Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

Modeling the monetary policy reaction function of the colombian central bank

This paper proposes a simple Ordered Probit model to analyse the monetary policy reaction function of the Colombian Central Bank. There is evidence that the reaction function is asymmetric, in the sense that the Bank increases the Bank rate when the gap between observed inflation and the inflation target (lagged once) is positive, but it does not reduce the Bank rate when the gap is negative. This behaviour suggests that the Bank is more interested in fulfilling the announced inflation target rather than in reducing inflation excessively. The forecasting performance of the model, both within and beyond the estimation period, appears to be particularly good.

Gestión de la cadena de suministros desde la dinámica de sistemas. Aproximación al mejoramiento de la toma de decisiones

El objetivo de este trabajo es hacer un estudio sobre la cadena de suministros en organizaciones empresariales desde la Dinámica de Sistemas y como esta puede aportar al desempeño y el control de las cadenas de suministros. Se buscará Abordar el cocimiento sobre tres perspectivas de Supply Chain y su relación con la dinámica de sistemas. También se buscará identificar los tipos de integración en las actividades de la gestión en la cadena de suministros y sus horizontes de planeación. Por último, se pretende analizar las aplicaciones de Supply Chain Management que se han basado en el uso de la metodología de dinámica de sistemas. Para esto, la investigación empezará por definir la problemática alrededor de unir estas dos áreas y definirá el marco teórico que fundan estas dos disciplinas. Luego se abordará la metodología usada por la Dinámica de Sistemas y los diferentes aspectos de la cadena de suministros. Se Ahondará en el acercamiento de las dos disciplinas y como convergen ayudando la SD a la SCM (Supply Chain Management). En este punto también se describirán los trabajos en los diferentes enfoques que se han hecho a partir de uso de la dinámica de sistemas. Por último, presentaremos las correspondientes conclusiones y comentarios acerca de este campo de investigación y su pertinencia en el campo de la Supply Chain. Esta investigación abarca dos grandes corrientes de pensamiento, una sistémica, a través de la metodología de dinámica de sistemas y la otra, lógico analítica la cual es usada en Supply Chain. Se realizó una revisión de la literatura sobre las aplicaciones de dinámica de sistemas (SD) en el área de Supply Chain, sus puntos en común y se documentaron importantes empleos de esta metodología que se han hecho en la gestión de la cadena de suministros.

Modeling the Stream Water Nitrate Dynamics in 60,000-km(2) European Catchment, the Garonne, Southwest France

The spatial and temporal dynamics in the stream water NO3-N concentrations in a major European river-system, the Garonne (62,700 km(2)), are described and related to variations in climate, land management, and effluent point-sources using multivariate statistics. Building on this, the Hydrologiska Byrans Vattenbalansavdelning (HBV) rainfall-runoff model and the Integrated Catchment Model of Nitrogen (INCA-N) are applied to simulate the observed flow and N dynamics. This is done to help us to understand which factors and processes control the flow and N dynamics in different climate zones and to assess the relative inputs from diffuse and point sources across the catchment. This is the first application of the linked HBV and INCA-N models to a major European river system commensurate with the largest basins to be managed tinder the Water Framework Directive. The simulations suggest that in the lowlands, seasonal patterns in the stream water NO3-N concentrations emerge and are dominated by diffuse agricultural inputs, with an estimated 75% of the river load in the lowlands derived from arable farming. The results confirm earlier European catchment studies. Namely, current semi-distrubuted catchment-scale dynamic models, which integrate variations in land cover, climate, and a simple representation of the terrestrial and in-stream N cycle, are able to simulate seasonal NO3-N patterns at large spatial (> 300 km(2)) and temporal (>= monthly) scales using available national datasets.

