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.     

Operator-Valued Continuous Gabor Transforms over Non-unimodular Locally Compact Groups

In this article, we present the abstract harmonic analysis aspects of the operator-valued continuous Gabor transform (CGT) on second countable, non-unimodular, and type I locally compact groups. We show that the operator-valued continuous Gabor transform CGT satisfies a Plancherel formula and an inversion formula. As an example, we study these results on the continuous affine group.     

FFT-based convolution algorithm for fast and precise numerical evaluating diffracted field by photon sieve

FFT-based convolution is proposed to numerical solve Fresnel–Kirchhoff integral in Fresnel regime carefully and in a very shorter time in comparison to direct solving convolution. To show its capability, the algorithm was implemented to evaluate amplitude of a diffracted plane wave at the focal plane of photon sieves with different focal lengths. The calculated amplitudes are completely the same calculated via convolving operation but has advantageous of taking very very shorter time. The calculation was also repeated using single-FFT algorithm that produce same result for all ranges either below or upper the sampling criteria and different results in comparison to the other two methods.     

Fresnel biprism as a 1D refractive axicon

Fresnel biprism is a one dimensional refractive element that has a lateral linear phase. Having been considered this element as a refractive axicon, its focal depth was evaluated theoretically and experimentally by means of Fresnel–Kirchhoff integral. It is shown that its focal length is a function of its refractive index and its apex angle. Experimental results are in very good agreement with theoretical work.     

The experimental/numerical investigation of variations in strip speed,water shower pattern and water temperature on high-temperature strip cooling rate in hot strip mill

Journal of Thermal Analysis and Calorimetry - Hot-rolled strips are cooled on the run-out table to achieve the customer-required mechanical properties. Cooling reduces the oxidation, which can...     

Potential energy and atomic stability of H2O/CuO nanoparticles flow and heat transfer in non-ideal microchannel via molecular dynamic approach: the Green–Kubo method

Journal of Thermal Analysis and Calorimetry - It is interesting to investigate the number of nanoparticle (NP) and temperature effects on H2O/CuO nanofluid thermal conductivity and the atomic...     

Development of the ANN–KIM composed model to predict the nanofluid energetic thermal conductivity via various types of nano-powders dispersed in oil

Journal of Thermal Analysis and Calorimetry - Artificial neural network/kriging interpolation method optimization method which is evaluated concerned the hybrid nanofluid composed of iron oxide...     

Efficacy of incorporating PCMs into the commercial wall on the energy-saving annual thermal analysis

Journal of Thermal Analysis and Calorimetry - In this study, the efficacy of incorporating phase change material (PCM) into the building walls on the annual heat transfer reduction is examined....     

Thermal particle base methods in fluid flow and heat transfer

Journal of Thermal Analysis and Calorimetry -     

Solutions for the double Sine‐Gordon equation by Exp‐function,Tanh, and extended Tanh methods

In this work, we implement some analytical techniques such as the Exp‐function, Tanh, and extended Tanh methods for solving nonlinear partial differential equation, which contains sine terms, its name Double Sine‐Gordon equation. These methods obtain exact solutions of different types of differential equations in engineering mathematics. © 2009 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq, 2010