Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.

The Random Forest Kernel and other kernels for big data from random partitions

We present Random Partition Kernels, a new class of kernels derived by demonstrating a natural connection between random partitions of objects and kernels between those objects. We show how the construction can be used to create kernels from methods that would not normally be viewed as random partitions, such as Random Forest. To demonstrate the potential of this method, we propose two new kernels, the Random Forest Kernel and the Fast Cluster Kernel, and show that these kernels consistently outperform standard kernels on problems involving real-world datasets. Finally, we show how the form of these kernels lend themselves to a natural approximation that is appropriate for certain big data problems, allowing $O(N)$ inference in methods such as Gaussian Processes, Support Vector Machines and Kernel PCA.

A reversible infinite HMM using normalised random measures

Copyright 2014 by the author(s). We present a nonparametric prior over reversible Markov chains. We use completely random measures, specifically gamma processes, to construct a countably infinite graph with weighted edges. By enforcing symmetry to make the edges undirected we define a prior over random walks on graphs that results in a reversible Markov chain. The resulting prior over infinite transition matrices is closely related to the hierarchical Dirichlet process but enforces reversibility. A reinforcement scheme has recently been proposed with similar properties, but the de Finetti measure is not well characterised. We take the alternative approach of explicitly constructing the mixing measure, which allows more straightforward and efficient inference at the cost of no longer having a closed form predictive distribution. We use our process to construct a reversible infinite HMM which we apply to two real datasets, one from epigenomics and one ion channel recording.

Studies on the adsorption equilibrium and kinetics of pentachlorophenol on suspended particulate matter of Donghu Lake water

In this paper, the adsorption equilibrium and kinetic behaviors of pentachlorophenol (PCP) on suspended particulate matter (SPM) in Donghu Lake water were investigated. The Langmuir and Freundlich adsorption models were applied to describe the equilibrium isotherms and their constants were evaluated. The results indicated that the adsorption of PCP on Donghu Lake SPM followed the Freundlich isotherm. Furthermore, the first order Lagergren rate equation and the pseudo-second order rate equation were used to describe the kinetic behaviors of PCP adsorption on Donghu Lake SPM, the rate constants were determined, and the kinetic process of the adsorption of PCP on Donghu Lake SPM followed the second order kinetic model.

Sequential ultrastructural and biochemical changes induced in vivo by the hepatotoxic microcystins in liver of the phytoplanktivorous silver carp Hypophthalmichthys molitrix

Up to now, in vivo studies on the toxic effects of microcystins (MCs) on the ultrastructures of fish liver have been very limited. The phytoplanktivorous silver carp was injected i.p. with extracted hepatotoxic microcystins (mainly MC-RR and -LR) at a dose of 1000 mu g MC-LReq. kg(-1) body weight, showing a time-dependent ultrastructural change in liver as well as significant increases in enzyme activity of plasma alanine aminotransferase (ALT), aspartate aminotransferase (AST) and lactate dehydrogenase (LDH). We observed for the first time the occurrence of a large amount of activated secondary lysosomes, which might be an adaptive mechanism to eliminate or lessen cell damage caused by MCs through lysosome activation. Quantitative and qualitative determinations of MCs in the liver were conducted by HPLC and LC-MS2, respectively. MCs concentration in the liver reached the maximum (114.20 mu g g(-1) dry weight) after 3 h post-injection, and then rapidly dropped to 7.57 mu g g(-1) dry weight at 48 h, indicating a deputation of 99% accumulated MC-LReq. On the other hand, a decrease trend in glutathione (GSH) concentration was observed in the liver of silver carp while the activity of glutathione S-transferase (GST) increased significantly after injection. The high tolerance of silver carp to MCs might be due to the high basic GSH level in their liver, and/or an increased GSH synthesis. (C) 2007 Elsevier Inc. All rights reserved.

Hydrodynamics in an expanded bed of large size ion-exchange resin, and natural product adsorption

Successful applications of expanded bed adsorption (EBA) technology have been widely reported in the literature for protein purification. Little has been reported on the recovery of natural products and active components of Chinese herbal preparations using EBA technology. In this study, the hydrodynamic behavior in an expanded bed of cation resin, 001 x 7 Styrene-DVB, was investigated. Ephedrine hydrochloride (EH) was used as a model natural product to test the dynamic binding capacity (DBC) in the expanded bed. EBA of EH directly from a feedstock containing powdered herbs has also been investigated. These particles are different from commercially available expanded bed adsorbents by virtue of their large size (20S to 1030 gm). When the adsorbent bed is expanded to approximately 1.3 to 1.5 times its settled bed height, the axial liquid-phase dispersion coefficient was found to be of the order 10(-5) m(2) s(-1), which falls into the range 1.0 x 10(-6) to 1.0 X 10(-5) m(2) s(-1) observed previously in protein purification. Because of the favorable column efficiency (low axial dispersion coefficient), the recovery yield and purification factor values of EH directly from a feedstock reached 86.5% and 18, respectively. The results suggest that EBA technology holds promise for the recovery of natural products and active components of Chinese herbal preparations.

