Statistical modeling and simulation of limit order markets

This thesis focuses on the statistical modeling of order flow in limit order markets and the development data-driven approaches for the simulation of limit order book dynamics. In the first part, after introducing various mathematical representations of limit order books (LOB) reflecting different degrees of granularity and information, we investigate the heterogeneity of order flow submitted through brokers using proprietary execution data and unsupervised learning techniques. This results in a statistical description of client order flow as a superposition of four components representing four heterogeneous types of agents – Quantitative, Day VWAP, Signal and Res – which differ through their trade frequency, intraday activity patterns and order sizes. The second part of the thesis develops data-driven simulation methods for limit order book dynamics. We first present a generative model for transitions of limit order book snapshots using generative adversarial networks (GANs). The model allows efficient simulation of snapshot time series reproducing desired properties and furthermore automatically reflects market impact when interacting with the order book state. Lastly, we propose a hierarchical approach to improve existing LOB simulation methods. In particular, we present a probabilistic model to generate calibrations of order flow models. This preserves theoretical properties of the underlying base model and allows to incorporate realistic features of intraday dynamics such as U-shaped intraday seasonality and trends, volatility dependency and market disruptions into LOB simulations

Steigerung der Effizienz des mathematisch-naturwissenschaftlichen Unterrichts - Ein unterrichtsbezogenes Qualitätsentwicklungsprogramm

Mit den Ergebnissen der TIMSS-Studie wurden Leistungsprobleme deutscher Schülerinnen und Schüler im mathematisch-naturwissenschaftlichen Bereich deutlich. Als viel versprechende Reaktion wurde das Modellversuchsprogramm "Steigerung der Effizienz des mathematisch-naturwissenschaftlichen Unterrichts" eingerichtet. Das Programm zielt darauf ab, den Unterricht zu verbessern und weiter zu entwickeln. Die Grundlage dafür bilden elf aufeinander abgestimmte Module, die sich auf typische Problemzonen des mathematisch-naturwissenschaftlichen Unterrichts beziehen. Ein weiteres Ziel des Programms besteht darin, Verfahren der Qualitätssicherung in den Fachgruppen und an den in Netzwerken kooperierenden Schulen zu etablieren. Der vorliegende Beitrag beschreibt Hintergrund, Grundkonzeption und Arbeitsschwerpunkte des Programms und geht auf Strukturen und Maßnahmen zur Unterstützung der Lehrpersonen ein. Daneben werden bisher erreichte Ergebnisse dargelegt und abschließend Funktionen der Lehrerbildungsinstitutionen im Prozess der Weiterentwicklung aufgezeigt. Die zentrale Rolle der Lehrerbildung für die Verbreitung und Nachhaltigkeit des Programms wird unterstrichen

Lehrerbildung an der TUM School of Education

An der Technischen Universität München fand im Oktober 2009 die Inauguration der TUM School of Education, einer neuen Fakultät für Lehrerbildung und Bildungsforschung, statt. [...] Organisatorisch trägt die TUM School of Education die Verantwortung für die Lehrerbildung an der Technischen Universität München. Wie Strukturen und Aufgaben der School of Education gefasst sind, wird im zweiten Abschnitt dieses Beitrags ausgeführt, bevor dann im dritten Teil wesentliche Elemente des Lehrerbildungsprogramms vorgestellt werden. Der Beitrag beginnt mit einer Skizze von Zielvorstellungen für eine zukunftsorientierte und verantwortungsbewusste Lehrerbildung, die aktuelle Herausforderungen aufgreift. (DIPF/Orig.

Improving science and mathematics instruction - the SINUS-project as an example for reform as teacher professional development

This article presents an example of teacher professional development based on a perspective of situated learning and implemented on a large scale. We consider teacher professional development from three perspectives. First, teacher professional development is a key factor in improving classroom instruction. Second, teacher professional development is a vehicle for conveying knowledge from research into classrooms. Third, teacher professional development is an object of research itself. A German project to improve science and mathematics teaching (SINUS) – comprising 180 schools in a pilot-phase and more than 1,700 schools in a second phase of scaling-up – serves as an example of this framework for teacher professional development. Using these three views we describe the foundations of the programme and provide a brief account of the programme’s background and its conception. We show how the central elements of the programme (11 modules) are based on an in-depth analysis of science and mathematics education, as well as how those modules structure the professional development of the teachers. Finally, we provide an overview of the evaluation of the programme. A large-scale comparison between SINUS schools and a representative sample of German schools tested in PISA 2003 showed positive effects of the programme with regard to students' interest and motivation as well as competencies in science and mathematics. In the light of these findings, we argue that teachers’ learning related to daily pedagogical challenges in the classroom should be central to professional development initiatives

Photophysics of phycoerythrocyanins from the cyanobacterium Westiellopsis prolifica studied by time-resolved fluorescence and coherent anti-Stokes Raman scattering spectroscopy

