Simulating and analyzing order book data: The queue-reactive model

Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen reference price, typically the mid price, remains constant. Within these periods, we view the limit order book as a Markov queuing system. Indeed, we assume that the intensities of the order flows only depend on the current state of the order book. We establish the limiting behavior of this model and estimate its parameters from market data. Then, in order to design a relevant model for the whole period of interest, we use a stochastic mechanism that allows for switches from one period of constant reference price to another. Beyond enabling to reproduce accurately the behavior of market data, we show that our framework can be very useful for practitioners, notably as a market simulator or as a tool for the transaction cost analysis of complex trading algorithms

Kinematics and control algorithm development and simulation for a redundant two-arm robotic manipulator system

An efficient approach to cartesian motion and force control of a 7 degree of freedom (DOF) manipulator is presented. It is based on extending the active stiffness controller to the 7 DOF case in general and use of an efficient version of the gradient projection technique for solving the inverse kinematics problem. Cooperative control is achieved through appropriate configuration of individual manipulator controllers. In addition, other aspects of trajectory generation using standard techniques are integrated into the controller. The method is then applied to a specific manipulator of interest (Robotics Research T-710). Simulation of the kinematics, dynamics, and control are provided in the context of several scenarios: one pertaining to a noncontact pick and place operation; one relating to contour following where contact is made between the manipulator and environment; and one pertaining to cooperative control

Data-race detection in transactions-everywhere parallel programming

Thesis (M.Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2003.Includes bibliographical references (p. 69-72).This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.This thesis studies how to perform dynamic data-race detection in programs using "transactions everywhere", a new methodology for shared-memory parallel programming. Since the conventional definition of a data race does not make sense in the transactions-everywhere methodology, this thesis develops a new definition based on a weak assumption about the correctness of the target program's parallel-control flow, which is made in the same spirit as the assumption underlying the conventional definition. This thesis proves, via a reduction from the problem of 3cnf-formula satisfiability, that data-race detection in the transactions-everywhere methodology is an NP-complete problem. In view of this result, it presents an algorithm that approximately detects data races. The algorithm never reports false negatives. When a possible data race is detected, the algorithm outputs simple information that allows the programmer to efficiently resolve the root of the problem. The algorithm requires running time that is worst-case quadratic in the size of a graph representing all the scheduling constraints in the target program.by Kai Huang.M.Eng

Rare decays B→Xsl+l−B\to X_sl^+l^- and B→K(∗)l+l−B\to K^{(*)}l^+l^- in SM and beyond

After a brief review of the inclusive and exclusive rare semileptonic decays of B mesons in the standard model (SM), an overview of recent theoretical developments in this field is given. New physics effects on various observables such as branching ratio, backward-forward asymmetry, polarization of lepton and CP violation in the decays are anlyzed in models beyond SM (supersymmetric models and two Higgs doublet models).Comment: 6 pages, invited talk given at the Fourth International Conference on Hyperons, Charm and Beauty Hadrons, June 27-30, 2000, Valencia, Spain, to appear in the Proceedings of the Conference, typo correcte