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 typ...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.展开更多
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 m...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.展开更多
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 t...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.展开更多
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...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.展开更多
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...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.展开更多
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 t...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.展开更多
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 ex...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.展开更多
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...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.展开更多
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 (E...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.展开更多
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 network...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.展开更多
文摘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.
基金National Natural Science Foundation ofChina (No.70331001)
文摘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.
基金the Fundamental Research Funds for the Central Universities,China
文摘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.
基金supported in part by an NSERC grantsupported in part by the National University of Mar del Plata,Argentina EXA902/18。
文摘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.
文摘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.
基金Project supported by the National Natural Science Foundation of China(Grant No.11171238)
文摘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.
文摘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.
基金supported by the Natural Science Foundation of China under Grant No.62001517.
文摘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.
文摘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.
基金the Natural Science Foundation of Guangdong Province under Grant Number 2021A1515011910by the Shenzhen Science and Technology Program under Grant No.KQTD20190929172704911。
文摘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.