Latency arbitrage and the synchronized placement of orders

We argue that owing to traders’inability to fully express their preferences over the execution times of their orders,contemporary stock market designs are prone to latency arbitrage.In turn,we propose a new order type,which allows traders to specify the time at which their orders are executed after reaching the exchange.Using recent latency data,we demonstrate that the order type proposed here allows traders to synchronize order executions across different exchanges,such that high-frequency traders,even if they operate at the speed of light,can no-longer engage in latency arbitrage.

Empirical Study on Arbitrage Opportunities in China Copper Futures Market

No-arbitrage bound is established with no-arbitrage theory considering all kinds of trade costs, different deposit and loan interest rate, margin and tax in futures markets. The empirical results find that there are many lower bound arbitrage opportunities in China copper futures market from August 8th, 2003 to August 16th, 2005, Concretely, no-arbitrage opportunity is dominant and lower bound arbitrage is narrow in normal market segment. Lower bound arbitrage almost always exists with huge magnitude in inverted market segment. There is basically no-arbitrage in normal market because spot volume is enough, so that upper or lower bound arbi- trage can be realized, There is mostly lower bound arbitrage in inverted market because spot volume is lack.

Stability Analysis of Robust Arbitrage in a Random Interval Valued Financial Market

Stability of robust arbitrage under different probability measures is discussed in a random interval valued financial market.In a fundamental financial market without robust arbitrages, a suitable condition is given to guarantee that the market with new probability measures will also have no robust arbitrage. In order to specify the result got in this article,an example of binomial tree financial model with interval ratios of change is proposed.

NO-ARBITRAGE SYMMETRIES

The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of(idealized) markets.This paper addresses the following basic question:can one characterize the class of transformations that leave the law of no-arbitrage invariant?We provide a geometric formalization of this question in a non probabilistic setting of discrete time-the so-called trajectorial models.The paper then characterizes,in a local sense,the no-arbitrage symmetries and illustrates their meaning with a detailed example.Our context makes the result available to the stochastic setting as a special case.

An Empirical Examination of the Arbitrage Pricing Theory:Evidences from the U.S.Stock Market

This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking,chemicals,insurance,telecommunication,and utilities industries in the U.S.market.Using a multifactor pricing model and data from 1998:01 to 2017:12,empirical results show that the banking,chemical,and telecommunication industries show more differences in their stock reactions to local macroeconomic risk factors.The insurance and telecommunication industries do not react significantly to risk factors.However,all the industries show strong reactions to local market portfolio.

A multidimensional subdiffusion model:An arbitrage-free market

To capture the subdiffusive characteristics of financial markets, the subordinated process, directed by the inverse α-stale subordinator Sα （t） for 0 〈 α〈 1, has been employed as the model of asset prices. In this article, we introduce a multidimensional subdiffusion model that has a bond and K correlated stocks. The stock price process is a multidimen- sional subdiffusion process directed by the inverse a-stable subordinator. This model describes the period of stagnation for each stock and the behavior of the dependency between multiple stocks. Moreover, we derive the multidimensional fractional backward Kolmogorov equation for the subordinated process using the Laplace transform technique. Finally, using a martingale approach, we prove that the multidimensional subdiffusion model is arbitrage-free, and also gives an arbitrage-free pricing rule for contingent claims associated with the martingale measure.

Investigating the Efficiency Coefficient of Pile Group in Clay Under Two-Way Lateral Load

This research investigates the behavior of a 2×2 pile group under two-directional lateral loads in addition to the vertical load.Through three-dimensional numerical modeling based on Flac 3D software,the study examines the total bearing capacity and efficiency coefficient of the pile group,considering factors such as the angle of lateral load,relative pile spacing,and relative stiffness of the pile-soil system.The findings highlight the significance of these factors in understanding and predicting the response of pile groups to changing lateral load directions.The results reveal that increasing the angle of the lateral load from 0°to 45°enhances both the maximum total lateral load and the efficiency coefficient of the pile group.When the relative stiffness of the pile-soil system significantly increases,soil stiffening occurs and reducing the relative spacing of the piles from 7 to 3 times the diameter of the piles diminishes the influence of the pile group.Consequently,the response of the pile group to lateral loads becomes more linear,with only a slight alteration in the maximum total lateral load and the efficiency coefficient when the lateral load is angled from 0°to 45°.Conversely,increasing the relative distance between the piles,specifically from 3 to 7 times the diameter of the piles,amplifies the influence of the pile group.Both the maximum total lateral load and the efficiency coefficient of the pile group exhibit an observed increase.These provide insights for designing pile groups and optimizing their performance under lateral loading conditions.

