A LIMITED ORDER CAPACITY STOCHASTIC INVENTORY MODEL WITH A FIXED COST FOR ORDER: THE DISCOUNTED CASE

This paper considers a single-item, periodic-review inventory model with linear ordercosts, a convex function representing expected one-period costs, nonegative i.i.d. demandsand a fixed cost for order. Stockouts are backordered. All data are stationary Both finiteand infinite horizon problems are treated.

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.

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.

THE EFFECTS OF MARKET DEPTH ON THE ARRIVAL RATE OF ORDERS

This paper presents a model to describe the dynamic trading process in limit order book.By studying the dynamic pattern of execution probabilities of limit orders with both time and the depth of limit order book,the authors conclude with the following properties:Arrival rates of market buy orders increase as the depth of buy queue in the book increases and decrease as the depth of sell queue increases,and vice versa;similar regularities for the arrival rate of market sell orders;both the arrival rate of market buy order and market sell orders increase as the depth of both sides in the book increases by the same amount.Furthermore,the authors describe more detailed temporary and permanent effects of the market depth on the arrival rates of orders.

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.

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.

Order Aggressiveness in Shanghai Stock Market of China

This paper analyzes order aggressiveness in Shanghai stock market of China which is a pure order driven market. We provide empirical evidence that the mean order aggressiveness is negative （low） and most traders are liquidity providers. Our results also show that high order aggressiveness accompanied with high market volatility and large trade volume. The intraday order aggressiveness pattern is from low to high. Four factors： spread, volatility, order imbalance and size affect order aggressiveness, but they affect the buy and sell side differently.

Stripe-type charge ordering developed at the strong limit of nematicity in FeSe film

Subject Code:A04With the support by the National Natural Science Foundation of China,a collaborative study by the research groups led by Profs.Li Wei(李渭),Chen Xi(陈曦)and Xue Qikun(薛其坤)from Tsinghua University and Prof.Shen Zhixun(沈志勋)from Stanford University,demonstrates stripes developed

Limit Boundary Value Problem for Nonlinear Differential Equation of the Second Order

1 .Introduetion Considered in thio PaPer 15 the exi tenoe of the solution of the limit boundaryvalue problem■ which occurs in the study of Physios

Explicit Solution for Constrained Optimal Execution Problem with General Correlated Market Depth

This work studies the constrained optimal execution problem with a random market depth in the limit order market.Motivated from the real trading activities,our execution model considers the execution bounds and allows the random market depth to be statistically correlated in different periods.Usually,it is difficult to achieve the analytical solution for this class of constrained dynamic decision problem.Thanks to the special structure of this model,by applying the proposed state separation theorem and dynamic programming,we successfully obtain the analytical execution policy.The revealed policy is of feedback nature.Examples are provided to illustrate our solution methods.Simulation results demonstrate the advantages of our model comparing with the classical execution policy.

Runge-Kutta Discontinuous Galerkin Method Using WENO-Type Limiters:Three-Dimensional

This paper further considers weighted essentially non-oscillatory(WENO)and Hermite weighted essentially non-oscillatory(HWENO)finite volume methods as limiters for Runge-Kutta discontinuous Galerkin(RKDG)methods to solve problems involving nonlinear hyperbolic conservation laws.The application discussed here is the solution of 3-D problems on unstructured meshes.Our numerical tests again demonstrate this is a robust and high order limiting procedure,which simultaneously achieves high order accuracy and sharp non-oscillatory shock transitions.