The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable ex...The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable execution probability model for limit order market,as well as a numerical example that intuitively characterizes the changing pattern of the execution probability.The common effects of the lengths of both buy and sell queues on the execution probability are explored.In the limit book,the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.展开更多
We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on...We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange.The model can reproduce the main stylized facts in real markets.Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa.We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series,but cause remarkable changes in the average returns and the tail exponents of returns.Our EBOD model provides a suitable computational experiment platform for academics,market participants,and policy makers.展开更多
In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properti...In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties （including the mean, wriance, and realized value） of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact.展开更多
A novel class of weighted essentially nonoscillatory （WENO） schemes based on Hermite polynomi- als, termed as HWENO schemes, is developed and applied as limiters for high order discontinuous Galerkin （DG） method o...A novel class of weighted essentially nonoscillatory （WENO） schemes based on Hermite polynomi- als, termed as HWENO schemes, is developed and applied as limiters for high order discontinuous Galerkin （DG） method on triangular grids. The developed HWENO methodology utilizes high-order derivative information to keep WENO re- construction stencils in the von Neumann neighborhood. A simple and efficient technique is also proposed to enhance the smoothness of the existing stencils, making higher-order scheme stable and simplifying the reconstruction process at the same time. The resulting HWENO-based limiters are as compact as the underlying DG schemes and therefore easy to implement. Numerical results for a wide range of flow conditions demonstrate that for DG schemes of up to fourth order of accuracy, the designed HWENO limiters can simul- taneously obtain uniform high order accuracy and sharp, es- sentially non-oscillatory shock transition.展开更多
Active stability augmentation system is an attractive and promising technology to suppress flutter and limit cycle oscillation (LCO). In order to design a good active control law, the control plant model with low orde...Active stability augmentation system is an attractive and promising technology to suppress flutter and limit cycle oscillation (LCO). In order to design a good active control law, the control plant model with low order and high accuracy must be provided, which is one of the most important key points. The traditional model is based on low fidelity aerodynamics model such as panel method, which is unsuitable for transonic flight regime. The physics-based high fidelity tools, reduced order model (ROM) and CFD/CSD coupled aeroservoelastic solver are used to design the active control law. The Volterra/ROM is applied to constructing the low order state space model for the nonlinear unsteady aerodynamics and static output feedback method is used to active control law design. The detail of the new method is demonstrated by the Goland+ wing/store system. The simulation results show that the effectiveness of the designed active augmentation system, which can suppress the flutter and LCO successfully.展开更多
The objective is to develop an approach for the determination of the target reliability index for serviceability limit state(SLS) of single piles. This contributes to conducting the SLS reliability-based design(RBD) o...The objective is to develop an approach for the determination of the target reliability index for serviceability limit state(SLS) of single piles. This contributes to conducting the SLS reliability-based design(RBD) of piles. Based on a two-parameter,hyperbolic curve-fitting equation describing the load-settlement relation of piles, the SLS model factor is defined. Then, taking into account the uncertainties of load-settlement model, load and bearing capacity of piles, the formula for computing the SLS reliability index(βsls) is obtained using the mean value first order second moment(MVFOSM) method. Meanwhile, the limit state function for conducting the SLS reliability analysis by the Monte Carlo simulation(MCS) method is established. These two methods are finally applied to determine the SLS target reliability index. Herein, the limiting tolerable settlement(slt) is treated as a random variable. For illustration, four load test databases from South Africa are compiled again to conduct reliability analysis and present the recommended target reliability indices. The results indicate that the MVFOSM method overestimates βsls compared to that computed by the MCS method. Besides, both factor of safety(FS) and slt are key factors influencing βsls, so the combination of FS and βsls is welcome to be used for the SLS reliability analysis of piles when slt is determined. For smaller slt, pile types and soils conditions have significant influence on the SLS target reliability indices; for larger slt, slt is the major factor having influence on the SLS target reliability indices. This proves that slt is the most key parameter for the determination of the SLS target reliability index.展开更多
Discuss a class of real planar cubic systems with a critical point O (0,0) of nine orders and obtain the conditions for its limit cycle surrounding the origin, and prove that when small pertubations of coefficients ar...Discuss a class of real planar cubic systems with a critical point O (0,0) of nine orders and obtain the conditions for its limit cycle surrounding the origin, and prove that when small pertubations of coefficients are made, the critical point O (0,0) of nine orders is split into nine real simple critical points and the limit cycle surrounding the origin becomes the limit cycle containing nine critical points in its interior.展开更多
The growth of entire functions under the q-difference operators is studied inthis paper, and then some properties of Julia set of entire functions under the higher orderq-difference operators are obtained.
