Understanding the ex-ante cost of liquidity in the limit order book: A note

This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity that aggregates all available information in the limit order book for a given number of shares. The cost of liquidity is an increasing function relating bid-ask spreads with the amounts available for trading. This measure completely characterizes the cost of liquidity of any given asset. It does not suffer from the usual ambiguities related to either the bid-ask spread or depth when they are considered separately. On the contrary, with a single measure, we are able to capture all dimensions of liquidity costs on ex-ante basis.

Do tissue carbon and nitrogen limit population growth of weevils introduced to control waterhyacinth at a site in the Sacramento-San Joaquin Delta, California?

Waterhyacinth (Eichhornia crassipes(Mart.) Solms), is a serious problem in the Sacramento Delta. Two weevil species (Neochetina bruchi Hustache and N. eichhorniae Warner) have been introduced as biological control agents. The purpose of this study was to test the hypothesis that nitrogen (N) in the tissue of waterhyacinth was not sufficient to support weevil growth and reproduction. Because it grows better on plants with high N content and because it has a greater impact on the growth of high N plants, N. bruchi may be a more effective biological control agent in the Sacramento Delta.

Bag and size limit analyses for red drum in Northern and Southern Regions of the U.S. Atlantic

Assessments of the Atlantic red drum for the northern (North Carolina and north) and southern (South Carolina through east coast of Florida) regions along the U. S. Atlantic coast were recently completed. The joint Red Drum Technical Committee (SAFMC/ASMFC) selected the most appropriate catch matrix (incorporating an assumption on size of recreationally-released fish), selectivity of age 3 relative to age 2, and virtual population analysis (FADAPT). Given gear- and age-specific estimates of fishing mortality (F) for the 1992-1998 period, analyses were made of potential gains in escapement through age 4 and static spawning potential ratio (SPR) from further reductions in fishing mortality due to changes in slot and bag limits. Savings from bag limits were calculated given a particular slot size for the recreational fishery, with no savings for the commercial fisheries in the northern region due to their being managed primarily through a quota. Relative changes in catch-at-age estimates were used to adjust age-specific F and hence calculated escapement through age 4 and static SPR. Adjustment was made with the recreational savings to account for release mortality (10%, as in the stock assessment). Alternate runs for the northern region commercial fishery considered 25% release mortality for lengths outside the slot (instead of 0% for the base run), and 0% vs. 10% gain or loss across legal sizes in F. These results are summarized for ranges of bag limits with increasing minimum size limit (for fixed maximum size), and with decreasing maximum size limit (for fixed minimum size limit). For the southern region, a bag limit of one-fish per angler trip would be required to attain the stated target of 40% static SPR if the current slot limit were not changed. However, for the northern region, a bag limit of one-fish per angler trip appears to be insufficient to attain the stated target of 40% static SPR while maintaining the current slot limit. (PDF contains 41 pages)

Stability and Limit Oscillations of a Control Event-Based Sampling Criterion

This paper investigates the presence of limit oscillations in an adaptive sampling system. The basic sampling criterion operates in the sense that each next sampling occurs when the absolute difference of the signal amplitude with respect to its currently sampled signal equalizes a prescribed threshold amplitude. The sampling criterion is extended involving a prescribed set of amplitudes. The limit oscillations might be interpreted through the equivalence of the adaptive sampling and hold device with a nonlinear one consisting of a relay with multiple hysteresis whose parameterization is, in general, dependent on the initial conditions of the dynamic system. The performed study is performed on the time domain.

Laminar Burning Velocities and Markstein Lengths of Premixed Methane/Air Flames near the Lean Flammability Limit in Microgravity

Effects of flame stretch on the laminar burning velocities of near-limit fuel-lean methane/air flames have been studied experimentally using a microgravity environment to minimize the complications of buoyancy. Outwardly propagating spherical flames were employed to assess the sensitivities of the laminar burning velocity to flame stretch, represented by Markstein lengths, and the fundamental laminar burning velocities of unstretched flames. Resulting data were reported for methane/air mixtures at ambient temperature and pressure, over the specific range of equivalence ratio that extended from 0.512 (the microgravity flammability limit found in the combustion chamber) to 0.601. Present measurements of unstretched laminar burning velocities were in good agreement with the unique existing microgravity data set at all measured equivalence ratios. Most of previous 1-g experiments using a variety of experimental techniques, however, appeared to give significantly higher burning velocities than the microgravity results. Furthermore, the burning velocities predicted by three chemical reaction mechanisms, which have been tuned primarily under off-limit conditions, were also considerably higher than the present experimental data. Additional results of the present investigation were derived for the overall activation energy and corresponding Zeldovich numbers, and the variation of the global flame Lewis numbers with equivalence ratio. The implications of these results were discussed. 2010 The Combustion Institute. Published by Elsevier Inc. All rights reserved.

Measurement of the diffraction-limit wavefront with double-shearing interferometers

In order to measure the diffraction-limit wavefront, we present three types of common-path double-shearing interferometers based on the theory of double shearing. Two pairs of half-aperture or whole-aperture wedge plates are used to introduce opposite tilt to realize the double-shearing function. By comparing the fringe widths in two fields, the marginal wavefront aberration can be obtained. In the paper, we give three different configurations: half-aperture configuration, whole-field configuration and double-interferometer configuration. The half-aperture configuration has the features of high sensitivity, stabilization and easy alignment. For the whole-field configuration, the interference fringes are displayed in two whole fields. Consequently, the divergent or convergent characteristic and aberration types of a wavefront can be identified visually. The whole-field configuration can be changed to the double-interferometer configuration for continuous test. Both small and large wavefront aberrations can be measured by the double-interferometer configuration. The minimum detectable wavefront aberration (W-0)(min) comes to 0.03 lambda. Lastly, we present the experimental results for the three types of double-shearing interferometers.

Some central limit theorems for doubly restricted partitions

Let P_{K, L}(N) be the number of unordered partitions of a positive integer N into K or fewer positive integer parts, each part not exceeding L. A distribution of the form

Ʃ/N≤x P_K,L(N)

is considered first. For any fixed K, this distribution approaches a piecewise polynomial function as L increases to infinity. As both K and L approach infinity, this distribution is asymptotically normal. These results are proved by studying the convergence of the characteristic function.

The main result is the asymptotic behavior of P_K,K(N) itself, for certain large K and N. This is obtained by studying a contour integral of the generating function taken along the unit circle. The bulk of the estimate comes from integrating along a small arc near the point 1. Diophantine approximation is used to show that the integral along the rest of the circle is much smaller.

Computational Microscopy: Breaking the Limit of Conventional Optics

Computational imaging is flourishing thanks to the recent advancement in array photodetectors and image processing algorithms. This thesis presents Fourier ptychography, which is a computational imaging technique implemented in microscopy to break the limit of conventional optics. With the implementation of Fourier ptychography, the resolution of the imaging system can surpass the diffraction limit of the objective lens's numerical aperture; the quantitative phase information of a sample can be reconstructed from intensity-only measurements; and the aberration of a microscope system can be characterized and computationally corrected. This computational microscopy technique enhances the performance of conventional optical systems and expands the scope of their applications.