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.

Certified Rapid Solution of Parametrized Linear Elliptic Equations: Application to Parameter Estimation

We present a technique for the rapid and reliable evaluation of linear-functional output of elliptic partial differential equations with affine parameter dependence. The essential components are (i) rapidly uniformly convergent reduced-basis approximations — Galerkin projection onto a space WN spanned by solutions of the governing partial differential equation at N (optimally) selected points in parameter space; (ii) a posteriori error estimation — relaxations of the residual equation that provide inexpensive yet sharp and rigorous bounds for the error in the outputs; and (iii) offline/online computational procedures — stratagems that exploit affine parameter dependence to de-couple the generation and projection stages of the approximation process. The operation count for the online stage — in which, given a new parameter value, we calculate the output and associated error bound — depends only on N (typically small) and the parametric complexity of the problem. The method is thus ideally suited to the many-query and real-time contexts. In this paper, based on the technique we develop a robust inverse computational method for very fast solution of inverse problems characterized by parametrized partial differential equations. The essential ideas are in three-fold: first, we apply the technique to the forward problem for the rapid certified evaluation of PDE input-output relations and associated rigorous error bounds; second, we incorporate the reduced-basis approximation and error bounds into the inverse problem formulation; and third, rather than regularize the goodness-of-fit objective, we may instead identify all (or almost all, in the probabilistic sense) system configurations consistent with the available experimental data — well-posedness is reflected in a bounded "possibility region" that furthermore shrinks as the experimental error is decreased.

Guía para la construcción de matrices insumo-producto y de contabilidad social en Colombia

Las matrices insumo-producto y de contabilidad social constituyen fuentes de información importante para el entendimiento de las relaciones productivas y económicas de un país en un determinado momento del tiempo. En Colombia, la construcción de estos instrumentos tiene una larga experiencia aunque poca ha sido su documentación. Este artículo pretende exponer de manera clara y concisa el procedimiento necesario para su construcción.

Perfil logístico del sector cemento en Colombia

Este proyecto caracteriza la logística del sector cemento en Colombia al identificar y describir los principales actores, procesos y materiales involucrados en la cadena de suministros del sector. Este documento compila la información logística relevante para la producción de cemento en Colombia. Esta información se obtuvo sintetizando estudios y reportes acerca de las prácticas logísticas y las condiciones en las que éstas se desarrollan. Adicionalmente se realizaron visitas empresariales en diferentes plantas de producción de cemento y entrevistas semiestructuradas a expertos en logística de los diferentes eslabones. Con la información primaria y secundaria se caracteriza del producto, las materias primas e insumos necesarios para la producción de cemento. Se identifican los principales agentes que componen el sector y se describen los procesos logísticos relacionados con el cemento en cada uno de ellos. Para las cementeras y canteras se hace un análisis de entradas y salidas de los procesos principales de su cadena de valor. Adicionalmente se expone la operación de transporte como un elemento clave en el sector y se presentan las simulaciones de fletes, rutas y cubicaje. Por último, se incluye un caso de optimización de transporte aplicando teorías de investigación de operaciones.

La opinión de los alumnos como factor determinante de la enseñanza del Inglés.

Analizar la opinión que los alumnos tienen de su propio aprendizaje con el fin de determinar la enseñanza que mejor se ajusta a sus posibilidades y necesidades. 625 clases de Inglés durante un año académico de segundo curso de BUP. Realiza un análisis crítico de distintas investigaciones concretas que permitan definir y justificar el método de investigación que utiliza. Recoge y analiza la evolución que un grupo de alumnos de segundo de BUP hace de cuatro clases distintas. Basándose en las razones que mencionan los alumnos para explicar su evaluación, elabora un modelo teórico que explica la relación entre enseñanza y aprendizaje en el aula. Con la ayuda de ese modelo teórico se analiza la actividad realizada en las distintas clases estudiadas para sugerir hipótesis para mejorar la enseñanza. Utiliza técnicas de discusión de grupo y encuestas. No selecciona al azar los participantes ni manipula la variable de enseñanza sino que analiza la actividad de clase en la situación natural del aula. Para ello utiliza gran variedad de sistemas de categoría, como Flanders, Sinclair, Coulthard, Fanselow y Allen. Los intereses y conocimientos de los alumnos determinan el contenido y procedimiento de la enseñanza que se pretende mejorar. Sin embargo, como todos los alumnos son diferentes con respecto a lo que quieren y pueden hacer, el aprendizaje no es el mismo para todos ellos. Aceptando estas diferencias, considera conveniente facilitar la autonomía de los alumnos en el proceso de aprendizaje. Para facilitar esta autonomía de los alumnos, el profesor debe implicarse en una investigación de aula que permita desarrollar su propia autonomía profesional. La enseñanza del profesor debe adaptarse a las necesidades y posibilidades de aprendizaje de los alumnos..

La calidad de la educación : una aproximación conceptual.

Resumen tomado de la publicación

Incidencia territorial de la política universitaria.