Secrecy Outage Probability for Two-Way Integrated Satellite Unmanned Aerial Vehicle Relay Networks with Hardware Impairments

In this paper,we investigate the secrecy outage performance for the two-way integrated satellite unmanned aerial vehicle relay networks with hardware impairments.Particularly,the closed-form expression for the secrecy outage probability is obtained.Moreover,to get more information on the secrecy outage probability in a high signalto-noise regime,the asymptotic analysis along with the secrecy diversity order and secrecy coding gain for the secrecy outage probability are also further obtained,which presents a fast method to evaluate the impact of system parameters and hardware impairments on the considered network.Finally,Monte Carlo simulation results are provided to show the efficiency of the theoretical analysis.

FINITE HORIZON ARBITRAGE-FREESECURITY MARKETS

This paper studies the weakly and strictly arbitrage-free security markets. The authors extend the Farkas-Minkowski's Lemma and Stiemke's Lemma from two periods to finite periods and from finite-dimensional (Euclidean) space to locally convex topological space and separable Banach space, show weakly and strictly arbitrage-free security pricing theory, then obtain the conditional expectation form of weakly and strictly arbitrage-free security pricing formula.

Two-way中继系统中的双向中继选择及功率分配策略

通过中继选择和功率分配,可以达到提高two-way中继系统总速率的目的。综合考虑中继节点处的接收信噪比和中继节点到目的节点间的信道增益,提出了two-way AF中继系统中的双向中继选择策略(BRS);同时,在总功率受限的条件下,建立了two-way AF中继系统中的优化功率分配模型,通过对模型进行数学分析求解,提出了一种自适应的最优功率分配策略(OPA)。仿真结果证明两种策略均能提高系统总速率。

Two-way中继系统中基于最小化中断概率的功率分配策略

为了降低Two-way中继系统中断概率,提出了一种Two-way中继系统中基于最小化中断概率的功率分配策略。首先推导了Two-way中继系统中断概率的闭合表达式,然后在总功率受限的条件下,提出了一种最小化中断概率的最优功率分配策略(OPA),通过拉格朗日乘数法对该优化模型进行了求解。仿真结果证明了该策略能够有效降低系统的中断概率,提高系统性能。

基于信息间隙决策理论的卡车式移动充电站协同调度策略

卡车式移动充电站(TMCS)由于具有良好的移动储能及调度灵活性已经引起国内外业界的高度关注,而其潜在的应用价值尚未得到充分挖掘。为此,提出一种基于信息间隙决策理论(IGDT)的TMCS协同优化调度策略,以协调其在为电动汽车充电服务和电网能量套利之间的协同运行。根据运营商对风险的偏好程度,分别建立鲁棒IGDT模型和机会IGDT模型,在不同风险态度下,探讨了电动汽车充电需求以及电网注入功率的不确定性对运营商优化调度方案的影响。算例分析表明,所提方法能够为考虑多重不确定因素的TMCS优化调度决策提供有效支撑,在兼顾充电服务质量的同时保障充电设施运营商的收益。

基于功率动态分配与容量短期补偿的用户侧BESS复用策略

用户侧电池储能系统(BESS)在维持新能源高渗透电网电力电量平衡中扮演着重要角色,其面向峰谷套利和调频的复用模式受到了广泛关注。但该模式下,BESS调度面临峰谷套利价格时变性和调频需求随机性的双重挑战。为更好地利用BESS资源,以最大化用户侧BESS日内收益为目标,提出了基于功率动态分配与容量短期补偿的用户侧BESS复用策略,并形成以套利功率、调差系数、容量补偿系数为核心参数的复用结果。仿真分析表明,通过动态功率分配,实现了BESS功率面向峰谷套利和调频的动态调整;通过容量短期补偿,实现了BESS对频率偏差信号的持续跟踪,并有效避免了容量越限的发生,BESS综合收益显著提升。

基于CEEMD-LSTM-Adaboost模型的白糖期货跨期套利策略

以白糖期货合约SR2201和SR2109的5 min高频数据为研究对象,在验证二者存在长期均衡关系的条件下,构建GARCH模型来刻画残差的ARCH效应,将互补集合经验模态分解(CEEMD)方法与长短期记忆网络(LSTM)、自适应提升算法(Adaboost)相结合,通过预测价差涨跌进行套利操作,设置不同开平仓阈值,在样本区间内进行4种神经网络套利策略对比研究。结果表明:基于CEEMD-LSTM-Adaboost模型的神经网络套利策略应用于白糖期货市场可行有效,并且其在模型预测精度和套利效果方面均比BP、LSTM和LSTM-Adaboost神经网络更具优势。

