scholarly journals A Fully Consistent, Minimal Model for Non-Linear Market Impact

2014 ◽  
Author(s):  
Jonathan Donier ◽  
Julius Friedrich Bonart ◽  
Iacopo Mastromatteo ◽  
Jean-Philippe Bouchaud
Keyword(s):  
Minimal Model ◽  
Market Impact ◽  
Non Linear

scholarly journals A fully consistent, minimal model for non-linear market impact

2015 ◽  
Vol 15 (7) ◽  
pp. 1109-1121 ◽  
Author(s):  
J. Donier ◽  
J. Bonart ◽  
I. Mastromatteo ◽  
J.-P. Bouchaud
Keyword(s):  
Minimal Model ◽  
Market Impact ◽  
Non Linear

scholarly journals Optimal execution with non-linear transient market impact

2016 ◽  
Vol 17 (1) ◽  
pp. 41-54 ◽  
Author(s):  
Gianbiagio Curato ◽  
Jim Gatheral ◽  
Fabrizio Lillo
Keyword(s):  
Market Impact ◽  
Optimal Execution ◽  
Non Linear

Bayesian hierarchical approach to estimate insulin sensitivity by minimal model

2003 ◽  
Vol 105 (5) ◽  
pp. 551-560 ◽  
Author(s):  
Olorunsola F. AGBAJE ◽  
Stephen D. LUZIO ◽  
Ahmed I. S. ALBARRAK ◽  
David J. LUNN ◽  
David R. OWENS ◽  
...  
Keyword(s):  
Body Weight ◽  
Regression Analysis ◽  
Insulin Sensitivity ◽  
Linear Regression ◽  
Bayesian Analysis ◽  
Minimal Model ◽  
Linear Regression Analysis ◽  
World Health ◽  
Bayesian Hierarchical ◽  
Non Linear

We adopted Bayesian analysis in combination with hierarchical (population) modelling to estimate simultaneously population and individual insulin sensitivity (SI) and glucose effectiveness (SG) with the minimal model of glucose kinetics using data collected during insulin-modified intravenous glucose tolerance test (IVGTT) and made comparison with the standard non-linear regression analysis. After fasting overnight, subjects with newly presenting Type II diabetes according to World Health Organization criteria (n=65; 53 males, 12 females; age, 54±9 years; body mass index, 30.4±5.2 kg/m2; means±S.D.) underwent IVGTT consisting of a 0.3 g of glucose bolus/kg of body weight given at time zero for 2 min, followed by 0.05 unit of insulin/kg of body weight at 20 min. Bayesian inference was carried out using vague prior distributions and log-normal distributions to guarantee non-negativity and, thus, physiological plausibility of model parameters and associated credible intervals. Bayesian analysis gave estimates of SI in all subjects. Non-linear regression analysis failed in four cases, where Bayesian analysis-derived SI was located in the lower quartile and was estimated with lower precision. The population means of SI and SG provided by Bayesian analysis and non-linear regression were identical, but the interquartile range given by Bayesian analysis was tighter by approx. 20% for SI and by approx. 15% for SG. Individual insulin sensitivities estimated by the two methods were highly correlated (rS=0.98; P<0.001). However, the correlation in the lower 20% centile of the insulin-sensitivity range was significantly lower than the correlation in the upper 80% centile (rS=0.71 compared with rS=0.99; P<0.001). We conclude that the Bayesian hierarchical analysis is an appealing method to estimate SI and SG, as it avoids parameter estimation failures, and should be considered when investigating insulin-resistant subjects.

The non-linear market impact of large trades: evidence from buy-side order flow

2013 ◽  
Vol 13 (11) ◽  
pp. 1759-1778 ◽  
Author(s):  
Nataliya Bershova ◽  
Dmitry Rakhlin
Keyword(s):  
Order Flow ◽  
Market Impact ◽  
Non Linear

(2, 2) VACUA OF THE HETEROTIC SUPERSTRING COMPACTIFIED ON SU(2)3 GROUPFOLDS

1991 ◽  
Vol 06 (07) ◽  
pp. 1149-1209 ◽  
Author(s):  
LEONARDO CASTELLANI ◽  
PIETRO FRE’ ◽  
FERDINANDO GLIOZZI ◽  
MARCO R. MONTEIRO
Keyword(s):  
Superstring Vacua ◽  
Moduli Spaces ◽  
Tangent Bundle ◽  
Minimal Model ◽  
Tensor Products ◽  
Majorana Fermions ◽  
Free Fermion ◽  
Dolbeault Cohomology ◽  
Generation Number ◽  
Non Linear

In this paper we classify the (2, 2) superstring vacua corresponding to non-linear σ-models on SU (2)3 groupfolds fermionized by 18 + 18 Majorana fermions. For the subclass of the completely bosonizable vacua, the generation number ½X is a multiple of 12 and the number of tangent-bundle deformations End(T) is a multiple of 4. The dimensions of the moduli spaces h1,1, h2, 1 are small odd numbers in the range 1 ÷ ~50. Very few of these vacua have the same Dolbeault cohomology as those described by minimal model tensor products, CICY, or Calabi-Yau threefolds in weighted P4. The vacua we classify are characterized by a rank 8 enhancement group and some of them can be viewed as N=2 truncations. We also discuss examples of vacua that are only partially bosonizable, showing that the class of vacua obtained by free fermion constructions is not fully contained in the class of vacua obtained by lattice constructions.

B. The Non-Linear Calculations for Pulsating Stars

1967 ◽  
Vol 28 ◽  
pp. 105-176
Author(s):  
Robert F. Christy
Keyword(s):  
Major Part ◽  
Afternoon Session ◽  
Discussion Session ◽  
Pulsating Stars ◽  
Fourth Symposium ◽  
Non Linear ◽  
Considerable Discussion ◽  
Informal Approach ◽  
Preceding Session

(Ed. note: The custom in these Symposia has been to have a summary-introductory presentation which lasts about 1 to 1.5 hours, during which discussion from the floor is minor and usually directed at technical clarification. The remainder of the session is then devoted to discussion of the whole subject, oriented around the summary-introduction. The preceding session, I-A, at Nice, followed this pattern. Christy suggested that we might experiment in his presentation with a much more informal approach, allowing considerable discussion of the points raised in the summary-introduction during its presentation, with perhaps the entire morning spent in this way, reserving the afternoon session for discussion only. At Varenna, in the Fourth Symposium, several of the summaryintroductory papers presented from the astronomical viewpoint had been so full of concepts unfamiliar to a number of the aerodynamicists-physicists present, that a major part of the following discussion session had been devoted to simply clarifying concepts and then repeating a considerable amount of what had been summarized. So, always looking for alternatives which help to increase the understanding between the different disciplines by introducing clarification of concept as expeditiously as possible, we tried Christy's suggestion. Thus you will find the pattern of the following different from that in session I-A. I am much indebted to Christy for extensive collaboration in editing the resulting combined presentation and discussion. As always, however, I have taken upon myself the responsibility for the final editing, and so all shortcomings are on my head.)

Sign in / Sign up

Export Citation Format

Share Document