Markets and microstructure

This document contains three papers examining the microstructure of financial interaction in development and market settings. I first examine the industrial organization of financial exchanges, specifically limit order markets. In this section, I perform a case study of Google stock surrounding a surprising earnings announcement in the 3rd quarter of 2009, uncovering parameters that describe information flows and liquidity provision. I then explore the disbursement process for community-driven development projects. This section is game theoretic in nature, using a novel three-player ultimatum structure. I finally develop econometric tools to simulate equilibrium and identify equilibrium models in limit order markets.

In chapter two, I estimate an equilibrium model using limit order data, finding parameters that describe information and liquidity preferences for trading. As a case study, I estimate the model for Google stock surrounding an unexpected good-news earnings announcement in the 3rd quarter of 2009. I find a substantial decrease in asymmetric information prior to the earnings announcement. I also simulate counterfactual dealer markets and find empirical evidence that limit order markets perform more efficiently than do their dealer market counterparts.

In chapter three, I examine Community-Driven Development. Community-Driven Development is considered a tool empowering communities to develop their own aid projects. While evidence has been mixed as to the effectiveness of CDD in achieving disbursement to intended beneficiaries, the literature maintains that local elites generally take control of most programs. I present a three player ultimatum game which describes a potential decentralized aid procurement process. Players successively split a dollar in aid money, and the final player--the targeted community member--decides between whistle blowing or not. Despite the elite capture present in my model, I find conditions under which money reaches targeted recipients. My results describe a perverse possibility in the decentralized aid process which could make detection of elite capture more difficult than previously considered. These processes may reconcile recent empirical work claiming effectiveness of the decentralized aid process with case studies which claim otherwise.

In chapter four, I develop in more depth the empirical and computational means to estimate model parameters in the case study in chapter two. I describe the liquidity supplier problem and equilibrium among those suppliers. I then outline the analytical forms for computing certainty-equivalent utilities for the informed trader. Following this, I describe a recursive algorithm which facilitates computing equilibrium in supply curves. Finally, I outline implementation of the Method of Simulated Moments in this context, focusing on Indirect Inference and formulating the pseudo model.

Dense, efficient chip-to-chip communication at the extremes of computing

The scalability of CMOS technology has driven computation into a diverse range of applications across the power consumption, performance and size spectra. Communication is a necessary adjunct to computation, and whether this is to push data from node-to-node in a high-performance computing cluster or from the receiver of wireless link to a neural stimulator in a biomedical implant, interconnect can take up a significant portion of the overall system power budget. Although a single interconnect methodology cannot address such a broad range of systems efficiently, there are a number of key design concepts that enable good interconnect design in the age of highly-scaled CMOS: an emphasis on highly-digital approaches to solving ‘analog’ problems, hardware sharing between links as well as between different functions (such as equalization and synchronization) in the same link, and adaptive hardware that changes its operating parameters to mitigate not only variation in the fabrication of the link, but also link conditions that change over time. These concepts are demonstrated through the use of two design examples, at the extremes of the power and performance spectra.

A novel all-digital clock and data recovery technique for high-performance, high density interconnect has been developed. Two independently adjustable clock phases are generated from a delay line calibrated to 2 UI. One clock phase is placed in the middle of the eye to recover the data, while the other is swept across the delay line. The samples produced by the two clocks are compared to generate eye information, which is used to determine the best phase for data recovery. The functions of the two clocks are swapped after the data phase is updated; this ping-pong action allows an infinite delay range without the use of a PLL or DLL. The scheme's generalized sampling and retiming architecture is used in a sharing technique that saves power and area in high-density interconnect. The eye information generated is also useful for tuning an adaptive equalizer, circumventing the need for dedicated adaptation hardware.

On the other side of the performance/power spectra, a capacitive proximity interconnect has been developed to support 3D integration of biomedical implants. In order to integrate more functionality while staying within size limits, implant electronics can be embedded onto a foldable parylene (‘origami’) substrate. Many of the ICs in an origami implant will be placed face-to-face with each other, so wireless proximity interconnect can be used to increase communication density while decreasing implant size, as well as facilitate a modular approach to implant design, where pre-fabricated parylene-and-IC modules are assembled together on-demand to make custom implants. Such an interconnect needs to be able to sense and adapt to changes in alignment. The proposed array uses a TDC-like structure to realize both communication and alignment sensing within the same set of plates, increasing communication density and eliminating the need to infer link quality from a separate alignment block. In order to distinguish the communication plates from the nearby ground plane, a stimulus is applied to the transmitter plate, which is rectified at the receiver to bias a delay generation block. This delay is in turn converted into a digital word using a TDC, providing alignment information.

