A model for optimal execution of atomic orders

Atomic Orders are the basic elements of any algorithm for automated trading in electronic stock exchanges. The main concern in their execution is achieving the most efficient price. We propose two optimal strategies for the execution of atomic orders based on minimization of impact and volatility costs. The first considered strategy is based on a relatively simple nonlinear optimization model while the second allows re-optimization at some time point within a given execution time. In both cases a combination of market and limit orders is used. The key innovation in our approach is the introduction of a Fill Probability function which allows a combination of market and limit orders in the two optimization models we are discussing in this paper. Under certain conditions the objective functions of both considered problems are convex and therefore standard optimization tools can be applied. The efficiency of the resulting strategies is tested against two benchmarks representing common market practice on a representative sample of real trading data.     

Variable sample size method for equality constrained optimization problems

An equality constrained optimization problem with a deterministic objective function and constraints in the form of mathematical expectation is considered. The constraints are transformed into the Sample Average Approximation form resulting in deterministic problem. A method which combines a variable sample size procedure with line search is applied to a penalty reformulation. The method generates a sequence that converges towards first-order critical points. The final stage of the optimization procedure employs the full sample and the SAA problem is eventually solved with significantly smaller cost. Preliminary numerical results show that the proposed method can produce significant savings compared to SAA method and some heuristic sample update counterparts while generating a solution of the same quality.     

Electrical Conductivity Studies of Quinic Acid and its Sodium Salt in Aqueous Solutions

The electrical conductivities of aqueous solutions of quinic acid and its sodium salt were measured from 293.15 to 328.15 K in steps of 5 K. The molar conductivities of the sodium salt were treated by the Lee–Wheaton equation, in the form of Pethybridge and Taba, and the Kohlrausch equations. The limiting molar conductivities of the quinate anion were estimated, as well as the corresponding ionic association constants and standard thermodynamic functions of the ionic association reaction. The hydrodynamic radius of the quinate anion was calculated from the Walden rule and compared with the van der Waals radius. The dissociation constant of quinic acid was evaluated from the known value of the limiting molar conductivity of quinic acid using the conductivity equation of Pethybridge and Taba. The standard thermodynamic functions of the dissociation process, i.e., the Gibbs energy, enthalpy, entropy and heat capacity, were obtained using the non-empirical procedure given by Clarke and Glew. The standard thermodynamic functions of dissociation of quinic acid are discussed in terms of solute–solvent interactions and stabilization of the quinate anion due to hydrogen bonding of the α-hydroxyl group to the carboxyl group.     

Asymptotic expressions for remainder terms of some quadrature rules

Asymptotic expressions for remainder terms of the mid-point, trapezoid and Simpson’s rules are given. Corresponding formulas with finite sums are also given.      

Asymmetric hydrogenation of 2-substituted N-protected-indoles catalyzed by rhodium complexes of BINOL-derived phosphoramidites

The rhodium-catalyzed asymmetric hydrogenation of 2-substituted N-protected-indoles using monodentate phosphoramidites as ligands was examined. Full conversion and 74% ee, were obtained with a catalyst based on PipPhos. The use of a catalytic amount of base is necessary for activity; best results were obtained with Cs₂CO₃.     

Qualitative and quantitative analysis of oxytetracycline by near-infrared spectroscopy

Near-infrared (NIR) spectroscopy, in combination with chemometrics, enable the analysis of raw materials without time-consuming sample preparation methods. The aim of our work was to estimate critical parameters in the analytical specification of oxytetracycline, and consequently the development of a method for quantification and qualification of these parameters by NIR spectroscopy. A Karl Fischer (K.F.) titration to determine the water content, a colorimetric assay method, and Fourier transform-infrared (FT-IR) spectroscopy to identify the oxytetracycline base, were used as reference methods, respectively. Multivariate calibration was performed on NIR spectral data using principal component analysis (PCA), partial least-squares (PLS 1) and principal component regression (PCR) chemometric methods. Multivariate calibration models for NIR spectroscopy have been developed. Using PCA and the Soft Independent Modelling of Class Analogy (SIMCA) approach, we established the cluster model for the determination of sample identity. PLS 1 and PCR regression methods were applied to develop the calibration models for the determination of water content and the assay of the oxytetracycline base. Comparing the PLS and PCR regression methods we found out that the PLS is better established by NIR, especially as the spectroscopic data (NIR spectra) are highly collinear and there are many wavelengths due to non-selective wavelengths. The calibration models for NIR spectroscopy are convenient alternatives to the colorimetric method and to the K.F. method, as well as to FT-IR spectroscopy, in the routine control of incoming material.     

Impact of regulatory trade barriers and controls of the movement of capital and people on international trade of selected Central,Eastern and Southeastern European economies

Central European Journal of Operations Research - Free movement of people, goods, services and capital is one of the cornerstones of the European Union (EU). Although various obstacles to free...     

Thermal analysis testing and natural radioactivity characterization of kaolin as building material

Journal of Thermal Analysis and Calorimetry - Kaolins are used in a multiplicity of industries because of unique physical and chemical properties. Relationships between thermal and radioactivity...