An Empirical Study of the Mixture of Time and Movements in Prices

This paper investigates the persistent pattern in the Helsinki Exchanges. The persistent pattern is analyzed using a time and a price approach. It is hypothesized that arrival times are related to movements in prices. Thus, the arrival times are defined as durations and formulated as an Autoregressive Conditional Duration (ACD) model as in Engle and Russell (1998). The prices are defined as price changes and formulated as a GARCH process including duration measures. The research question follows from market microstructure predictions about price intensities defined as time between price changes. The microstructure theory states that long transaction durations might be associated with both no news and bad news. Accordingly, short durations would be related to high volatility and long durations to low volatility. As a result, the spread will tend to be larger under intensive moments. The main findings of this study are 1) arrival times are positively autocorrelated and 2) long durations are associated with low volatility in the market.

Ambiguity-free polarization measurements from mixture initial preparations

Starting from beam and target spin systems which are polarized in the usual way by applying external magnetic fields, measurements of appropriate final state tensor parameters, viz., {t0,1k, k=1,...,2j} of particle d with spin j in a reaction a+b→d+c1+c2+. . .are suggested to determine the reaction amplitudes in spin space free from any associated discrete ambiguity.

Nonlinear mixture autoregressive model: economic applications

The aim of this dissertation is to model economic variables by a mixture autoregressive (MAR) model. The MAR model is a generalization of linear autoregressive (AR) model. The MAR -model consists of K linear autoregressive components. At any given point of time one of these autoregressive components is randomly selected to generate a new observation for the time series. The mixture probability can be constant over time or a direct function of a some observable variable. Many economic time series contain properties which cannot be described by linear and stationary time series models. A nonlinear autoregressive model such as MAR model can a plausible alternative in the case of these time series. In this dissertation the MAR model is used to model stock market bubbles and a relationship between inflation and the interest rate. In the case of the inflation rate we arrived at the MAR model where inflation process is less mean reverting in the case of high inflation than in the case of normal inflation. The interest rate move one-for-one with expected inflation. We use the data from the Livingston survey as a proxy for inflation expectations. We have found that survey inflation expectations are not perfectly rational. According to our results information stickiness play an important role in the expectation formation. We also found that survey participants have a tendency to underestimate inflation. A MAR model has also used to model stock market bubbles and crashes. This model has two regimes: the bubble regime and the error correction regime. In the error correction regime price depends on a fundamental factor, the price-dividend ratio, and in the bubble regime, price is independent of fundamentals. In this model a stock market crash is usually caused by a regime switch from a bubble regime to an error-correction regime. According to our empirical results bubbles are related to a low inflation. Our model also imply that bubbles have influences investment return distribution in both short and long run.

Enhanced Pair Hydrophobicity in the Water-Dimethylsulfoxide (DMSO) Binary Mixture at Low DMSO Concentrations

We observe a surprisingly sharp increase in the pair hydrophobicity in the water climethylsulfoxide (DMSO) binary mixture at small DMSO concentrations, with the mole fraction of DMSO (x(D)) in the range 0.12-0.16. The increase in pair hydrophobicity is measured by an increase in the depth of the first minimum in the potential of mean force (PMF) between two methane molecules. However, this enhanced hydrophobicity again weakens at higher DMSO concentrations. We find markedly unusual behavior of the pure binary mixture (in the same composition range) in the diffusion coefficient of DMSO and in the local composition fluctuation of water, We find that, in the said composition range, the average coordination number of the methyl groups (of distinct DMSO) varies between 2.4 and 2.6, indicating the onset of the formation of a chain-like extended connectivity in an otherwise stable tetrahedral network comprising of water and DMSO molecules. We propose that the enhanced pair hydrophobicity of the binary mixture at low DMSO concentrations is due to the participation of the two methane molecules in the local structural order and the emerging molecular associations in the water-DMSO mixture.

Calorimetry In Vapor Absorption And Binary Mixture Vapor Compression Refrigeration And Heatpump Systems

The use of binary fluid systems in thermally driven vapour absorption and mechanically driven vapour compression refrigeration and heatpump cycles has provided an impetus for obtaining experimental date on caloric properties of such fluid mixtures. However, direct measurements of these properties are somewhat scarce in spite of the calorimetric techniques described in the literature being quite adequate. Most of the design data are derived through calculations using theoretical models and vapour-liquid equilibrium data. This article addresses the choice of working fluids and the current status on the data availability vis-a-vis engineering applications. Particular emphasis is on organic working fluid pairs.

