Profundidade de mercado na BM&FBovespa: um modelo de alta frequência para estimação da profundidade de mercado da BM&FBovespa

O objetivo desse trabalho é encontrar uma medida dinâmica de liquidez de ações brasileiras, chamada VNET. Foram utilizados dados de alta frequência para criar um modelo capaz de medir o excesso de compras e vendas associadas a um movimento de preços. Ao variar no tempo, o VNET pode ser entendido como a variação da proporção de agentes informados em um modelo de informação assimétrica. Uma vez estimado, ele pode ser utilizado para prever mudanças na liquidez de uma ação. O VNET tem implicações práticas importantes, podendo ser utilizado por operadores como uma medida estocástica para identificar quais seriam os melhores momentos para operar. Gerentes de risco também podem estimar a deterioração de preço esperada ao se liquidar uma posição, sendo possível analisar suas diversas opções, servindo de base para otimização da execução. Na construção do trabalho encontramos as durações de preço de cada ação e as diversas medidas associadas a elas. Com base nos dados observa-se que a profundidade varia com ágio de compra e venda, com o volume negociado, com o numero de negócios, com a duração de preços condicional e com o seu erro de previsão. Os resíduos da regressão de VNET se mostraram bem comportados o que corrobora a hipótese de que o modelo foi bem especificado. Para estimar a curva de reação do mercado, variamos os intervalos de preço usados na definição das durações.

Transaction scheduling using dynamic conflict avoidance

Software transaction memory (STM) systems have been used as an approach to improve performance, by allowing the concurrent execution of atomic blocks. However, under high-contention workloads, STM-based systems can considerably degrade performance, as transaction conflict rate increases. Contention management policies have been used as a way to select which transaction to abort when a conflict occurs. In general, contention managers are not capable of avoiding conflicts, as they can only select which transaction to abort and the moment it should restart. Since contention managers act only after a conflict is detected, it becomes harder to effectively increase transaction throughput. More proactive approaches have emerged, aiming at predicting when a transaction is likely to abort, postponing its execution. Nevertheless, most of the proposed proactive techniques are limited, as they do not replace the doomed transaction by another or, when they do, they rely on the operating system for that, having little or no control on which transaction to run. This article proposes LUTS, a lightweight user-level transaction scheduler. Unlike other techniques, LUTS provides the means for selecting another transaction to run in parallel, thus improving system throughput. We discuss LUTS design and propose a dynamic conflict-avoidance heuristic built around its scheduling capabilities. Experimental results, conducted with the STAMP and STMBench7 benchmark suites, running on TinySTM and SwissTM, show how our conflict-avoidance heuristic can effectively improve STM performance on high contention applications. © 2012 Springer Science+Business Media, LLC.

SimSight: A Virtual Machine Based Dynamic Call Graph Generator

One problem with using component-based software development approach is that once software modules are reused over generations of products, they form legacy structures that can be challenging to understand, making validating these systems difficult. Therefore, tools and methodologies that enable engineers to see interactions of these software modules will enhance their ability to make these software systems more dependable. To address this need, we propose SimSight, a framework to capture dynamic call graphs in Simics, a widely adopted commercial full-system simulator. Simics is a software system that simulates complete computer systems. Thus, it performs nearly identical tasks to a real system but at a much lower speed while providing greater execution observability. We have implemented SimSight to generate dynamic call graphs of statically and dynamically linked functions in x86/Linux environment. A case study illustrates how we can use SimSight to identify sources of software errors. We then evaluate its performance using 12 integer programs from SPEC CPU2006 benchmark suite.

Test Blueprints - Exposing Side Effects in Execution Traces to Support Writing Unit Tests

Writing unit tests for legacy systems is a key maintenance task. When writing tests for object-oriented programs, objects need to be set up and the expected effects of executing the unit under test need to be verified. If developers lack internal knowledge of a system, the task of writing tests is non-trivial. To address this problem, we propose an approach that exposes side effects detected in example runs of the system and uses these side effects to guide the developer when writing tests. We introduce a visualization called Test Blueprint, through which we identify what the required fixture is and what assertions are needed to verify the correct behavior of a unit under test. The dynamic analysis technique that underlies our approach is based on both tracing method executions and on tracking the flow of objects at runtime. To demonstrate the usefulness of our approach we present results from two case studies.

