Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

The development of a scanning strategy for the manufacture of porous biomaterials by selective laser melting.

Porous structures are used in orthopaedics to promote biological fixation between metal implant and host bone. In order to achieve rapid and high volumes of bone ingrowth the structures must be manufactured from a biocompatible material and possess high interconnected porosities, pore sizes between 100 and 700 microm and mechanical strengths that withstand the anticipated biomechanical loads. The challenge is to develop a manufacturing process that can cost effectively produce structures that meet these requirements. The research presented in this paper describes the development of a 'beam overlap' technique for manufacturing porous structures in commercially pure titanium using the Selective Laser Melting (SLM) rapid manufacturing technique. A candidate bone ingrowth structure (71% porosity, 440 microm mean pore diameter and 70 MPa compression strength) was produced and used to manufacture a final shape orthopaedic component. These results suggest that SLM beam overlap is a promising technique for manufacturing final shape functional bone ingrowth materials.

A design strategy in the propulsion system attachment to a submarine hull to minimise radiated noise

Vibration modes of a submerged hull are excited by fluctuating forces generated at the propeller and transmitted to the hull via the propeller-shafting system. The low frequency hull vibrational modes result in significant sound radiation. This work investigates the reduction of the far-field radiated sound pressure by optimising the connection point of the shafting system to the hull. The submarine hull is modelled as a fluid loaded cylindrical hull with truncated conical shells at each end. The propeller-shafting system consists of the propeller, shaft, thrust bearing and foundation, and is modelled in a modular approach using a combination of spring-mass-damper elements and continuous systems (beams, plates, shells). The foundation is attached to the stern side end plate of the hull, which is modelled as a circular plate coupled to an annular plate. By tuning the connection radius of the foundation to the end plate, the maximum radiated noise in a given frequency range can be minimised.

Linking business ecosystem lifecycle with platform strategy: A triple view of technology, application and organisation

This paper explores platform strategies along the business ecosystem lifecycle (BELC), based on a multiple-case study. Developing observations on platform strategies from a firm level to a business ecosystem level, the study investigates the issue of platform strategy through three views, respectively technology, application and organisation. As a result, a general evolutional pattern of platform strategy along the BELC is identified, where an open strategy emerges at the birth and expansion phases, then a dominating strategy rises at the authority phase, and finally the opportunistic strategy takes over at the renewal phase. This paper connects the core firms in the business ecosystem with the evolutionary platform strategies. Copyright © 2013 Inderscience Enterprises Ltd.

Control of bimanual rhythmic movements: Trading efficiency for robustness depending on the context

This paper investigates how the efficiency and robustness of a skilled rhythmic task compete against each other in the control of a bimanual movement. Human subjects juggled a puck in 2D through impacts with two metallic arms, requiring rhythmic bimanual actuation. The arms kinematics were only constrained by the position, velocity and time of impacts while the rest of the trajectory did not influence the movement of the puck. In order to expose the task robustness, we manipulated the task context in two distinct manners: the task tempo was assigned at four different values (hence manipulating the time available to plan and execute each impact movement individually); and vision was withdrawn during half of the trials (hence reducing the sensory inflows). We show that when the tempo was fast, the actuation was rhythmic (no pause in the trajectory) while at slow tempo, the actuation was discrete (with pause intervals between individual movements). Moreover, the withdrawal of visual information encouraged the rhythmic behavior at the four tested tempi. The discrete versus rhythmic behavior give different answers to the efficiency/robustness trade-off: discrete movements result in energy efficient movements, while rhythmic movements impact the puck with negative acceleration, a property preserving robustness. Moreover, we report that in all conditions the impact velocity of the arms was negatively correlated with the energy of the puck. This correlation tended to stabilize the task and was influenced by vision, revealing again different control strategies. In conclusion, this task involves different modes of control that balance efficiency and robustness, depending on the context. © 2008 Springer-Verlag.

Trading the stability of finite zeros for global stabilization of nonlinear cascade systems

This note analyzes the stabilizability properties of nonlinear cascades in which a nonminimum phase linear system is interconnected through its output to a Stable nonlinear system. It is shown that the instability of the zeros of the linear System can be traded with the stability of the nonlinear system up to a limit fixed by the growth properties of the cascade interconnection term. Below this limit, global stabilization is achieved by smooth static-state feedback. Beyond this limit, various examples illustrate that controllability of the cascade may be lost, making it impossible to achieve large regions of attractions.

Trading the stability of finite zeros for global stabilization of nonlinear cascade systems

This paper analyzes the stabilizability properties of nonlinear cascades in which a nonminimum phase linear system is interconnected through its output to a stable nonlinear system. It is shown that the instability of the zeros of the linear system can be traded with the stability of the nonlinear system up to a limit fixed by the growth properties of the cascade interconnection term. Below this limit, global stabilization is achieved by smooth static state feedback. Beyond this limit, various examples illustrate that controllability of the cascade may be lost, making it impossible to achieve large regions of attractions.