The supply/demand of a security in the market is an intertemporal, not a static, object and its dynamics is crucial in determining market participants' trading behavior. In this paper, we show that the dynamics of the supply/demand, rather than its static properties, is of critical importance to the optimal trading strategy of a given order. Using a limit-orderbook market, we develop a simple framework to model the dynamics of supply/demand and its impact on execution cost. We show that the optimal execution strategy involves both discrete and continuous trades, not only continuous trades as previous work suggested. The cost savings from the optimal strategy over the simple continuous strategy can be substantial. We also show that the predictions about the optimal trading behavior can have interesting implications on the observed behavior of intraday volume, volatility and prices. * Obizhaeva is from MIT Sloan School of Management,
Abstract. Over the past few years, virtualization has been employed to environments ranging from densely populated cloud computing clusters to home desktop computers. Security researchers embraced virtual machine monitors (VMMs) as a new mechanism to guarantee deep isolation of untrusted software components. Unfortunately, their widespread adoption promoted VMMs as a prime target for attackers. In this paper, we present HyperCheck, a hardware-assisted tampering detection framework designed to protect the integrity of VMMs and, for some classes of attacks, the underlying operating system (OS). HyperCheck leverages the CPU System Management Mode (SMM), present in x86 systems, to securely generate and transmit the full state of the protected machine to an external server. Using HyperCheck, we were able to ferret-out rootkits that targeted the integrity of both the Xen hypervisor and traditional OSes. Moreover, HyperCheck is robust against attacks that aim to disable or block its operation. Our experimental results show that HyperCheck can produce and communicate a scan of the state of the protected software in less than 40ms.
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