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.

Habitat use and population dynamics of brown bears (Ursus arctos) in Scandinavia

Large carnivore populations are currently recovering from past extirpation efforts and expanding back into their original habitats. At the same time human activities have resulted in very few wilderness areas left with suitable habitats and size large enough to maintain populations of large carnivores without human contact. Consequently the long-term future of large carnivores depends on their successful integration into landscapes where humans live. Thus, understanding their behaviour and interaction with surrounding habitats is of utmost importance in the development of management strategies for large carnivores. This applies also to brown bears (Ursus arctos) that were almost exterminated from Scandinavia and Finland at the turn of the century, but are now expanding their range with the current population estimates being approximately 2600 bears in Scandinavia and 840 in Finland. This thesis focuses on the large-scale habitat use and population dynamics of brown bears in Scandinavia with the objective to develop modelling approaches that support the management of bear populations. Habitat analysis shows that bear home ranges occur mainly in forested areas with a low level of human influence relative to surrounding areas. Habitat modelling based on these findings allows identification and quantification of the potentially suitable areas for bears in Scandinavia. Additionally, this thesis presents novel improvements to home range estimation that enable realistic estimates of the effective area required for the bears to establish a home range. This is achieved through fitting to the radio-tracking data to establish the amount of temporal autocorrelation and the proportion of time spent in different habitat types. Together these form a basis for the landscape-level management of the expanding population. Successful management of bears requires also assessment of the consequences of harvest on the population viability. An individual-based simulation model, accounting for the sexually selected infanticide, was used to investigate the possibility of increasing the harvest using different hunting strategies, such as trophy harvest of males. The results indicated that the population can sustain twice the current harvest rate. However, harvest should be changed gradually while carefully monitoring the population growth as some effects of increased harvest may manifest themselves only after a time-delay. The results and methodological improvements in this thesis can be applied to the Finnish bear population and to other large carnivores. They provide grounds for the further development of spatially-realistic management-oriented models of brow bear dynamics that can make projections of the future distribution of bears while accounting for the development of human activities.

A flexible tool for integrated planning of active distribution networks

This paper presents a flexible and integrated planning tool for active distribution network to maximise the benefits of having high level s of renewables, customer engagement, and new technology implementations. The tool has two main processing parts: “optimisation” and “forecast”. The “optimization” part is an automated and integrated planning framework to optimize the net present value (NPV) of investment strategy for electric distribution network augmentation over large areas and long planning horizons (e.g. 5 to 20 years) based on a modified particle swarm optimization (MPSO). The “forecast” is a flexible agent-based framework to produce load duration curves (LDCs) of load forecasts for different levels of customer engagement, energy storage controls, and electric vehicles (EVs). In addition, “forecast” connects the existing databases of utility to the proposed tool as well as outputs the load profiles and network plan in Google Earth. This integrated tool enables different divisions within a utility to analyze their programs and options in a single platform using comprehensive information.

Performance estimation of streaming applications for hierarchical MPSoCs

Parallel programming and effective partitioning of applications for embedded many-core architectures requires optimization algorithms. However, these algorithms have to quickly evaluate thousands of different partitions. We present a fast performance estimator embedded in a parallelizing compiler for streaming applications. The estimator combines a single execution-based simulation and an analytic approach. Experimental results demonstrate that the estimator has a mean error of 2.6% and computes its estimation 2848 times faster compared to a cycle accurate simulator.

Light scattering in random media with wavelength-scale structures : astronomical and industrial applications

Light scattering, or scattering and absorption of electromagnetic waves, is an important tool in all remote-sensing observations. In astronomy, the light scattered or absorbed by a distant object can be the only source of information. In Solar-system studies, the light-scattering methods are employed when interpreting observations of atmosphereless bodies such as asteroids, atmospheres of planets, and cometary or interplanetary dust. Our Earth is constantly monitored from artificial satellites at different wavelengths. With remote sensing of Earth the light-scattering methods are not the only source of information: there is always the possibility to make in situ measurements. The satellite-based remote sensing is, however, superior in the sense of speed and coverage if only the scattered signal can be reliably interpreted. The optical properties of many industrial products play a key role in their quality. Especially for products such as paint and paper, the ability to obscure the background and to reflect light is of utmost importance. High-grade papers are evaluated based on their brightness, opacity, color, and gloss. In product development, there is a need for computer-based simulation methods that could predict the optical properties and, therefore, could be used in optimizing the quality while reducing the material costs. With paper, for instance, pilot experiments with an actual paper machine can be very time- and resource-consuming. The light-scattering methods presented in this thesis solve rigorously the interaction of light and material with wavelength-scale structures. These methods are computationally demanding, thus the speed and accuracy of the methods play a key role. Different implementations of the discrete-dipole approximation are compared in the thesis and the results provide practical guidelines in choosing a suitable code. In addition, a novel method is presented for the numerical computations of orientation-averaged light-scattering properties of a particle, and the method is compared against existing techniques. Simulation of light scattering for various targets and the possible problems arising from the finite size of the model target are discussed in the thesis. Scattering by single particles and small clusters is considered, as well as scattering in particulate media, and scattering in continuous media with porosity or surface roughness. Various techniques for modeling the scattering media are presented and the results are applied to optimizing the structure of paper. However, the same methods can be applied in light-scattering studies of Solar-system regoliths or cometary dust, or in any remote-sensing problem involving light scattering in random media with wavelength-scale structures.

