scholarly journals Optimal Liquidity-Based Trading Tactics

2021 ◽  
Author(s):  
Charles-Albert Lehalle ◽  
Othmane Mounjid ◽  
Mathieu Rosenbaum
Keyword(s):  
Control Problem ◽  
Utility Function ◽  
Expected Utility ◽  
Optimal Strategy ◽  
Price Impact ◽  
Time Interval ◽  
Order Book ◽  
Short Time Interval ◽  
Limit Orders ◽  
Short Time

We consider an agent who needs to buy (or sell) a relatively small amount of assets over some fixed short time interval. We work at the highest frequency meaning that we wish to find the optimal tactic to execute our quantity using limit orders, market orders, and cancellations. To solve the agent’s control problem, we build an order book model and optimize an expected utility function based on our price impact. We derive the equations satisfied by the optimal strategy and solve them numerically. Moreover, we show that our optimal tactic enables us to outperform significantly naive execution strategies.

Estimation of Time-Dependent Turning Fractions at Signalized Intersections

1998 ◽  
Vol 1644 (1) ◽  
pp. 142-149 ◽  
Author(s):  
Gang-Len Chang ◽  
Xianding Tao
Keyword(s):  
Signalized Intersections ◽  
Efficient Estimation ◽  
Estimation Accuracy ◽  
Time Interval ◽  
Short Time Interval ◽  
Simulation Experiments ◽  
Proposed Model ◽  
Short Time ◽  
Estimation Of Time ◽  
Additional Constraints

An effective method for estimating time-varying turning fractions at signalized intersections is described. With the inclusion of approximate intersection delay, the proposed model can account for the impacts of signal setting on the dynamic distribution of intersection flows. To improve the estimation accuracy, the use of preestimated turning fractions from a relatively longer time interval has been proposed to serve as additional constraints for the same estimation but over a short time interval. The results of extensive simulation experiments indicated that the proposed method can yield sufficiently accurate as well as efficient estimation of dynamic turning fractions for signalized intersections.

Micro-Expression Recognition using 3D - CNN

2020 ◽  
pp. 5-13
Author(s):  
Vishal Dubey ◽  
◽  
◽  
◽  
Bhavya Takkar ◽  
...  
Keyword(s):  
Emotional Response ◽  
High Speed ◽  
Actual State ◽  
Time Interval ◽  
Short Time Interval ◽  
Expression Recognition ◽  
Specific Emotion ◽  
3D Cnn ◽  
Short Time ◽  
Micro Expression

Micro-expression comes under nonverbal communication, and for a matter of fact, it appears for minute fractions of a second. One cannot control micro-expression as it tells about our actual state emotionally, even if we try to hide or conceal our genuine emotions. As we know that micro-expressions are very rapid due to which it becomes challenging for any human being to detect it with bare eyes. This subtle-expression is spontaneous, and involuntary gives the emotional response. It happens when a person wants to conceal the specific emotion, but the brain is reacting appropriately to what that person is feeling then. Due to which the person displays their true feelings very briefly and later tries to make a false emotional response. Human emotions tend to last about 0.5 - 4.0 seconds, whereas micro-expression can last less than 1/2 of a second. On comparing micro-expression with regular facial expressions, it is found that for micro-expression, it is complicated to hide responses of a particular situation. Micro-expressions cannot be controlled because of the short time interval, but with a high-speed camera, we can capture one's expressions and replay them at a slow speed. Over the last ten years, researchers from all over the globe are researching automatic micro-expression recognition in the fields of computer science, security, psychology, and many more. The objective of this paper is to provide insight regarding micro-expression analysis using 3D CNN. A lot of datasets of micro-expression have been released in the last decade, we have performed this experiment on SMIC micro-expression dataset and compared the results after applying two different activation functions.

scholarly journals Inter-rater and inter-device reliability of mechanical thresholds measurement with the Electronic von Frey Anaesthesiometer and the SMALGO in healthy cats

2018 ◽  
Vol 21 (10) ◽  
pp. 979-984 ◽  
Author(s):  
Chiara Adami ◽  
Elena Lardone ◽  
Paolo Monticelli
Keyword(s):  
Small Animal ◽  
Time Interval ◽  
Short Time Interval ◽  
Sensory Thresholds ◽  
Additional Tool ◽  
Bland Altman Method ◽  
Device Reliability ◽  
Short Time ◽  
Mechanical Thresholds ◽  
Level Of Agreement