Synthetic molecular machines for active self-assembly : prototype algorithms, designs, and experimental study

Computer science and electrical engineering have been the great success story of the twentieth century. The neat modularity and mapping of a language onto circuits has led to robots on Mars, desktop computers and smartphones. But these devices are not yet able to do some of the things that life takes for granted: repair a scratch, reproduce, regenerate, or grow exponentially fast–all while remaining functional.

This thesis explores and develops algorithms, molecular implementations, and theoretical proofs in the context of “active self-assembly” of molecular systems. The long-term vision of active self-assembly is the theoretical and physical implementation of materials that are composed of reconfigurable units with the programmability and adaptability of biology’s numerous molecular machines. En route to this goal, we must first find a way to overcome the memory limitations of molecular systems, and to discover the limits of complexity that can be achieved with individual molecules.

One of the main thrusts in molecular programming is to use computer science as a tool for figuring out what can be achieved. While molecular systems that are Turing-complete have been demonstrated [Winfree, 1996], these systems still cannot achieve some of the feats biology has achieved.

One might think that because a system is Turing-complete, capable of computing “anything,” that it can do any arbitrary task. But while it can simulate any digital computational problem, there are many behaviors that are not “computations” in a classical sense, and cannot be directly implemented. Examples include exponential growth and molecular motion relative to a surface.

Passive self-assembly systems cannot implement these behaviors because (a) molecular motion relative to a surface requires a source of fuel that is external to the system, and (b) passive systems are too slow to assemble exponentially-fast-growing structures. We call these behaviors “energetically incomplete” programmable behaviors. This class of behaviors includes any behavior where a passive physical system simply does not have enough physical energy to perform the specified tasks in the requisite amount of time.

As we will demonstrate and prove, a sufficiently expressive implementation of an “active” molecular self-assembly approach can achieve these behaviors. Using an external source of fuel solves part of the the problem, so the system is not “energetically incomplete.” But the programmable system also needs to have sufficient expressive power to achieve the specified behaviors. Perhaps surprisingly, some of these systems do not even require Turing completeness to be sufficiently expressive.

Building on a large variety of work by other scientists in the fields of DNA nanotechnology, chemistry and reconfigurable robotics, this thesis introduces several research contributions in the context of active self-assembly.

We show that simple primitives such as insertion and deletion are able to generate complex and interesting results such as the growth of a linear polymer in logarithmic time and the ability of a linear polymer to treadmill. To this end we developed a formal model for active-self assembly that is directly implementable with DNA molecules. We show that this model is computationally equivalent to a machine capable of producing strings that are stronger than regular languages and, at most, as strong as context-free grammars. This is a great advance in the theory of active self- assembly as prior models were either entirely theoretical or only implementable in the context of macro-scale robotics.

We developed a chain reaction method for the autonomous exponential growth of a linear DNA polymer. Our method is based on the insertion of molecules into the assembly, which generates two new insertion sites for every initial one employed. The building of a line in logarithmic time is a first step toward building a shape in logarithmic time. We demonstrate the first construction of a synthetic linear polymer that grows exponentially fast via insertion. We show that monomer molecules are converted into the polymer in logarithmic time via spectrofluorimetry and gel electrophoresis experiments. We also demonstrate the division of these polymers via the addition of a single DNA complex that competes with the insertion mechanism. This shows the growth of a population of polymers in logarithmic time. We characterize the DNA insertion mechanism that we utilize in Chapter 4. We experimentally demonstrate that we can control the kinetics of this re- action over at least seven orders of magnitude, by programming the sequences of DNA that initiate the reaction.

In addition, we review co-authored work on programming molecular robots using prescriptive landscapes of DNA origami; this was the first microscopic demonstration of programming a molec- ular robot to walk on a 2-dimensional surface. We developed a snapshot method for imaging these random walking molecular robots and a CAPTCHA-like analysis method for difficult-to-interpret imaging data.

An exposition on field identification of Clariid catfishes as an important tool in fish breeding and genetics

This paper conducts an exposition on the field identification of Clariid catfishes Heterobranchus, Clarias and their hybrid as an important tool in fish breeding and genetics. The paper explained the classification and aquacultural importance of Clariid catfishes. Parameters necessary for fish identification were highlighted. The identification of Heterobranchus, Clarias, their hybrid and sexual differences were also identified. The paper is of the position that the identification of Heterobranchus, Clarias and their hybrid is important in their genetic conservation and in achieving success in breeding and genetic studies

