Monte Carlo Random Walk Simulations Based on Distributed Order Differential Equations with Applications to Cell Biology

Mathematics Subject Classification: 65C05, 60G50, 39A10, 92C37

Well-Posedness of Diffusion-Wave Problem with Arbitrary Finite Number of Time Fractional Derivatives in Sobolev Spaces H^s

Mathematics Subject Classification 2010: 26A33, 33E12, 35S10, 45K05.

Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Maximal Number of Successors in a Nginar(1) Process

2000 Mathematics Subject Classification: 60J80, 60J20, 60J10, 60G10, 60G70, 60F99.

Az ajánlati könyv statisztikai tulajdonságai (Statistical properties of the limit order book)

A pénzügyi modellek jelentős része feltételezi a piacok hatékony működését. Ennek következtében számos tudományos kutatás központi témája volt a piacok hatékonyságának tesztelése és ennek igazolása, esetleg cáfolata. Ezen próbálkozások azonban mind a mai napig eredménytelenül zárultak. A tesztelések nyomán a kutatások a termékek áralakulásából indultak ki, és a hozamokat ezen keresztül elemezték. Az elmúlt években azonban a fókusz átterelődött az árak alakulásáról egy elemibb tényezőre, az ajánlati könyvre. Ugyanis végső soron az ajánlatvezérelt piacokon az árakat az ajánlati könyvbe benyújtott megbízások alakulása fogja meghatározni. Mivel a tőzsdék jelentős része ajánlatvezérelt piacként működik, ezért érdemesnek tartották a kutatók, hogy inkább az ajánlati könyv alakulásának statisztikai jellemzőit elemezzék, hátha az eredményre vezet, és sikerül közelebb jutni a hatékony piacok elméletének igazolásához vagy cáfolatához. Jelen tanulmány célja az, hogy az eddig megjelent tudományos kutatások alapján ismertesse az ajánlati könyv alapvető statisztikai tulajdonságait, és rávilágítson arra: mindez valójában hozzájárult-e a hatékony piacok elméletének igazolásához? ______ Most of the fi nancial models assume that markets are effi cient. As a result, numerous scientifi c researchers were focused on testing the effi cient market hypothesis, and tried to prove, or deny it. However, all these attempts are still unsuccessful. During these researches, the analyses of the effi cient market hypothesis were based on the price evolution of a certain asset, and through this the returns were examined. In the recent years the research interest has changed, and instead of analyzing the returns, a more primary factor got into focus, namely the limit order book. The reason is that on order driven markets the prices and the order sizes in the limit order book infl uence the price evolution on the market. Since a notable number of stock markets operate as an order driven market, the researchers thought that it worth analyzing the statistical properties of the limit order book, because maybe it will get us closer to the proof of the effi cient market hypothesis. The purpose of this study is to summarize the statistical properties of the limit order book, based on the scientifi c works published so far. The study would like to highlight whether these studies contributed to the proof or disproof of the effi cient market hypothesis.

An order batching and processing heuristic to address aisle congestion in a manual order picking warehouse with order due dates

A heuristic for batching orders in a manual order-picking warehouse has been developed. It prioritizes orders based on due time to prevent mixing of orders of different priority levels. The order density of aisles criterion is used to form batches. It also determines the number of pickers required and assigns batches to pickers such that there is a uniform workload per unit of time. The effectiveness of the heuristic was studied by observing computational time and aisle congestion for various numbers of total orders and number of orders that form a batch. An initial heuristic performed well for small number of orders, but for larger number of orders, a partitioning technique is computationally more efficient, needing only minutes to solve for thousands of orders, while preserving 90% of the batch quality obtained with the original heuristic. Comparative studies between the heuristic and other published heuristics are needed. ^

Quantum transition state theory and solving a first order master equation for complex reactions numerically

The field of chemical kinetics is an exciting and active field. The prevailing theories make a number of simplifying assumptions that do not always hold in actual cases. Another current problem concerns a development of efficient numerical algorithms for solving the master equations that arise in the description of complex reactions. The objective of the present work is to furnish a completely general and exact theory of reaction rates, in a form reminiscent of transition state theory, valid for all fluid phases and also to develop a computer program that can solve complex reactions by finding the concentrations of all participating substances as a function of time. To do so, the full quantum scattering theory is used for deriving the exact rate law, and then the resulting cumulative reaction probability is put into several equivalent forms that take into account all relativistic effects if applicable, including one that is strongly reminiscent of transition state theory, but includes corrections from scattering theory. Then two programs, one for solving complex reactions, the other for solving first order linear kinetic master equations to solve them, have been developed and tested for simple applications.

