PL), and magnetic resonance properties including electron spin resonance (ESR) and optically detected magnetic resonance (ODMR) have been studied in polydiethynylsilanes (PDES) and poly(2,5-dibutoxyparaphenyleneacetylene) (PDBOPA), which were recently synthesized by Dr. T. J. Barton\u27s group at the Ames Laboratory. PDES and PDBOPA blend and PDBOPA-based electroluminescent preliminary diodes which were fabricated by the author were also explored;The undoped one-dimensional gap of PDES polymers, which have average molecular weight from ~2 x 10[superscript]5 to 1 x 10[superscript]6, is 2.0 eV in both films and solutions; photoluminescence is barely observed. I[subscript]2 doping induces a single absorption band at ~1.05 eV in solutions and lightly doped films, but another at ~0.55 eV in heavily doped films. Both are correlated with strong IR-active vibrations associated with known lines in Raman scattering. The doping-induced ESR of the solutions is linear in the 1.05-eV peak, but only ~2% of the carriers yield an ESR, which is motionally narrowed. No double modulation light-induced ESR is detected. The results are discussed in relation to solitons, polarons, bipolarons, and A-B solitons;PDBOPA with average molecular weight ~5 x 10[superscript]4 is somehow passive to I[subscript]2 doping. Exposure to I[subscript]2 vapor at ~80°C increases the conductivity to ~5 x 10[superscript]-3 S/cm, but the I[subscript]2 rapidly evolves from the film at room temperature. The absorption onsets at 2.53 eV and peaks at 2.81 eV. The 2.71 eV-excited photoluminescence (PL) peaks at ~2.0 eV in films and solutions. In all cases, it is very intense and largely structureless. Three PL-enhancing ODMR features are observed: (i) a strong narrow (~15 G wide) resonance at g = 2.0025, attributed to intrachain polaron recombination; (ii) a ~1.2 kG wide triplet exciton powder pattern around g ~ 2, and (iii) the [delta]m[subscript] s = 2 transitions of these excitons at g ≅ 4.07. The results are discussed in relation to conformational defects resulting from the near cylindrical symmetry of the backbone acetylene units;The improving optical properties of dilute PDBOPA blend over pure PDBOPA including the strong enhancement of the PL quantum yield, reduced photoinduced degradation, a large blue shift of the PL peak and a partially resolved vibronic structure in the PL spectrum are discussed within the framework of dynamics of photo-excitation and decay. The PDBOPA based electroluminescent diodes have been successfully fabricated for the first time, although the quantum yield was low. Suggestions for improvements are briefly discussed. ftn*DOE Report IS-T-1559. This work was performed under contract No. W-7405-Eng-82 with the U.S. Department of Energy

Performance analysis of contention based bandwidth request mechanisms in WiMAX networks

This article is posted here with the permission of IEEE. The official version can be obtained from the DOI below - Copyright @ 2010 IEEEWiMAX networks have received wide attention as they support high data rate access and amazing ubiquitous connectivity with great quality-of-service (QoS) capabilities. In order to support QoS, bandwidth request (BW-REQ) mechanisms are suggested in the WiMAX standard for resource reservation, in which subscriber stations send BW-REQs to a base station which can grant or reject the requests according to the available radio resources. In this paper we propose a new analytical model for the performance analysis of various contention based bandwidth request mechanisms, including grouping and no-grouping schemes, as suggested in the WiMAX standard. Our analytical model covers both unsaturated and saturated traffic load conditions in both error-free and error-prone wireless channels. The accuracy of this model is verified by various simulation results. Our results show that the grouping mechanism outperforms the no-grouping mechanism when the system load is high, but it is not preferable when the system load is light. The channel noise degrades the performance of both throughput and delay.This work was supported by the U.K. Engineering and Physical Sciences Research Council (EPSRC) under Grant EP/G070350/1 and by the Brunel University’s BRIEF Award

Wireless broadband access: WiMAX and beyond - Investigation of bandwidth request mechanisms under point-to-multipoint mode of WiMAX networks

The WiMAX standard specifies a metropolitan area broadband wireless access air interface. In order to support QoS for multimedia applications, various bandwidth request and scheduling mechanisms are suggested in WiMAX, in which a subscriber station can send request messages to a base station, and the base station can grant or reject the request according to the available radio resources. This article first compares two fundamental bandwidth request mechanisms specified in the standard, random access vs. polling under the point-to-multipoint mode, a mandatory transmission mode. Our results demonstrate that random access outperforms polling when the request rate is low. However, its performance degrades significantly when the channel is congested. Adaptive switching between random access and polling according to load can improve system performance. We also investigate the impact of channel noise on the random access request mechanism