Structured systems methodology for evaluation of random interruptions in continuous process type manufacturing systems

A structured systems methodology was developed to analyse the problems of production interruptions occurring at random intervals in continuous process type manufacturing systems. At a macro level the methodology focuses on identifying suitable investment policies to reduce interruptions of a total manufacturing system that is a combination of several process plants. An interruption-tree-based simulation model was developed for macroanalysis. At a micro level the methodology focuses on finding the effects of alternative configurations of individual process plants on the overall system performance. A Markov simulation model was developed for microlevel analysis. The methodology was tested with an industry-specific application.

State Dependent Attempt Rate modeling of single cell IEEE 802.11 WLANs with homogeneous nodes and Poisson packet arrivals

We study a State Dependent Attempt Rate (SDAR) approximation to model M queues (one queue per node) served by the Carrier Sense Multiple Access with Collision Avoidance (CSMA/CA) protocol as standardized in the IEEE 802.11 Distributed Coordination Function (DCF). The approximation is that, when n of the M queues are non-empty, the (transmission) attempt probability of each of the n non-empty nodes is given by the long-term (transmission) attempt probability of n saturated nodes. With the arrival of packets into the M queues according to independent Poisson processes, the SDAR approximation reduces a single cell with non-saturated nodes to a Markovian coupled queueing system. We provide a sufficient condition under which the joint queue length Markov chain is positive recurrent. For the symmetric case of equal arrival rates and finite and equal buffers, we develop an iterative method which leads to accurate predictions for important performance measures such as collision probability, throughput and mean packet delay. We replace the MAC layer with the SDAR model of contention by modifying the NS-2 source code pertaining to the MAC layer, keeping all other layers unchanged. By this model-based simulation technique at the MAC layer, we achieve speed-ups (w.r.t. MAC layer operations) up to 5.4. Through extensive model-based simulations and numerical results, we show that the SDAR model is an accurate model for the DCF MAC protocol in single cells. (C) 2012 Elsevier B.V. All rights reserved.

The evolution of complexity in social organization-A model using dominance-subordinate behavior in two social wasp species

Dominance and subordinate behaviors are important ingredients in the social organizations of group living animals. Behavioral observations on the two eusocial species Ropalidia marginata and Ropalidia cyathiformis suggest varying complexities in their social systems. The queen of R. cyathiformis is an aggressive individual who usually holds the top position in the dominance hierarchy although she does not necessarily show the maximum number of acts of dominance, while the R. marginata queen rarely shows aggression and usually does not hold the top position in the dominance hierarchy of her colony. In R. marginata, more workers are involved in dominance-subordinate interactions as compared to R. cyathiformis. These differences are reflected in the distribution of dominance-subordinate interactions among the hierarchically ranked individuals in both the species. The percentage of dominance interactions decreases gradually with hierarchical ranks in R. marginata while in R. cyathiformis it first increases and then decreases. We use an agent-based model to investigate the underlying mechanism that could give rise to the observed patterns for both the species. The model assumes, besides some non-interacting individuals, the interaction probabilities of the agents depend on their pre-differentiated winning abilities. Our simulations show that if the queen takes up a strategy of being involved in a moderate number of dominance interactions, one could get the pattern similar to R. cyathiformis, while taking up the strategy of very low interactions by the queen could lead to the pattern of R. marginata. We infer that both the species follow a common interaction pattern, while the differences in their social organization are due to the slight changes in queen as well as worker strategies. These changes in strategies are expected to accompany the evolution of more complex societies from simpler ones.

