OPTIMAL EXECUTION STRATEGY UNDER ARITHMETIC BROWNIAN MOTION WITH VAR AND ES AS RISK PARAMETERS

Abstract. We explicitly give the optimal trade execution strategy in the Almgren-Chriss framework, see [1,2], when the publicly available price process follows an arithmetic Brownian motion with zero drift. The financial setting is completed by choosing the risk parameters to be the Value at Risk and the Expected Shortfall associated with the Profit and Loss distribution of the strategy's position

LA SCUOLA OFFICINA MECCANICA PRESSO IL VILLAGGIO MONTE DEGLI ULIVI A RIESI. RICOSTRUZIONE DI UN PROCESSO TRA ANALISI COMPOSITIVE E GRAFICO-GEOMETRICHE

Il presente contributo trae origine da una pi\uf9 ampia ricerca che ha consentito di approfondire la comprensione dei principi progettuali e geometrico-compositivi dell\u2019opera in oggetto; avvalendosi anche di un rilievo scientifico integrato che, attraverso nuove tecniche digitali applicate, ha permesso di condurre una specifica analisi grafico-geometrica sull\u2019impianto architettonico1. L\u2019edificio della scuola officina meccanica, inserito in un pi\uf9 ampio e articolato complesso edilizio2, \ue8 composto da una singolare configurazione in pianta ai diversi livelli, oggi non pi\uf9 chiaramente leggibile a causa dei numerosi interventi di trasformazione subiti. I disegni di restituzione grafica, realizzati sulla base dei rilievi architettonici, costituiscono un imprescindibile documento di consultazione che documenta l\u2019attuale distribuzione dei locali che hanno alterato l\u2019idea progettuale. Con l\u2019intento di acquisire nuovi elementi di conoscenza propedeutici a futuri interventi di restauro conservativo e a una pi\uf9 consapevole fruizione del bene, lo studio descrive ed esamina il processo progettuale dell\u2019opera, ricercando i principi ordinatori, compositivi e geometrici che ne hanno determinato la particolare struttura. Il testo \ue8 articolato in due parti: la prima sintetizza le questioni generali del progetto, dalla ideazione alla realizzazione del Villaggio Monte degli Ulivi e dell\u2019edificio della ex scuola officina meccanica; la seconda, sulla scorta dei risultati di uno studio sulle funzioni grafiche digitali applicate alla geometria, indaga la natura geometrica dei profili conici che regolano il progetto e la realizzazione dell\u2019edificio.This contribution originates from a wider research which allowed to analyse in depth both the design and geometric-compositional principles of the Scuola Officina Meccanica's building - located within the wide and structured building complex in Villaggio \u201cMonte degli Ulivi\u201d. A scientific integrated survey was also used that, thanks to newly-applied digital techniques, allowed to carry out a specific graphic-geometric analysis of the architectural layout. The study is developed in two parts. The first summarizes the general matters of the project, from the design to the realisation of both Villaggio \u201cMonte degli Ulivi\u201d and the building of the former Scuola Officina Meccanica. The second part, on the basis of the results from digital graphic functions applied to the geometry, investigates the geometric nature of the conic profiles regulating both the project and the realisation of the building

Seismic rehabilitation of cultural heritage masonry buildings with unbonded fiber reinforced elastomeric isolators (U-FREIs) \u2013 A case of study

In order to assess the structural behavior and to evaluate the seismic vulnerability of masonry structuresof relevant historical and artistic significance, which is a widespread building type in Italy and in the world,an historical masonry church is analyzed under earthquake loading. Linear and non-linear analyses areperformed on the finite element models of the structure. From these analyses it is pointed out that thestructure does not behave elastically in its existing condition even when subjected to the frequent designearthquake (81% probability of being exceeded over 50 years). Two traditional rehabilitation methods arestudied: the placement of a rigid diaphragm which connects the top of the masonry walls only enclosingthe church entrance area and the placement of a rigid diaphragm which connects the tops of all masonrywalls. None of the traditional method is sufficient for the structure to survive basic design earthquake(10% probability of being exceeded over 50 years). Hence an advanced seismic retrofit solution usinginnovative carbon fiber reinforced elastomeric isolators is proposed. The proposed intervention consistsin the installation of six Unbonded Fiber-Reinforced Elastomeric Isolators (U-FREI) and six Flat SurfaceSliders (FSS) as passive protective devices besides the placement of a rigid diaphragm which connects thetops of all masonry walls. The process of installation of the devices is illustrated. The use of the proposedsolution leads to a remarkable enhancement of the seismic response capacities of the structure; indeeda general elastic response under the Basic Design Earthquake (BDE) is attained

Observational constraints on the linear fluctuation growth rate

Several experiments in the near future will test dark energy through its effects on the linear growth of matter perturbations. It is therefore important to find simple and at the same time general parametrizations of the linear growth rate. We show that a simple fitting formula that generalizes previous expressions reproduces the growth function in models that allow for a growth faster than standard, as for instance in scalar-tensor models. We use data from galaxy and Lyman-$\alpha$ power spectra to constrain the linear growth rate. We find $\gamma=0.6_{-0.3}^{+0.4}$ for the growth rate index and $\eta=0.0_{-0.2}^{+0.3}$ for the additional growth parameter we introduce.Comment: 9 page

Robots for Exploration, Digital Preservation and Visualization of Archeological Sites

Monitoring and conservation of archaeological sites are important activities necessary to prevent damage or to perform restoration on cultural heritage. Standard techniques, like mapping and digitizing, are typically used to document the status of such sites. While these task are normally accomplished manually by humans, this is not possible when dealing with hard-to-access areas. For example, due to the possibility of structural collapses, underground tunnels like catacombs are considered highly unstable environments. Moreover, they are full of radioactive gas radon that limits the presence of people only for few minutes. The progress recently made in the artificial intelligence and robotics field opened new possibilities for mobile robots to be used in locations where humans are not allowed to enter. The ROVINA project aims at developing autonomous mobile robots to make faster, cheaper and safer the monitoring of archaeological sites. ROVINA will be evaluated on the catacombs of Priscilla (in Rome) and S. Gennaro (in Naples)

fMRI evidence for areas that process surface gloss in the human visual cortex.

