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.

Electric times in olfaction.

Recent work established the spread of interglomerular excitation in the Drosophila antennal lobe. Two papers in this issue of Neuron, by Huang et al. and Yaksi and Wilson, show that cholinergic krasavietz local interneurons are a major substrate for this spread of excitation, predominantly via electrical coupling.

The experiment to evaluate the AC loss of 2G HTS windings in the application of rotating electric machines

This paper presents the design of an AC loss experiment using nitrogen boil-off method. This experiment is aimed at exploring the AC loss of HTS double race-track coils which will be installed on the rotor of a wind turbine generator. The operating environment is simulated by designing a cryostat with rotating magnetic field windings. Apart from the fact that the alternating magnetic field causes most of AC loss on the HTS coils, we also believe that the DC background field would be another important factor causing AC loss if the HTS coil is experiencing by both alternating magnetic field in the perpendicular direction and DC background field in the parallel direction. In order to perform the boil-off measurement, we present the method to estimate the heat leakage in the cryostat which might cause errors to the measurement. © 2011 IEEE.

Half-bridge SIC inverter for hybrid electric vehicles: Design, development and testing at higher operating temperature

In recent years, Silicon Carbide (SiC) semiconductor devices have shown promise for high density power electronic applications, due to their electrical and thermal properties. In this paper, the performance of SiC JFETs for hybrid electric vehicle (HEV) applications is investigated at heatsink temperatures of 100 °C. The thermal runaway characteristics, maximum current density and packaging temperature limitations of the devices are considered and the efficiency implications discussed. To quantify the power density capabilities of power transistors, a novel 'expression of rating' (EoR) is proposed. A prototype single phase, half-bridge voltage source inverter using SiC JFETs is also tested and its performance at 25 °C and 100 °C investigated.

The load-bearing duct: Biomimicry in structural design

The philosophical aspects of applying the principles of biomimicry are explored in a case study of structural design. Integrating structural engineering with services engineering can be regarded, to some extent, as taking principles from biological systems and applying them to large-scale conceptual design. The end-product discussed herein a so-called load-bearing duct, a functional naturally ventilated multi-storey office building that takes the applied loading efficiently both structurally and cost-effectively giving it the potential to be sustainable throughout its design life.

A Novel System for Reducing Turbo-Lag by Injection of Compressed Gas into the Exhaust Manifold

A key challenge in achieving good transient performance of highly boosted engines is the difficulty of accelerating the turbocharger from low air flow conditions (“turbo lag”). Multi-stage turbocharging, electric turbocharger assistance, electric compressors and hybrid powertrains are helpful in the mitigation of this deficit, but these technologies add significant cost and integration effort. Air-assist systems have the potential to be more cost-effective. Injecting compressed air into the intake manifold has received considerable attention, but the performance improvement offered by this concept is severely constrained by the compressor surge limit. The literature describes many schemes for generating the compressed gas, often involving significant mechanical complexity and/or cost. In this paper we demonstrate a novel exhaust assist system in which a reservoir is charged during braking. Experiments have been conducted using a 2.0 litre light-duty Diesel engine equipped with exhaust gas recirculation (EGR) and variable geometry turbine (VGT) coupled to an AC transient dynamometer, which was controlled to mimic engine load during in-gear braking and acceleration. The experimental results confirm that the proposed system reduces the time to torque during the 3rd gear tip-in by around 60%. Such a significant improvement was possible due to the increased acceleration of turbocharger immediately after the tip-in. Injecting the compressed gas into the exhaust manifold circumvents the problem of compressor surge and is the key enabler of the superior performance of the proposed concept.

AC loss estimation of HTS armature windings for electric machines

This paper studies 2G high-temperature superconducting (HTS) coils for electric machine armature windings, using finite element method (FEM) and H formulation. A FEM model for 2G HTS racetrack coil is built in COMSOL, and is well validated by comparing calculated ac loss with experimental measurements. The FEM model is used to calculate transport loss in HTS armature windings, using air-cored design. We find that distributed winding used in conventional machine design is an effective way to reduce transport loss of HTS armature winding, in terms of air-cored design. Based on our study, we give suggestions on the design of low loss HTS armature winding. © 2002-2011 IEEE.