Governing the local networks in Indian agrarian societies-an MAS perspective

In a networked society, governing advocacy groups and networks through decentralized systems of policy implementation has been the interest of governance network literature. This paper addresses the topic of governing networks in the context of Indian agrarian societies by taking the case example of a welfare scheme for the Indian rural poor. We explore context-specific regulatory dynamics through the situated agent based architectural framework. The effects of various regulatory strategies that can be adopted by governing node are tested under various action arenas through experimental design. Results show the impact of regulatory strategies on the resource dependencies and asymmetries in the network relationships. This indicates that the optimal feasible regulatory strategy in networked society is institutionally rational and is context dependent. Further, we show that situated MAS architecture is a natural fit for institutional understanding of the dynamics (Ostrom et al. in Rules, games, and common-pool resources, 1994).

FIELD EMISSION EFFICIENCY OF A CARBON NANOTUBE ARRAY UNDER PARASITIC NONLINEARITIES

Carbon Nanotubes (CNTs) grown on substrates are potential electron sources in field emission applications. Several studies have reported the use of CNTs in field emission devices, including field emission displays, X-ray tube, electron microscopes, cathode-ray lamps, etc. Also, in recent years, conventional cold field emission cathodes have been realized in micro-fabricated arrays for medical X-ray imaging. CNTbased field emission cathode devices have potential applications in a variety of industrial and medical applications, including cancer treatment. Field emission performance of a single isolated CNT is found to be remarkable, but the situation becomes complex when an array of CNTs is used. At the same time, use of arrays of CNTs is practical and economical. Indeed, such arrays on cathode substrates can be grown easily and their collective dynamics can be utilized in a statistical sense such that the average emission intensity is high enough and the collective dynamics lead to longer emission life. The authors in their previous publications had proposed a novel approach to obtain stabilized field emission current from a stacked CNT array of pointed height distribution. A mesoscopic modeling technique was employed, which took into account electro-mechanical forces in the CNTs, as well as transport of conduction electron coupled with electron phonon induced heat generation from the CNT tips. The reported analysis of pointed arrangements of the array showed that the current density distribution was greatly localized in the middle of the array, the scatter due to electrodynamic force field was minimized, and the temperature transients were much smaller compared to those in an array with random height distribution. In the present paper we develop a method to compute the emission efficiency of the CNT array in terms of the amount of electrons hitting the anode surface using trajectory calculations. Effects of secondary electron emission and parasitic capacitive nonlinearity on the current-voltage signals are accounted. Field emission efficiency of a stacked CNT array with various pointed height distributions are compared to that of arrays with random and uniform height distributions. Effect of this parasitic nonlinearity on the emission switch-on voltage is estimated by model based simulation and Monte Carlo method.

Charge Injection through Nanocomposite Electrode in Microfluidic Channel for Electrical Lysis of Biological Cells

Several concepts have been developed in the recent years for nanomaterial based integrated MEMS platform in order to accelerate the process of biological sample preparation followed by selective screening and identification of target molecules. In this context, there exist several challenges which need to be addressed in the process of electrical lysis of biological cells. These are due to (i) low resource settings while achieving maximal lysis (ii) high throughput of target molecules to be detected (iii) automated extraction and purification of relevant molecules such as DNA and protein from extremely small volume of sample (iv) requirement of fast, accurate and yet scalable methods (v) multifunctionality toward process monitoring and (vi) downward compatibility with already existing diagnostic protocols. This paper reports on the optimization of electrical lysis process based on various different nanocomposite coated electrodes placed in a microfluidic channel. The nanocomposites are synthesized using different nanomaterials like Zinc nanorod dispersion in polymer. The efficiency of electrical lysis with various different electrode coatings has been experimentally verified in terms of DNA concentration, amplification and protein yield. The influence of the coating thickness on the injection current densities has been analyzed. We further correlate experimentally the current density vs. voltage relationship with the extent of bacterial cell lysis. A coupled multiphysics based simulation model is used to predict the cell trajectories and lysis efficiencies under various electrode boundary conditions as estimated from experimental results. Detailed in-situ fluorescence imaging and spectroscopy studies are performed to validate various hypotheses.