Modeling the Stream Water Nitrate Dynamics in 60,000-km(2) European Catchment, the Garonne, Southwest France

The spatial and temporal dynamics in the stream water NO3-N concentrations in a major European river-system, the Garonne (62,700 km(2)), are described and related to variations in climate, land management, and effluent point-sources using multivariate statistics. Building on this, the Hydrologiska Byrans Vattenbalansavdelning (HBV) rainfall-runoff model and the Integrated Catchment Model of Nitrogen (INCA-N) are applied to simulate the observed flow and N dynamics. This is done to help us to understand which factors and processes control the flow and N dynamics in different climate zones and to assess the relative inputs from diffuse and point sources across the catchment. This is the first application of the linked HBV and INCA-N models to a major European river system commensurate with the largest basins to be managed tinder the Water Framework Directive. The simulations suggest that in the lowlands, seasonal patterns in the stream water NO3-N concentrations emerge and are dominated by diffuse agricultural inputs, with an estimated 75% of the river load in the lowlands derived from arable farming. The results confirm earlier European catchment studies. Namely, current semi-distrubuted catchment-scale dynamic models, which integrate variations in land cover, climate, and a simple representation of the terrestrial and in-stream N cycle, are able to simulate seasonal NO3-N patterns at large spatial (> 300 km(2)) and temporal (>= monthly) scales using available national datasets.

Statistical modeling suggests that antiandrogens in effluents from wastewater treatment works contribute to widespread sexual disruption in fish living in English rivers.

BACKGROUND: The widespread occurrence of feminized male fish downstream of some wastewater treatment works has led to substantial interest from ecologists and public health professionals. This concern stems from the view that the effects observed have a parallel in humans, and that both phenomena are caused by exposure to mixtures of contaminants that interfere with reproductive development. The evidence for a "wildlife-human connection" is, however, weak: Testicular dysgenesis syndrome, seen in human males, is most easily reproduced in rodent models by exposure to mixtures of antiandrogenic chemicals. In contrast, the accepted explanation for feminization of wild male fish is that it results mainly from exposure to steroidal estrogens originating primarily from human excretion. OBJECTIVES: We sought to further explore the hypothesis that endocrine disruption in fish is multi-causal, resulting from exposure to mixtures of chemicals with both estrogenic and antiandrogenic properties. METHODS: We used hierarchical generalized linear and generalized additive statistical modeling to explore the associations between modeled concentrations and activities of estrogenic and antiandrogenic chemicals in 30 U.K. rivers and feminized responses seen in wild fish living in these rivers. RESULTS: In addition to the estrogenic substances, antiandrogenic activity was prevalent in almost all treated sewage effluents tested. Further, the results of the modeling demonstrated that feminizing effects in wild fish could be best modeled as a function of their predicted exposure to both anti-androgens and estrogens or to antiandrogens alone. CONCLUSION: The results provide a strong argument for a multicausal etiology of widespread feminization of wild fish in U.K. rivers involving contributions from both steroidal estrogens and xeno-estrogens and from other (as yet unknown) contaminants with antiandrogenic properties. These results may add farther credence to the hypothesis that endocrine-disrupting effects seen in wild fish and in humans are caused by similar combinations of endocrine-disrupting chemical cocktails.

Applying semiotic analysis to the design and modeling of distributed multimedia systems

Semiotics is the study of signs. Application of semiotics in information systems design is based on the notion that information systems are organizations within which agents deploy signs in the form of actions according to a set of norms. An analysis of the relationships among the agents, their actions and the norms would give a better specification of the system. Distributed multimedia systems (DMMS) could be viewed as a system consisted of many dynamic, self-controlled normative agents engaging in complex interaction and processing of multimedia information. This paper reports the work of applying the semiotic approach to the design and modeling of DMMS, with emphasis on using semantic analysis under the semiotic framework. A semantic model of DMMS describing various components and their ontological dependencies is presented, which then serves as a design model and implemented in a semantic database. Benefits of using the semantic database are discussed with reference to various design scenarios.

