Mathematical Aspects of Financial Markets with Frictions

Frictions are factors that hinder trading of securities in financial markets. Typical frictions include limited market depth, transaction costs, lack of infinite divisibility of securities, and taxes. Conventional models used in mathematical finance often gloss over these issues, which affect almost all financial markets, by arguing that the impact of frictions is negligible and, consequently, the frictionless models are valid approximations. This dissertation consists of three research papers, which are related to the study of the validity of such approximations in two distinct modeling problems. Models of price dynamics that are based on diffusion processes, i.e., continuous strong Markov processes, are widely used in the frictionless scenario. The first paper establishes that diffusion models can indeed be understood as approximations of price dynamics in markets with frictions. This is achieved by introducing an agent-based model of a financial market where finitely many agents trade a financial security, the price of which evolves according to price impacts generated by trades. It is shown that, if the number of agents is large, then under certain assumptions the price process of security, which is a pure-jump process, can be approximated by a one-dimensional diffusion process. In a slightly extended model, in which agents may exhibit herd behavior, the approximating diffusion model turns out to be a stochastic volatility model. Finally, it is shown that when agents' tendency to herd is strong, logarithmic returns in the approximating stochastic volatility model are heavy-tailed. The remaining papers are related to no-arbitrage criteria and superhedging in continuous-time option pricing models under small-transaction-cost asymptotics. Guasoni, Rásonyi, and Schachermayer have recently shown that, in such a setting, any financial security admits no arbitrage opportunities and there exist no feasible superhedging strategies for European call and put options written on it, as long as its price process is continuous and has the so-called conditional full support (CFS) property. Motivated by this result, CFS is established for certain stochastic integrals and a subclass of Brownian semistationary processes in the two papers. As a consequence, a wide range of possibly non-Markovian local and stochastic volatility models have the CFS property.

Scalable fault tolerant agent grooming environment-SAGE

Multi-agent systems (MAS) advocate an agent-based approach to software engineering based on decomposing problems in terms of decentralized, autonomous agents that can engage in flexible, high-level interactions. This chapter introduces scalable fault tolerant agent grooming environment (SAGE), a second-generation Foundation for Intelligent Physical Agents (FIPA)-compliant multi-agent system developed at NIIT-Comtec, which provides an environment for creating distributed, intelligent, and autonomous entities that are encapsulated as agents. The chapter focuses on the highlight of SAGE, which is its decentralized fault-tolerant architecture that can be used to develop applications in a number of areas such as e-health, e-government, and e-science. In addition, SAGE architecture provides tools for runtime agent management, directory facilitation, monitoring, and editing messages exchange between agents. SAGE also provides a built-in mechanism to program agent behavior and their capabilities with the help of its autonomous agent architecture, which is the other major highlight of this chapter. The authors believe that the market for agent-based applications is growing rapidly, and SAGE can play a crucial role for future intelligent applications development. © 2007, IGI Global.

Electromechanical interactions in a carbon nanotube based thin film field emitting diode

Carbon nanotubes (CNTs) have emerged as promising candidates for biomedical x-ray devices and other applications of field emission. CNTs grown/deposited in a thin film are used as cathodes for field emission. In spite of the good performance of such cathodes, the procedure to estimate the device current is not straightforward and the required insight towards design optimization is not well developed. In this paper, we report an analysis aided by a computational model and experiments by which the process of evolution and self-assembly (reorientation) of CNTs is characterized and the device current is estimated. The modeling approach involves two steps: (i) a phenomenological description of the degradation and fragmentation of CNTs and (ii) a mechanics based modeling of electromechanical interaction among CNTs during field emission. A computational scheme is developed by which the states of CNTs are updated in a time incremental manner. Finally, the device current is obtained by using the Fowler–Nordheim equation for field emission and by integrating the current density over computational cells. A detailed analysis of the results reveals the deflected shapes of the CNTs in an ensemble and the extent to which the initial state of geometry and orientation angles affect the device current. Experimental results confirm these effects.