An insight into real-time performance assessment of a building integrated photovoltaic (BIPV) installation in Bangalore (India)

Building integrated photovoltaic (BIPV) applications are gaining widespread popularity. The performance of any given BIPV system is dependent on prevalent meteorological factors, site conditions and system characteristics. Investigations pertaining to the performance assessment of photovoltaic (PV) systems are generally confined to either controlled environment-chambers or computer-based simulation studies. Such investigations fall short of providing a realistic insight into how a PV system actually performs real-time. Solar radiation and the PV cell temperature are amongst the most crucial parameters affecting PV output. The current paper deals with the real-time performance assessment of a recently commissioned 5.25 kW, BIPV system installed at the Center for Sustainable Technologies, Indian Institute of Science, Bangalore. The overall average system efficiency was found to be 6% for the period May 2011-April 2012. This paper provides a critical appraisal of PV system performance based on ground realities, particularly characteristic to tropical (moderate) regions such as Bangalore, India. (C) 2013 International Energy Initiative. Published by Elsevier Inc. All rights reserved.

Computational framework to integrate the effect of antigen recognition on disease epidemiology outcome: multi-scale approach

Human Leukocyte Antigen (HLA) plays an important role, in presenting foreign pathogens to our immune system, there by eliciting early immune responses. HLA genes are highly polymorphic, giving rise to diverse antigen presentation capability. An important factor contributing to enormous variations in individual responses to diseases is differences in their HLA profiles. The heterogeneity in allele specific disease responses decides the overall disease epidemiological outcome. Here we propose an agent based computational framework, capable of incorporating allele specific information, to analyze disease epidemiology. This framework assumes a SIR model to estimate average disease transmission and recovery rate. Using epitope prediction tool, it performs sequence based epitope detection for a given the pathogenic genome and derives an allele specific disease susceptibility index depending on the epitope detection efficiency. The allele specific disease transmission rate, that follows, is then fed to the agent based epidemiology model, to analyze the disease outcome. The methodology presented here has a potential use in understanding how a disease spreads and effective measures to control the disease.

In-cylinder investigations and analysis of a SI gas engine fuelled with H-2 and CO rich syngas fuel: Sensitivity analysis of combustion descriptors for engine diagnostics and control

The sensitivity of combustion phasing and combustion descriptors to ignition timing, load and mixture quality on fuelling a multi-cylinder natural gas engine with bio-derived H-2 and CO rich syngas is addressed. While the descriptors for conventional fuels are well established and are in use for closed loop engine control, presence of H-2 in syngas potentially alters the mixture properties and hence combustion phasing, necessitating the current study. The ability of the descriptors to predict abnormal combustion, hitherto missing in the literature, is also addressed. Results from experiments using multi-cylinder engines and numerical studies using zero dimensional Wiebe function based simulation models are reported. For syngas with 20% H-2 and CO and 2% CH4 (producer gas), an ignition retard of 5 +/- 1 degrees was required compared to natural gas ignition timing to achieve peak load of 72.8 kWe. It is found that, for syngas, whose flammability limits are 0.42-1.93, the optimal engine operation was at an equivalence ratio of 1.12. The same methodology is extended to a two cylinder engine towards addressing the influence of syngas composition, especially H-2 fraction (varying from 13% to 37%), on the combustion phasing. The study confirms the utility of pressure trace derived combustion descriptors, except for the pressure trace first derivative, in describing the MBT operating condition of the engine when fuelled with an alternative fuel. Both experiments and analysis suggest most of the combustion descriptors to be independent of the engine load and mixture quality. A near linear relationship with ignition angle is observed. The general trend(s) of the combustion descriptors for syngas fuelled operation are similar to those of conventional fuels; the differences in sensitivity of the descriptors for syngas fuelled engine operation requires re-calibration of control logic for MBT conditions. Copyright (C) 2014, Hydrogen Energy Publications, LLC. Published by Elsevier Ltd. All rights reserved.

An Optimizing Code Generator for a Class of Lattice-Boltzmann Computations

The Lattice-Boltzmann method (LBM), a promising new particle-based simulation technique for complex and multiscale fluid flows, has seen tremendous adoption in recent years in computational fluid dynamics. Even with a state-of-the-art LBM solver such as Palabos, a user has to still manually write the program using library-supplied primitives. We propose an automated code generator for a class of LBM computations with the objective to achieve high performance on modern architectures. Few studies have looked at time tiling for LBM codes. We exploit a key similarity between stencils and LBM to enable polyhedral optimizations and in turn time tiling for LBM. We also characterize the performance of LBM with the Roofline performance model. Experimental results for standard LBM simulations like Lid Driven Cavity, Flow Past Cylinder, and Poiseuille Flow show that our scheme consistently outperforms Palabos-on average by up to 3x while running on 16 cores of an Intel Xeon (Sandybridge). We also obtain an improvement of 2.47x on the SPEC LBM benchmark.