Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Designing Inclusive Futures

This book is the result of the fourth CWUAAT workshop held in Cambridge, England in April 2008.

Thorium energy futures

The potential for thorium as an alternative or supplement to uranium in fission power generation has long been recognised, and several reactors, of various types, have already operated using thorium-based fuels. Accelerator Driven Subcritical (ADS) systems have benefits and drawbacks when compared to conventional critical thorium reactors, for both solid and molten salt fuels. None of the four options - liquid or solid, with or without an accelerator - can yet be rated as better or worse than the other three, given today's knowledge. We outline the research that will be necessary to lead to an informed choice. Copyright © 2012 by IEEE.

Hybrids of carbon nanotube forests and gold nanoparticles for improved surface plasmon manipulation.

We report the fabrication and characterization of hybrids of vertically-aligned carbon nanotube forests and gold nanoparticles for improved manipulation of their plasmonic properties. Raman spectroscopy of nanotube forests performed at the separation area of nanotube-nanoparticles shows a scattering enhancement factor of the order of 1 × 10(6). The enhancement is related to the plasmonic coupling of the nanoparticles and is potentially applicable in high-resolution scanning near-field optical microscopy, plasmonics, and photovoltaics.