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In birds, diverticula of the lungs and air sacs pneumatize specific regions of the postcranial skeleton. Relationships among pulmonary components and skeletal regions they pneumatize allow inferences about pulmonary anatomy in non-avian dinosaurs. |
Resting heart rate (RHR) is an important biomarker of cardiovascular health and mortality, but tracking it longitudinally generally requires a wearable device, limiting its availability. We present PHRM, a deep learning system for passive heart rate (HR) and RHR measurements during everyday smartphone use, using facia... |
Cells forming various epithelial tissues have a strikingly universal distribution for the number of their edges. It is generally assumed that this topological feature is predefined by the statistics of individual cell divisions in growing tissue but existing theoretical models are unable to predict the observed distri... |
Recently, much attention has been given to a noteworthy property of some soft tissues: their ability to grow. Many attempts have been made to model this behaviour in biology, chemistry and physics. |
In order to understand the phenomenon of longevity in biological world, the relationship between the potential of longevity and the structural complexity of an organism is analyzed. I. |
In this study, we model avascular tumour growth in epithelial tissue. This can help us to get a macroscopic view of the interaction between the tumour with its surrounding microenvironment and the physical changes within the tumour spheroid. |
The blood vascular system consists of blood vessels such as arteries, arterioles, capillaries and veins that convey blood throughout the body. The pressure difference which exists between the ends of the vessels provides the living force required to the flow of blood. |
The autonomic nervous system (ANS) regulatory capacity begins before birth as the sympathetic and parasympathetic activity contributes significantly to the fetus' development. Several studies have shown how vagus nerve is involved in many vital processes during fetal, perinatal and postnatal life: from the regulat... |
We developed and applied rapid scanning laser-emission microscopy to detect abnormal changes in cell nuclei for early diagnosis of cancer and cancer precursors. Regulation of chromatins is essential for genetic development and normal cell functions, while abnormal nuclear changes may lead to many diseases, in particul... |
We apply three optical coherence tomography (OCT) image analysis techniques to extract morphometric information from OCT images obtained on peripheral nerves of rat. The accuracy of each technique is evaluated against histological measurements accurate to +/-1 um. |
Organ segmentation in Positron Emission Tomography (PET) plays a vital role in cancer quantification. Low-dose PET (LDPET) provides a safer alternative by reducing radiation exposure. |
This paper investigates sound and music interactions arising from the use of electromyography (EMG) to instrumentalise signals from muscle exertion of the human body. We situate EMG within a family of embodied interaction modalities, where it occupies a middle ground, considered as a ''signal from the inside&#... |
In vitro models play a crucial role in advancing our understanding of biological processes, disease mechanisms, and developing screening platforms for drug discovery. Kidneys play an instrumental role in transport and elimination of drugs and toxins. |
Mechanical function of the heart during open-chest cardiac surgery is exclusively monitored by echocardiographic techniques. However, little is known about local kinematics, particularly for the reperfused regions after ischemic events. |
The release of heavy metals into the agricultural soil and waterbodies has been accelerated due to anthropogenic activities. They are not usually required for biological functions thus, their accumulation in biological system poses serious threat to health and environment globally. |
We propose a new model to describe diffusion processes within active deformable media. Our general theoretical framework is based on physical and mathematical considerations, and it suggests to use diffusion tensors directly coupled to mechanical stress. |
We numerically investigate the role of mechanical stress in modifying the conductivity properties of the cardiac tissue and its impact in computational models for cardiac electromechanics. We follow a theoretical framework recently proposed in [Cherubini, Filippi, Gizzi, Ruiz-Baier, JTB 2017], in the context of genera... |
In reptiles, especially during their early stage of life when reared under captive conditions, nutritional deficiencies are the most common problems reported in them affecting the spinal cord and the musculoskeletal system. More often green iguanas and snakes are very much vulnerable to it. |
Characterization of host responses associated with severe malaria through an integrative approach is necessary to understand the dynamics of a \textit{Plasmodium cynomolgi} infection. In this study, we conducted temporal immune profiling, cytokine profiling and transcriptomic analysis of five \textit{Macaca mulatta} i... |
