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.

National and sub-national assessments of soil organic carbon stocks and changes: The GEFSOC modelling system

Soil organic carbon (SOC) plays a vital role in ecosystem function, determining soil fertility, water holding capacity and susceptibility to land degradation. In addition, SOC is related to atmospheric CO, levels with soils having the potential for C release or sequestration, depending on land use, land management and climate. The United Nations Convention on Climate Change and its Kyoto Protocol, and other United Nations Conventions to Combat Desertification and on Biodiversity all recognize the importance of SOC and point to the need for quantification of SOC stocks and changes. An understanding of SOC stocks and changes at the national and regional scale is necessary to further our understanding of the global C cycle, to assess the responses of terrestrial ecosystems to climate change and to aid policy makers in making land use/management decisions. Several studies have considered SOC stocks at the plot scale, but these are site specific and of limited value in making inferences about larger areas. Some studies have used empirical methods to estimate SOC stocks and changes at the regional scale, but such studies are limited in their ability to project future changes, and most have been carried out using temperate data sets. The computational method outlined by the Intergovernmental Panel on Climate Change (IPCC) has been used to estimate SOC stock changes at the regional scale in several studies, including a recent study considering five contrasting eco regions. This 'one step' approach fails to account for the dynamic manner in which SOC changes are likely to occur following changes in land use and land management. A dynamic modelling approach allows estimates to be made in a manner that accounts for the underlying processes leading to SOC change. Ecosystem models, designed for site scale applications can be linked to spatial databases, giving spatially explicit results that allow geographic areas of change in SOC stocks to be identified. Some studies have used variations on this approach to estimate SOC stock changes at the sub-national and national scale for areas of the USA and Europe and at the watershed scale for areas of Mexico and Cuba. However, a need remained for a national and regional scale, spatially explicit system that is generically applicable and can be applied to as wide a range of soil types, climates and land uses as possible. The Global Environment Facility Soil Organic Carbon (GEFSOC) Modelling System was developed in response to this need. The GEFSOC system allows estimates of SOC stocks and changes to be made for diverse conditions, providing essential information for countries wishing to take part in an emerging C market, and bringing us closer to an understanding of the future role of soils in the global C cycle. (C) 2007 Elsevier B.V. All rights reserved.

The emergence and use of diagramming in system dynamics: a critical account

The paper reviews the leading diagramming methods employed in system dynamics to communicate the contents of models. The main ideas and historical development of the field are first outlined. Two diagramming methods—causal loop diagrams (CLDs) and stock/flow diagrams (SFDs)—are then described and their advantages and limitations discussed. A set of broad research directions is then outlined. These concern: the abilities of different diagrams to communicate different ideas, the role that diagrams have in group model building, and the question of whether diagrams can be an adequate substitute for simulation modelling. The paper closes by suggesting that although diagrams alone are insufficient, they have many benefits. However, since these benefits have emerged only as ‘craft wisdom’, a more rigorous programme of research into the diagrams' respective attributes is called for.

System dynamics mapping of acute patient flows

Department of Health staff wished to use systems modelling to discuss acute patient flows with groups of NHS staff. The aim was to assess the usefulness of system dynamics (SD) in a healthcare context and to elicit proposals concerning ways of improving patient experience. Since time restrictions excluded simulation modelling, a hybrid approach using stock/flow symbols from SD was created. Initial interviews and hospital site visits generated a series of stock/flow maps. A ‘Conceptual Framework’ was then created to introduce the mapping symbols and to generate a series of questions about different patient paths and what might speed or slow patient flows. These materials formed the centre of three workshops for NHS staff. The participants were able to propose ideas for improving patient flows and the elicited data was subsequently employed to create a finalized suite of maps of a general acute hospital. The maps and ideas were communicated back to the Department of Health and subsequently assisted the work of the Modernization Agency.

