The Simplicity of Optimal Trading in Order Book Markets

A trader’s execution strategy has a large effect on his profits. Identifying an optimal strategy, however, is often frustrated by the complexity of market microstructures. We analyse an order book based on continuous double auction market under two different models of trader’s behaviour. In the first case actions only depend on a linear combination of the best bid and ask. In the second model, traders adopt the Markov perfect equilibrium strategies of the trading game. Both models are analytically intractable, and so optimal strategies are identified by the use of numerical techniques. Using the Markov model we show that, beyond the best quotes, additional information has little effect on either the behaviour of traders or the dynamics of the market. The remarkable similarity of the results obtained by the linear model indicates that the optimal strategy may be reasonably approximated by a linear function. We conclude that while the order book market and strategy space of traders are potentially very large and complex, optimal strategies may be relatively simple and based on a minimal information set

Dataflow/Actor-Oriented language for the design of complex signal processing systems

Signal processing algorithms become more and more complex and the algorithm architecture adaptation and design processes cannot any longer rely only on the intuition of the designers to build efficient systems. Specific tools and methods are needed to cope with the increasing complexity of both algorithms and platforms. This paper presents a new framework which allows the specification, design, simulation and implementation of a system operating at a higher level of abstraction compared to current approaches. The framework is base on the usage of a new actor/dataflow oriented language called CAL. Such language has been specifically designed for modelling complex signal processing systems. CAL data flow models expose the intrinsic concurrency of the algorithms by employing the notions of actor programming and dataflow. Concurrency and parallelism are very important aspects of embedded system design as we enter in the multicore era. The design framework is composed by a simulation platform and by Cal2C and CAL2HDL code generators. This paper described in details the principles on which such code generators are based and shows how efficient software (C) and hardware (VHDL and Verilog) code can be generated by appropriate CAL models. Results on a real design case, a MPEG-4 Simple Profile decoder, show that systems obtained with the hardware code generator outperform the hand written VHDL version both in terms of performance and resource usage. Concerning the C code generator results, the results show that the synthesized C-software mapped on a SystemC scheduler platform, is much faster than the simulated CAL dataflow program and approaches handwritten C versions

Linking mental and primary health care in rural areas

Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/44091/1/10488_2005_Article_BF02254827.pd