Taking an Object-Centric View on Dynamic Information with Object Flow Analysis

A large body of research analyzes the runtime execution of a system to extract abstract behavioral views. Those approaches primarily analyze control flow by tracing method execution events or they analyze object graphs of heap snapshots. However, they do not capture how objects are passed through the system at runtime. We refer to the exchange of objects as the object flow, and we claim that object flow is necessary to analyze if we are to understand the runtime of an object-oriented application. We propose and detail Object Flow Analysis, a novel dynamic analysis technique that takes this new information into account. To evaluate its usefulness, we present a visual approach that allows a developer to study classes and components in terms of how they exchange objects at runtime. We illustrate our approach on three case studies.

ICOMF: Towards a Multi-cloud Ecosystem for Dynamic Resource Composition and Scaling

Modern cloud-based applications and infrastructures may include resources and services (components) from multiple cloud providers, are heterogeneous by nature and require adjustment, composition and integration. The specific application requirements can be met with difficulty by the current static predefined cloud integration architectures and models. In this paper, we propose the Intercloud Operations and Management Framework (ICOMF) as part of the more general Intercloud Architecture Framework (ICAF) that provides a basis for building and operating a dynamically manageable multi-provider cloud ecosystem. The proposed ICOMF enables dynamic resource composition and decomposition, with a main focus on translating business models and objectives to cloud services ensembles. Our model is user-centric and focuses on the specific application execution requirements, by leveraging incubating virtualization techniques. From a cloud provider perspective, the ecosystem provides more insight into how to best customize the offerings of virtualized resources.

Cellular dynamic simulator: an event driven molecular simulation environment for cellular physiology.

In this paper, we present the Cellular Dynamic Simulator (CDS) for simulating diffusion and chemical reactions within crowded molecular environments. CDS is based on a novel event driven algorithm specifically designed for precise calculation of the timing of collisions, reactions and other events for each individual molecule in the environment. Generic mesh based compartments allow the creation / importation of very simple or detailed cellular structures that exist in a 3D environment. Multiple levels of compartments and static obstacles can be used to create a dense environment to mimic cellular boundaries and the intracellular space. The CDS algorithm takes into account volume exclusion and molecular crowding that may impact signaling cascades in small sub-cellular compartments such as dendritic spines. With the CDS, we can simulate simple enzyme reactions; aggregation, channel transport, as well as highly complicated chemical reaction networks of both freely diffusing and membrane bound multi-protein complexes. Components of the CDS are generally defined such that the simulator can be applied to a wide range of environments in terms of scale and level of detail. Through an initialization GUI, a simple simulation environment can be created and populated within minutes yet is powerful enough to design complex 3D cellular architecture. The initialization tool allows visual confirmation of the environment construction prior to execution by the simulator. This paper describes the CDS algorithm, design implementation, and provides an overview of the types of features available and the utility of those features are highlighted in demonstrations.

Dynamic Unicast: Information-Centric Multi-hop Routing for Mobile Ad-hoc Networks

Abstract Information-centric networking (ICN) offers new perspectives on mobile ad-hoc communication because routing is based on names but not on endpoint identifiers. Since every content object has a unique name and is signed, authentic content can be stored and cached by any node. If connectivity to a content source breaks, it is not necessarily required to build a new path to the same source but content can also be retrieved from a closer node that provides the same content copy. For example, in case of collisions, retransmissions do not need to be performed over the entire path but due to caching only over the link where the collision occurred. Furthermore, multiple requests can be aggregated to improve scalability of wireless multi-hop communication. In this work, we base our investigations on Content-Centric Networking (CCN), which is a popular {ICN} architecture. While related works in wireless {CCN} communication are based on broadcast communication exclusively, we show that this is not needed for efficient mobile ad-hoc communication. With Dynamic Unicast requesters can build unicast paths to content sources after they have been identified via broadcast. We have implemented Dynamic Unicast in CCNx, which provides a reference implementation of the {CCN} concepts, and performed extensive evaluations in diverse mobile scenarios using NS3-DCE, the direct code execution framework for the {NS3} network simulator. Our evaluations show that Dynamic Unicast can result in more efficient communication than broadcast communication, but still supports all {CCN} advantages such as caching, scalability and implicit content discovery.

Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis

The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of daily currency depreciation on stock market returns for five newly emerging East Asian stock markets during the Asian financial crisis. The evidence shows that the conditional variances of stock market returns and depreciation rates exhibit time-varying characteristics for all countries. Domestic currency depreciation and its uncertainty adversely affects stock market returns across countries. The significant effects of foreign exchange market events on stock market returns suggest that international fund managers who invest in the newly emerging East Asian stock markets must evaluate the value and stability of the domestic currency as a part of their stock market investment decisions.

Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience

This paper explores the dynamic linkages that portray different facets of the joint probability distribution of stock market returns in NAFTA (i.e., Canada, Mexico, and the US). Our examination of interactions of the NAFTA stock markets considers three issues. First, we examine the long-run relationship between the three markets, using cointegration techniques. Second, we evaluate the dynamic relationships between the three markets, using impulse-response analysis. Finally, we explore the volatility transmission process between the three markets, using a variety of multivariate GARCH models. Our results also exhibit significant volatility transmission between the second moments of the NAFTA stock markets, albeit not homogenous. The magnitude and trend of the conditional correlations indicate that in the last few years, the Mexican stock market exhibited a tendency toward increased integration with the US market. Finally, we do note that evidence exists that the Peso and Asian financial crises as well as the stock-market crash in the US affect the return and volatility time-series relationships.

Parallel execution of Prolog programs: a survey

Since the early days of logic programming, researchers in the field realized the potential for exploitation of parallelism present in the execution of logic programs. Their high-level nature, the presence of nondeterminism, and their referential transparency, among other characteristics, make logic programs interesting candidates for obtaining speedups through parallel execution. At the same time, the fact that the typical applications of logic programming frequently involve irregular computations, make heavy use of dynamic data structures with logical variables, and involve search and speculation, makes the techniques used in the corresponding parallelizing compilers and run-time systems potentially interesting even outside the field. The objective of this article is to provide a comprehensive survey of the issues arising in parallel execution of logic programming languages along with the most relevant approaches explored to date in the field. Focus is mostly given to the challenges emerging from the parallel execution of Prolog programs. The article describes the major techniques used for shared memory implementation of Or-parallelism, And-parallelism, and combinations of the two. We also explore some related issues, such as memory management, compile-time analysis, and execution visualization.

The scaled-time test as an alternative to the pseudo-dynamic test

The stepped and excessively slow execution of pseudo-dynamic tests has been found to be the source of some errors arising from strain-rate effect and stress relaxation. In order to control those errors, a new continuous test method which allows the selection of a more suitable time scale factor in the response is proposed in this work. By dimensional analysis, such scaled-time response is obtained theoretically by augmenting the inertial and damping properties of the structure, for which we propose the use of hydraulic pistons which are servo-controlled to produce active mass and damping, nevertheless using an equipment which is similar to that required in a pseudo-dynamic test. The results of the successful implementation of this technique for a simple specimen are shown here.

A dual-band priority assignment algorithm for dynamic QoS resource management

Future high-quality consumer electronics will contain a number of applications running in a highly dynamic environment, and their execution will need to be efficiently arbitrated by the underlying platform software. The multimedia applications that currently execute in such similar contexts face frequent run-time variations in their resource demands, originated by the greedy nature of the multimedia processing itself. Changes in resource demands are triggered by numerous reasons (e.g. a switch in the input media compression format). Such situations require real-time adaptation mechanisms to adjust the system operation to the new requirements, and this must be done seamlessly to satisfy the user experience. One solution for efficiently managing application execution is to apply quality of service resource management techniques, based on assigning and enforcing resource contracts to applications. Most resource management solutions provide temporal isolation by enforcing resource assignments and avoiding any resource overruns. However, this has a clear limitation over the cost-effective resource usage. This paper presents a simple priority assignment scheme based on uniform priority bands to allow that greedy multimedia tasks incur in safe overruns that increase resource usage and do not threaten the timely execution of non-overrunning tasks. Experimental results show that the proposed priority assignment scheme in combination with a resource accounting mechanism preserves timely multimedia execution and delivery, achieves a higher cost-effective processor usage, and guarantees the execution isolation of non-overrunning tasks.

Runtime variability for dynamic reconfiguration in wireless sensor network product lines

Runtime variability is a key technique for the success of Dynamic Software Product Lines (DSPLs), as certain application demand reconfiguration of system features and execution plans at runtime. In this emerging research work we address the problem of dynamic changes in feature models in sensor networks product families, where nodes of the network demand dynamic reconfiguration at post-deployment time.