scholarly journals Entropy Variations of Multi-Scale Returns of Optimal and Noise Traders Engaged in “Bucket Shop Trading”

Mathematics ◽  
2022 ◽  
Vol 10 (2) ◽  
pp. 215
Author(s):  
Alejandro Raúl Hernández-Montoya ◽  
Carlos Manuel Rodríguez-Martínez ◽  
Manuel Enríque Rodríguez-Achach ◽  
David Hernández-Enríquez

In this paper a comparative, coarse grained, entropy data analysis of multi-scale log-returns distribution, produced by an ideal “optimal trader” and one thousand “noise traders” performing “bucket shop” trading, by following four different financial daily indices, is presented. A sole optimal trader is assigned to each one of these four analyzed markets, DJIA, IPC, Nikkei and DAX. Distribution of differential entropies of the corresponding multi-scale log-returns of the optimal and noise traders are calculated. Kullback-Leiber distances between the different optimal traders returns distributions are also calculated and results discussed. We show that the entropy of returns distribution of optimal traders for each analyzed market indeed reaches minimum values with respect to entropy distribution of noise traders and we measure this distance in σ units for each analyzed market. We also include a discussion on stationarity of the introduced multi-scale log-returns observable. Finally, a practical application of the obtained results related with ranking markets by their entropy measure as calculated here is presented.

2020 ◽  
Author(s):  
Rendong Li ◽  
Qingzhao Tao ◽  
Yongjian Luo ◽  
Lina Yan

2018 ◽  
Vol 498 (2) ◽  
pp. 296-304 ◽  
Author(s):  
Fabio Sterpone ◽  
Sébastien Doutreligne ◽  
Thanh Thuy Tran ◽  
Simone Melchionna ◽  
Marc Baaden ◽  
...  

2012 ◽  
Vol 253-255 ◽  
pp. 1273-1277
Author(s):  
Xue Dong Du ◽  
Na Ren

The research of high-speed railway running economic benefit is important to timely know well the train operation state for the railway administration. A prediction model of high-speed railway running economic benefit is proposed in this article based on Gray model. The Gray model is a good example to make accurate prediction of the development of matters. According to the data analysis of Beijing and Shanghai railway stations, we can know that the result of prediction model is accurate, so the prediction based on Gray model is scientific and reasonable in the practical application.


2021 ◽  
Author(s):  
Miquel Poyatos-Moré ◽  
Ernesto Schwarz ◽  
Salvador Boya ◽  
Luz Elena Gomis-Cartesio ◽  
Ivar Midtkandal

<p>Thick shallow-marine successions associated with long-term transgressions are less well known than their thin, well-sorted counterparts, widely studied due to their potential to form good reservoirs. In these successions, particularly in storm-dominated examples, bioturbation can obliterate primary sedimentary characteristics, making stacking patterns and sequences difficult to define, and challenging our understanding of the main controls in their resulting depositional architecture. This study presents an example from the Jurassic of the Neuquén Basin (Argentina), with the aim to: a) refine the depositional model of a thick, shallow-marine succession associated with a long-term, early post-rift transgression, b) constrain multi-scale controls on stratigraphic architecture and lateral facies variability, and c) discuss their preservation and response to post-depositional processes. To do this, a <300 m-thick succession has been studied along a >10 km continuous exposure, with mapping, sedimentary logging and correlation of stratigraphic units, integrated with subsurface, biostratigraphic and ichnological data. The succession shows an overall retrogradational-aggradational-retrogradational stacking pattern, with several higher frequency regressive units (parasequences and parasequence sets, PSS). The lower part (PSS I) comprises laterally-discontinuous (10's of m) mouth-bars and distributary channel fills, dominated by several m-thick coarsening- and fining-up sandstone packages and m-scale erosive conglomeratic lenses. Above these, the succession (PSS II-IV) is composed by laterally-continuous (>100's of m) storm-dominated lower-shoreface to upper-offshore deposits, dominated by <1m-thick fine-grained and highly bioturbated tabular muddy sandstones and sandy mudstones, with rarely-preserved HCS and bioclastic-rich limestones; their internal characteristics and bed boundaries are diffuse due to pervasive bioturbation, suggesting overall low sedimentation rates and recurrent periods of colonization. The coarse-grained nature and lithology of the mouth bars and channel fills in the lower succession (PSS I) are consistent with a proximal sediment source, associated with erosion of intra-basinal highs. Its variable thickness, lateral distribution and onlap against underlying syn-rift deposits demonstrates partial infill of localized higher-accommodation areas. The well-sorted and finer-grained nature of the shoreface-offshore strata the middle and upper succession (PSS II-IV) indicates a more mature, distal source, with sediment redistributed by longshore currents, and then intensely bioturbated. These deposits display well-defined parasequences internally composed of laterally-continuous bedsets (<5 m-thick). They extend along the entire study area, but show a significant vertical thickness variability. The integration of outcrop and subsurface data mapping (well and seismic) reveals this variability records the stratigraphic response of transgression over a complex, regional-scale ramp-step and underfilled rift topography, which controlled the location of main thickness and facies changes, and promoted areas of favored biogenic reworking. This study offers new insights in how to interpret thick transgressive successions based on primary depositional mechanisms and postdepositional processes, and provides useful tools to understand and predict the nature and potential preservation of these deposits in limited subsurface datasets.</p>


2009 ◽  
Vol 01 (03) ◽  
pp. 405-420 ◽  
Author(s):  
NI SHENG ◽  
SHAOFAN LI

In this paper, we introduce a multi-scale nonequilibrium molecular dynamics (MS-NEMD) model that is capable of simulating nano-scale thermal–mechanical interactions. Recent simulation results using the MS-NEMD model are presented. The MS-NEMD simulation generalises the nonequilibrium molecular dynamics (NEMD) simulation to the setting of concurrent multi-scale simulation. This multi-scale framework is based on a novel concept of multi-scale canonical ensemble. Under this concept, each coarse scale finite element (FE) node acts as a thermostat, while the atoms associated with each node are assumed to be in a local equilibrium state within one coarse scale time step. The coarse scale mean field is solved by the FE method based on a coarse-grained thermodynamics model; whereas in the fine scale the NEMD simulation is driven by the random force that is regulated by the inhomogeneous continuum filed through a distributed Nośe–Hoover thermostat network. It is shown that the fine scale distribution function is canonical in the sense that it obeys a drifted local Boltzmann distribution.


Author(s):  
Rudranarayan M. Mukherjee ◽  
Kurt S. Anderson

This is the first paper in a series of two papers on using multibody dynamics algorithms and methods for coarse-grained molecular dynamics simulations. This paper presents the underlying framework for multi-scale modelling of biomolecules and polymers. In this framework, the system to be simulated is sub-structured into a hierarchy of multi-resolution models that are simulated using efficient multibody dynamics algorithms. The algorithms work in a unified framework, enabling efficient multi-scale (or multi-resolution) simulations. A discussion of the hierarchy of models with different resolutions along with the salient features of the appropriate multibody dynamics algorithms used for simulating them is presented. The unified scheme and the qualitative advantages of the method are discussed. Important implementation details such as boundary conditions, temporal integration schemes, interaction force field calculations and solvent models are also presented. In the next paper applications and results are discussed.


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