Search Results (5)

In recent years, high-frequency trading has become increasingly popular in financial markets, making the dynamic modeling of the limit book and the optimization of market maker strategies become key topics. However, existing studies often lacked detailed descriptions of order books and failed to fully characterize the optimal decisions of market makers in complex market environments, especially in China’s A-share market. Based on Markov queue theory, this paper proposes the dynamic model of the limit order and the optimal strategy of the market maker. The model uses a state transition probability matrix to refine the market diffusion state, order generation, and trading process and incorporates indicators such as optimal quote deviation and restricted order trading probability. Then, the optimal control model is constructed and the reference strategy is derived using the Hamilton–Jacobi–Bellman (HJB) equation. Then, the key parameters are estimated using the high-frequency data of Ping An Bank for a single trading day. In the empirical aspect, the six-month high-frequency trading data of 114 representative stocks in different market states such as the bull market and bear market in China’s A-share market were selected for strategy verification. The results showed that the proposed strategy had robust returns and stable profits in the bull market and that frequent capture of market fluctuations in the bear market can earn relatively high returns while maintaining 50% of the order coverage rate and 66% of the stable order winning rate. Our study used Markov queuing theory to describe the state and price dynamics of the limit order book in detail and used optimization methods to construct and solve the optimal market maker strategy. The empirical aspect broadens the empirical scope of market maker strategies in the Chinese market and studies the stability and effectiveness of market makers in different market states. Full article

This article presents alternative Hamiltonian and Lagrangian formalisms for relativistic mechanics using proper time and proper Lagrangian coordinates in 1 + 1 dimensions as parameters of evolution. The Lagrangian and Hamiltonian formalisms for a hypothetical particle with and without charge are considered based on the relativistic equation for the dynamics and integrals of particle motion. A relativistic invariant law for the conservation of energy and momentum in the Lorentz representation is given. To select various generalized coordinates and momenta, it is possible to modify the Lagrange equations of the second kind due to the relativistic laws of conservation of energy and momentum. An action function is obtained with an explicit dependence on the velocity of the relativistic particles. The angular integral of the particle motion is derived from Hamiltonian mechanics, and the displacement Hamiltonian is obtained from the Hamilton–Jacobi equation. The angular integral of the particle motion $\theta$ is an invariant form of the conservation law. It appears only at relativistic intensities and is constant only in a specific case. The Hamilton–Jacobi–Lagrange equation is derived from the Hamilton–Jacobi equation and the Lagrange equation of the second kind. Using relativistic Hamiltonian mechanics, the Euler–Hamilton equation is obtained by expressing the energy balance through the angular integral of the particle motion $\theta$. The given conservation laws show that the angular integral of the particle motion reflects the relativistic Doppler effect for particles in 1 + 1 dimensions. The connection between the integrals of the particle motion and the doubly special theory of relativity is shown. As an example of the applicability of the proposed invariant method, analyses of the motion of relativistic particles in circularly polarized, monochromatic, spatially modulated electromagnetic plane waves and plane laser pulses are given, and comparisons are made with calculations based on the Landau and Lifshitz method. To allow for the analysis of the oscillation of a particle in various fields, a phase-plane method is presented. Full article

In this paper we represent a different approach to the calculation of the perihelion shift than the one presented in common text books. We do not rely on the Schwarzschild metric and the Hamilton–Jacobi technique to obtain our results. Instead we use a weak field approximation, with the advantage that we are not obliged to work with a definite static metric and can consider time dependent effects. Our results support the conclusion of Křížek regarding the significant influence of celestial parameters on the indeterminacy of the perihelion shift of Mercury’s orbit. This shift is thought to be one of the fundamental tests of the validity of the general theory of relativity. In the current astrophysical community, it is generally accepted that the additional relativistic perihelion shift of Mercury is the difference between its observed perihelion shift and the one predicted by Newtonian mechanics, and that this difference equals ${43}^{″}$ per century. However, as it results from the subtraction of two inexact numbers of almost equal magnitude, it is subject to cancellation errors. As such, the above accepted value is highly uncertain and may not correspond to reality. Full article

In this paper the dynamical equation for propagating wave-fronts of gravitational signals in classical general relativity (GR) is determined. The work relies on the manifestly-covariant Hamilton and Hamilton–Jacobi theories underlying the Einstein field equations recently discovered (Cremaschini and Tessarotto, 2015–2019). The Hamilton–Jacobi equation obtained in this way yields a wave-front description of gravitational field dynamics. It is shown that on a suitable subset of configuration space the latter equation reduces to a Klein–Gordon type equation associated with a 4-scalar field which identifies the wave-front surface of a gravitational signal. Its physical role and mathematical interpretation are discussed. Radiation-field wave-front solutions are pointed out, proving that according to this description, gravitational wave-fronts propagate in a given background space-time as waves characterized by the invariant speed-of-light c. The outcome is independent of the actual shape of the same wave-fronts and includes the case of gravitational waves which are characterized by an eikonal representation and propagate in a generic curved space-time along a null geodetics. The same waves are shown: (a) to correspond to the geometric-optics limit of the same curved space-time solutions; (b) to propagate in a flat space-time as plane waves with constant amplitude; (c) to display also the corresponding form of the wave-front in curved space-time. The result is consistent with the theory of the linearized Einstein field equations and the existence of gravitational waves achieved in such an asymptotic regime. Consistency with the non-linear Trautman boundary-value theory is also displayed. Full article

The axiomatic geometric structure which lays at the basis of Covariant Classical and Quantum Gravity Theory is investigated. This refers specifically to fundamental aspects of the manifestly-covariant Hamiltonian representation of General Relativity which has recently been developed in the framework of a synchronous deDonder–Weyl variational formulation (2015–2019). In such a setting, the canonical variables defining the canonical state acquire different tensorial orders, with the momentum conjugate to the field variable $g_{\mu \nu }$ being realized by the third-order 4-tensor ${\mathrm{\Pi }}_{\mu \nu }^{\alpha }$ . It is shown that this generates a corresponding Hamilton–Jacobi theory in which the Hamilton principal function is a 4-tensor $S^{\alpha }$ . However, in order to express the Hamilton equations as evolution equations and apply standard quantization methods, the canonical variables must have the same tensorial dimension. This can be achieved by projection of the canonical momentum field along prescribed tensorial directions associated with geodesic trajectories defined with respect to the background space-time for either classical test particles or raylights. It is proved that this permits to recover a Hamilton principal function in the appropriate form of 4-scalar type. The corresponding Hamilton–Jacobi wave theory is studied and implications for the manifestly-covariant quantum gravity theory are discussed. This concerns in particular the possibility of achieving at quantum level physical solutions describing massive or massless quanta of the gravitational field. Full article