Generalized neurofuzzy network modeling algorithms using Bezier-Bernstein polynomial functions and additive decomposition

This paper introduces a new neurofuzzy model construction algorithm for nonlinear dynamic systems based upon basis functions that are Bezier-Bernstein polynomial functions. This paper is generalized in that it copes with n-dimensional inputs by utilising an additive decomposition construction to overcome the curse of dimensionality associated with high n. This new construction algorithm also introduces univariate Bezier-Bernstein polynomial functions for the completeness of the generalized procedure. Like the B-spline expansion based neurofuzzy systems, Bezier-Bernstein polynomial function based neurofuzzy networks hold desirable properties such as nonnegativity of the basis functions, unity of support, and interpretability of basis function as fuzzy membership functions, moreover with the additional advantages of structural parsimony and Delaunay input space partition, essentially overcoming the curse of dimensionality associated with conventional fuzzy and RBF networks. This new modeling network is based on additive decomposition approach together with two separate basis function formation approaches for both univariate and bivariate Bezier-Bernstein polynomial functions used in model construction. The overall network weights are then learnt using conventional least squares methods. Numerical examples are included to demonstrate the effectiveness of this new data based modeling approach.

Modeling building semantics: providing feedback and sustainability

Even minor changes in user activity can bring about significant energy savings within built space. Many building performance assessment methods have been developed, however these often disregard the impact of user behavior (i.e. the social, cultural and organizational aspects of the building). Building users currently have limited means of determining how sustainable they are, in context of the specific building structure and/or when compared to other users performing similar activities, it is therefore easy for users to dismiss their energy use. To support sustainability, buildings must be able to monitor energy use, identify areas of potential change in the context of user activity and provide contextually relevant information to facilitate persuasion management. If the building is able to provide users with detailed information about how specific user activity that is wasteful, this should provide considerable motivation to implement positive change. This paper proposes using a dynamic and temporal semantic model, to populate information within a model of persuasion, to manage user change. By semantically mapping a building, and linking this to persuasion management we suggest that: i) building energy use can be monitored and analyzed over time; ii) persuasive management can be facilitated to move user activity towards sustainability.

Spatial and temporal modeling of community non-timber forest extraction

This paper examines the interaction of spatial and dynamic aspects of resource extraction from forests by local people. Highly cyclical and varied across space and time, the patterns of resource extraction resulting from the spatial–temporal model bear little resemblance to the patterns drawn from focusing either on spatial or temporal aspects of extraction alone. Ignoring this variability inaccurately depicts villagers’ dependence on different parts of the forest and could result in inappropriate policies. Similarly, the spatial links in extraction decisions imply that policies imposed in one area can have unintended consequences in other areas. Combining the spatial–temporal model with a measure of success in community forest management—the ability to avoid open-access resource degradation—characterizes the impact of incomplete property rights on patterns of resource extraction and stocks.

Model estimation of cerebral hemodynamics between blood flow and volume changes: A data-based modeling approach

It is well known that there is a dynamic relationship between cerebral blood flow (CBF) and cerebral blood volume (CBV). With increasing applications of functional MRI, where the blood oxygen-level-dependent signals are recorded, the understanding and accurate modeling of the hemodynamic relationship between CBF and CBV becomes increasingly important. This study presents an empirical and data-based modeling framework for model identification from CBF and CBV experimental data. It is shown that the relationship between the changes in CBF and CBV can be described using a parsimonious autoregressive with exogenous input model structure. It is observed that neither the ordinary least-squares (LS) method nor the classical total least-squares (TLS) method can produce accurate estimates from the original noisy CBF and CBV data. A regularized total least-squares (RTLS) method is thus introduced and extended to solve such an error-in-the-variables problem. Quantitative results show that the RTLS method works very well on the noisy CBF and CBV data. Finally, a combination of RTLS with a filtering method can lead to a parsimonious but very effective model that can characterize the relationship between the changes in CBF and CBV.

