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.

Adhesive properties of gecko-inspired mimetic via micropatterned carbon nanotube forests

The adhesive properties of the gecko foot have inspired designs of advanced micropatterned surfaces with increased contact areas. We have fabricated micropatterned pillars of vertically aligned carbon nanotube forests with a range of pillar diameters, heights, and spacings (or pitch). We used nanoindentation to measure their elastic and orthogonal adhesion properties and derive their scaling behavior. The patterning of nanotube forests into pillar arrays allows a reduction of the effective modulus from 10 to 15 MPa to 0.1-1 MPa which is useful for developing maximum conformal adhesion. © 2012 American Chemical Society.

The parameter space of graphene chemical vapor deposition on polycrystalline Cu

A systematic study of the parameter space of graphene chemical vapor deposition (CVD) on polycrystalline Cu foils is presented, aiming at a more fundamental process rationale in particular regarding the choice of carbon precursor and mitigation of Cu sublimation. CH 4 as precursor requires H 2 dilution and temperatures ≥1000 °C to keep the Cu surface reduced and yield a high-quality, complete monolayer graphene coverage. The H 2 atmosphere etches as-grown graphene; hence, maintaining a balanced CH 4/H 2 ratio is critical. Such balance is more easily achieved at low-pressure conditions, at which however Cu sublimation reaches deleterious levels. In contrast, C 6H 6 as precursor requires no reactive diluent and consistently gives similar graphene quality at 100-150 °C lower temperatures. The lower process temperature and more robust processing conditions allow the problem of Cu sublimation to be effectively addressed. Graphene formation is not inherently self-limited to a monolayer for any of the precursors. Rather, the higher the supplied carbon chemical potential, the higher the likelihood of film inhomogeneity and primary and secondary multilayer graphene nucleation. For the latter, domain boundaries of the inherently polycrystalline CVD graphene offer pathways for a continued carbon supply to the catalyst. Graphene formation is significantly affected by the Cu crystallography; i.e., the evolution of microstructure and texture of the catalyst template form an integral part of the CVD process. © 2012 American Chemical Society.

Elastic properties of crystalline-amorphous core-shell silicon nanowires

The pressure behavior of Raman frequencies and line widths of crystalline core-amorphous shell silicon nanowires (SiNWs) with two different core-to-shell ratio thicknesses was studied at pressures up to 8 GPa. The obtained isothermal compressibility (bulk modulus) of SiNWs with a core-to-shell ratio of about 1.8 is ∼20% higher (lower) than reported values for bulk Si. For SiNWs with smaller core-to-shell ratios, a plastic deformation of the shell was observed together with a strain relaxation. A significant increase in the full width at half-maximum of the Raman LTO-peak due to phonon decay was used to determine the critical pressure at which LTO-phonons decay into LO + TA phonons. Our results reveal that this critical pressure in strained core-shell SiNWs (∼4 GPa) is different from the reported value for bulk Si (∼7 GPa), whereas no change is observed for relaxed core-shell SiNWs. © 2013 American Chemical Society.

Self-assembled multilayer graphene oxide membrane and carbon nanotubes synthesized using a rare form of natural graphite