Beta-Hydroxyimino Phosphorus Derivatives. An Efficient Tool in Organic Synthesis

[EN] The purpose of this review article is to illustrate synthetic aspects of functionalized phosphorus derivatives containing an oximo moiety at the beta-position. First section will be focused on the synthesis of phosphine oxides, phosphonates or phosphonium salts containing an oxime group. The synthesis of these derivatives comprises the carbon–phosphorus single bond construction by reaction of haloximes with phosphorus derivatives, nucleophilic addition of phosphorus reagents to carbonyl compounds, or nucleophilic addition of phosphorus reagents to nitro olefins. This section will also concentrate on the most practical routes for the synthesis of the target compounds, through carbon–nitrogen double bond formation, which are as follows: condensation processes of carbonyl compounds and hydroxylamine derivatives or addition of hydroxylamines to allenes or alkynes. The preparative use of beta-oximo phosphorus derivatives as synthetic intermediates will be discussed in a second section, comprising olefination reaction, oxidation of oximes to nitrile oxides by reaction at the C-N double bond of the oxime moiety, oxidation of these substrates to nitrosoalkenes, reduction to the corresponding hydroxylamines and some reactions at the hydroxyl group of the hydroxyimino moiety.

Electrical and optical interconnects for high-performance computing

Technology scaling has enabled drastic growth in the computational and storage capacity of integrated circuits (ICs). This constant growth drives an increasing demand for high-bandwidth communication between and within ICs. In this dissertation we focus on low-power solutions that address this demand. We divide communication links into three subcategories depending on the communication distance. Each category has a different set of challenges and requirements and is affected by CMOS technology scaling in a different manner. We start with short-range chip-to-chip links for board-level communication. Next we will discuss board-to-board links, which demand a longer communication range. Finally on-chip links with communication ranges of a few millimeters are discussed.

Electrical signaling is a natural choice for chip-to-chip communication due to efficient integration and low cost. IO data rates have increased to the point where electrical signaling is now limited by the channel bandwidth. In order to achieve multi-Gb/s data rates, complex designs that equalize the channel are necessary. In addition, a high level of parallelism is central to sustaining bandwidth growth. Decision feedback equalization (DFE) is one of the most commonly employed techniques to overcome the limited bandwidth problem of the electrical channels. A linear and low-power summer is the central block of a DFE. Conventional approaches employ current-mode techniques to implement the summer, which require high power consumption. In order to achieve low-power operation we propose performing the summation in the charge domain. This approach enables a low-power and compact realization of the DFE as well as crosstalk cancellation. A prototype receiver was fabricated in 45nm SOI CMOS to validate the functionality of the proposed technique and was tested over channels with different levels of loss and coupling. Measurement results show that the receiver can equalize channels with maximum 21dB loss while consuming about 7.5mW from a 1.2V supply. We also introduce a compact, low-power transmitter employing passive equalization. The efficacy of the proposed technique is demonstrated through implementation of a prototype in 65nm CMOS. The design achieves up to 20Gb/s data rate while consuming less than 10mW.

An alternative to electrical signaling is to employ optical signaling for chip-to-chip interconnections, which offers low channel loss and cross-talk while providing high communication bandwidth. In this work we demonstrate the possibility of building compact and low-power optical receivers. A novel RC front-end is proposed that combines dynamic offset modulation and double-sampling techniques to eliminate the need for a short time constant at the input of the receiver. Unlike conventional designs, this receiver does not require a high-gain stage that runs at the data rate, making it suitable for low-power implementations. In addition, it allows time-division multiplexing to support very high data rates. A prototype was implemented in 65nm CMOS and achieved up to 24Gb/s with less than 0.4pJ/b power efficiency per channel. As the proposed design mainly employs digital blocks, it benefits greatly from technology scaling in terms of power and area saving.

As the technology scales, the number of transistors on the chip grows. This necessitates a corresponding increase in the bandwidth of the on-chip wires. In this dissertation, we take a close look at wire scaling and investigate its effect on wire performance metrics. We explore a novel on-chip communication link based on a double-sampling architecture and dynamic offset modulation technique that enables low power consumption and high data rates while achieving high bandwidth density in 28nm CMOS technology. The functionality of the link is demonstrated using different length minimum-pitch on-chip wires. Measurement results show that the link achieves up to 20Gb/s of data rate (12.5Gb/s/$\mu$m) with better than 136fJ/b of power efficiency.

Electron quantum path tuning and isolated attosecond pulse emission driven by a waveform-controlled multi-cycle laser field

We investigate high-order harmonic emission and isolated attosecond pulse (IAP) generation in atoms driven by a two-colour multi-cycle laser field consisting of an 800 nm pulse and an infrared laser pulse at an arbitrary wavelength. With moderate laser intensity, an IAP of similar to 220 as can be generated in helium atoms by using two-colour laser pulses of 35 fs/800 nm and 46 fs/1150 nm. The discussion based on the three-step semiclassical model, and time-frequency analysis shows a clear picture of the high-order harmonic generation in the waveform-controlled laser field which is of benefit to the generation of XUV IAP and attosecond electron pulses. When the propagation effect is included, the duration of the IAP can be shorter than 200 as, when the driving laser pulses are focused 1 mm before the gas medium with a length between 1.5 mm and 2 mm.

