Order Execution Probability and Order Queue in Limit Order Markets

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.

An empirical behavioral order‑driven model with price limit rules

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.

Analysis of Trading Volume Behavior Under Continuous Double Auction Mechanism in Limit Order Markets

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.

Hermite WENO-based limiters for high order discontinuous Galerkin method on unstructured grids

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.

Target reliability index for serviceability limit state of single piles

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.

Limit Cycle Containing Nine Critical Points in its Interior for a Class of Cubic Systems

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.

A NOTE ON q-DIFFERENCE OPERATOR AND RELATED LIMIT DIRECTION

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.

Six New Sets of the Non-Elementary Jef-Family-Functions that Are Giving Solutions to Some Second-Order Nonlinear Autonomous ODEs

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.

CONSTRUCTION OF THIRD-ORDER WNND SCHEMEAND ITS APPLICATION IN COMPLEX FLOW

According to the Liu's weighted idea, a space third-order WNND (weighted non-oscillatory, containing no free parameters, and dissipative scheme) scheme was constructed based on the stencils of second-order NND (non-oscillatory, containing no free parameters, and dissipative scheme) scheme. It was applied in solving linear-wave equation, 1D Euler equations and 3D Navier-Stokes equations. The numerical results indicate that the WNND scheme which does not increase interpolated point(compared to NND scheme) has more advantages in simulating discontinues and convergence than NND scheme. Appling WNND scheme to simulating the hypersonic flow around lift-body shows:With the AoA(angle of attack) increasing from 0° to 50°, the structure of limiting streamline of leeward surface changes from unseparating,open-separating to separating, which occurs from the combined-point (which consists of saddle and node points). The separating area of upper wing surface is increasing with the (AoA's) increasing. The topological structures of hypersonic flowfield based on the sectional flow patterns perpendicular to the body axis agree well with Zhang Hanxin's theory. Additionally, the unstable-structure phenomenon which is showed by two saddles connection along leeward symmetry line occurs at some sections when the AoA is bigger than 20°.

Banach Limits Revisited

Order unit normed linear spaces are a special type of regularly ordered normed linear spaces and therefore the first section is a short collection of the fundamental results on this type of normed linear spaces. The connection between order unit normed linear spaces and base normed linear spaces within the category of regularly ordered normed linear spaces is described in Section 2, and Section 3 at last, contains the results on Banach limits in an arbitrary order unit normed linear space. It is shown that the original results on Banach limits are valid for a greater range.

Describing failure in geomaterials using second-order work approach

Geomaterials are known to be non-associated materials. Granular soils therefore exhibit a variety of failure modes, with diffuse or localized kinematical patterns. In fact, the notion of failure itself can be confusing with regard to granular soils, because it is not associated with an obvious phenomenology. In this study, we built a proper framework, using the second-order work theory, to describe some failure modes in geomaterials based on energy conservation. The occurrence of failure is defined by an abrupt increase in kinetic energy. The increase in kinetic energy from an equilibrium state, under incremental loading, is shown to be equal to the difference between the external second-order work,involving the external loading parameters, and the internal second-order work, involving the constitutive properties of the material. When a stress limit state is reached, a certain stress component passes through a maximum value and then may decrease. Under such a condition, if a certain additional external loading is applied, the system fails, sharply increasing the strain rate. The internal stress is no longer able to balance the external stress, leading to a dynamic response of the specimen. As an illustration, the theoretical framework was applied to the well-known undrained triaxial test for loose soils. The influence of the loading control mode was clearly highlighted. It is shown that the plastic limit theory appears to be a particular case of this more general second-order work theory. When the plastic limit condition is met, the internal second-order work is nil. A class of incremental external loadings causes the kinetic energy to increase dramatically, leading to the sudden collapse of the specimen, as observed in laboratory.

