This paper develops a new model of market abuse detection in real time. Market abuse is detected, as Minenna (2003) proposed, on the basis of prediction intervals. The model structure is based on the discrete-time, extended market model introduced by Monteiro, Zaman, Leitterstorf (2007) to analyze the market cleanliness. Parameters of the expected return equation are assumed, however, to be time-varying and estimated under the state-space framework using the extended Kalman filter postulated by Chou, Engle, Kane (1992) to capture the GARCH effect in returns. QML estimation is performed on intraday data; its utilization is proposed as an alternative to the continuous time modeling by Minenna (2003). This framework is generalized to the bivariate case which enables the analysis of daily open/close data. The paper also extends procedures of the statistical verification of the estimated state-space model to include the uncertainty arising from time-invariant parameters.

The energetic efficiency of mixing is studied numerically in a continuous flow mixer constructed from a sequence of alternately twisted pipe bends. Counter-rotating vortices present in the curved channels and known as Dean vortices narrow the distribution of the residence time of fluid elements and accelerate the generation of a new material surface without obstructing the main flow and increasing the risk of fouling or flow stoppage. Cyclic twisting of the pipe curvature allows for quick reorientation of Dean vortices. The reorientation induces chaotic advection in a stable three-dimensional flow and speeds up mixing. The effect of computational domain discretisation for the low and medium Reynolds numbers (20 < Re < 2000º on the head loss, primary and secondary flow, residence time distribution, and the energetic efficiency of generation of the inter material surface is determined. The energetic efficiency is calculated in the time space, a standard approach in modelling reactive micromixing, and at the reactor exit. The maximum energetic efficiency is determined for Re ≈ 600 ÷ 700. It is also found that the initial orientation of the material surface to the pipe curvature has a significant impact on the energetic efficiency of mixing.