Face-based Selection of Corners in 3D Substructuring

In most recent substructuring methods, a fundamental role is played by the coarse space. For some of these methods (e.g. BDDC and FETI-DP), its definition relies on a 'minimal' set of coarse nodes (sometimes called corners) which assures invertibility of local subdomain problems and also of the global coarse problem. This basic set is typically enhanced by enforcing continuity of functions at some generalized degrees of freedom, such as average values on edges or faces of subdomains. We revisit existing algorithms for selection of corners. The main contribution of this paper consists of proposing a new heuristic algorithm for this purpose. Considering faces as the basic building blocks of the interface, inherent parallelism, and better robustness with respect to disconnected subdomains are among features of the new technique. The advantages of the presented algorithm in comparison to some earlier approaches are demonstrated on three engineering problems of structural analysis solved by the BDDC method.

Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.