Objectives The aim of this study was to compare the Electronic von Frey Anaesthesiometer (EVF) and the Small Animal ALGOmeter (SMALGO), used to measure sensory thresholds in 13 healthy cats at both the stifle and the lumbosacral joint, in terms of inter-rater and inter-device reliability. Methods Two independent observers carried out the sets of measurements in a randomised order, with a 45 min interval between them, in each cat. The inter-rater and inter-device reliability were evaluated by calculating the inter-rater correlation coefficient (ICC) for each pair of measurements. The Bland–Altman method was used as an additional tool to assess the level of agreement between the two algometers. Results The mean ± SD sensory thresholds measured with the EVF were 311 ± 116 g and 378 ± 178 g for the stifle and for the lumbosacral junction, respectively, whereas those measured with the SMALGO were 391 ±172 g and 476 ± 172 g. The inter-rater reliability was fair (ICC >0.4) for each pair of measurements except those taken at the level of the stifle with the SMALGO, for which the level of agreement between observers A and B was poor (ICC = 0.01). The inter-device reliability was good (ICC = 0.73; P = 0.001). The repetition of the measurements affected reliability, as the thresholds obtained after the 45 min break were consistently lower than those measured during the first part of the trial ( P = 0.02). Conclusions and relevance The EVF and the SMALGO may be used interchangeably in cats, especially when the area to be tested is the lumbosacral joint. However, when the thresholds are measured at the stifle, the inter-observer reliability is better with the EVF than with the SMALGO. The reliability decreases when the measurements are repeated within a short time interval, suggesting a limited clinical applicability of quantitative sensory testing with both algometers in cats.

Approximate exit probabilities for a Brownian bridge on a short time interval, and applications

1989 ◽  
Vol 21 (1) ◽  
pp. 1-19 ◽  
Author(s):  
H. R. Lerche ◽  
D. Siegmund
Keyword(s):  
Virial Coefficient ◽  
Large Deviation ◽  
Brownian Bridge ◽  
Exit Time ◽  
Second Virial Coefficient ◽  
Dimensional Euclidean Space ◽  
Time Interval ◽  
Short Time Interval ◽  
First Exit Time ◽  
Short Time

Let T be the first exit time of Brownian motion W(t) from a region ℛ in d-dimensional Euclidean space having a smooth boundary. Given points ξ0 and ξ1 in ℛ, ordinary and large-deviation approximations are given for Pr{T < ε |W(0) = ξ0, W(ε) = ξ 1} as ε → 0. Applications are given to hearing the shape of a drum and approximating the second virial coefficient.

The physicochemical properties of five vegetable oils exposed at high temperature for a short-time-interval

2021 ◽  
pp. 104305
Author(s):  
Laura Mitrea ◽  
Bernadette-Emoke Teleky ◽  
Loredana-Florina Leopold ◽  
Silvia-Amalia Nemes ◽  
Diana Plamada ◽  
...  
Keyword(s):  
High Temperature ◽  
Physicochemical Properties ◽  
Vegetable Oils ◽  
Time Interval ◽  
Short Time Interval ◽  
Short Time

Active Optimum Control of Orthotropic Plates Using Piezoelectric Stiffeners

1993 ◽  
Author(s):  
Victor Birman ◽  
Sarp Adali
Keyword(s):  
Time Interval ◽  
Short Time Interval ◽  
Bending Moments ◽  
Optimum Control ◽  
Orthotropic Plates ◽  
Time Intervals ◽  
Control Forces ◽  
Short Time ◽  
Alternating Voltage ◽  
Over Time

Abstract Active control of orthotropic plates subjected to an impulse loading is considered. The dynamic response is minimized using in-plane forces or bending moments induced by piezoelectric stiffeners bonded to the opposite surfaces of the plate and placed symmetrically with respect to the middle plane. The control forces and moments are activated by a piece-wise constant alternating voltage with varying switch-over time intervals. The magnitude of voltage is bounded while the switch-over time intervals are constantly adjusted to achieve an optimum control. Numerical examples presented in the paper demonstrate the effectiveness of the method and the possibility of reducing the vibrations to very small amplitudes within a short time interval which is in the order of a second.

scholarly journals Evidence of Predation on Early Pleistocene Freshwater Ostracods (Umbria, Central Italy)

Geosciences ◽  
2020 ◽  
Vol 10 (10) ◽  
pp. 416
Author(s):  
Angela Baldanza ◽  
Roberto Bizzarri ◽  
Francesco Posati ◽  
Manuel Ravoni
Keyword(s):  
Central Italy ◽  
Early Pleistocene ◽  
Time Interval ◽  
Short Time Interval ◽  
Silty Clay ◽  
Plant Remains ◽  
Confined Environment ◽  
Short Time ◽  
Lake Deposits ◽  
Freshwater Ostracods

