1,299 research outputs found
Price Dynamics in a Markovian Limit Order Market
No full textWe propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Markovian queueing system. Through its analytical tractability, the model allows to obtain analytical expressions for various quantities of interest such as the distribution of the duration between price changes, the distribution and autocorrelation of price changes, and the probability of an upward move in the price, conditional on the state of the order book. We study the diffusion limit of the price process and express the volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These analytical results provide some insight into the relation between order flow and price dynamics in order-driven markets.limit order book, market microstructure, queueing, diffusion limit, high-frequency data, liquidity, duration analysis, point process
Early complication of a subtrochanteric periprosthetic fracture following hip resurfacing. Is varus healing acceptable? A case report and literature review
No full textThe increase in the incidence of osteoarthritis of the hip (coxarthrosis) in young patients with high functionality requirements and the development of new materials in the last twenty years have resulted in an increase in the number of surgeries involving hip resurfacing procedures. There has also been an increase in associated periprosthetic fractures, which currently occur in 1%-2% of cases. According to the medical literature, fractures of this type can be treated conservatively, using reduction and synthesis or through prosthetic revision
Cont(r)atto. Territorialità sensoriali
No full textCamminare, correre, passeggiare. Azioni semplici e mobilitanti. Artifici del corpo o artifici dello spazio. Percorrendo le città che viviamo abbiamo avvertito che verbi semplici non esistono più. Rapporti diretti sembrano lontani. C’è qualcosa che ci separa. Un’abitudine
Acute Treatment of Osteochondral Detachment Following Patellar Dislocation: Clinical and Short-Term MRI Follow-Up
No full textBackground: The aim of our study is to emphasizes the significance of prompt diagnosis and intervention in younger patients affected by osteochondral detachment after patellar dislocation, where the first objective is to minimize in the shortest possible time complications and ingravescence. The method involves a clinical patient assessment and MRI follow-up in subjects who underwent to an immediate surgical intervention for osteochondral damage. Methods: From January 2020 to December 2022, 22 patellar dislocation cases were assessed; osteochondral lesions were identified in 12 (54%) patients; nine of these patients were treated immediately with knee arthroscopy, while in seven instances the osteochondral fragment was reattached using bioabsorbable pins. Post-operative clinical evaluations were conducted at one-, three-, and six-month intervals; finally, a six-month post-operative MRI was performed for all surgically treated patients. Results: The MRI evaluations, conducted six months post-operation for all seven patients, indicated successful integration of the reattached osteochondral fragment. Every patient returned to their pre-injury activities after surgery. However, two of them reported mild pain in the anterior region of the knee post-surgery. Conclusions: in young patients, swift diagnosis and immediate surgical intervention for osteochondral detachment resulting from patellar dislocation are crucial. This approach has been identified as the best practice, since it substantially minimizes immediate functional restrictions and significantly lowers the long-term risk of femoral-patellar osteoarthritis
A Dynamic “Fixed Effects” Model for Heterogeneous Panel Data
No full textThis paper introduces a dynamic panel data model in which the intercepts and the coefficients on the lagged endogenous variables are specific to the cross section units, while the coefficients on the exogenous variables are assumed to be normally distributed across the cross section. Thus the model includes mixture of fixed coefficients and random coefficients, which I call the “MFR” model. The paper shows that this model has several desirable characteristics. In particular, the model allows for a considerable degree of heterogeneity across the cross section both in the dynamics and in the relationship between the independent and dependent variables. Estimation of the MFR model produces an estimate of the variance of the coefficients across the cross section units which can be used as a diagnostic tool to judge how widespread a relationship is and whether pooling of the data is appropriate. In addition, unlike LSDV estimation of dynamic panel models, the MFR model does not produce severely biased estimates when T is small.dynamic fixed effects panel data, heterogenous coefficients
Improving safety of runway overrun through the correct numerical evaluation of rutting in Cleared and Graded Areas