INVENTORY CONTROL SYSTEM : Optimization of production system and reliability

The main idea of this research to solve the problem of inventory management for the paper industry SPM PVT limited. The aim of this research was to find a methodology by which the inventory of raw material could be kept at minimum level by means of buffer stock level.The main objective then lies in finding the minimum level of buffer stock according to daily consumption of raw material, finding the Economic Order Quantity (EOQ) reorders point and how much order will be placed in a year to control the shortage of raw material.In this project, we discuss continuous review model (Deterministic EOQ models) that includes the probabilistic demand directly in the formulation. According to the formula, we see the reorder point and the order up to model. The problem was tackled mathematically as well as simulation modeling was used where mathematically tractable solution was not possible.The simulation modeling was done by Awesim software for developing the simulation network. This simulation network has the ability to predict the buffer stock level based on variable consumption of raw material and lead-time. The data collection for this simulation network is taken from the industrial engineering personnel and the departmental studies of the concerned factory. At the end, we find the optimum level of order quantity, reorder point and order days.

Energy Efficiency through Thermal Energy Storage : Possibilities for the Swedish Building Stock

The need for heating and cooling in buildings constitutes a considerable part of the total energy use in a country and reducing this need is of outmost importance in order to reach national and international goals for reducing energy use and emissions. One important way of reaching these goals is to increase the proportion of renewable energy used for heating and cooling of buildings. Perhaps the largest obstacle with this is the often occurring mismatch between the availability of renewable energy and the need for heating or cooling, hindering this energy to be used directly. This is one of the problems that can be solved by using thermal energy storage (TES) in order to save the heat or cold from when it is available to when it is needed. This thesis is focusing on the combination of TES techniques and buildings to achieve increased energy efficiency for heating and cooling. Various techniques used for TES as well as the combination of TES in buildings have been investigated and summarized through an extensive literature review. A survey of the Swedish building stock was also performed in order to define building types common in Sweden. Within the scope of this thesis, the survey resulted in the selection of three building types, two single family houses and one office building, out of which the two residential buildings were used in a simulation case study of passive TES with increased thermal mass (both sensible and latent). The second case study presented in the thesis is an evaluation of an existing seasonal borehole storage of solar heat for a residential community. In this case, real measurement data was used in the evaluation and in comparisons with earlier evaluations. The literature reviews showed that using TES opens up potential for reduced energy demand and reduced peak heating and cooling loads as well as possibilities for an increased share of renewable energy to cover the energy demand. By using passive storage through increased thermal mass of a building it is also possible to reduce variations in the indoor temperature and especially reduce excess temperatures during warm periods, which could result in avoiding active cooling in a building that would otherwise need it. The analysis of the combination of TES and building types confirmed that TES has a significant potential for increased energy efficiency in buildings but also highlighted the fact that there is still much research required before some of the technologies can become commercially available. In the simulation case study it was concluded that only a small reduction in heating demand is possible with increased thermal mass, but that the time with indoor temperatures above 24 °C can be reduced by up to 20%. The case study of the borehole storage system showed that although the storage system worked as planned, heat losses in the rest of the system as well as some problems with the system operation resulted in a lower solar fraction than projected. The work presented within this thesis has shown that TES is already used successfully for many building applications (e.g. domestic hot water stores and water tanks for storing solar heat) but that there still is much potential in further use of TES. There are, however, barriers such as a need for more research for some storage technologies as well as storage materials, especially phase change material storage and thermochemical storage.

Solcellsdrivet FTX-system för miljonprogramshus : Tjärna Ängar, Borlänge

Projektet omfattade undersökning och framtagande av ett solcellssystem med förmåga att försörja ett FTX-system i ett flerbostadshus från miljonprogrammet med el. För att kunna bedöma storlek och utformning av komponenter har information tagits genom: Informationssökning via databaser, kurslitteratur och intervjuer Simuleringar av solceller i datorprogrammet PVSYST Modulering av ventilationskanaler i datorprogrammet MagiCAD Syftet var främst att undersöka om det gick att få fram ett teoretiskt fungerande system med avseende på både solceller och ventilation. Beroende på vad resultatet blev skulle även ekonomin i projektet undersökas. Undersökningen visade att det teoretiskt ska gå att installera solceller för elframställning som klarar av att täcka FTX-systemets elbehov på årsbasis. Solcellerna bedöms även producera tillräckligt med el för viss övrig elkrävande utrustning under stora delar av året. Det visade sig även att det skulle gå att få solcellerna ekonomiskt lönsamma om en kalkyltid på 14 år används. Metoden som använts för dessa resultat är noga beskriven och är med små förändringar tillämpbar för ett stort antal byggnader i det svenska byggnadsbeståndet. En viktig slutsats är att om fastighetsägarna kan se 15 år fram i tiden för en investering i solenergi, skulle det innebära inte bara miljömässiga utan även ekonomiska vinster. Det finns redan idag kunnande, teknik och produkter för att utvinna en stor del av fastigheternas elbehov genom solens energi.