Modeling the Field Emission Current Fluctuation in Carbon Nanotube Thin Films

Owing to their distinct properties, carbon nanotubes (CNTs) have emerged as promising candidate for field emission devices. It has been found experimentally that the results related to the field emission performance show variability. The design of an efficient field emitting device requires the analysis of the variabilities with a systematic and multiphysics based modeling approach. In this paper, we develop a model of randomly oriented CNTs in a thin film by coupling the field emission phenomena, the electron-phonon transport and the mechanics of single isolated CNT. A computational scheme is developed by which the states of CNTs are updated in time incremental manner. The device current is calculated by using Fowler-Nordheim equation for field emission to study the performance at the device scale.

Mesh Simplification Based on Edge Collapsing Could Improve Computational Efficiency in Near Infrared Optical Tomographic Imaging

The diffusion equation-based modeling of near infrared light propagation in tissue is achieved by using finite-element mesh for imaging real-tissue types, such as breast and brain. The finite-element mesh size (number of nodes) dictates the parameter space in the optical tomographic imaging. Most commonly used finite-element meshing algorithms do not provide the flexibility of distinct nodal spacing in different regions of imaging domain to take the sensitivity of the problem into consideration. This study aims to present a computationally efficient mesh simplification method that can be used as a preprocessing step to iterative image reconstruction, where the finite-element mesh is simplified by using an edge collapsing algorithm to reduce the parameter space at regions where the sensitivity of the problem is relatively low. It is shown, using simulations and experimental phantom data for simple meshes/domains, that a significant reduction in parameter space could be achieved without compromising on the reconstructed image quality. The maximum errors observed by using the simplified meshes were less than 0.27% in the forward problem and 5% for inverse problem.

Multi-agent modelling for the simulation of a simple smart microgrid

The smart grid is a highly complex system that is being formed from the traditional power grid, adding new and sophisticated communication and control devices. This will enable integrating new elements for distributed power generation and also achieving an increasingly automated operation so for actions of the utilities as for customers. In order to model such systems a bottom-up method is followed, using only a few basic elements which are structured into two layers: a physical layer for the electrical power transmission, and one logical layer for element communication. A simple case study is presented to analyse the possibilities of simulation. It shows a microgrid model with dynamic load management and an integrated approach that can process both electrical and communication flows.

Towards a Comprehensive Approach to Quantifying and Mapping Ecosystem Services Flows

25 p.

MAS Ontology: uma ontologia de métodos orientados a agentes

A modelagem orientada a agentes surge como paradigma no desenvolvimento de software, haja vista a quantidade de iniciativas e estudos que remetem à utilização de agentes de software como solução para tratar de problemas mais complexos. Apesar da popularidade de utilização de agentes, especialistas esbarram na falta de universalidade de uma metodologia para construção dos Sistemas Multiagentes (MAS), pois estas acabam pecando pelo excesso ou falta de soluções para modelar o problema. Esta dissertação propõe o uso de uma Ontologia sobre Metodologias Multiagentes, seguindo os princípios da Engenharia de Métodos Situacionais que se propõe a usar fragmentos de métodos para construção de metodologias baseados na especificidade do projeto em desenvolvimento. O objetivo do estudo é sedimentar o conhecimento na área de Metodologias Multiagentes, auxiliando o engenheiro de software a escolher a melhor metodologia ou o melhor fragmento de metodologia capaz de modelar um Sistema Multiagentes.

Modelo de Alocação de Mamógrafos Móveis: Um estudo para a Região Serrana do Estado do Rio de Janeiro.