A model of the dynamic relationship between blood flow and volume changes during brain activation

The temporal relationship between changes in cerebral blood flow (CBF) and cerebral blood volume (CBV) is important in the biophysical modeling and interpretation of the hemodynamic response to activation, particularly in the context of magnetic resonance imaging and the blood oxygen level-dependent signal. Grubb et al. (1974) measured the steady state relationship between changes in CBV and CBF after hypercapnic challenge. The relationship CBV proportional to CBFPhi has been used extensively in the literature. Two similar models, the Balloon (Buxton et al., 1998) and the Windkessel (Mandeville et al., 1999), have been proposed to describe the temporal dynamics of changes in CBV with respect to changes in CBF. In this study, a dynamic model extending the Windkessel model by incorporating delayed compliance is presented. The extended model is better able to capture the dynamics of CBV changes after changes in CBF, particularly in the return-to-baseline stages of the response.

An easily implemented agro-hydrological procedure with dynamic root simulation for water transfer in the crop-soil system: validation and application

Models for water transfer in the crop-soil system are key components of agro-hydrological models for irrigation, fertilizer and pesticide practices. Many of the hydrological models for water transfer in the crop-soil system are either too approximate due to oversimplified algorithms or employ complex numerical schemes. In this paper we developed a simple and sufficiently accurate algorithm which can be easily adopted in agro-hydrological models for the simulation of water dynamics. We used a dual crop coefficient approach proposed by the FAO for estimating potential evaporation and transpiration, and a dynamic model for calculating relative root length distribution on a daily basis. In a small time step of 0.001 d, we implemented algorithms separately for actual evaporation, root water uptake and soil water content redistribution by decoupling these processes. The Richards equation describing soil water movement was solved using an integration strategy over the soil layers instead of complex numerical schemes. This drastically simplified the procedures of modeling soil water and led to much shorter computer codes. The validity of the proposed model was tested against data from field experiments on two contrasting soils cropped with wheat. Good agreement was achieved between measurement and simulation of soil water content in various depths collected at intervals during crop growth. This indicates that the model is satisfactory in simulating water transfer in the crop-soil system, and therefore can reliably be adopted in agro-hydrological models. Finally we demonstrated how the developed model could be used to study the effect of changes in the environment such as lowering the groundwater table caused by the construction of a motorway on crop transpiration. (c) 2009 Elsevier B.V. All rights reserved.

Complex-valued B-spline neural networks for modeling and inverting Hammerstein systems

Many communication signal processing applications involve modelling and inverting complex-valued (CV) Hammerstein systems. We develops a new CV B-spline neural network approach for efficient identification of the CV Hammerstein system and effective inversion of the estimated CV Hammerstein model. Specifically, the CV nonlinear static function in the Hammerstein system is represented using the tensor product from two univariate B-spline neural networks. An efficient alternating least squares estimation method is adopted for identifying the CV linear dynamic model’s coefficients and the CV B-spline neural network’s weights, which yields the closed-form solutions for both the linear dynamic model’s coefficients and the B-spline neural network’s weights, and this estimation process is guaranteed to converge very fast to a unique minimum solution. Furthermore, an accurate inversion of the CV Hammerstein system can readily be obtained using the estimated model. In particular, the inversion of the CV nonlinear static function in the Hammerstein system can be calculated effectively using a Gaussian-Newton algorithm, which naturally incorporates the efficient De Boor algorithm with both the B-spline curve and first order derivative recursions. The effectiveness of our approach is demonstrated using the application to equalisation of Hammerstein channels.

Modeling migratory grazing of zooplankton on toxic and non-toxic phytoplankton

Migratory grazing of zooplankton between non-toxic phytoplankton (NTP) and toxic phytoplankton (TPP) is a realistic phenomena unexplored so far. The present article is a first step in this direction. A mathematical model of NTP–TPP-zooplankton with constant and variable zooplankton migration is proposed and analyzed. The asymptotic dynamics of the model system around the biologically feasible equilibria is explored through local stability analysis. The dynamics of the proposed system is explored and displayed for different combination of migratory parameters and toxin inhibition parameters. Our analysis suggests that the migratory grazing of zooplankton has a significant role in determining the dynamic stability and oscillation of phytoplankton zooplankton systems.