Optimal portfolio execution under time-varying liquidity constraints

In this article, we take an algorithmic approach to solve the problem of optimal execution under time-varying constraints on the depth of a limit order book (LOB). Our algorithms are within the resilience model proposed by Obizhaeva and Wang (2013) with a more realistic assumption on the order book depth; the amount of liquidity provided by an LOB market is finite at all times. For the simplest case where the order book depth stays at a fixed level for the entire trading horizon, we reduce the optimal execution problem into a one-dimensional root-finding problem which can be readily solved by standard numerical algorithms. When the depth of the order book is monotone in time, we apply the Karush-Kuhn-Tucker conditions to narrow down the set of candidate strategies. Then, we use a dichotomy-based search algorithm to pin down the optimal one. For the general case, we start from the optimal strategy subject to no liquidity constraints and iterate over execution strategy by sequentially adding more constraints to the problem in a specific fashion until primal feasibility is achieved. Numerical experiments indicate that our algorithms give comparable results to those of current existing convex optimization toolbox CVXOPT with significantly lower time complexity.     

A complete characterization of disjunctive conic cuts for mixed integer second order cone optimization

We study the convex hull of the intersection of a disjunctive set defined by parallel hyperplanes and the feasible set of a mixed integer second order cone optimization (MISOCO) problem. We extend our prior work on disjunctive conic cuts (DCCs), which has thus far been restricted to the case in which the intersection of the hyperplanes and the feasible set is bounded. Using a similar technique, we show that one can extend our previous results to the case in which that intersection is unbounded. We provide a complete characterization in closed form of the conic inequalities required to describe the convex hull when the hyperplanes defining the disjunction are parallel.     

交换L*-环

我们证明一个交换整环或交换局部环是一个L*-环当且仅当它是一个O*-环.文中还证明了一些一般性的条件使之一个交换环不是L*.     

Benefiting from information-rich multi-frequency AC voltammetry coupled with chemometrics on the example of on-line monitoring of leveler component of electroplating bath

Simultaneous application of multiple sinusoidal waveforms perturbations superimposed onto DC staircase step significantly enriches current response. The measured current is characterized by a matrix of data rather than a conventional voltammetric output in a form of a vector. This increase of the dimensionality of the current response and therefore the wealth of analytical information is achieved without compromising the time of analysis. The natural approach for compression of such data and extraction of relevant information is by utilizing multi-way chemometric decomposition techniques. An electroplating solution presents a very challenging analyte for electroanalysis as its constituents interact synergistically with each other during both the plating process and its simulation during electroanalysis. For some components the mechanism is not entirely understood. Therefore, the only way to benefit from the analytical data is by employing soft modeling. The electrode processes involving additives rely heavily on adsorption and, indirectly, on electron transfer kinetics for which AC voltammetry is an analytical technique capable of delivering informative signals. This paper presents a rigorous universal method for calculating and validating an exemplary multi-way calibration of a leveler component in a copper electroplating bath used in the semiconductor industry. The method presented employs comparatively Parallel Factor Analysis coupled with Inverse Least Squares Regression and multi-linear Partial Least Squares. The calibration training set consists of multi-frequency AC voltammetric data subjected to pretreatments aiming to select informative independent variables and exclude outliers.     

Hetero-Polar Sextuple Bond: A Relativistic Quantum Chemical Study**

Number of bonds formed by sharing an electron pair between two atoms is not restricted to one, it can go beyond four and six is the maximum. While homopolar sextuple bond in Mo₂ and W₂ has been reported, such a high bond order in heteropolar diatomics has remained elusive. In the pursuit of the sextuple bond in polar diatomics, the present study depicts the existence of such multiple bonds in Rhodium-Scandium hetero-diatom based on relativistic quantum chemical calculations. The bonding comprises of three normal electron sharing covalent bonds and three dative covalent bonds.     