Number comparison and number ordering as predictors of arithmetic performance in adults: Exploring the link between the two skills, and investigating the question of domain-specificity.

Recent evidence has highlighted the important role that number ordering skills play in arithmetic abilities (e.g., Lyons & Beilock, 2011). In fact, Lyons et al. (2014) demonstrated that although at the start of formal mathematics education number comparison skills are the best predictors of arithmetic performance, from around the age of 10, number ordering skills become the strongest numerical predictors of arithmetic abilities. In the current study we demonstrated that number comparison and ordering skills were both significantly related to arithmetic performance in adults, and the effect size was greater in the case of ordering skills. Additionally, we found that the effect of number comparison skills on arithmetic performance was partially mediated by number ordering skills. Moreover, performance on comparison and ordering tasks involving the months of the year was also strongly correlated with arithmetic skills, and participants displayed similar (canonical or reverse) distance effects on the comparison and ordering tasks involving months as when the tasks included numbers. This suggests that the processes responsible for the link between comparison and ordering skills and arithmetic performance are not specific to the domain of numbers. Finally, a factor analysis indicated that performance on comparison and ordering tasks loaded on a factor which included performance on a number line task and self-reported spatial thinking styles. These results substantially extend previous research on the role of order processing abilities in mental arithmetic.

Capital 2.0 capital formation and legal risk in a new global economic order from fiat to exit: including case studies of the proposed transatlantic trade and investment partnership between the United States and the European Union and the financing relation between the United States and the People’s Republic of China

Following the intrinsically linked balance sheets in his Capital Formation Life Cycle, Lukas M. Stahl explains with his Triple A Model of Accounting, Allocation and Accountability the stages of the Capital Formation process from FIAT to EXIT. Based on the theoretical foundations of legal risk laid by the International Bar Association with the help of Roger McCormick and legal scholars such as Joanna Benjamin, Matthew Whalley and Tobias Mahler, and founded on the basis of Wesley Hohfeld’s category theory of jural relations, Stahl develops his mutually exclusive Four Determinants of Legal Risk of Law, Lack of Right, Liability and Limitation. Those Four Determinants of Legal Risk allow us to apply, assess, and precisely describe the respective legal risk at all stages of the Capital Formation Life Cycle as demonstrated in case studies of nine industry verticals of the proposed and currently negotiated Transatlantic Trade and Investment Partnership between the United States of America and the European Union, TTIP, as well as in the case of the often cited financing relation between the United States and the People’s Republic of China. Having established the Four Determinants of Legal Risk and its application to the Capital Formation Life Cycle, Stahl then explores the theoretical foundations of capital formation, their historical basis in classical and neo-classical economics and its forefathers such as The Austrians around Eugen von Boehm-Bawerk, Ludwig von Mises and Friedrich von Hayek and most notably and controversial, Karl Marx, and their impact on today’s exponential expansion of capital formation. Starting off with the first pillar of his Triple A Model, Accounting, Stahl then moves on to explain the Three Factors of Capital Formation, Man, Machines and Money and shows how “value-added” is created with respect to the non-monetary capital factors of human resources and industrial production. Followed by a detailed analysis discussing the roles of the Three Actors of Monetary Capital Formation, Central Banks, Commercial Banks and Citizens Stahl readily dismisses a number of myths regarding the creation of money providing in-depth insight into the workings of monetary policy makers, their institutions and ultimate beneficiaries, the corporate and consumer citizens. In his second pillar, Allocation, Stahl continues his analysis of the balance sheets of the Capital Formation Life Cycle by discussing the role of The Five Key Accounts of Monetary Capital Formation, the Sovereign, Financial, Corporate, Private and International account of Monetary Capital Formation and the associated legal risks in the allocation of capital pursuant to his Four Determinants of Legal Risk. In his third pillar, Accountability, Stahl discusses the ever recurring Crisis-Reaction-Acceleration-Sequence-History, in short: CRASH, since the beginning of the millennium starting with the dot-com crash at the turn of the millennium, followed seven years later by the financial crisis of 2008 and the dislocations in the global economy we are facing another seven years later today in 2015 with several sordid debt restructurings under way and hundred thousands of refugees on the way caused by war and increasing inequality. Together with the regulatory reactions they have caused in the form of so-called landmark legislation such as the Sarbanes-Oxley Act of 2002, the Dodd-Frank Act of 2010, the JOBS Act of 2012 or the introduction of the Basel Accords, Basel II in 2004 and III in 2010, the European Financial Stability Facility of 2010, the European Stability Mechanism of 2012 and the European Banking Union of 2013, Stahl analyses the acceleration in size and scope of crises that appears to find often seemingly helpless bureaucratic responses, the inherent legal risks and the complete lack of accountability on part of those responsible. Stahl argues that the order of the day requires to address the root cause of the problems in the form of two fundamental design defects of our Global Economic Order, namely our monetary and judicial order. Inspired by a 1933 plan of nine University of Chicago economists abolishing the fractional reserve system, he proposes the introduction of Sovereign Money as a prerequisite to void misallocations by way of judicial order in the course of domestic and transnational insolvency proceedings including the restructuring of sovereign debt throughout the entire monetary system back to its origin without causing domino effects of banking collapses and failed financial institutions. In recognizing Austrian-American economist Schumpeter’s Concept of Creative Destruction, as a process of industrial mutation that incessantly revolutionizes the economic structure from within, incessantly destroying the old one, incessantly creating a new one, Stahl responds to Schumpeter’s economic chemotherapy with his Concept of Equitable Default mimicking an immunotherapy that strengthens the corpus economicus own immune system by providing for the judicial authority to terminate precisely those misallocations that have proven malignant causing default perusing the century old common law concept of equity that allows for the equitable reformation, rescission or restitution of contract by way of judicial order. Following a review of the proposed mechanisms of transnational dispute resolution and current court systems with transnational jurisdiction, Stahl advocates as a first step in order to complete the Capital Formation Life Cycle from FIAT, the creation of money by way of credit, to EXIT, the termination of money by way of judicial order, the institution of a Transatlantic Trade and Investment Court constituted by a panel of judges from the U.S. Court of International Trade and the European Court of Justice by following the model of the EFTA Court of the European Free Trade Association. Since the first time his proposal has been made public in June of 2014 after being discussed in academic circles since 2011, his or similar proposals have found numerous public supporters. Most notably, the former Vice President of the European Parliament, David Martin, has tabled an amendment in June 2015 in the course of the negotiations on TTIP calling for an independent judicial body and the Member of the European Commission, Cecilia Malmström, has presented her proposal of an International Investment Court on September 16, 2015. Stahl concludes, that for the first time in the history of our generation it appears that there is a real opportunity for reform of our Global Economic Order by curing the two fundamental design defects of our monetary order and judicial order with the abolition of the fractional reserve system and the introduction of Sovereign Money and the institution of a democratically elected Transatlantic Trade and Investment Court that commensurate with its jurisdiction extending to cases concerning the Transatlantic Trade and Investment Partnership may complete the Capital Formation Life Cycle resolving cases of default with the transnational judicial authority for terminal resolution of misallocations in a New Global Economic Order without the ensuing dangers of systemic collapse from FIAT to EXIT.