Strategic partnership of stakeholders: a veritable tool for sustainable fishery resources in Nigeria

Fishery resources are very important resource from the aquatic environment to the Nigerian economy. Stakeholders involvement in its management is highly important therefore, this paper proposes two frameworks against which sustainable fishery should be based, vis-a-vis stakeholders participation. The paper showed that decision-making involving stakeholders would enhance the goals of sustainable fishery development and create unity of purpose among various stakeholders

Cloud computing services for seismic networks

This thesis describes a compositional framework for developing situation awareness applications: applications that provide ongoing information about a user's changing environment. The thesis describes how the framework is used to develop a situation awareness application for earthquakes. The applications are implemented as Cloud computing services connected to sensors and actuators. The architecture and design of the Cloud services are described and measurements of performance metrics are provided. The thesis includes results of experiments on earthquake monitoring conducted over a year. The applications developed by the framework are (1) the CSN --- the Community Seismic Network --- which uses relatively low-cost sensors deployed by members of the community, and (2) SAF --- the Situation Awareness Framework --- which integrates data from multiple sources, including the CSN, CISN --- the California Integrated Seismic Network, a network consisting of high-quality seismometers deployed carefully by professionals in the CISN organization and spread across Southern California --- and prototypes of multi-sensor platforms that include carbon monoxide, methane, dust and radiation sensors.

Tunable high-order harmonic generation and the role of the folded quantum path

We theoretically demonstrate the selective enhancement of high-order harmonic generation (HHG) in two-color laser fields consisting of a single-cycle fundamental wave (800 nm wavelength) and a multicycle subharmonic wave (2400 nm wavelength). By performing time-frequency analyses based on a single-active-electron model, we reveal that such an enhancement is a result of the modified electron trajectories in the two-color field. Furthermore, we show that selectively enhanced HHG gives rise to a bandwidth-controllable extreme ultraviolet supercontinuum in the plateau region, facilitating the generation of intense single isolated attosecond pulses.

Ortho-positronium annihilation: steps toward computing the first order radiative corrections

The 0.2% experimental accuracy of the 1968 Beers and Hughes measurement of the annihilation lifetime of ortho-positronium motivates the attempt to compute the first order quantum electrodynamic corrections to this lifetime. The theoretical problems arising in this computation are here studied in detail up to the point of preparing the necessary computer programs and using them to carry out some of the less demanding steps -- but the computation has not yet been completed. Analytic evaluation of the contributing Feynman diagrams is superior to numerical evaluation, and for this process can be carried out with the aid of the Reduce algebra manipulation computer program.

The relation of the positronium decay rate to the electronpositron annihilation-in-flight amplitude is derived in detail, and it is shown that at threshold annihilation-in-flight, Coulomb divergences appear while infrared divergences vanish. The threshold Coulomb divergences in the amplitude cancel against like divergences in the modulating continuum wave function.

Using the lowest order diagrams of electron-positron annihilation into three photons as a test case, various pitfalls of computer algebraic manipulation are discussed along with ways of avoiding them. The computer manipulation of artificial polynomial expressions is preferable to the direct treatment of rational expressions, even though redundant variables may have to be introduced.

Special properties of the contributing Feynman diagrams are discussed, including the need to restore gauge invariance to the sum of the virtual photon-photon scattering box diagrams by means of a finite subtraction.

A systematic approach to the Feynman-Brown method of Decomposition of single loop diagram integrals with spin-related tensor numerators is developed in detail. This approach allows the Feynman-Brown method to be straightforwardly programmed in the Reduce algebra manipulation language.

The fundamental integrals needed in the wake of the application of the Feynman-Brown decomposition are exhibited and the methods which were used to evaluate them -- primarily dis persion techniques are briefly discussed.

Finally, it is pointed out that while the techniques discussed have permitted the computation of a fair number of the simpler integrals and diagrams contributing to the first order correction of the ortho-positronium annihilation rate, further progress with the more complicated diagrams and with the evaluation of traces is heavily contingent on obtaining access to adequate computer time and core capacity.

Precipitation of nanocrystals in glasses by electron irradiation: An alternative path to form glass ceramics?

This letter demonstrates an alternative method to form gallium silicate glass ceramics using high-energy electron irradiation. Compared with glass ceramics obtained from the conventional thermal treatment method, the distribution and crystal sizes of the precipitated Ga2O3 nanoparticles are the same. An advantage of this method is that the spatial distribution of the precipitated nanoparticles can be easily controlled. However, optically active dopants Ni2+ ions do not participate in the precipitation during electron irradiation. (c) 2007 American Institute of Physics.