Tackling the Problem of State Dependent Execution Probability: Empirical Evidence and Order Placement

Order placement tactics play a crucial role in high-frequency trading algorithms and their design is based on understanding the dynamics of the order book. Using high quality high-frequency data and survival analysis, we exhibit strong state dependence properties of the fill probability function. We define a set of microstructure features and train a multi-layer perceptron to infer the fill probability function. A weighting method is applied to the loss function such that the model learns from censored data. By comparing numerical results obtained on both digital asset centralized exchanges (CEXs) and stock markets, we are able to analyze dissimilarities between the fill probability of small tick crypto pairs and large tick assets -- large, relative to cryptos. The practical use of this model is illustrated with a fixed time horizon execution problem in which both the decision to post a limit order or to immediately execute and the optimal distance of placement are characterized. We discuss the importance of accurately estimating the clean-up cost that occurs in the case of a non-execution and we show it can be well approximated by a smooth function of market features. We finally assess the performance of our model with a backtesting approach that avoids the insertion of hypothetical orders and makes possible to test the order placement algorithm with orders that realistically impact the price formation process.Comment: 22 page

Growth Route Toward III-V Multispectral Solar Cells on Silicon

To date, high efficiency multijunction solar cells have been developed on Ge or GaAs substrates for space applications, and terrestrial applications are hampered by high fabrication costs. In order to reduce this cost, we propose a breakthrough technique of III-V compound heteroepitaxy on Si substrates without generation of defects critical to PV applications. With this technique we expect to achieve perfect integration of heterogeneous Ga1-xInxAs micro-crystals on Si substrates. In this paper, we show that this is the case for x=0. GaAs crystals were grown by Epitaxial Lateral Overgrowth on Si (100) wafers covered with a thin SiO2 nanostructured layer. The cristallographic structure of these crystals is analysed by MEB and TEM imaging. Micro-Raman and Micro-Photomuminescence spectra of GaAs crystals grown with different conditions are compared with those of a reference GaAs wafer in order to have more insight on eventual local strains and their cristallinity. This work aims at developping building blocks to further develop a GaAs/Si tandem demonstrator with a potential conversion efficiency of 29.6% under AM1.5G spectrum without concentration, as inferred from our realistic modeling. This paper shows that Epitaxial Lateral Overgrowth has a very interesting potential to develop multijunction solar cells on silicon approaching the today 30.3% world record of a GaInP/GaAs tandem cell under the same illumination conditions, but on a costlier substrate than silicon.Comment: Preprint of the 28th EUPVSEC proceedings, September 2013, Paris, France. (5 pages

Coating process of honeycomb cordierite support with Ni/boehmite gels

This study presents the development of a method for the washcoating of Ni/boehmite gels, prepared by sol-gel process, onto the surface of a commercial ceramic monolith. Indeed, cordierite monolith in honeycomb shape was used as substrate for Ni/Al2O3 deposition. An experimental assembly was made in order to apply the coating on the cordierite surface. Different suspensions were used with various viscosities and multiple coating parameters were tested as the withdrawal speed, or the number of impregnations. It was observed that the simple deposition of the Ni/boehmite gel led to the formation of coating. Different morphologies were observed, and defects were highlights as cracks, coating-free areas or aggregates. Among the various studied parameters, the pH of the sol appeared to play a role even more important than the viscosity. Indeed, the sol acidified with nitric acid showed a coating which was almost free of cracks or of large aggregates. Moreover, the use of a mix of a slurry of calcined alumina particles and of colloidal boehmite appeared also as an interesting path. The beneficial influence of a slurry was attributed to a better resistance of the coating against the stresses induced during drying, and a deviation of the cracks in the gels by slurry grains

Testing the vagal withdrawal hypothesis during light exercise under autonomic blockade: a heart rate variability study

Introduction. We performed the first analysis of heart rate variability (HRV) at rest and exercise under full autonomic blockade on the same subjects, to test the conjecture that vagal tone withdrawal occurs at exercise onset. We hypothesized that, between rest and exercise: i) no differences in total power (PTOT) under parasympathetic blockade; ii) a PTOT fall under β1-sympathetic blockade; iii) no differences in PTOT under blockade of both ANS branches. Methods. 7 males (24±3 years) performed 5-min cycling (80W) supine, preceded by 5-min rest during control and with administration of atropine, metoprolol and atropine+metoprolol (double blockade). Heart rate and arterial blood pressure were continuously recorded. HRV and blood pressure variability were determined by power spectral analysis, and baroreflex sensitivity (BRS) by the sequence method. Results. At rest, PTOT and the powers of low (LF) and high (HF) frequency components of HRV were dramatically decreased in atropine and double blockade compared to control and metoprolol, with no effects on LF/HF ratio and on the normalised LF (LFnu) and HF (HFnu). At exercise, patterns were the same as at rest. Comparing exercise to rest, PTOT varied as hypothesized. For SAP and DAP, resting PTOT was the same in all conditions. At exercise, in all conditions, PTOT was lower than in control. BRS decreased under atropine and double blockade at rest, under control and metoprolol during exercise. Conclusions. The results support the hypothesis that vagal suppression determined disappearance of HRV during exercise

Wringing out DNA

The chiral nature of DNA plays a crucial role in cellular processes. Here we use magnetic tweezers to explore one of the signatures of this chirality, the coupling between stretch and twist deformations. We show that the extension of a stretched DNA molecule increases linearly by 0.42 nm per excess turn applied to the double helix. This result contradicts the intuition that DNA should lengthen as it is unwound and get shorter with overwinding. We then present numerical results of energy minimizations of torsionally restrained DNA that display a behaviour similar to the experimental data and shed light on the molecular details of this surprising effect.Comment: 4 pages revtex4, 4 figure

Endoscopic mucosal resection with anchoring of the snare tip: multicenter retrospective evaluation of effectiveness and safety

International audienc

DNA mechanics as a tool to probe helicase and translocase activity

Helicases and translocases are proteins that use the energy derived from ATP hydrolysis to move along or pump nucleic acid substrates. Single molecule manipulation has proved to be a powerful tool to investigate the mechanochemistry of these motors. Here we first describe the basic mechanical properties of DNA unraveled by single molecule manipulation techniques. Then we demonstrate how the knowledge of these properties has been used to design single molecule assays to address the enzymatic mechanisms of different translocases. We report on four single molecule manipulation systems addressing the mechanism of different helicases using specifically designed DNA substrates: UvrD enzyme activity detection on a stretched nicked DNA molecule, HCV NS3 helicase unwinding of a RNA hairpin under tension, the observation of RecBCD helicase/nuclease forward and backward motion, and T7 gp4 helicase mediated opening of a synthetic DNA replication fork. We then discuss experiments on two dsDNA translocases: the RuvAB motor studied on its natural substrate, the Holliday junction, and the chromosome-segregation motor FtsK, showing its unusual coupling to DNA supercoiling

Author Correction: A ferroptosis-based panel of prognostic biomarkers for Amyotrophic Lateral Sclerosis.

An amendment to this paper has been published and can be accessed via a link at the top of the paper