Effect of synthesis parameters on the structural,morphological characteristics,and photocatalytic activity of La2O3 nanoparticles

This study investigates the influence of synthesis processes such as sonication, sol-gel, and microwave on the production of highly crystalline Lanthanum oxide nanoparticles (La₂O₃) employing Lanthanum nitrate and Ammonium hydroxide (NH₄OH) as precursors. X-ray diffraction (XRD), particle size analysis (DLS), Field emission scanning electron microscopy (FESEM), Fourier-transform infrared spectroscopy (FTIR), ultraviolet–visible absorption spectroscopy (UV–Vis), and electrochemical impedance spectroscopy (EIS) were used to examine the most effective processing method and its effects on the nanoparticle characteristics, such as structure, morphology, and optical and electrical behavior. Sonication produces La₂O₃ NPs with a smaller crystalline size, an agglomerated nanorod structure, a higher bandgap, and better electrical responsiveness than sol-gel and microwave techniques. Structural and optical characterization tests discovered this. The photocatalytic degradation activity of cationic Safranin and anionic Congo red dye exhibits degradation efficiency of around 90.13% and 89.66%, respectively.     

High‐temperature superconductivity and long‐range order in strongly correlated electronic systems

A selective review of the question of how repulsive electron correlations might give rise to off‐diagonal long‐range order (ODLRO) in high‐temperature superconductors is presented. The article makes detailed explanations of the relevance to superconductivity of reduced electronic density matrices and how these can be used to understand whether ODLRO might arise from Coulombic repulsions in strongly correlated electronic systems. Time‐reversed electron pairs on alternant Cuprate and the iron‐based pnictide and chalcogenide lattices may have a weak long‐range attractive tail and much stronger short‐range repulsive Coulomb interaction. The long‐range attractive tail may find its origin in one of the many suggested proposals for high‐T_c superconductivity and thus has an uncertain origin. A phenomenological Hamiltonian is invoked whose model parameters are obtained by fitting to experimental data. A detailed summary is given of the arguments that such interacting electrons can cooperate to produce a superconducting state in which time‐reversed pairs of electrons effectively avoid the repulsive hard‐core of the Coulomb interaction but reside on average in the attractive well of the long‐range potential. Thus, the pairing of electrons itself provides an enhanced screening mechanism. The alternant lattice structure is the key to achieving robust high‐temperature superconductivity with dx²‐y² or sign alternating s‐wave or s± condensate symmetries in cuprates and iron‐based compounds. Some attention is also given to the question first raised by Leggett as to where the Coulombic energy is saved in the superconducting transition in cuprates. A mean‐field‐type model in which the condensate density serves as an order parameter is discussed. Many of the observed trends in the thermal properties of cuprate superconductors are reproduced giving strong support for the proposed model for high‐temperature superconductivity in such strongly correlated electronic systems. © 2015 Wiley Periodicals, Inc.     

The behavior of benzene confined in a single wall carbon nanotube

We present the molecular dynamics study of benzene molecules confined into the single wall carbon nanotube. The local structure and orientational ordering of benzene molecules are investigated. It is found that the molecules mostly group in the middle distance from the axis of the tube to the wall. The molecules located in the vicinity of the wall demonstrate some deviation from planar shape. There is a tilted orientational ordering of the molecules which depends on the location of the molecule. It is shown that the diffusion coefficient of the benzene molecules is very small at the conditions we report here. © 2015 Wiley Periodicals, Inc.     

预裂化理论研究:基质表面酸性位类型及不同类型酸性位接触顺序对裂化过程小分子烯烃收率的影响

在区分氢负离子转移反应与氢转移反应、非选择性氢转移反应与总的氢转移反应的情况下,通过合成物性相近但酸性不同的氧化铝,用以作为裂化催化剂基质材料,在固定床反应器上考察了催化裂化过程,基质酸性位类型及基质表面Lewis及Brönsted酸性位接触顺序对小分子烯烃(丙烯、丁烯)收率的影响。结果表明,催化裂化生成小分子烯烃过程中,分子筛与基质所呈现出的反应特点存在较大的区别,前者活性虽高,但总的氢转移反应活性过强。基质材料裂化活性虽低但其表面以氢负离子转移反应为主,反应路径角度更有利于小分子烯烃收率的提高。另外,基质表面存在Brönsted酸性位,或原料油首先与基质表面Lewis酸性位相接触再与Brönsted酸性位反应的预裂化过程,会在促进裂化反应发生的同时抑制总的氢转移反应,更有利于小分子烯烃收率的提高。