Higher-Order Functions for Parsing

In combinator parsing, the text of parsers resembles BNF notation. We present the basic method, and a number of extensions. We address the special problems presented by white-space, and parsers with separate lexical and syntactic phases. In particular, a combining form for handling the offside rule is given. Other extensions to the basic method include an $quot;into$quot; combining form with many useful applications, and a simple means by which combinator parsers can produce more informative error messages.

The Borel Complexity of Isomorphism for Some First Order Theories

In this work we consider several instances of the following problem: "how complicated can the isomorphism relation for countable models be?"' Using the Borel reducibility framework, we investigate this question with regard to the space of countable models of particular complete first-order theories. We also investigate to what extent this complexity is mirrored in the number of back-and-forth inequivalent models of the theory. We consider this question for two large and related classes of theories. First, we consider o-minimal theories, showing that if T is o-minimal, then the isomorphism relation is either Borel complete or Borel. Further, if it is Borel, we characterize exactly which values can occur, and when they occur. In all cases Borel completeness implies lambda-Borel completeness for all lambda. Second, we consider colored linear orders, which are (complete theories of) a linear order expanded by countably many unary predicates. We discover the same characterization as with o-minimal theories, taking the same values, with the exception that all finite values are possible except two. We characterize exactly when each possibility occurs, which is similar to the o-minimal case. Additionally, we extend Schirrman's theorem, showing that if the language is finite, then T is countably categorical or Borel complete. As before, in all cases Borel completeness implies lambda-Borel completeness for all lambda.

Multiscale Schemes for the BGK--Vlasov--Poisson System in the Quasi-Neutral and Fluid Limits. Stability Analysis and First Order Schemes

This paper deals with the development and the analysis of asymptotically stable and consistent schemes in the joint quasi-neutral and fluid limits for the collisional Vlasov-Poisson system. In these limits, the classical explicit schemes suffer from time step restrictions due to the small plasma period and Knudsen number. To solve this problem, we propose a new scheme stable for choices of time steps independent from the small scales dynamics and with comparable computational cost with respect to standard explicit schemes. In addition, this scheme reduces automatically to consistent discretizations of the underlying asymptotic systems. In this first work on this subject, we propose a first order in time scheme and we perform a relative linear stability analysis to deal with such problems. The framework we propose permits to extend this approach to high order schemes in the next future. We finally show the capability of the method in dealing with small scales through numerical experiments.