极限下限分析的区域光滑径向点插值法

极限分析的高效数值计算方法在结构设计和安全评定中具有非常重要的作用.为了更加有效地求解极限分析问题,将区域光滑径向点插值法与二阶锥规划相结合,提出了理想弹塑性结构极限下限分析的一种新方法.将问题域离散为简单的三角形背景单元,每个单元进一步划分成若干个光滑域.为了将复杂的域积分转化为简单的边界积分,并且避免计算形函数的导数,采用广义梯度光滑技术对每个光滑域进行应变光滑处理.由于径向点插值法构造的形函数满足Kronecker delta性质,本质边界条件可以直接施加.依据下限定理,在满足以等效积分弱形式表达的自平衡应力场平衡条件的基础上,用二阶锥规划成功构建了极限分析下限法的计算模型,从而可方便地通过基于原始-对偶内点法的数学规划求解器MOSEK直接求解该问题.数值算例结果表明,本文所提方法有效地克服了维数障碍问题,具有较高的计算精度,并且计算结果对网格畸变十分不敏感.

基于实际触发角响应的连续换相失败抑制方法

针对逆变侧交流故障下高压直流(line commutated converter-high voltage direct current,LCC-HVDC)输电系统易引发连续换相失败问题,该文分阶段分析了连续换相失败的产生机理。明确了当产生触发角偏差后,直流电流调节效果与实际触发角不匹配是连续换相失败的重要诱因。同时不对称故障后,负序分量通过极控、阀控两级控制系统对实际触发角造成的影响,增加连续换相失败的风险。因此提出了一种基于实际触发角响应的连续换相失败抑制方法,通过实际触发角修正整流侧电流指令值。与此同时,该方法通过陷波器降低负序电流对极控层触发角指令值的影响,通过相序解耦控制器和换相电压相位补偿降低负序电压对阀控层触发角实际值的影响。该方法能实现动态、自适应的电流指令值调整,提升恢复过程中直流电流与实际触发角的匹配度,提升直流系统抵御连续换相失败能力。在CIGRE标准测试模型和实际工程模型中,验证了理论分析的正确性和优化方法的有效性。

附带STATCOM的HVDC系统改进参考电压控制法

在弱交流系统下对于附带有STATCOM的电网换相换流器高压直流输电(Line Commutated Converter based High Voltage Direct Current, LCC-HVDC)系统,存在着LCC逆变站与STATCOM之间耦合导致LCC-HVDC系统的稳定裕度下降问题,这会减弱LCC-HVDC抑制换相失败的能力。此外,HVDC控制环节之中的电压指令电流控制(voltage dependent current order limiter, VDCOL)环节的输出电流指令大幅剧烈波动还有几率会导致HVDC系统在首次换相失败之后发生后续换相失败。针对上述问题提出了一种“改进参考电压”的思想,对STATCOM和VDCOL的参考电压与输入电压分别进行修正。首先在STATCOM原本的参考电压经过一个“虚拟电抗”之后得到一个新的参考电压,通过这个改进参考电压弱化了STATCOM电压外环控制模块与LCC逆变站的耦合,减小了交流系统等效阻抗的大小,提升了系统对干扰的抵抗能力。然后对VDCOL的输入电压进行改进,新的改进输入电压改善了故障后VDCOL输出电流指令的大幅剧烈波动情况。最后通过三个层次的对照试验,验证了所提方法的有效性。

混合多端直流输电系统限流控制策略配合及限流参数全局优化

混合多端直流输电系统短路电流水平超标对其安全稳定运行造成极大威胁。现有通过控制策略限流的方法多以本站出口侧最严重的极间故障展开分析,忽略了过渡电阻对两侧系统的耦合作用,且控制参数的不合理配置会降低故障点非零电位大小,进而加剧线路过电流现象。为此,首先,阐述了混合多端直流输电系统常见控制限流策略;其次,对换流站自身的控制特性及站间交互作用对故障电流的影响机理展开分析,提出计及过渡电阻耦合作用下故障电流的计算方法;然后,在此基础上,综合考虑控制参数灵敏性、限流效果等约束,建立控制参数全局优化数学模型,通过层次分析法得到控制参数的最优解;最后,基于PSCAD/EMTDC对传统限流特性及全局优化下的限流特性进行对比分析。结果表明,所提方法能在提高限流效果及满足参数灵敏性的基础上更好地适应经过渡电阻故障的情况,降低故障时电流上升率和电流峰值,协助降低两侧换流站因增流现象加剧线路过电流情况而闭锁的概率。

