We empirically study the market impact of trading orders. We are specifically interested in large trading orders that are executed incrementally, which we call hidden orders. These are reconstructed based on information about market member codes using data from the Spanish Stock Market and the London Stock Exchange. We find that market impact is strongly concave, approximately increasing as the square root of order size. Furthermore, as a given order is executed, the impact grows in time according to a power-law; after the order is finished, it reverts to a level of about 0.5 − 0.7 of its value at its peak. We observe that hidden orders are executed at a rate that more or less matches trading in the overall market, except for small deviations at the beginning and end of the order.
Polymer-based composites reinforced with nanocarbonaceous materials can be tailored for functional applications. Poly(vinylidene fluoride) (PVDF) reinforced with carbon nanotubes (CNT) or graphene with different filler contents have been developed as potential piezoresistive materials. The mechanical properties of the nanocomposites depend on the PVDF matrix, filler type, and filler content. PVDF 6010 is a relatively more ductile material, whereas PVDF-HFP (hexafluropropylene) shows larger maximum strain near 300% strain for composites with CNT, 10 times higher than the pristine polymer. This behavior is similar for all composites reinforced with CNT. On the other hand, reduced graphene oxide (rGO)/PVDF composites decrease the maximum strain compared to neat PVDF. It is shown that the use of different PVDF copolymers does not influence the electrical properties of the composites. On the other hand, CNT as filler leads to composites with percolation threshold around 0.5 wt.%, whereas rGO nanocomposites show percolation threshold at ≈ 2 wt.%. Both nanocomposites present excellent linearity between applied pressure and resistance variation, with pressure sensibility (PS) decreasing with applied pressure, from PS ≈ 1.1 to 0.2 MPa−1. A proof of concept demonstration is presented, showing the suitability of the materials for industrial pressure sensing applications.
Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price fluctuations (called intraday returns) and verify the model using a large database for several stocks traded on the London Stock Exchange. We provide evidence that the return distribution for these stocks is non-Gaussian and similar in shape and that the distribution appears stable over intraday time scales. We explain these results by assuming the volatility of returns is constant intraday but varies over longer periods such that its inverse square follows a gamma distribution. This produces returns that are Student distributed for intraday time scales. The predicted results show excellent agreement with the data for all stocks in our study and over all regions of the return distribution.
New biomedical technologies enable the diagnosis of brain tumours by using non-invasive methods. HealthAgents is a European Union-funded research project that aims to build an agent-based distributed decision support system (dDSS) for the diagnosis of brain tumours. This is achieved using the latest biomedical knowledge, information and communication technologies and pattern recognition (PR) techniques. As part of the PR development of HealthAgents, an independent and automatic classification framework (CF) has been developed. This framework has been integrated with the HealthAgents dDSS using the HealthAgents agent platform. The system offers (1) the functionality to search for distributed classifiers to solve specific questions; (2) automatic classification of new cases; (3) instant deployment of new validated classifiers; and (4) the ability to rank a set of classifiers according to their performance and suitability for the case in hand. The CF enables both the deployment of new classifiers using the provided Extensible Markup Language 1 classifier specification, and the inclusion of new PR techniques that make the system extensible. These features may enable the rapid integration of PR laboratory results into industrial or research applications, such as the HealthAgents dDSS. Two classification nodes have been deployed and they currently offer classification services by means of dedicated servers connected to the HealthAgents agent platform: one node being located at the Katholieke Universiteit Leuven, Belgium and the other at the Universidad Polite´cnica de Valencia, Spain. These classification nodes share the current set of brain tumour classifiers that have been trained from in vivo magnetic resonance spectroscopy data. The combination of the CF with a distributed agent system constitutes the basis of the brain tumour dDSS developed in HealthAgents.
Nursing homes usually host large accounts of persons with different levels of dementia. Detecting dementia process in early stages may allow the application of mechanisms to reduce or stop the cognitive impairment. Our ultimate objective is to demonstrate that the use of persuasive techniques may serve to motivate these subjects and induct re-learning mechanisms to stop mental impairment. Nevertheless, this requires the study of the behaviour of each patient individually in order to detect conduct disorders in their living ambient. This study presents a behavior pattern detection architecture based on the Ambient Assisted Living paradigm and Workflow Mining technology to enable re-learning mechanisms in dementia processes via providing tools to automate the conduct disorder detection. This architecture fosters the use of Workflows as representation languages to allow health professionals to represent persuasive motivation protocols in the AAL environment to react individually to dementia symptoms detected.
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