A minimal model of a market of myopic non-cooperative agents who trade bilaterally with random bids reproduces qualitative features of short-term electric power markets, such as those in California and New England. Each agent knows its own budget and preferences but not those of any other agent. |
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. |
We consider a broker who has to place a large order which consumes a sizable part of average daily trading volume. The broker's aim is thus to minimize execution costs he incurs from the adverse impact of his trades on market prices. |
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the most aggressive such practices, and arrive at figures that are surprisingly modest. By "aggressive" we mean any... |
We study operator learning in the context of linear propagator models for optimal order execution problems with transient price impact à la Bouchaud et al. (2004) and Gatheral (2010). Transient price impact persists and decays over time according to some propagator kernel. |
Volatility-based trading strategies have attracted a lot of attention in financial markets due to their ability to capture opportunities for profit from market dynamics. In this article, we propose a new volatility-based trading strategy that combines statistical analysis with machine learning techniques to forecast s... |
Through the analysis of a dataset of ultra high frequency order book updates, we introduce a model which accommodates the empirical properties of the full order book together with the stylized facts of lower frequency financial data. To do so, we split the time interval of interest into periods in which a well chosen ... |
In an incomplete financial market, the axiomatic of Time Consistent Pricing Procedure (TCPP), recently introduced, is used to assign to any financial asset a dynamic limit order book, taking into account both the dynamics of basic assets and the limit order books for options. <br>Kreps-Yan fundamental theorem is exten... |
This paper presents novel results generated from a new simulation model of a contemporary financial market, that cast serious doubt on the previously widely accepted view of the relative performance of various well-known public-domain automated-trading algorithms. Various public-domain trading algorithms have been pro... |
This paper presents an equilibrium model of dynamic trading, learning, and pricing by strategic investors with trading targets and price impact. Since trading targets are private, rebalancers and liquidity providers filter the child order flow over time to estimate the latent underlying parent trading demand imbalance... |
In modern society, the trading methods and strategies used in financial market have gradually changed from traditional on-site trading to electronic remote trading, and even online automatic trading performed by a pre-programmed computer programs because the continuous development of network and computer computing tech... |
We develop a new market-making model, from the ground up, which is tailored towards high-frequency trading under a limit order book (LOB), based on the well-known classification of order types in market microstructure. Our flexible framework allows arbitrary order volume, price jump, and bid-ask spread distributions a... |
In financial markets, abnormal trading behaviors pose a serious challenge to market surveillance and risk management. What is worse, there is an increasing emergence of abnormal trading events that some experienced traders constitute a collusive clique and collaborate to manipulate some instruments, thus mislead other... |
Pairs trading is a strategy based on exploiting mean reversion in prices of securities. It has been shown to generate significant excess returns, but its profitability has dropped significantly in recent periods. |
Traditional knowledge distillation in classification problems transfers the knowledge via class correlations in the soft label produced by teacher models, which are not available in regression problems like stock trading volume prediction. To remedy this, we present a novel distillation framework for training a light-... |
The possibility that the collective dynamics of a set of stocks could lead to a specific basket violating the efficient market hypothesis is investigated. Precisely, we show that it is systematically possible to form a basket with a non-trivial autocorrelation structure when the examined time scales are at the order o... |
Optimal liquidation using VWAP strategies has been considered in the literature, though never in the presence of permanent market impact and only rarely with execution costs. Moreover, only VWAP strategies have been studied and the pricing of guaranteed VWAP contracts has never been addressed. |
Prices in financial markets exhibit extreme jumps far more often than can be accounted for by external news. Further, magnitudes of price changes are correlated over long times. |
Considering that a trader or a trading algorithm interacting with markets during continuous auctions can be modeled by an iterating procedure adjusting the price at which he posts orders at a given rhythm, this paper proposes a procedure minimizing his costs. We prove the a.s. convergence of the algorithm under assump... |
This research introduces a novel pairs trading strategy based on copulas for cointegrated pairs of cryptocurrencies. To identify the most suitable pairs, the study employs linear and non-linear cointegration tests along with a correlation coefficient measure and fits different copula families to generate trading signa... |