In this paper, we define some new sets of non-elementary functions in a group of solutions x(t) that are sine and cosine to the upper limit of integration in a non-elementary integral that can be arbitrary. We are usi...In this paper, we define some new sets of non-elementary functions in a group of solutions x(t) that are sine and cosine to the upper limit of integration in a non-elementary integral that can be arbitrary. We are using Abel’s methods, described by Armitage and Eberlein. The key is to start with a non-elementary integral function, differentiating and inverting, and then define a set of three functions that belong together. Differentiating these functions twice gives second-order nonlinear ODEs that have the defined set of functions as solutions. We will study some of the second-order nonlinear ODEs, especially those that exhibit limit cycles. Using the methods described in this paper, it is possible to define many other sets of non-elementary functions that are giving solutions to some second-order nonlinear autonomous ODEs.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.71371024and 71771008the Funds for the First-Class Discipline Construction under Grant No.XK1802-5the Fundamental Research Funds for the Central University under Grant Nos.PTRW1808 and YWF-19-BJ-W-45。
文摘The shaping of a limit order book illustrates the dynamics of the trading process,the changing pattern of the execution probability of limit orders therefore plays an important role.This paper presents a computable execution probability model for limit order market,as well as a numerical example that intuitively characterizes the changing pattern of the execution probability.The common effects of the lengths of both buy and sell queues on the execution probability are explored.In the limit book,the cumulative probability of limit orders is introduced as a crucial index of market depth to describe the shaping process which brings new insights into the structure of the order placement decision.
基金This work was supported by the National Natural Science Foundation of China(Grants Nos.U1811462,71671066,and 71532009)the Fundamental Research Funds for the Central Universities.
文摘We propose an empirical behavioral order-driven(EBOD)model with price limit rules,which consists of an order placement process and an order cancellation process.All the ingredients of the model are determined based on the empirical microscopic regularities in the order flows of stocks traded on the Shenzhen Stock Exchange.The model can reproduce the main stylized facts in real markets.Computational experiments unveil that asymmetric setting of price limits will cause the stock price to diverge exponentially when the up price limit is higher than the down price limit and to vanish vice versa.We also find that asymmetric price limits have little influence on the correlation structure of the return series and the volatility series,but cause remarkable changes in the average returns and the tail exponents of returns.Our EBOD model provides a suitable computational experiment platform for academics,market participants,and policy makers.
文摘In this paper, we develop a theoretical model to describe the dynamics of the trading volume under continuous double auction mechanism in limit order markets. We examine the formation process and statistical properties （including the mean, wriance, and realized value） of the buy side cumulative trading volume, sell side cumulative trading volume and total cumulative volume under continuous double auction mechanism by means of mathematical modeling based on Poisson process of order flows, and do some corresponding numerical simulations and comparative statics on the factors that would influence these three volumes aforementioned. The results indicate that these three volumes are all influenced by the factors including the arrival rate of orders, demands of each order, proportional structure between buy and sell orders, executed probability and time interval we examined. And our established theoretical model can well capture the dynamics of these three volumes under continuous double auction mechanism in limit order markets when all these factors interact.
基金supported by the National Basic Research Program of China (2009CB724104)the National Natural Science Foundation of China (90716010)
文摘A novel class of weighted essentially nonoscillatory （WENO） schemes based on Hermite polynomi- als, termed as HWENO schemes, is developed and applied as limiters for high order discontinuous Galerkin （DG） method on triangular grids. The developed HWENO methodology utilizes high-order derivative information to keep WENO re- construction stencils in the von Neumann neighborhood. A simple and efficient technique is also proposed to enhance the smoothness of the existing stencils, making higher-order scheme stable and simplifying the reconstruction process at the same time. The resulting HWENO-based limiters are as compact as the underlying DG schemes and therefore easy to implement. Numerical results for a wide range of flow conditions demonstrate that for DG schemes of up to fourth order of accuracy, the designed HWENO limiters can simul- taneously obtain uniform high order accuracy and sharp, es- sentially non-oscillatory shock transition.
