Executing large orders in a microscopic market model

In a recent paper, Alfonsi, Fruth and Schied (AFS) propose a simple order book based model for the impact of large orders on stock prices. They use this model to derive optimal strategies for the execution of large orders. We apply these strategies to an agent-based stochastic order book model that was recently proposed by Bovier, \v{C}ern\'{y} and Hryniv, but already the calibration fails. In particular, from our simulations the recovery speed of the market after a large order is clearly dependent on the order size, whereas the AFS model assumes a constant speed. For this reason, we propose a generalization of the AFS model, the GAFS model, that incorporates this dependency, and prove the optimal investment strategies. As a corollary, we find that we can derive the ``correct'' constant resilience speed for the AFS model from the GAFS model such that the optimal strategies of the AFS and the GAFS model coincide. Finally, we show that the costs of applying the optimal strategies of the GAFS model to the artificial market environment still differ significantly from the model predictions, indicating that even the improved model does not capture all of the relevant details of a real market.Comment: 32 pages, 12 figure

Mobile Medical App for Remote Screening of Appendicitis

This study aimed to identify the possibility of using the sensors found in mobile devices as tools for remotely diagnosing or assessing the risk of appendicitis. The study was performed by created a mobile application on an Android device and testing the repeatability of the palpations a physician would perform on a patient across patient groups and across mobile environments.Undergraduat

Regulation of Dpp target genes by Mad/Medea and Brinker

The TGF-β family member Decapentaplegic (Dpp) is a key regulator of patterning and growth in development of Drosophila. Binding of Dpp to its receptors triggers the activation of the intracellular Smad pathway. It has recently been shown that Dpp signalling represses genes in several tissues by direct binding of the Smad proteins Mad and Medea and the recruitment of the nuclear zinc finger protein Schnurri to small regulating sequences called Silencer Elements (SEs). A key target of this SE-mediated repression is the brinker gene. Brinker is the default repressor of the Dpp signalling pathway and its removal is a prerequisite for transcriptional activation of most of the Dpp target genes. To address the question if there is, analogous to the SE-mediated repression, also a simple, not tissue-specific mechanism to activate target genes, we analyzed the regulation of dad. The dad gene encodes the only Drosophila inhibitory Smad and is a potential direct target of Dpp signalling. We identified the minimal enhancer of dad and discovered a short motif that we called Activating Element (AE). The sequence of the AE is closely related to the one of the SE, but differs in important nucleotides. As a consequence, the AE cannot recruit the repressor Schnurri. We demonstrated that the AE integrates both repressive input by Brinker as well as activating input by Mad and Medea. After characterization of the AE and elaboration of a consensus sequence, we were able to predict and successfully identify functional AEs in enhancers of other known (and hitherto unknown) direct target genes of Dpp. This is the first description of an activating Dpp-response element that is not restricted to a distinct enhancer and marks a general mechanism by which Dpp can activate target genes

Marvel cinematic universe introductions

Petrinovich’s target article focused on how behavioral science is done, including how it is often done wrong, and how it should be done. I identify another malign influence on behavioral science, which, so far as I know, has, until now, been ignored (I would be happy to be shown that I am wrong on this). To wit, the way that Introductions to papers are written creates a niche that can be exploited for the purposes of promoting one’s work to obtain resources or status, or for self-aggrandizement. I offer a few, probably wrongheaded, suggestions for ending this practice

Escaping the Brownian stalkers

We propose a simple model for the behaviour of longterm investors on a stock market, consisting of three particles, which represent the current price of the stock and the opinion of the buyers, respectively sellers, about the right trading price. As time evolves, both groups of traders update their opinions with respect to the current price. The update speed is controled by a parameter $\gamma$, the price process is described by a geometric Brownian motion. We consider the stability of the market in terms of the distance between the buyers' and sellers' opinion, and prove that the distance process is recurrent/transient in dependence on $\gamma$.Comment: AMS-LaTeX v2.0, 21 pages with 8 eps-figures, uses psfrag.st

Executing large orders in a microscopic market model

In a recent paper, Alfonsi, Schied and Schulz (ASS) propose a simple order book based model for the impact of large orders on stock prices. They use this model to derive optimal strategies for the execution of large orders. We test this model in the context of an agent based microscopic stochastic order book model that was recently proposed by Bovier, Cern and Hryniv. While the ASS model captures some features of real markets, some assumptions in the model contradict our simulation results. In particular, from our simulations the recovery speed of the market after a large order is clearly depended on the order size, whereas the ASS model assumes the speed to be given by a constant. For this reason, we propose a generalisation of the model of ASS that incorporates this dependency, and derive the optimal investment strategies. We show that within our artificial market, correct fitting of this parameter leads to optimal hedging strategies that reduce the trading costs, compared to the ones produced by ASS. Finally, we show that the costs of applying the optimal strategies of the improved ASS model to the artificial market still differ significantly from the model predictions, indicating that even the improved model does not capture all of the relevant details of a real market

A Single Impurity in Tomonaga-Luttinger Liquids

The problem of a single impurity in one dimensional Tomonaga-Luttinger liquids with a repulsive electron-electron interaction is discussed. We find that the renormalization group flow diagram for the parameters characterizing the impurity is rather complex. Apart from the fixed points corresponding to two weakly connected semi-infinite wires, the flow diagram contains additional fixed points which control the low temperature physics when the bare potential of the impurity is not strong.Comment: To be published in the Philosophical Magazine in the Proceedings of the "MINERVA WORKSHOP on MESOSCOPICS, FRACTALS and NEURAL NETWORKS", Eilat, Israel, March 199