We study two kinds of economic exchange, additive and multiplicative, in a system of N agents. The work is divided in two parts, in the first one, the agents are free to interact with each other. |
With the development of artificial intelligence,more and more financial practitioners apply deep reinforcement learning to financial trading <a href="http://strategies.However" rel="external noopener nofollow" class="link-external link-http">this http URL</a>,It is difficult to extract accurate features due to the char... |
This paper explores the bifurcative dynamics of an artificial stock market exchange (ASME) with endogenous, myopic traders interacting through a limit order book (LOB). We showed that agent-based price dynamics possess intrinsic bistability, which is not a result of randomness but an emergent property of micro-level t... |
The vast majority of market impact studies assess each product individually, and the interactions between the different order flows are disregarded. This strong approximation may lead to an underestimation of trading costs and possible contagion effects. |
We define the concept of good trade execution and we construct explicit adapted good trade execution strategies in the framework of linear temporary market impact. Good trade execution strategies are dynamic, in the sense that they react to the actual realisation of the traded asset price path over the trading period;... |
We study one-shot Nash competition between an arbitrary number of identical dealers that compete for the order flow of a client. The client trades either because of proprietary information, exposure to idiosyncratic risk, or a mix of both trading motives. |
In this paper we apply a new approach of the string theory to the real financial market. It is direct extension and application of the work [1] into prediction of prices. |
We present an empirical analysis of the microstructure of financial markets and, in particular, of the static and dynamic properties of liquidity. We find that on relatively large time scales (15 minutes) large price fluctuations are connected to the failure of the subtle mechanism of compensation between the flows of... |
We construct the Google matrices of bitcoin transactions for all year quarters during the period of January 11, 2009 till April 10, 2013. During the last quarters the network size contains about 6 million users (nodes) with about 150 million transactions. |
We describe a simple model for speculative trading based on adaptive behavior of economic <a href="http://agents.The" rel="external noopener nofollow" class="link-external link-http">this http URL</a> adaptive behavior is expressed through a feedback mechanism for changing agents' stock-to-bond ratios, depending on... |
Price impact of a trade is an important element in pre-trade and post-trade analyses. We introduce a framework to analyze the market price of liquidity risk, which allows us to derive an inhomogeneous Bernoulli ordinary differential equation. |
This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns and trade arrivals. Our main contributions are threefold. |
We propose an error-correcting model for the microprice, a high-frequency estimator of future prices given higher order information of imbalances in the orderbook. The model takes into account a current microprice estimate given the spread and best bid to ask imbalance, and adjusts the microprice based on recent dynam... |
The use of the trading halts is a practice common to all markets. However, the advantages and the disadvantages of the measurements are regularly discussed. |
In this paper, we consider the optimal portfolio liquidation problem under the dynamic mean-variance criterion and derive time-consistent solutions in three important models. We give adapted optimal strategies under a reconsidered mean-variance subject at any point in time. |
Two MEV builders now produce nearly 80\% of Ethereum blocks. Block builders have the ability to reorder transactions on the blockchain in a way that can be harmful to participants. |
The utilization of Large Language Models (LLMs) in financial trading has primarily been concentrated within the stock market, aiding in economic and financial decisions. Yet, the unique opportunities presented by the cryptocurrency market, noted for its on-chain data's transparency and the critical influence of of... |
We present a simple agent-based model to study the development of a bubble and the consequential crash and investigate how their proximate triggering factor might relate to their fundamental mechanism, and vice versa. Our agents invest according to their opinion on future price movements, which is based on three sourc... |
Recently, most stock exchanges in the U.S. employ maker-taker fees, in which an exchange pays rebates to traders placing orders in the order book and charges fees to traders taking orders from the order book. Maker-taker fees encourage traders to place many orders that provide market liquidity to the exchange. |
The limit order book (LOB) depicts the fine-grained demand and supply relationship for financial assets and is widely used in market microstructure studies. Nevertheless, the availability and high cost of LOB data restrict its wider application. |