Tayloring Brazil: a system dynamics model for monetary policy feedback

The thesis introduces a system dynamics Taylor rule model of new Keynesian nature for monetary policy feedback in Brazil. The nonlinear Taylor rule for interest rate changes con-siders gaps and dynamics of GDP growth and inflation. The model closely tracks the 2004 to 2011 business cycle and outlines the endogenous feedback between the real interest rate, GDP growth and inflation. The model identifies a high degree of endogenous feedback for monetary policy and inflation, while GDP growth remains highly exposed to exogenous eco-nomic conditions. The results also show that the majority of the monetary policy moves during the sample period was related to GDP growth, despite higher coefficients of inflation parameters in the Taylor rule. This observation challenges the intuition that inflation target-ing leads to a dominance of monetary policy moves with respect to inflation. Furthermore, the results suggest that backward looking price-setting with respect to GDP growth has been the dominant driver of inflation. Moreover, simulation exercises highlight the effects of the new BCB strategy initiated in August 2011 and also consider recession and inflation avoid-ance versions of the Taylor rule. In methodological terms, the Taylor rule model highlights the advantages of system dynamics with respect to nonlinear policies and to the stock-and-flow approach. In total, the strong historical fit and some counterintuitive observations of the Taylor rule model call for an application of the model to other economies.

The impact on the stationary state income of a pay-as-you-go system of social security

A model of overlapping generations in continuous time is composed. IndividuaIs pass through two distinct time periods during their life times. During the first period, they work, save and have a death probability equal to zero. During the second, from the periods T after birth, their probability of death changes to p and then they retire. Capital stock and the stationary state in come are calculated for two situations: in the first, people live from their accumulated capital after retirementj in the second, they live from a state transfer payment through income taxo To simplify matters, in this preliminary version, it is supposed that there is no population growth and that the instantaneous elasticity substitution of consumption is unitary.

Effect of wounds applied to the bases of herbaceous cuttings on the rooting of four Japanese apricot clones (Prunus mume Sieb. et Zucc.) in an intermittent mist system

The Japanese apricot (Prunus mume Sieb. et Zucc.) is a fruit tree of the Rosaceae family which produces very acid and bitter fruits, highly appreciated by Orientals. In Brazil, this species has been studied as a rootstock for peach and nectarine trees, its main advantage being the reduction in plant vigour, which can favour the production of compact trees and orchard cultural treatments. This study was conducted in the Vegetable Production Department of FCAV/UNESP, Jaboticabal Campus, São Paulo State, Brazil, and the objective was to examine the effect of wounding the herbaceous cutting bases on the rooting of four Japanese apricot clones. The clones were obtained from plants under cultivation in the Instituto Agronomico de Campinas, Brazil, and were identified as Clones 02, 05, 10 and 15. The stock plants, obtained through herbaceous cuttings, were maintained under lath house conditions (50% of natural light). Cuttings 12 cm long with 3 to 5 leaves were collected from these clones and prepared. The experiment was carried out in a completely randomised design with 4 repetitions of 20 cuttings per replication, in a factorial 4 x 2 design, the clone factor having 4 levels (Clones 02, 05, 10 and 15) and the wounding factor at 2 levels of incisions into the cutting base (with and without). All the cuttings were treated with 2000 mg.L-1 of IBA for five seconds. Differences between the clones were observed concerning the rooting percentage, dead cuttings, number and length of roots. The incision (wound) at the base of the herbaceous cuttings of the Japanese apricot increased the number of roots and improved the distribution of these in the damaged tissue but the results were not considered sufficiently beneficial to make the treatment worthwhile.