Unpolarized transverse momentum dependent parton distribution and fragmentation functions at next-to-next-to-leading order

The transverse momentum dependent parton distribution/fragmentation functions (TMDs) are essential in the factorization of a number of processes like Drell-Yan scattering, vector boson production, semi-inclusive deep inelastic scattering, etc. We provide a comprehensive study of unpolarized TMDs at next-to-next-to-leading order, which includes an explicit calculation of these TMDs and an extraction of their matching coefficients onto their integrated analogues, for all flavor combinations. The obtained matching coefficients are important for any kind of phenomenology involving TMDs. In the present study each individual TMD is calculated without any reference to a specific process. We recover the known results for parton distribution functions and provide new results for the fragmentation functions. The results for the gluon transverse momentum dependent fragmentation functions are presented for the first time at one and two loops. We also discuss the structure of singularities of TMD operators and TMD matrix elements, crossing relations between TMD parton distribution functions and TMD fragmentation functions, and renormalization group equations. In addition, we consider the behavior of the matching coefficients at threshold and make a conjecture on their structure to all orders in perturbation theory.

Flow around a hemisphere-cylinder at high angle of attack and low Reynolds number. Part II: POD and DMD applied to reduced domains

Three-dimensional direct numerical simulations (DNS) have been performed on a finite-size hemispherecylinder model at angle of attack AoA = 20◦ and Reynolds numbers Re = 350 and 1000. Under these conditions, massive separation exists on the nose and lee-side of the cylinder, and at both Reynolds numbers the flow is found to be unsteady. Proper orthogonal decomposition (POD) and dynamic mode decomposition (DMD) are employed in order to study the primary instability that triggers unsteadiness at Re = 350. The dominant coherent flow structures identified at the lower Reynolds number are also found to exist at Re = 1000; the question is then posed whether the flow oscillations and structures found at the two Reynolds numbers are related. POD and DMD computations are performed using different subdomains of the DNS computational domain. Besides reducing the computational cost of the analyses, this also permits to isolate spatially localized oscillatory structures from other, more energetic structures present in the flow. It is found that POD and DMD are in general sensitive to domain truncation and noneducated choices of the subdomain may lead to inconsistent results. Analyses at Re = 350 show that the primary instability is related to the counter rotating vortex pair conforming the three-dimensional afterbody wake, and characterized by the frequency St ≈ 0.11, in line with results in the literature. At Re = 1000, vortex-shedding is present in the wake with an associated broadband spectrum centered around the same frequency. The horn/leeward vortices at the cylinder lee-side, upstream of the cylinder base, also present finite amplitude oscillations at the higher Reynolds number. The spatial structure of these oscillations, described by the POD modes, is easily differentiated from that of the wake oscillations. Additionally, the frequency spectra associated with the lee-side vortices presents well defined peaks, corresponding to St ≈ 0.11 and its few harmonics, as opposed to the broadband spectrum found at the wake.

Flow around a hemisphere-cylinder at high angle of attack and low Reynolds number. Part I: Experimental and numerical investigation

Three-dimensional Direct Numerical Simulations combined with Particle Image Velocimetry experiments have been performed on a hemisphere-cylinder at Reynolds number 1000 and angle of attack 20◦. At these flow conditions, a pair of vortices, so-called “horn” vortices, are found to be associated with flow separation. In order to understand the highly complex phenomena associated with this fully threedimensional massively separated flow, different structural analysis techniques have been employed: Proper Orthogonal and Dynamic Mode Decompositions, POD and DMD, respectively, as well as criticalpoint theory. A single dominant frequency associated with the von Karman vortex shedding has been identified in both the experimental and the numerical results. POD and DMD modes associated with this frequency were recovered in the analysis. Flow separation was also found to be intrinsically linked to the observed modes. On the other hand, critical-point theory has been applied in order to highlight possible links of the topology patterns over the surface of the body with the computed modes. Critical points and separation lines on the body surface show in detail the presence of different flow patterns in the base flow: a three-dimensional separation bubble and two pairs of unsteady vortices systems, the horn vortices, mentioned before, and the so-called “leeward” vortices. The horn vortices emerge perpendicularly from the body surface at the separation region. On the other hand, the leeward vortices are originated downstream of the separation bubble, as a result of the boundary layer separation. The frequencies associated with these vortical structures have been quantified.