O Estado do Rio de Janeiro possui indicadores de produção muito baixos na realização de exames de câncer de mama. Na tentativa de melhorar o acesso aos exames, principalmente em regiões com baixa densidade populacional onde a aquisição de mamógrafos não é custo-efetiva, o uso da mamografia móvel é uma alternativa para aumentar a execução de exames de rastreamento de câncer de mama. O objetivo desta pesquisa é a construção de um modelo computacional para definir a alocação de mamógrafos móveis. O Modelo considera as variáveis associadas com os custos e prazos, indicando quando, onde e por quanto tempo, as unidades móveis de mamografia devem permanecer em cada cidade. O modelo foi construído no software de modelagem e simulação Anylogic, usando técnicas de modelagem baseada em agentes. O principal resultado é determinar o percurso de cada veículo disponível, para oferecer a cobertura desejada em cada cidade. Todas as entradas são parametrizadas, permitindo simular diferentes cenários e fornecer informações importantes para o processo de tomada de decisão. O horizonte de tempo, número de mamógrafos (fixos e móveis), a cobertura desejada da população, a capacidade de produção de cada dispositivo, a adesão da população urbana e rural, entre outras variáveis, foram consideradas no modelo. Os dados da Região Serrana do Rio de Janeiro foram usados nas simulações, onde menos de metade das cidades possuem mamógrafos fixos. Com o modelo proposto foi possível determinar a distribuição de cada dispositivo físico e o número ótimo de unidades móveis de mamografia para oferecer cobertura à totalidade da população no ciclo de dois anos. O número de mamógrafos para oferecer cobertura de toda a população da região poderia ser reduzido pela metade com o modelo de alocação proposto neste trabalho. A utilização de mamografia móvel, em conjunto com a rede existente de mamógrafos fixos, procura maximizar a disponibilização de exames de testes de diagnóstico de câncer de mama no estado do Rio de Janeiro. O desenvolvimento de um modelo de roteamento que aperfeiçoa a cobertura de rastreio do câncer de mama é apresentado como um complemento importante na tentativa de melhorar o acesso à população residente em áreas urbanas e rurais dos municípios.

一种基于Agent的自适应的分布式入侵检测系统

针对传统分布式入侵检测系统组件之间依赖程度大、系统不够健壮且入侵检测系统自身结构固定不能适应入侵的变化的问题,提出了一种基于Agent的自适应的分布式入侵检测系统(简称AAA-DIDS)·AAADIDS采用Agent概念重新构造系统的组件,改进了分布式入侵检测系统由于高层节点单一无冗余而产生的可靠性差的缺陷,从构造上克服了分布式入侵检测系统的脆弱性·同时,AAADIDS系统采用智能技术构建了自适应的入侵检测系统模型,增加了系统应对入侵行为变化的智能性·AAA-DIDS系统相对于传统的分布式入侵检测系统有效地提高了系统自身的可靠性和针对外界变化的适应能力·

一种基于Agent的自适应软件过程模型

传统的软件过程模型大多是静态的、机械的、被动的,它们要求软件工程人员在描述软件过程时预期所有可能发生的情况,并且显式地定义这些问题的解决方案.当软件过程所处的环境发生变化时,软件过程无法自适应地对这些变更作出相应的调整.提出了一种基于Agent的自适应软件过程模型.在这种软件过程模型中,软件过程被描述为一组相互独立而对等的实体——软件过程Agent.这些软件过程Agent能够对软件过程环境的变化主动地、自治地作出反应,动态地确定和变更其行为以实现软件开发的目标.

基于Agent的智能交通体系及仿真

交通问题已成为全世界所共同关注的主要问题 ,如何运用现代的科技手段来缓解日益严峻的交通压力 ,是目前研究的重点。该文基于目前交通问题及交通系统发展的现状 ,结合计算机软件技术的最新成果———Agent技术 ,提出了基于Agent技术的智能交通控制的体系结构 ,论述了该结构的优点 ;并根据Agent的特点 ,介绍了运用Agent技术进行交通仿真的优势 ,探讨了具体采用Agent技术进行交通仿真的方法。

一种基于移动Agent的复合Web服务容错模型

现有的Web服务容错侧重于通过扩展Web服务标准来提供容错能力.由于Web服务标准体系本身不断发展变化,并且标准之间的兼容性问题依然存在,使得这些研究成果的可实施性较弱.文章提出一种基于移动Agent的复合Web服务容错模型--MAFTM模型,从系统层次而非标准层次来解决复合Web服务的容错问题.首先说明基于移动Agent的工作流与复合Web服务的关系.在此基础上,给出MAFTM模型,包括故障类型、复制机制、"exactly once"语义和一致性算法,并证明MAFTM模型的正确性.

基于Rete算法的多Agent的实时协同推理

1 引言多Agent系统是由若干具有一个或多个目标的Agent按照一定的信息关系和控制关系以及问题求解能力的分布模式组成的系统,它主要研究一组在逻辑上或物理上分离的Agent之间行为的协调。目前,多Agent系统已应用于诸如空中交通控制、电子商务、通讯网络管理和作业调度等生产实际领域。Agent技术应用到实际领域时映射的对象一般有