基于Kriging模型与FORM的钢板组合梁桥结构优化设计

考虑材料参数的不确定性以及设计变量多重约束条件的影响,提出了基于可靠性分析的钢板组合梁桥结构优化设计方法。首先,利用拉丁超立方试验设计(Latin hypercube design,LHD)构建试验组合方案,并通过有限元分析获取试验设计组合下的最大挠度响应值。基于获取的训练样本,构建能够表征结构最大挠度值与随机输入之间映射关系的Kriging代理模型。基于建立的代理模型,以钢结构截面积最小化为目标函数,建立符合规范要求与可靠度约束的优化数学模型,并采用一阶可靠性方法(first order reliability method,FORM),实现设计变量优化。通过比较具有相同设计变量上限,但下限分别为初始值的80%和70%两种优化设计方案,评估了两者在相同阈值以及不同阈值下设计变量的优化结果。最后对方案二在阈值为17 mm下的优化结果进行极限状态验算。结果表明:两个优化设计方案在阈值为17 mm下的优化结果更具合理性,并且方案二在同一阈值下具有更高的优化程度。随着阈值增加,优化程度增加,且腹板高度在较大阈值下对结果影响更大,而翼缘宽度在较小阈值下影响更大。

社会保险费追缴时效的区分适用

长期以来,社会保险费的追缴是否适用时效是实践中的难题。无论是行政机关还是司法机关,对社会保险费追缴是否适用时效均存在“不同地区不同处理”“相同案件不同审判”的问题,《劳动保障监察条例》中的两年监察时效与《中华人民共和国社会保险法》中的无限期追缴的关系有待进一步厘定。从法理角度,查处行为包括责令改正及行政处罚行为,前者不受时效的约束,后者适用处罚时效的约束。社会保险费追缴属于行政命令,本应不受时效的限制,但追缴面临政策难题和现实的困境,无限期追缴不存在现实的履行可能性。为此,社会保险费追缴行为应当进行目的性限缩,在符合劳动者基本保障的目的标准下,对欠费的部分情形不再进行无限期追缴,逐步解决历史遗留问题。

生态环境行政处罚中责令限期拆除的理解与适用

《生态环境行政处罚办法》修订后,责令限期拆除得以正式“入罚”,此种行为属性的转变蕴含着特定的规范逻辑,旨在明晰部分行政责令行为的法律属性,凸显“拆除”行为具有相对较强的制裁属性。然而,责令限期拆除“入罚”存在一定的逻辑不自洽,主要表现为责令限期拆除并未“增加新的义务”,行为责任的可非难性不足,可以引入行政保安处分制度和行政处罚“预防论”目的理论予以补足。据此,为了实质性地促成责令限期拆除“入罚”达致逻辑闭环的应然状态,有必要重申责令限期拆除“入罚”后应遵循的原则及其适用情形,以及须得接受正当程序原则的约束要求。总之,历史经验时刻都在警醒,国家处罚权应当依法合理行使,任何一次“入罚”皆应审慎对待。

代数和的等价无穷小代换

本文通过讨论无穷小代数和的阶数,获得了代数和运算能够使用等价无穷小代换的条件,并推广到商运算和幂指结构.最后用几个实例验证了结论的有效性.

正当防卫限度刑民差异与“二元论”提倡

缓和的违法一元论在一般违法性的基础之上讨论可罚的违法性这一理论基础存在诸多问题,而与违法一元论相对应,违法相对论在注重各部门法独立特点的基础上营造出“和而不同”的法律体系。在此指引下研究刑民正当防卫限度认定标准问题,会发现“一元论”存在系列疑问,难以解决实践需求。“二元论”着重阐述刑法与民法因存在不同特性,所以对正当防卫限度应作出“民严于刑”的理解。