No full textAircraft overrun is potentially very dangerous to human life. Statistics show that overrun is mainly due to human errors causing loss of control in wheel alignment, high approach speed, and long touchdown. To prevent such disastrous consequences, advanced material arresting systems are currently being used in the main international airports for construction of Runway Safety Areas (RSAs). Many predictive models have been developed for controlling overrun events: the early reliable numerical models, on the basis of theoretical streamlined assumptions, were gradually replaced. More rigorous models based on Multibody System (MBS) and Finite Element Method (FEM) theories are nowadays much more preferred. These are characterized by high levels of reliability, even though the large number of data required does not always allow an exhaustive description of the domain of analysis. The paper presents an alternative method for predicting rut depths induced by aircraft overrunning. Such method is based on a numerical streamlined model, integrated with measurements from Light Falling Weight Deflectometer (LFWD), to define, section by section, the mechanical properties of soils in Cleared and Graded Areas (CGAs). The method has been validated through in situ tests, showing its high effectiveness and efficiency
Herd Behavior and Aggregate Fluctuations in Financial Markets
No full textWe present a simple model of a stock market where a random communication structure between agents generically gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high frequency market data. Our model provides a link between two well-known market phenomena: the heavy tails observed in the distribution of stock market returns on one hand and 'herding' behavior in financial markets on the other hand. In particular, our study suggests a relation between the excess kurtosis observed in asset returns, the market order flow and the tendency of market participants to imitate each other. Keywords: communication, market organization, random graphs. JEL Classification number: C0, D49, G19 PACS : 64.60.Ak, 89.90+n 1 This work is a condensed version of Chapter 5 the first author's doctoral dissertation at Universit'e de Paris XI. R. Cont gratefully acknowledg..
High frequency data entry: statistical findings at high frequency
No full textWe introduce some of the most common types of high-frequency financial data: tick-by-tick data,
trade andquote data, order bookdata, andmarket member data. We describe the types of variables that
are usually available in the most popular high-frequency financial databases. We discuss the issues related
to the handling of these data, including cleaning protocols, timing issues, and issues related to data size.
We then briefly consider the issues related to the stylized facts detected in the empirical analysis of high-
frequency data. Specifically, we consider (i) the irregular temporal spacing of the events at high frequency
and its relevance for the econometric modeling of financial variables, (ii) the discreteness of the financial
variables under investigation, (iii) the problems related to proper definition of financial variables, (iv) their
daily periodicity, that is, typical intraday patterns, (v) their temporal correlations, for example, the bid–ask
bounce and long memory properties, and (vi) problems related to the specificity of the market structure and
rules
Women, work and war : industrial mobilisation and demobilisation, Coventry and Bolton, 1940-1946
No full textThe emphasis in this thesis is on women's popular
attitudes towards the two processes of industrial mobilisation
and demobilisation which took place between 1940 and 1946.
Although the work includes a survey of the national picture of
those two processes, it concentrates on case studies in two towns
which exhibited different characteristics of women's employment,
Coventry and Bolton. This is done in an attempt to see if the
tradition of women's employment affected their attitudes towards
war work. In Coventry, the best sources of women's employment
were for single women. During the nineteen-thirties it was obvious
that the motor industry employed increasing numbers of women, but, again,
the unmarried. The economic participation rate in Coventry was slightly
lower than the national average. On the other hand, the cotton industry
in Bolton customarily had engaged married women as well as single women,
therefore, the women's economic participation rate was about 10 per cent.
higher than the national average. Local custom with regard to married
women's employment appears to have affected women's ideas About their
domestic responsibilities. Coventry women were more reserved and more
conscious of their domestic role. However, the comparison between the
two towns also brought out similarities as well as differences in women's
attitudes to industrial mobilisation. During demobilisation, the
similarities between Coventry and Bolton were more strongly marked.
The majority of women war workers had no intention of staying on in the
factory, in jobs which were still largely thought of as 'men's work'.
Most women thought that their well-being was dependent on men's secure
employment and high wages. They did not want to do anything to threaten
it. There seems to have been little antagonism between men and women
during the mobilisation and demobilisation period
Some Computational Aspects of Gaussian CARMA Modelling
No full textRepresentation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.CARMA, maximum-likelihood, spectrum, Kalman filter, computation
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