The price dynamics of common trading strategies

A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price formation to study the price dynamics induced by several commonly used financial trading strategies, showing how they amplify noise, induce structure in prices, and cause phenomena such as excess and clustered volatility.Comment: 29 pages, 12 figure

On the genericity of spacetime singularities

We consider here the genericity aspects of spacetime singularities that occur in cosmology and in gravitational collapse. The singularity theorems (that predict the occurrence of singularities in general relativity) allow the singularities of gravitational collapse to be either visible to external observers or covered by an event horizon of gravity. It is shown that the visible singularities that develop as final states of spherical collapse are generic. Some consequences of this fact are discussed.Comment: 19 pages, To be published in the Raychaudhuri Volume, eds. Naresh Dadhich, Pankaj Joshi and Probir Ro

A secure, constraint-aware role-based access control interoperation framework

With the growing needs for and the benefits of sharing resources and information among different organizations, an interoperation framework that automatically integrates policies to facilitate such cross-domain sharing in a secure way is becoming increasingly important. To avoid security breaches, such policies must enforce the policy constraints of the individual domains. Such constraints may include temporal constraints that limit the times when the users can access the resources, and separation of duty (SoD) constraints. Existing interoperation solutions do not address such cross-domain temporal access control and SoDs requirements. In this paper, we propose a role-based framework to facilitate secure interoperation among multiple domains by ensuring the enforcement of temporal and SoD constraints of individual domains. To support interoperation, we do not modify the internal policies, as most of the current approaches do. We present experimental results to demonstrate our proposed framework is effective and easily realizable. © 2011 IEEE