考虑共享储能的配电网多主体协同调度策略

针对目前配网侧储能商运营模式单一、盈利方法模糊以及利用率低等问题,提出一种兼具电能自营和储能共享的储能商运营模式。首先,建立考虑共享储能的配电网多主体协同调度模型,该模型兼顾配电网、负荷聚合商和储能商的利益诉求,同时有效降低配电网净负荷峰谷差,缓解主网调峰压力。然后,模型实施两阶段优化,第1阶段为储能租赁容量优化,即配电网按需租赁储能进行削峰填谷,使租赁成本和净负荷方差最小;第2阶段为多主体协同优化,即储能商根据分时电价利用剩余容量“低储高放”套利,与负荷聚合商共同响应调峰,使配电网成本最低、负荷聚合商收益最大以及储能商套利最多,实现各主体互利共赢。最后,通过算例分析验证该文所提方法的有效性。

Securing Forwarding Layers from Eavesdropping Attacks Using Proactive Approaches

As an emerging network paradigm,the software-defined network(SDN)finds extensive application in areas such as smart grids,the Internet of Things(IoT),and edge computing.The forwarding layer in software-defined networks is susceptible to eavesdropping attacks.Route hopping is amoving target defense(MTD)technology that is frequently employed to resist eavesdropping attacks.In the traditional route hopping technology,both request and reply packets use the same hopping path.If an eavesdropping attacker monitors the nodes along this path,the risk of 100%data leakage becomes substantial.In this paper,we present an effective route hopping approach,called two-day different path(TDP),that turns communication paths into untraceable moving targets.This technology minimizes the probability of data leakage by transmitting request data and reply data through different paths.Firstly,a brief introduction to the network model and attack model involved in this paper is given.Secondly,the algorithm and processingmethod of the TDP are proposed.Thirdly,the paper proposes three differentmetrics tomeasure the effectiveness of the proposed approach.Finally,theoretical analysis and simulation results show that the TDP can effectively reduce the percentage of data exposure,decrease eavesdropping attack success probability,and improve the unpredictability of the path.

宏观审慎监管对商业银行监管套利行为的影响研究

防范金融风险是金融工作的永恒主题。商业银行同业业务通过隐匿信贷资产规避微观审慎监管,而宏观审慎监管在理论上能够防止金融机构的监管套利行为。宏观审慎监管对商业银行通过同业业务进行监管套利行为产生影响。本文通过搜集商业银行财务数据构建商业银行同业业务规模指标及宏观审慎监管和微观审慎监管压力指标,以商业银行同业业务规模变动刻画其监管套利行为。首先,分析了微观审慎监管压力对商业银行监管套利行为的影响;其次,在模型中加入宏观审慎监管压力指标,分析了宏观审慎监管压力对商业银行监管套利行为的影响。实证结果表明:宏观审慎监管在一定程度上能够有效防止商业银行通过同业业务规避监管,但针对同业业务的资金拆出方和资金拆入方的政策效果具有差异性。

被动资金视角下的A股指数效应与套利策略

通过分析2009年至今中国A股三大指数的定期调整对样本股票的影响,可以发现从指数调整公告日到调整实施日的两周窗口期内,新纳入的成分股相对于被剔除的股票具有显著的超额回报,但该现象在指数调整正式实施后出现逆转。回归分析证明,被动跟踪基金的提前调仓行为对以上现象具有一定的解释能力。实证回测发现,构建基于被动跟踪资金的套利策略具有高额收益。

交直流配电系统储能优化配置方法

为提高配电网对可再生能源的消纳能力并减轻可再生能源并网对配电网造成的影响,针对交直流混合配电系统,提出了一种考虑电压源型换流器和储能系统协调运行的储能容量双层优化模型,结合遗传算法与二阶锥规划方法对大规模非线性规划问题进行求解。最后,通过设置3种不同场景以验证模型的合理性和有效性。算例结果表明:储能系统和交直流混合配电系统协调运行能够有效抑制电压波动,提高储能系统的收益。

储能电站在水泥工厂中的应用探究

对于水泥工厂而言,储能电站具有降低能源成本、稳定电能供应、平衡用电负荷、优化电能利用等突出特点,不仅提升了工厂用电的稳定性和可靠性,而且还可以服务于电网的调峰及调频。因此,本文以储能电站为切入点,以某水泥工厂储能电站为例,将储能电站的项目背景、工程方案、运行模式、投资模式、效益以及建设成效进行深入探究,以期为本行业和类似行业提供参考和启示。