Erratum to: Ontology-Based Data Access with Datalog +/-

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Drift dependence of optimal trade execution strategies under transient price impact

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that this problem is well-posed only if the drift is absolutely continuous. Optimal strategies often do not exist, and when they do, they depend strongly on the derivative of the drift. Our approach uses elements from singular stochastic control, even though the problem is essentially non-Markovian due to the transience of price impact and the lack in Markovian structure of the underlying price process. As a corollary, we give a complete solution to the minimization of a certain cost-risk criterion in our setting

An Optimal Execution Problem with Market Impact

We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that right-continuity at the time origin is associated with the strength of market impact for large sales, otherwise the value function is continuous. Moreover, we show the semi-group property (Bellman principle) and characterise the value function as a viscosity solution of the corresponding Hamilton-Jacobi-Bellman equation. We introduce some examples where the forms of the optimal strategies change completely, depending on the amount of the trader's security holdings and where optimal strategies in the Black-Scholes type market with nonlinear market impact are not block liquidation but gradual liquidation, even when the trader is risk-neutral.Comment: 36 pages, 8 figures, a modified version of the article "An optimal execution problem with market impact" in Finance and Stochastics (2014

High frequency trading strategies, market fragility and price spikes: an agent based model perspective

Given recent requirements for ensuring the robustness of algorithmic trading strategies laid out in the Markets in Financial Instruments Directive II, this paper proposes a novel agent-based simulation for exploring algorithmic trading strategies. Five different types of agents are present in the market. The statistical properties of the simulated market are compared with equity market depth data from the Chi-X exchange and found to be significantly similar. The model is able to reproduce a number of stylised market properties including: clustered volatility, autocorrelation of returns, long memory in order flow, concave price impact and the presence of extreme price events. The results are found to be insensitive to reasonable parameter variations

Pomiary in-situ wysięgników wielonaczyniowych koparek kołowych w kopalniach CEO z wykorzystaniem tensometrów i akcelerometrów

The boom of BWE is a very complex structure, dictated by its functions in operation of the excavator. In the simplest approach, it can be considered as an arm of an R-R robotic manipulator, having at distal extremity the working element, i.e. the bucket wheel, being fixed at proximal extremity by a joint to the turret, which, at its turn is articulated to the infrastructure which includes the undercarriage (travelling mechanism). In order to reduce the weight/stiffness ratio and to include the on board conveyer, the boom is generally embodied as a lattice – truss structure. The constitutive elements i.e. the members and joints are subject to severe loads, which due to their cyclical variable character with a high random component, lead to failures which are caused by overloading and/or fatigue. The actual paper deals with the field measurements performed in past years on several BWEs from CEO open pits, including acceleration measurements and stress measurements using strain gauges. Both kind of sensors-accelerometers and strain gauges were mounted on several critical points of the boom, and the measurements were performed both in normal operation and in some loading-operating scenarios. The recorded data were postprocessed in order to obtain spectral graphs in order to obtain information about the influence of different excitation sources on the boom elements behaviour.Wysięgnik wielonaczyniowej koparki kołowej jest złożoną strukturą definiowaną przez technologię pracy koparki. W celu zmniejszenia stosunku waga/sztywność oraz występowania przenośnika taśmowego wysięgnik jest zaprojektowany jako konstrukcja kratownicowa. Jej elementy są poddawane silnym obciążeniom, które ze względu na ich cykliczny charakter z wysoką składową losową prowadzą do awarii spowodowanych przeciążeniem lub zmęczeniem konstrukcji. Niniejszy artykuł przedstawia pomiary terenowe wykonane w ostatnich latach na wielonaczyniowych koparkach kołowych pracujących w kopalniach CEO za pomocą tensometrów oraz akcelerometrów. Pomiary te zostały zamontowane w krytycznych punktach wysięgnika, a pomiary zostały wykonane zarówno podczas normalnej pracy koparki jak i podczas realizacji scenariuszy obciążenia. Zarejestrowane dane zostały poddane obróbce w celu uzyskania wykresów widmowych

Numerical assessment of stress concentration in Francis runner blade — crown/band junctions

The paper presents the results of numerical investigation for stress distribution near runner blade-crown/band junctions. Starting with the geometrical investigation of the geometries for a real turbine, different junction geometries were identified. Eight different junction geometries were numerically investigated in order to determine the stress distribution. The applied load for structural analysis was the pressure distribution, obtained from a Computational Fluid Dynamics analysis of the runner blade. The results of the stress distribution will allow to quantify the effect of different junction geometry on stress concentration and integrity of the runner

Harvesting the wind energy through an actively controlled pitch-plunge flapping wing

Abstract. A different approach for harvesting the wind energy with an actively controlled pitch-plunge aeroelastic system is investigated. The paper present some theoretical considerations and results regarding an oscillating wing. The performances of the flapping wing system were investigated numerically and experimentally for the power extraction process

Existential rules and Bayesian networks for probabilistic ontological data exchange

We investigate the problem of exchanging probabilistic data between ontology-based probabilistic databases. The probabilities of the probabilistic source databases are compactly and flexibly encoded via Bayesian networks, which are closely related to the management of provenance. For the ontologies and the ontology mappings, we consider existential rules from the Datalog+/– family. We analyze the computational complexity of the problem of deciding whether there exists a probabilistic (universal) solution for a given probabilistic source database relative to a (probabilistic) ontological data exchange problem. We provide a host of complexity results for this problem for different classes of existential rules. We also analyze the complexity of answering UCQs (unions of conjunctive queries) in this framework.This paper has been accepted for 9th International Web Rule Symposium (RuleML), Existential Rules and Datalog+/- Track

Existential rules and Bayesian networks for probabilistic ontological data exchange

We investigate the problem of exchanging probabilistic data between ontology-based probabilistic databases. The probabilities of the probabilistic source databases are compactly and flexibly encoded via Bayesian networks, which are closely related to the management of provenance. For the ontologies and the ontology mappings, we consider existential rules from the Datalog+/– family. We analyze the computational complexity of the problem of deciding whether there exists a probabilistic (universal) solution for a given probabilistic source database relative to a (probabilistic) ontological data exchange problem. We provide a host of complexity results for this problem for different classes of existential rules. We also analyze the complexity of answering UCQs (unions of conjunctive queries) in this framework

Existential rules and Bayesian networks for probabilistic ontological data exchange

We investigate the problem of exchanging probabilistic data between ontology-based probabilistic databases. The probabilities of the probabilistic source databases are compactly and flexibly encoded via Bayesian networks, which are closely related to the management of provenance. For the ontologies and the ontology mappings, we consider existential rules from the Datalog+/– family. We analyze the computational complexity of the problem of deciding whether there exists a probabilistic (universal) solution for a given probabilistic source database relative to a (probabilistic) ontological data exchange problem. We provide a host of complexity results for this problem for different classes of existential rules. We also analyze the complexity of answering UCQs (unions of conjunctive queries) in this framework