Although drillholes in modern and ancient ostracods are known, the record is relatively scarce when compared to other taxa, and mainly exist with reference to the marine environment. Moreover, less is known about perforated ostracods, and more generally, about bioerosion in freshwater environments. Traces of predation on freshwater ostracods are reported for the first time in deep-lake deposits belonging to the early Pleistocene Fosso Bianco Unit, and outcropping in the Cava Nuova section (Umbria, central Italy). Deposits are mainly clay to silty clay and sand; the fossil record is sparse, and is mainly comprised of very rare gastropods and bivalves, ostracods and plant remains (leaves, seeds and wood’s fragments). The association of ostracods consists of Candona (Neglecandona) neglecta, Caspiocypris basilicii, Caspiocypris tiberina, Caspiocypris perusia, Caspiocypris tuderis, Caspiocypris posteroacuta, and Cyprideis torosa. The Caspiocypris group, considered to be endemic to the grey clays of the Fosso Bianco Unit, present the majority of specimens affected by predation, with a prevalence of predated female valves and a comparable number of right and left predated valves, while only a few of Candona(N.) neglecta (adult and juvenile) valves are perforated. Traces of predation for nourishment, represented by microborings of different types, were abscribed to the ichnospecies Oichnus paraboloides Bromley 1981, Oichnus simplex Bromley 1981, Oichnus gradatus Nielsen and Nielsen 2001, Oichnus ovalis Bromley 1993, and Dipatulichnus rotundus Nielsen and Nielsen 2001. Microboring affected both adult and juvenile specimens, evidencing prey–predator coexistence in the same environment over a long period of time. This report makes a fundamental contribution to the knowledge of predation in this peculiar confined environment, also suggesting prey–predator relations over a relatively short time interval (80–160 ka).

Alveolar vessel behavior in the zone 2 lung inferred from indicator-dilution data

1987 ◽  
Vol 63 (2) ◽  
pp. 778-784 ◽  
Author(s):  
D. A. Rickaby ◽  
C. A. Dawson ◽  
J. H. Linehan ◽  
T. A. Bronikowski
Keyword(s):  
Venous Pressure ◽  
Pulmonary Arteries ◽  
Serotonin Uptake ◽  
Time Interval ◽  
Short Time Interval ◽  
Small Individual ◽  
Uptake Sites ◽  
Extravascular Volume ◽  
Short Time ◽  
Lung Lobes

To gain insight into the changes occurring in alveolar vessels when alveolar pressure exceeds venous pressure at the downstream end of the alveolar vessels (zone 2), we compared the uptake of serotonin and the extravascular volume accessible to 3HOH (Qev) under zone 2 and 3 conditions in isolated dog lung lobes. We also examined the influence of occluding some of the small pulmonary arteries with 58- to 548-micron-diam beads on the serotonin uptake and Qev. We found that, with the bead embolization, both the serotonin uptake and the Qev were reduced, whereas the change from zone 3 to 2 reduced serotonin uptake but did not change Qev. A plausible explanation for these observations is that the beads occluded vessels that were relatively large compared with those in which significant transvascular 3HOH exchange and serotonin uptake take place. Perfusion ceased in the collection of capillaries normally served by the obstructed arteries. Thus the extravascular water and the serotonin uptake sites downstream from the obstructions were not accessible to the indicators during the short time interval of the indicator passage through the lung. On the other hand, the change from zone 3 to zone 2 resulted in the collapse of small individual capillary segments within the alveolar vessel bed. Since the serotonin does not readily diffuse from the vessels through the tissue, it could not reach the endothelial cells of the collapsed capillaries. However, since the distances for diffusion between collapsed capillaries and neighboring perfused capillaries were small, the more highly diffusible 3HOH had access to the same Qev under both zone 2 and 3 conditions.(ABSTRACT TRUNCATED AT 250 WORDS)

scholarly journals Adhesion Ileus after Fecal Microbiota Transplantation in Long-Standing Radiation Colitis

2019 ◽  
Vol 2019 ◽  
pp. 1-4 ◽  
Author(s):  
Igor Alexander Harsch ◽  
Peter Christopher Konturek
Keyword(s):  
Fecal Microbiota Transplantation ◽  
Fecal Microbiota ◽  
Time Interval ◽  
Short Time Interval ◽  
Chronic Radiation ◽  
Intestinal Dysbiosis ◽  
Radiation Colitis ◽  
Digestive Disorders ◽  
Novel Strategy ◽  
Short Time

Fecal microbiota transplantation (FMT) is a novel strategy for the therapy of dysbiosis-associated disorders via modulation of the gut microbiota. Intestinal dysbiosis is associated not only with digestive disorders, but also with a variety of extra-digestive disorders. A worldwide increasing number of FMT can be expected in the future as well as an increase in adverse events. We describe the case of a patient with chronic radiation colitis that developed adhesion ileus 2 days after FMT. Since these problems never occured before and the short time interval favours a causality, we speculate about FMT-induced alterations in gut motility causing a “trapping” of the small intestine in an adhesion and other mechanisms beyond “pure” coincidence.

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