Three building blocks of the antenna complexes of the cyanobacterium Westiellopsis prolifica were studied: PEC(X), which is similar to the α-subunit of phycoerythrocyanin (PEC), trimers of PEC and monomers derived from these by deaggregation with KSCN. The fit of the fluorescence decay curve of PEC(X) requires at least four exponentials, although it supposedly contains only one chromophore. The coherent anti-Stokes Raman scattering (CARS) spectra indicate that the heterogeneity observed is due to geometrical isomers, which are in part generated by photoinduced processes. A similar heterogeneity in chromophore structure and properties is also found in the monomers, where four exponentials are needed to fit the fluorescence decay curve. As in trimers, there is a long-lived, low-amplitude component, which can be assigned to impurities and/or oxidation products. The energy transfer time between the two phyocyanobilin chromophores in the β-subunit is about 500 ps; the lifetime of the fluorescing β-chromophore is 1.5 ns. The phycoviolobilin chromophore in the α-subunit adopts different geometries characterized by fluorescence lifetimes of about 240 and 800 ps. No evidence was found for energy transfer between the α-chromophore and the β-chromophores. This energy transfer occurs in trimers on a time scale of less than 20 ps; the energy transfer time between the two different types of β-chromophore is about 250 ps and the lifetime of the terminal emitter is about 1.5 ns. The excited state kinetics are therefore similar to those of PEC trimers from Mastigocladus laminosus, as are the CARS spectra, indicating a similar chromophore—protein arrangement. In comparison with phycocyanin, the ordering of the excited states of chromophores β84 and β155 may be changed. Although PEC trimers of Westiellopsis prolifica show almost as good a photostability as trimers of Mastigocladus laminosus, monomers are so photolabile that no CARS spectra could be recorded

Entwicklung von Testverfahren für die Bildungsstandards Mathematik. Rahmenkonzeption, Aufgabenentwicklung, Feld- und Haupttest

Thema des Beitrags ist die Entwicklung und Überprüfung von Testverfahren, um das Erreichen von Bildungsstandards in Mathematik überprüfen zu können. Um die schulische Bildung in Deutschland zu verbessern, hat die Ständige Konferenz der Kultusminister der Länder der Bundesrepublik (KMK) beschlossen, Bildungsstandards in Deutschland einzuführen. Ausgehend von einer theoretischen Rahmenkonzeption für Bildungsstandards werden die wichtigsten Schritte in dem Verlauf hin zu empirisch messbaren Kompetenzen beschrieben. Die Rahmenkonzeption der Bildungsstandards in Mathematik unterscheidet dabei verschiedene Dimensionen: mathematische Leitideen, mathematische Kompetenzen und gestufte Anforderungsbereiche. Sie dient als theoretischer Konstruktionsrahmen für die Entwicklung von Testaufgaben für die Bildungsstandards. Konzipiert, entwickelt und pilotiert wurden die Aufgaben in vier Regionalgruppen unter der Aufsicht einer Steuerungs- und einer Bewertungsgruppe. Die Arbeit in diesen Fachgruppen wurde erfolgreich abgeschlossen. Dieser Prozess kann daher auch als paradigmatische Vorlage für die Umsetzung von Bildungsstandards in anderen Fächern (etwa Naturwissenschaften, Deutsch oder Fremdsprachen) dienen. Ferner werden das Testdesign des Feldtests für die Bildungsstandards sowie die empirischen Kennwerte dargestellt, nach denen die Aufgaben für den Haupttest ausgewählt werden. Der Beitrag schließt mit einer kurzen Bewertung des Aufgabenentwicklungsprozesses und gibt einen Ausblick auf ausstehende Arbeitsschritte zur Implementation der Bildungsstandards. (DIPF/Orig.)The introduction of education standards in Germany was a resolution of the conference of ministers of education of the federal states (Ständigen Konferenz der Kultusminister der Länder der Bundesrepublik, KMK) in order to improve school education in Germany. The aim of this paper is to describe the most important steps in the process of how - based on a theoretical framework for education standards - to gain competencies that can be measured empirically. The framework of education standards in mathematics distinguishes between different dimensions: overarching ideas, mathematical competencies and task areas at different levels. It served as a theoretical framework for the development of tasks for education standards. The tasks for education standards were conceived, developed and pretested in four regional groups under the supervision of an evaluation team. The work in these groups was successfully completed. Thus, this process can also serve as a paradigmatic template for the implementation of education standards in other subjects (science, German, or foreign languages, for instance). This paper also describes the test design of the field trial for education standards, as well as the empirical values according to which the tasks for the main study were selected. The paper ends with a short evaluation of the task development process and suggests the future work that is necessary for the implementation of education standards. (DIPF/Orig.

A Comparison of Phycocyanins from Three Different Species of Cyanobacteria Employing Resonance-Enhanced Coherent Anti-Stokes Raman Spectroscopy

Resonance-enhanced coherent anti-Stokes Raman spectra are recorded for monomers and trimers of phycocyanin from three different cyanobacteria: Westiellopsis prolifica, Mastigocladus laminosus and Spirulina platensis. It is shown that upon aggregation from monomer to trimer the electronic structures of both the α84 and β84 chromophores are changed. The spectra of the trimers originating from S. platensis and M. laminosus are very similar to each other, but distinctly different from the spectrum of W. prolifica