The fabrication of flexible multilayer graphene oxide (GO) membrane and carbon nanotubes (CNTs) using a rare form of high-purity natural graphite, vein graphite, is reported for the first time. Graphite oxide is synthesized using vein graphite following Hummer's method. By facilitating functionalized graphene sheets in graphite oxide to self-assemble, a multilayer GO membrane is fabricated. Electric arc discharge is used to synthesis CNTs from vein graphite. Both multilayer GO membrane and CNTs are investigated using microscopy and spectroscopy experiments, i.e., scanning electron microscopy (SEM), atomic force microscopy (AFM), high-resolution transmission electron microscopy (HRTEM), Fourier transform infrared spectroscopy (FTIR), X-ray diffraction (XRD), thermogravimetric analysis (TGA), core level photoelectron spectroscopy, and C K-edge X-ray absorption spectroscopy (NEXAFS), to characterize their structural and topographical properties. Characterization of vein graphite using different techniques reveals that it has a large number of crystallites, hence the large number of graphene sheets per crystallite, preferentially oriented along the (002) plane. NEXAFS and core level spectra confirm that vein graphite is highly crystalline and pure. Fourier transform infrared (FT-IR) and C 1s core level spectra show that oxygen functionalities (-C-OH, -CO,-C-O-C-) are introduced into the basal plane of graphite following chemical oxidation. Carbon nanotubes are produced from vein graphite through arc discharge without the use of any catalyst. HRTEM confirm that multiwalled carbon nanotube (MWNTs) are produced with the presence of some structure in the central pipe. A small percentage of single-walled nanotubes (SWNTs) are also produced simultaneously with MWNTs. Spectroscopic and microscopic data are further discussed here with a view to using vein graphite as the source material for the synthesis of carbon nanomaterials. © 2013 American Chemical Society.

Collective motion: Bistability and trajectory tracking

This paper presents analysis and application of steering control laws for a network of self-propelled, planar particles. We explore together the two stably controlled group motions, parallel motion and circular motion, for modeling and design purposes. We show that a previously considered control law simultaneously stabilizes both parallel and circular group motion, leading to Instability and hysteresis. We also present behavior primitives that enable piecewise-linear network trajectory tracking.

Sorting nanoparticles by centrifugal fields in clean media

The on-demand availability of nanomaterials with selected size and well-defined chemical/physical properties is of fundamental importance for their widespread application. We report two clean, rapid, and non-destructive approaches for nanoparticle (NP) size selection in centrifugal fields. The first exploits rate zonal separation in a high viscosity gradient. The second exploits selective sedimentation of NPs with different sizes. These methods are here applied to metallic nanoparticles (MNPs) with different compositions and surface chemistry, dispersed either in water or organic solvents. The approach is general and can also be exploited for the separation of NPs of any material. We selectively sort both Au and AgNPs with sizes in the 10-30 nm range, achieving chemical-free MNPs with low polydispersivity. We do not use solutes, thus avoiding contamination, and only require low centrifugal fields, easily achievable in benchtop systems. © 2013 American Chemical Society.

Optimizing the energy offset between dye and hole-transporting material in solid-state dye-sensitized solar cells

The power-conversion efficiency of solid-state dye-sensitized solar cells can be optimized by reducing the energy offset between the highest occupied molecular orbital (HOMO) levels of dye and hole-transporting material (HTM) to minimize the loss-in-potential. Here, we report a study of three novel HTMs with HOMO levels slightly above and below the one of the commonly used HTM 2,2′,7,7′- tetrakis(N,N-di-p-methoxyphenylamino)-9,9′- spirobifluorene (spiro-OMeTAD) to systematically explore this possibility. Using transient absorption spectroscopy and employing the ruthenium based dye Z907 as sensitizer, it is shown that, despite one new HTM showing a 100% hole-transfer yield, all devices based on the new HTMs performed worse than those incorporating spiro-OMeTAD. We further demonstrate that the design of the HTM has an additional impact on the electronic density of states present at the TiO2 electrode surface and hence influences not only hole- but also electron-transfer from the sensitizer. These results provide insight into the complex influence of the HTM on charge transfer and provide guidance for the molecular design of new materials. © 2013 American Chemical Society.

Dipole assisted photogated switch in spiropyran grafted polyaniline nanowires

In this work we show dipole-assisted photogated switching by covalent grafting of photoactive molecules to conducting polymers. Photochromic spiropyran molecules were covalently attached to polyaniline (PANI) nanowires via N-alkylation reaction to the quinoic part of PANI. Upon irradiation with ultraviolet light spiropyran transformed to a large dipole containing molecule, merocyanine form. We show that this transformation leads to a substantial (ca. 2 orders of magnitude) increase in conductance of the photochromic PANI nanowires, which were evident by an increase in field-effect mobility and calculated band gap narrowing of the system. Finally, this transformation was found to be fully reversible with no significant photofatigue. © 2011 American Chemical Society.