Hierarchical orientation of crystallinity by block-copolymer patterning and alignment in an electric field

Electron and hole conducting 10-nm-wide polymer morphologies hold great promise for organic electro-optical devices such as solar cells and light emitting diodes. The self-assembly of block-copolymers (BCPs) is often viewed as an efficient way to generate such materials. Here, a functional block copolymer that contains perylene bismide (PBI) side chains which can crystallize via π-π stacking to form an electron conducting microphase is patterned harnessing hierarchical electrohydrodynamic lithography (HEHL). HEHL film destabilization creates a hierarchical structure with three distinct length scales: (1) micrometer-sized polymer pillars, containing (2) a 10-nm BCP microphase morphology that is aligned perpendicular to the substrate surface and (3) on a molecular length scale (0.35-3 nm) PBI π-π-stacks traverse the HEHL-generated plugs in a continuous fashion. The good control over BCP and PBI alignment inside the generated vertical microstructures gives rise to liquid-crystal-like optical dichroism of the HEHL patterned films, and improves the electron conductivity across the film by 3 orders of magnitude. © 2013 American Chemical Society.

Transverse cracking of a simple lap joint under axial load

The failure mode of axially loaded simple, single lap joints formed between thin adherends which are flexible in bending is conventionally described as one of axial peeling. We have observed - using high-speed photography - that it is also possible for failure to be preceded by the separation front, or crack, moving in a transverse direction, i.e. perpendicular to the direction of the axial load. A simple energy balance analysis suggests that the critical load for transverse failure is the same as that for axial separation for both flexible lap joints, where the bulk of the stored elastic energy lies in the adhesive, and structural lap joints in which the energy stored in the adherends dominates. The initiation of the failure is dependent on a local increases in either stress or strain energy to some critical values. In the case of a flexible joint, this will occur within the adhesive layer and the critical site will be close to one of the corners of the joint overlap from which the separation front can proceed either axially or transversely. These conclusions are supported by a finite element analysis of a joint formed between adherends of finite width by a low modulus adhesive. © 2012 Taylor & Francis.

Simulating early adoption of alternative fuel vehicles for sustainability

We quantify the conditions that might trigger wide spread adoption of alternative fuel vehicles (AFVs) to support energy policy. Empirical review shows that early adopters are heterogeneous motivated by financial benefits, environmental appeal, new technology, and vehicle reliability. A probabilistic Monte Carlo simulation model is used to assess consumer heterogeneity for early and mass market adopters. For early adopters full battery electric vehicles (BEVs) are competitive but unable to surpass diesels or hybrids due to purchase price premium and lack of charging availability. For mass adoption, simulations indicate that if the purchase price premium of a BEV closes to within 20% of an in-class internal combustion engine (ICE) vehicle, combined with a 60% increase in refuelling availability relative to the incumbent system, BEVs become competitive. But this depends on a mass market that values the fuel economy and CO2 reduction benefits associated with BEVs. We also find that the largest influence on early adoption is financial benefit rather than pro-environmental behaviour suggesting that AFVs should be marketed by appealing to economic benefits combined with pro-environmental behaviour to motivate adoption. Monte Carlo simulations combined with scenarios can give insight into diffusion dynamics for other energy demand-side technologies. © 2012 Elsevier Inc.

Gasoline fuelled partially premixed compression ignition in a light duty multi cylinder engine: A study of low load and low speed operation

The objective of this study was to examine the operating characteristics of a light duty multi cylinder compression ignition engine with regular gasoline fuel at low engine speed and load. The effects of fuel stratification by means of multiple injections as well as the sensitivity of auto-ignition and burn rate to intake pressure and temperature are presented. The measurements used in this study included gaseous emissions, filter smoke opacity and in-cylinder indicated information. It was found that stable, low emission operation was possible with raised intake manifold pressure and temperature, and that fuel stratification can lead to an increase in stability and a reduced reliance on increased temperature and pressure. It was also found that the auto-ignition delay sensitivity of gasoline to intake temperature and pressure was low within the operating window considered in this study. Nevertheless, the requirement for an increase of pressure, temperature and stratification in order to achieve auto-ignition time scales small enough for combustion in the engine was clear, using pump gasoline. Copyright © 2009 SAE International.