Theoretical and Computational Analysis of Static and Dynamic Anomalies in Water-DMSO Binary Mixture at Low DMSO Concentrations

Experiments have repeatedly observed both thermodynamic and dynamic anomalies in aqueous binary mixtures, surprisingly at low solute concentration. Examples of such binary mixtures include water-DMSO, water-ethanol, water-tertiary butyl alcohol (TBA), and water-dioxane, to name a few. The anomalies have often been attributed to the onset of a structural transition, whose nature, however, has been left rather unclear. Here we study the origin of such anomalies using large scale computer simulations and theoretical analysis in water-DMSO binary mixture. At very low DMSO concentration (below 10%), small aggregates of DMSO are solvated by water through the formation of DMSO-(H2O)(2) moieties. As the concentration is increased beyond 10-12% of DMSO, spanning clusters comprising the same moieties appear in the system. Those clusters are formed and stabilized not only through H-bonding but also through the association of CH3 groups of DMSO. We attribute the experimentally observed anomalies to a continuum percolation-like transition at DMSO concentration X-DMSO approximate to 12-15%. The largest cluster size of CH3-CH3 aggregation clearly indicates the formation of such percolating clusters. As a result, a significant slowing down is observed in the decay of associated rotational auto time correlation functions (of the S = O bond vector of DMSO and O-H bond vector of water). Markedly unusual behavior in the mean square fluctuation of total dipole moment again suggests a structural transition around the same concentration range. Furthermore, we map our findings to an interacting lattice model which substantiates the continuum percolation model as the reason for low concentration anomalies in binary mixtures where the solutes involved have both hydrophilic and hydrophobic moieties.

Dynamic structure factors of a dense mixture

We compute the dynamic structure factors of a dense binary liquid mixture. These describe dynamics on molecular length scales, where structural relaxation is important. We find that the presence of a few large particles in a dense fluid of small particles slows down the dynamics considerably. We also observe a deep narrowing of the spectrum for a disordered mixture composed of a nearly equal packing of the two species. In contrast, a few small particles diffuse easily in the background of a dense fluid of large particles. We expect our results to describe neutron scattering from a dense mixture.

Anomalous Behavior of Linear Hydrocarbon Chains in Water-DMSO Binary Mixture at Low DMSO Concentration

We find that at a mole fraction 0.05 of DMSO (x(DMSO) = 0.05) in aqueous solution, a linear hydrocarbon chain of intermediate length (n = 30-40) adopts the most stable collapsed conformation. In pure water, the same chain exhibits an intermittent oscillation between the collapsed and the extended coiled conformations. Even when the mole fraction of DMSO in the bulk is 0.05, the concentration of the same in the first hydration layer around the hydrocarbon of chain length 30 (n = 30) is as large as 17%. Formation of such hydrophobic environment around the hydrocarbon chain may be viewed as the reason for the collapsed conformation gaining additional stability. We find a second anomalous behavior to emerge near x(DMSO) = 0.15, due to a chain-like aggregation of the methyl groups of DMSO in water that lowers the relative concentration of the DMSO molecules in the hydration layer. We further find that as the concentration of DMSO is gradually increased, it progressively attains the extended coiled structure as the stable conformation. Although Flory-Huggins theory (for binary mixture solvent) fails to predict the anomaly at x(DMSO) = 0.05, it seems to capture the essence of the anomaly at 0.15.

Solubilities of resorcinol and pyrocatechol and their mixture in supercritical carbon dioxide

The equilibrium solubilities of dihydroxy benzene isomers (resorcinol and pyrocatechol) and its mixture were experimentally determined at different temperatures (308, 318, 328, and 338 K) in the pressure range of 9.8-16.2 MPa. In the ternary system, the solubilities of pyrocatechol increased while the solubilities of resorcinol decreased relative to their binary solubilities. A new association model was developed based on the concept of formation of solvate complex molecules to correlate the solubility of the solid for mixed solids in supercritical carbon dioxide (SCCO(2)). The model equation relates the solubility of solute in terms of the cosolute composition, temperature, pressure and density of SCCO(2). The proposed model correlated the solubilities of sixteen solid systems taken from the literature and current experimental data with an average absolute relative deviation (AARD) of around 4%. (C) 2011 Elsevier B.V. All rights reserved.

Subspace Based Speech Enhancement Using Gaussian Mixture Model

Traditional subspace based speech enhancement (SSE)methods use linear minimum mean square error (LMMSE) estimation that is optimal if the Karhunen Loeve transform (KLT) coefficients of speech and noise are Gaussian distributed. In this paper, we investigate the use of Gaussian mixture (GM) density for modeling the non-Gaussian statistics of the clean speech KLT coefficients. Using Gaussian mixture model (GMM), the optimum minimum mean square error (MMSE) estimator is found to be nonlinear and the traditional LMMSE estimator is shown to be a special case. Experimental results show that the proposed method provides better enhancement performance than the traditional subspace based methods.Index Terms: Subspace based speech enhancement, Gaussian mixture density, MMSE estimation.