Surface gloss is an important cue to the material properties of objects. Recent progress in the study of macaque's brain has increased our understating of the areas involved in processing information about gloss, however the homologies with the human brain are not yet fully understood. Here we used human functional magnetic resonance imaging (fMRI) measurements to localize brain areas preferentially responding to glossy objects. We measured cortical activity for thirty-two rendered three-dimensional objects that had either Lambertian or specular surface properties. To control for differences in image structure, we overlaid a grid on the images and scrambled its cells. We found activations related to gloss in the posterior fusiform sulcus (pFs) and in area V3B/KO. Subsequent analysis with Granger causality mapping indicated that V3B/KO processes gloss information differently than pFs. Our results identify a small network of mid-level visual areas whose activity may be important in supporting the perception of surface gloss.This project was supported by fellowships to H.B. from the Japan Society for the Promotion of Science (H22.290), KAKENHI26870911

Experimental assessment on exploiting low carbon ethanol fuel in a light-duty dual-fuel compression ignition engine

Compression ignition (CI) engines are widely used in modern society, but they are also recognized as a significative source of harmful and human hazard emissions such as particulate matter (PM) and nitrogen oxides (NOx). Moreover, the combustion of fossil fuels is related to the growing amount of greenhouse gas (GHG) emissions, such as carbon dioxide (CO2). Stringent emission regulatory programs, the transition to cleaner and more advanced powertrains and the use of lower carbon fuels are driving forces for the improvement of diesel engines in terms of overall efficiency and engine-out emissions. Ethanol, a light alcohol and lower carbon fuel, is a promising alternative fuel applicable in the dual-fuel (DF) combustion mode to mitigate CO2 and also engine-out PM emissions. In this context, this work aims to assess the maximum fuel substitution ratio (FSR) and the impact on CO2 and PM emissions of different nozzle holes number injectors, 7 and 9, in the DF operating mode. The analysis was conducted within engine working constraints and considered the influence on maximum FSR of calibration parameters, such as combustion phasing, rail pressure, injection pattern and exhaust gas recirculation (EGR). The experimental tests were carried out on a single-cylinder light-duty CI engine with ethanol introduced via port fuel injection (PFI) and direct injection of diesel in two operating points, 1500 and 2000 rpm and at 5 and 8 bar of brake mean effective pressure (BMEP), respectively. Noise and the coefficient of variation in indicated mean effective pressure (COVIMEP) limits have been chosen as practical constraints. In particular, the experimental analysis assesses for each parameter or their combination the highest ethanol fraction that can be injected. To discriminate the effect on ethanol fraction and the combustion process of each parameter, a one-at-a-time-factor approach was used. The results show that, in both operating points, the EGR reduces the maximum ethanol fraction injectable; nevertheless, the ethanol addition leads to outstanding improvement in terms of engine-out PM. The adoption of a 9 hole diesel injector, for lower load, allows reaching a higher fraction of ethanol in all test conditions with an improvement in combustion noise, on average 3 dBA, while near-zero PM emissions and a reduction can be noticed, on the average of 1 g/kWh, and CO2 compared with the fewer nozzle holes case. Increasing the load insensitivity to different holes number was observed

The spectral element method as an effective tool for solving large scale dynamic soil-structure interaction problems

The spectral element method (SEM) is a powerful numerical technique naturally suited for wave propagation and dynamic soil-structure interaction (DSSI) analyses. A class of SEM has been widely used in the seismological field (local or global seismology) thanks to its capability of providing high accuracy and allowing the implementation of optimized parallel algorithms. We illustrate inthis contribution how the SEM can be effectively used also for the numerical analysis of DSSI problems, with reference to the 3D seismic response of a railway viaduct in Italy. This numerical analysis includes the combined effect of: a) strong lateral variations of soil properties; b) topographic amplification; c) DSSI; d) spatial variation of earthquake ground motion in the structural response. Some hints on the work in progress to effectively handle nonlinear problems with SEM are also given

On the vacuum of the minimal nonsupersymmetric SO(10) unification

We study a class of nonsupersymmetric SO(10) grand unified scenarios where the first stage of the symmetry breaking is driven by the vacuum expectation values of the 45-dimensional adjoint representation. Three decade old results claim that such a Higgs setting may lead exclusively to the flipped SU(5) x U(1) intermediate stage. We show that this conclusion is actually an artifact of the tree level potential. The study of the accidental global symmetries emerging in various limits of the scalar potential offers a simple understanding of the tree level result and a rationale for the drastic impact of quantum corrections. We scrutinize in detail the simplest and paradigmatic case of the 45_{H} + 16_{H} Higgs sector triggering the breaking of SO(10) to the standard electroweak model. We show that the minimization of the one-loop effective potential allows for intermediate SU(4)_C x SU(2)_L x U(1)_R and SU(3)_c x SU(2)_L x SU(2)_R x U(1)_{B-L} symmetric stages as well. These are the options favoured by gauge unification. Our results, that apply whenever the SO(10) breaking is triggered by , open the path for hunting the simplest realistic scenario of nonsupersymmetric SO(10) grand unification.Comment: 22 pages, 1 figure. Refs added. To appear in Phys. Rev.