Relative entropy-regularized robust optimal order execution

The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading and simultaneously minimize the execution risk and the market's liquidity and uncertainty. We model the market's liquidity and uncertainty by the principle of least relative entropy associated with the market volume. The problem of order execution is made into a relative entropy-regularized stochastic differential game. Standard argument of dynamic programming yields that the value function of the differential game satisfies a relative entropy-regularized Hamilton-Jacobi-Isaacs (rHJI) equation. Under the assumptions of linear-quadratic model with Gaussian prior, the rHJI equation reduces to a system of Riccati and linear differential equations. Further imposing constancy of the corresponding coefficients, the system of differential equations can be solved in closed form, resulting in analytical expressions for optimal strategy and trajectory as well as the posterior distribution of market volume. Numerical examples illustrating the optimal strategies and the comparisons with conventional trading strategies are conducted.Comment: 32 pages, 8 figure

Extensive Reading for University EFL Learners: Its Effects and Both Teachers' and Learners' Views

The effect of reading on general communicative competence remains a focus of second language acquisition research. Extensive reading, in particular, provides rich input and helps learners acquire languages. Research has provided findings that support the value of extensive reading (ER); however, there is scant evidence to date showing the relationship of extensive reading to overall competence and, particularly, writing competence. The present study investigated the relationship of ER to overall English language competence as well as teachers’ and students’ views about its implementation. The participants were 190 Taiwanese university freshmen and their three English instructors. The data includes scores on pre- and post-tests measuring students’ listening, reading, and writing as well as questionnaire responses and interview accounts. The findings of the study indicate that the effectiveness of ER for the student participants is partially supported and, hence, have implications for English teaching and learning in EFL contexts

Micromachined membrane particle filters

We report here several particle membrane filters (8 x 8 mm^2) with circular, hexagonal and rectangular through holes. By varying hole dimensions from 6 to 12 pm, opening factors from 4 to 45 % are achieved. In order to improve the filter robustness, a composite silicon nitride/Parylene membrane technology is developed. More importantly, fluid dynamic performance of the filters is also studied by both experiments and numerical simulations. It is found that the gaseous flow through the filters depends strongly on opening factors, and the measured pressure drops are much lower than that from numerical simulation using the Navier-Stokes equation. Interestingly, surface velocity slip can only account for a minor part of the discrepancy. This suggests that a very interesting topic for micro fluid mechanics research is identified

Experiments and simulations of MEMS thermal sensors for wall shear-stress measurements in aerodynamic control applications

MEMS thermal shear-stress sensors exploit heat-transfer effects to measure the shear stress exerted by an air flow on its solid boundary, and have promising applications in aerodynamic control. Classical theory for conventional, macroscale thermal shear-stress sensors states that the rate of heat removed by the flow from the sensor is proportional to the 1/3-power of the shear stress. However, we have observed that this theory is inconsistent with experimental data from MEMS sensors. This paper seeks to develop an understanding of MEMS thermal shear-stress sensors through a study including both experimental and theoretical investigations. We first obtain experimental data that confirm the inadequacy of the classical theory by wind-tunnel testing of prototype MEMS shear-stress sensors with different dimensions and materials. A theoretical analysis is performed to identify that this inadequacy is due to the lack of a thin thermal boundary layer in the fluid flow at the sensor surface, and then a two-dimensional MEMS shear-stress sensor theory is presented. This theory incorporates important heat-transfer effects that are ignored by the classical theory, and consistently explains the experimental data obtained from prototype MEMS sensors. Moreover, the prototype MEMS sensors are studied with three-dimensional simulations, yielding results that quantitatively agree with experimental data. This work demonstrates that classical assumptions made for conventional thermal devices should be carefully examined for miniature MEMS devices

Factors that influence survival in colorectal cancer with synchronous distant metastasis

AbstractBackgroundTreatments for the purposes of curing or more effectively managing metastatic colorectal cancer (CRC) are evolving. Our study focused on patients with primary CRC with synchronous distant metastasis, and we analyzed the factors influencing patient survival.MethodsData review was conducted retrospectively. Clinicopathological parameters included age, sex, site of primary cancer, tumor cell differentiation, number of liver metastasis, presence of extrahepatic metastasis, treatment of liver metastasis, pre-treatment carcinoembryonic antigen (CEA) level, status of treatment response, salvage treatment and survival.ResultsA total of 420 patients were identified and considered for our study. Of those, 275 patients (65.4%) had liver-only metastasis, 100 patients (23.8%) had concomitant lung metastasis, and 40 patients (9.5%) had other metastases. Additionally, 145 patients (34.5%) had liver-directed treatment including surgical resection (28.5%), radiofrequency ablation (RFA) (10.6%) and transcatheter arterial chemoembolization (TAE) (1.2%). There were 80 patients (19%) with CEA levels < 10, 135 patients (32.1%) with CEA 10–100, and 165 patients (39.2%) with CEA > 100. There were 200 patients (47.6%) who had received chemotherapy, 130 patients (30.9%) with target therapy, and 40 patients (9.5%) who had not undergone any salvage treatment. Three significant factors were identified, including treatment of liver metastasis (p=0.027), pre-treatment CEA (p=0.04), and salvage treatment (p=0.005).ConclusionWe demonstrated three factors influencing patient survival including treatment of liver metastasis, pre-treatment CEA level, and salvage treatment. Aggressive treatment of liver metastasis including surgical resection or RFA combined with chemotherapeutic agents appear to provide an increased rate of survival to patients