基金National Natural Science Foundation of China (10902082)New Faculty Research Foundation of XJTUthe Fundamental Research Funds for the Central Universities (xjj20100126)
文摘Active stability augmentation system is an attractive and promising technology to suppress flutter and limit cycle oscillation (LCO). In order to design a good active control law, the control plant model with low order and high accuracy must be provided, which is one of the most important key points. The traditional model is based on low fidelity aerodynamics model such as panel method, which is unsuitable for transonic flight regime. The physics-based high fidelity tools, reduced order model (ROM) and CFD/CSD coupled aeroservoelastic solver are used to design the active control law. The Volterra/ROM is applied to constructing the low order state space model for the nonlinear unsteady aerodynamics and static output feedback method is used to active control law design. The detail of the new method is demonstrated by the Goland+ wing/store system. The simulation results show that the effectiveness of the designed active augmentation system, which can suppress the flutter and LCO successfully.
基金Projects(51278216,51308241)supported by the National Natural Science Foundation of ChinaProject(2013BS010)supported by the Funds of Henan University of Technology for High-level Talents,China
文摘The objective is to develop an approach for the determination of the target reliability index for serviceability limit state(SLS) of single piles. This contributes to conducting the SLS reliability-based design(RBD) of piles. Based on a two-parameter,hyperbolic curve-fitting equation describing the load-settlement relation of piles, the SLS model factor is defined. Then, taking into account the uncertainties of load-settlement model, load and bearing capacity of piles, the formula for computing the SLS reliability index(βsls) is obtained using the mean value first order second moment(MVFOSM) method. Meanwhile, the limit state function for conducting the SLS reliability analysis by the Monte Carlo simulation(MCS) method is established. These two methods are finally applied to determine the SLS target reliability index. Herein, the limiting tolerable settlement(slt) is treated as a random variable. For illustration, four load test databases from South Africa are compiled again to conduct reliability analysis and present the recommended target reliability indices. The results indicate that the MVFOSM method overestimates βsls compared to that computed by the MCS method. Besides, both factor of safety(FS) and slt are key factors influencing βsls, so the combination of FS and βsls is welcome to be used for the SLS reliability analysis of piles when slt is determined. For smaller slt, pile types and soils conditions have significant influence on the SLS target reliability indices; for larger slt, slt is the major factor having influence on the SLS target reliability indices. This proves that slt is the most key parameter for the determination of the SLS target reliability index.
基金The Natural Science Foundation of Hunan Province !(No .97JJN 70 )
文摘Discuss a class of real planar cubic systems with a critical point O (0,0) of nine orders and obtain the conditions for its limit cycle surrounding the origin, and prove that when small pertubations of coefficients are made, the critical point O (0,0) of nine orders is split into nine real simple critical points and the limit cycle surrounding the origin becomes the limit cycle containing nine critical points in its interior.
基金supported by the National Natural Science Foundation of China(11571049,11101048)
文摘The growth of entire functions under the q-difference operators is studied inthis paper, and then some properties of Julia set of entire functions under the higher orderq-difference operators are obtained.
文摘In this paper, we define some new sets of non-elementary functions in a group of solutions x(t) that are sine and cosine to the upper limit of integration in a non-elementary integral that can be arbitrary. We are using Abel’s methods, described by Armitage and Eberlein. The key is to start with a non-elementary integral function, differentiating and inverting, and then define a set of three functions that belong together. Differentiating these functions twice gives second-order nonlinear ODEs that have the defined set of functions as solutions. We will study some of the second-order nonlinear ODEs, especially those that exhibit limit cycles. Using the methods described in this paper, it is possible to define many other sets of non-elementary functions that are giving solutions to some second-order nonlinear autonomous ODEs.