A derivation of the asymptotic random-coding prefactor

This paper studies the subexponential prefactor to the random-coding bound for a given rate. Using a refinement of Gallager's bounding techniques, an alternative proof of a recent result by Altuǧ and Wagner is given, and the result is extended to the setting of mismatched decoding. © 2013 IEEE.

Microfabries of lacustrine sediments to pollutant adsorption from a polluted Eutrophic lake, the Yangtze delta region

Two types of microfabrics relating to pollutant adsorption were studied in the scanning electronic microscope (SEM) in a polluted, eutrophic lake, the Yangtze delta region. Agglutinational texture or the aggregates of small particles are composed of clay minerals and fine organic fragments among the silty grains and the coatings with a thickness about 1 mu m were on the surfaces of the silty grains in the sediments. The chemical constituents of the aggregates and the coatings are K, Na, Ca, Mg, Si, Al, O, Fe, Ti, C, N and P determined in X-ray energy spectrometry connected with the SEM. In some cases, Pb was detected in the aggregates in the top sediment. It is suggested that nutrients and metals are adsorbed to the aggregates, which were formed by electrostatic attraction of physicochemical floes. The coatings on the surface of quartz grains were formed by the interaction of dissociated Al, Si, Fe, etc from silicates with dissolved N, P and C nutrients in interstitial water, which was aroused by human pollution to the lake in recent two decades.

Analysis of steric mass-action model for protein adsorption equilibrium onto porous anion-exchange adsorbent

The ion-exchange equilibrium of bovine serum albumin (BSA) to an anion exchanger, DEAE Spherodex M, has been studied by batch adsorption experiments at pH values ranging from 5.26 to 7.6 and ionic strengths from 10 to 117.1 mmol/l. Using the unadjustable adsorption equilibrium parameters obtained from batch experiments, the applicability of the steric mass-action (SMA) model was analyzed for describing protein ion-exchange equilibrium in different buffer systems. The parametric sensitivity analysis was performed by perturbing each of the model parameters, while holding the rest constant. The simulation results showed that, at high salt concentrations or low pHs close to the isoelectric point of the protein, the precision of the model prediction decreased. Parametric sensitivity analysis showed that the characteristic charge and protein steric factor had the largest effects on ion-exchange equilibrium, while the effect of equilibrium constant was about 70%-95% smaller than those of characteristic charge and steric factor under all conditions investigated. The SMA model with the relationship between the adjusted characteristic charge and the salt concentration can well predict the protein adsorption isotherms in a wide pH range from 5.84 to 7.6. It is considered that the SMA model could be further improved by taking into account the effect of salt concentration on the intermolecular interactions of proteins. (c) 2006 Elsevier Ltd. All rights reserved.

Fabrication and characterization of active and sequential circuits utilizing Schottky-wrap-gate-controlled GaAs hexagonal nanowire network structures

For realization of hexagonal BDD-based digital systems, active and sequential circuits including inverters, flip flops and ring oscillators are designed and fabricated on GaAs-based hexagonal nanowire networks controlled by Schottky wrap gates (WPGs), and their operations are characterized. Fabricated inverters show comparatively high transfer gain of more than 10. Clear and correct operation of hexagonal set-reset flip flops (SR-FFs) is obtained at room temperature. Fabricated hexagonal D-type flip flop (D-FF) circuits integrating twelve WPG field effect transistors (FETs) show capturing input signal by triggering although the output swing is small. Oscillatory output is successfully obtained in a fabricated 7-stage hexagonal ring oscillator. Obtained results confirm that a good possibility to realize practical digital systems can be implemented by the present circuit approach.

A fully three-dimensional atomistic quantum mechanical study on random dopant-induced effects in 25-nm MOSFETs

A fully 3-D atomistic quantum mechanical simulation is presented to study the random dopant-induced effects in nanometer metal-oxide-semiconductor field-effect transistors. The empirical pseudopotential is used to represent the single particle Hamiltonian, and the linear combination of bulk band method is used to solve the million atom Schrodinger equation. The gate threshold fluctuation and lowering due to the discrete dopant configurations are studied. It is found that quantum mechanical effects increase the threshold fluctuation while decreasing the threshold lowering. The increase of threshold fluctuation is in agreement with the researchers' early study based on an approximated density gradient approach. However, the decrease in threshold lowering is in contrast with the density gradient calculations.

An ultra-low power CMOS random number generator

This paper proposes an ultra-low power CMOS random number generator (RING), which is based on an oscillator-sampling architecture. The noisy oscillator consists of a dual-drain MOS transistor, a noise generator and a voltage control oscillator. The dual-drain MOS transistor can bring extra-noise to the drain current or the output voltage so that the jitter of the oscillator is much larger than the normal oscillator. The frequency division ratio of the high-frequency sampling oscillator and the noisy oscillator is small. The RNG has been fabricated in a 0.35 mu m CMOS process. It can produce good quality bit streams without any post-processing. The bit rate of this RNG could be as high as 100 kbps. It has a typical ultra-low power dissipation of 0.91 mu W. This novel circuit is a promising unit for low power system and communication applications. (c) 2007 Elsevier Ltd. All rights reserved.