Resumen tomado de la publicación

Learning associations between places and visual cues without learning to navigate: neither fornix nor entorhinal cortex is required

Rats with fornix transection, or with cytotoxic retrohippocampal lesions that removed entorhinal cortex plus ventral subiculum, performed a task that permits incidental learning about either allocentric (Allo) or egocentric (Ego) spatial cues without the need to navigate by them. Rats learned eight visual discriminations among computer-displayed scenes in a Y-maze, using the constant-negative paradigm. Every discrimination problem included two familiar scenes (constants) and many less familiar scenes (variables). On each trial, the rats chose between a constant and a variable scene, with the choice of the variable rewarded. In six problems, the two constant scenes had correlated spatial properties, either Alto (each constant appeared always in the same maze arm) or Ego (each constant always appeared in a fixed direction from the start arm) or both (Allo + Ego). In two No-Cue (NC) problems, the two constants appeared in randomly determined arms and directions. Intact rats learn problems with an added Allo or Ego cue faster than NC problems; this facilitation provides indirect evidence that they learn the associations between scenes and spatial cues, even though that is not required for problem solution. Fornix and retrohippocampal-lesioned groups learned NC problems at a similar rate to sham-operated controls and showed as much facilitation of learning by added spatial cues as did the controls; therefore, both lesion groups must have encoded the spatial cues and have incidentally learned their associations with particular constant scenes. Similar facilitation was seen in subgroups that had short or long prior experience with the apparatus and task. Therefore, neither major hippocampal input-output system is crucial for learning about allocentric or egocentric cues in this paradigm, which does not require rats to control their choices or navigation directly by spatial cues.

Verification and FPGA circuits of a block-2 fast path-based predictor

This paper formally derives a new path-based neural branch prediction algorithm (FPP) into blocks of size two for a lower hardware solution while maintaining similar input-output characteristic to the algorithm. The blocked solution, here referred to as B2P algorithm, is obtained using graph theory and retiming methods. Verification approaches were exercised to show that prediction performances obtained from the FPP and B2P algorithms differ within one mis-prediction per thousand instructions using a known framework for branch prediction evaluation. For a chosen FPGA device, circuits generated from the B2P algorithm showed average area savings of over 25% against circuits for the FPP algorithm with similar time performances thus making the proposed blocked predictor superior from a practical viewpoint.

An on-line algorithm of uncertain time delay estimation in a continuous system

In this paper, we present an on-line estimation algorithm for an uncertain time delay in a continuous system based on the observational input-output data, subject to observational noise. The first order Pade approximation is used to approximate the time delay. At each time step, the algorithm combines the well known Kalman filter algorithm and the recursive instrumental variable least squares (RIVLS) algorithm in cascade form. The instrumental variable least squares algorithm is used in order to achieve the consistency of the delay parameter estimate, since an error-in-the-variable model is involved. An illustrative example is utilized to demonstrate the efficacy of the proposed approach.

A policy model for secure information flow

When a computer program requires legitimate access to confidential data, the question arises whether such a program may illegally reveal sensitive information. This paper proposes a policy model to specify what information flow is permitted in a computational system. The security definition, which is based on a general notion of information lattices, allows various representations of information to be used in the enforcement of secure information flow in deterministic or nondeterministic systems. A flexible semantics-based analysis technique is presented, which uses the input-output relational model induced by an attacker's observational power, to compute the information released by the computational system. An illustrative attacker model demonstrates the use of the technique to develop a termination-sensitive analysis. The technique allows the development of various information flow analyses, parametrised by the attacker's observational power, which can be used to enforce what declassification policies.

Autonomous ship collision free trajectory navigation and control algorithms

A new autonomous ship collision free (ASCF) trajectory navigation and control system has been introduced with a new recursive navigation algorithm based on analytic geometry and convex set theory for ship collision free guidance. The underlying assumption is that the geometric information of ship environment is available in the form of a polygon shaped free space, which may be easily generated from a 2D image or plots relating to physical hazards or other constraints such as collision avoidance regulations. The navigation command is given as a heading command sequence based on generating a way point which falls within a small neighborhood of the current position, and the sequence of the way points along the trajectory are guaranteed to lie within a bounded obstacle free region using convex set theory. A neurofuzzy network predictor which in practice uses only observed input/output data generated by on board sensors or external sensors (or a sensor fusion algorithm), based on using rudder deflection angle for the control of ship heading angle, is utilised in the simulation of an ESSO 190000 dwt tanker model to demonstrate the effectiveness of the system.

Modelling and control of Hammerstein system using B-spline approximation and the inverse of De Boor algorithm

In this article a simple and effective controller design is introduced for the Hammerstein systems that are identified based on observational input/output data. The nonlinear static function in the Hammerstein system is modelled using a B-spline neural network. The controller is composed by computing the inverse of the B-spline approximated nonlinear static function, and a linear pole assignment controller. The contribution of this article is the inverse of De Boor algorithm that computes the inverse efficiently. Mathematical analysis is provided to prove the convergence of the proposed algorithm. Numerical examples are utilised to demonstrate the efficacy of the proposed approach.

Modeling of complex-valued Wiener systems using B-spline neural network

In this brief, a new complex-valued B-spline neural network is introduced in order to model the complex-valued Wiener system using observational input/output data. The complex-valued nonlinear static function in the Wiener system is represented using the tensor product from two univariate B-spline neural networks, using the real and imaginary parts of the system input. Following the use of a simple least squares parameter initialization scheme, the Gauss-Newton algorithm is applied for the parameter estimation, which incorporates the De Boor algorithm, including both the B-spline curve and the first-order derivatives recursion. Numerical examples, including a nonlinear high-power amplifier model in communication systems, are used to demonstrate the efficacy of the proposed approaches.

A Wiener model for memory high power amplifiers using B-spline function approximation

In this paper we introduce a new Wiener system modeling approach for memory high power amplifiers in communication systems using observational input/output data. By assuming that the nonlinearity in the Wiener model is mainly dependent on the input signal amplitude, the complex valued nonlinear static function is represented by two real valued B-spline curves, one for the amplitude distortion and another for the phase shift, respectively. The Gauss-Newton algorithm is applied for the parameter estimation, which incorporates the De Boor algorithm, including both the B-spline curve and the first order derivatives recursion. An illustrative example is utilized to demonstrate the efficacy of the proposed approach.