This paper introduces a new representation for the actions of a market maker in an order-driven market. This representation uses scaled beta distributions, and generalises three approaches taken in the artificial intelligence for market making literature: single price-level selection, ladder strategies and "market... |
In recent years, a wide range of investment models have been created using artificial intelligence. Automatic trading by artificial intelligence can expand the range of trading methods, such as by conferring the ability to operate 24 hours a day and the ability to trade with high frequency. |
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. CCLs help institutions to mitigate counterparty credit risk via selective diversification of their exposures. |
We provide sufficient conditions for the existence and uniqueness of solutions to a stochastic differential equation which arises in a price impact model. These conditions are stated as smoothness and boundedness requirements on utility functions or Malliavin differentiability of payoffs and endowments. |
Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer market and demonstrate that it can be used to understand the behavior of a reinforce... |
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. |
The primary challenge of market making in spot precious metals is navigating the liquidity that is mainly provided by futures contracts. The Exchange for Physical (EFP) spread, which is the price difference between futures and spot, plays a pivotal role and exhibits multiple modes of relaxation corresponding to the di... |
Using virtual stock markets with artificial interacting software investors, aka agent-based models (ABMs), we present a method to reverse engineer real-world financial time series. We model financial markets as made of a large number of interacting boundedly rational agents. |
Myopic optimization (MO) outperforms reinforcement learning (RL) in portfolio management: RL yields lower or negative returns, higher variance, larger costs, heavier CVaR, lower profitability, and greater model risk. We model execution/liquidation frictions with mark-to-market accounting. |
We propose a deep learning approach to study the minimal variance pricing and hedging problem in an incomplete jump diffusion market. It is based upon a rigorous stochastic calculus derivation of the optimal hedging portfolio, optimal option price, and the corresponding equivalent martingale measure through the means ... |
This paper studies an environment of simultaneous, separate, first-price auctions for complementary goods. Agents observe private values of each good before making bids, and the complementarity between goods is explicitly incorporated in their utility. |
Quasi-equilibrium models for aggregate variables are widely-used throughout finance and economics. The validity of such models depends crucially upon assuming that the systems' participants behave both independently and in a Markovian fashion. |
This paper outlines an agent-based model of a simple financial market in which a single asset is available for trade by three different types of traders. The model was first introduced in the PhD thesis of one of the authors, see reference [1]. |
Agents attempt to maximize expected profits earned by selling multiple units of a perishable product where their revenue streams are affected by the prices they quote as well as the distribution of other prices quoted in the market by other agents. We propose a model which captures this competitive effect and directly... |
We solve explicitly the Almgren-Chriss optimal liquidation problem where the stock price process follows a geometric Brownian motion. Our technique is to work in terms of cash and to use functional analysis tools. |
Foreign exchange rates movements exhibit significant cross-correlations even on very short time-scales. The effect of these statistical relationships become evident during extreme market events, such as flash <a href="http://crashes.In" rel="external noopener nofollow" class="link-external link-http">this http URL</a>... |
We propose the point process model as the Poissonian-like stochastic sequence with slowly diffusing mean rate and adjust the parameters of the model to the empirical data of trading activity for 26 stocks traded on NYSE. The proposed scaled stochastic differential equation provides the universal description of the tra... |
Quantitative markets are characterized by swift dynamics and abundant uncertainties, making the pursuit of profit-driven stock trading actions inherently challenging. Within this context, reinforcement learning (RL), which operates on a reward-centric mechanism for optimal control, has surfaced as a potentially effect... |
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-returns thereby modifying a financial market evolution. We specifically discuss the role of financial news or economic information positive or ... |
We seek to utilize the nonextensive statistics to the microscopic modeling of the interacting many-investor dynamics that drive the price changes in a market. The statistics of price changes are known to be fit well by the Students-T and power-law distributions of the nonextensive statistics. |
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