The infuence of production systems in postponement make-to-stock compagny in the graphic industry

The supply chain management, postponement and demand management operations are of strategic importance to the economic success of organizations because they directly influence the production process. The aim of this paper is to analyze the influence of the postponement in an enterprise production system with make-to-stock and with seasonal demand. The research method used was a case study, the instruments of data collection were semi-structured interviews, document analysis and site visits. The research is based on the following issues: Demand Management which can be understood as a practice that allows you to manage and coordinate the supply chain in reverse, in which consumers trigger actions for the delivery of products. The Supply Chain Management is able to allow the addition of value, exceeding the expectations of consumers, developing a relationship with suppliers and customer's win-win. The Postponement strategy must fit the characteristics of markets that require variety of customized products and services, lower cost and higher quality, aiming to support decision making. The production system make-to-stock shows enough interest to organizations that are operating in markets with high demand variability. © 2011 IEEE.

A gestão de estoques em sistemas produtivos Engineering-To-Order e Make-To-Stock: estudo de casos em empresas do setor gráfico

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

System size and energy dependence of near-side dihadron correlations

Two-particle azimuthal (Delta phi) and pseudorapidity (Delta eta) correlations using a trigger particle with large transverse momentum (p(T)) in d+Au, Cu+Cu, and Au+Au collisions at root s(NN) = 62.4 GeV and 200 GeV from the STAR experiment at the Relativistic Heavy Ion Collider are presented. The near-side correlation is separated into a jet-like component, narrow in both Delta phi and Delta eta, and the ridge, narrow in Delta phi but broad in Delta eta. Both components are studied as a function of collision centrality, and the jet-like correlation is studied as a function of the trigger and associated p(T). The behavior of the jet-like component is remarkably consistent for different collision systems, suggesting it is produced by fragmentation. The width of the jet-like correlation is found to increase with the system size. The ridge, previously observed in Au+Au collisions at root s(NN) = 200 GeV, is also found in Cu+Cu collisions and in collisions at root s(NN) = 62.4 GeV, but is found to be substantially smaller at root s(NN) = 62.4 GeV than at root s(NN) = 200 GeV for the same average number of participants (< N-part >). Measurements of the ridge are compared to models.

Energy and system-size dependence of two- and four-particle nu(2) measurements in heavy-ion collisions at root S-NN=62.4 and 200 GeV and their implications on flow fluctuations and nonflow

We present STAR measurements of azimuthal anisotropy by means of the two- and four-particle cumulants nu(2) (nu(2){2} and nu(2){4}) for Au + Au and Cu + Cu collisions at center-of-mass energies root S-NN = 62.4 and 200 GeV. The difference between nu(2){2}(2) and nu(2){4}(2) is related to nu(2) fluctuations (sigma(nu 2)) and nonflow (delta(2)). We present an upper limit to sigma(nu 2)/nu 2. Following the assumption that eccentricity fluctuations sigma(epsilon) dominate nu(2) fluctuations nu(2)/sigma nu(2) approximate to epsilon/sigma epsilon we deduce the nonflow implied for several models of eccentricity fluctuations that would be required for consistency with nu(2){2} and nu(2){4}. We also present results on the ratio of nu(2) to eccentricity.

Biophysical interactions in the Cabo Frio upwelling system, southeastern Brazil

The rising of cold water from deeper levels characterizes coastal upwelling systems. This flow makes nutrients available in the euphotic layer, which enhances phytoplankton production and growth. On the Brazilian coast, upwelling is most intense in the Cabo Frio region (RJ). The basic knowledge of this system was reviewed in accordance with concepts of biophysical interactions. The high frequency and amplitude of the prevailing winds are the main factor promoting the rise of South Atlantic Central Water, but meanders and eddies in the Brazil Current as well as local topography and coast line are also important. Upwelling events are common during spring/summer seasons. Primary biomass is exported by virtue of the water circulation and is also controlled by rapid zooplankton predation. Small pelagic fish regulate plankton growth and in their turn are preyed on by predatory fish. Sardine furnishes an important regional fish stock. Shoreline irregularities define the embayment formation of the Marine Extractive Reserve of Arraial do Cabo making it an area with evident different intensities of upwelled water that harbors high species diversity. Consequently, on a small spatial scale there are environments with tropical and subtropical features, a point to be explored as a particularity of this ecosystem.