Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.

Finite Element studies on indentation size effect using a higher order strain gradient theory

In this work, a Finite Element implementation of a higher order strain gradient theory (due to Fleck and Hutchinson, 2001) has been used within the framework of large deformation elasto-viscoplasticity to study the indentation of metals with indenters of various geometries. Of particular interest is the indentation size effect (ISE) commonly observed in experiments where the hardness of a range of materials is found to be significantly higher at small depths of indentation but reduce to a lower, constant value at larger depths. That the ISE can be explained by strain gradient plasticity is well known but this work aims to qualitatively compare a gamut of experimental observations on this effect with predictions from a higher order strain gradient theory. Results indicate that many of the experimental observations are qualitatively borne out by our simulations. However, areas exist where conflicting experimental results make assessment of numerical predictions difficult. © 2012 Elsevier Ltd. All rights reserved.

Effects of high-order laser distortion products in radio over free-space optical links

RoFSO links are found to be susceptible to high-order laser distortion making conventional SFDR ineffective as a performance indicator. For the first time, peak input power is demonstrated as a service-independent bound on dynamic range. © OSA/ CLEO 2011.

Effect of size, composition, and morphology on magnetic performance: First-order reversal curves evaluation of iron oxide nanoparticles

© 2014 AIP Publishing LLC. Superparamagnetic nanoparticles are employed in a broad range of applications that demand detailed magnetic characterization for superior performance, e.g., in drug delivery or cancer treatment. Magnetic hysteresis measurements provide information on saturation magnetization and coercive force for bulk material but can be equivocal for particles having a broad size distribution. Here, first-order reversal curves (FORCs) are used to evaluate the effective magnetic particle size and interaction between equally sized magnetic iron oxide (Fe2O3) nanoparticles with three different morphologies: (i) pure Fe2O3, (ii) Janus-like, and (iii) core/shell Fe2O3/SiO2synthesized using flame technology. By characterizing the distribution in coercive force and interaction field from the FORC diagrams, we find that the presence of SiO2in the core/shell structures significantly reduces the average coercive force in comparison to the Janus-like Fe2O3/SiO2and pure Fe2O3particles. This is attributed to the reduction in the dipolar interaction between particles, which in turn reduces the effective magnetic particle size. Hence, FORC analysis allows for a finer distinction between equally sized Fe2O3particles with similar magnetic hysteresis curves that can significantly influence the final nanoparticle performance.

Multi-walled carbon nanotube conductivity enhancement and band gap widening via rapid pulsed thermal annealing

Herein we report on the transport characteristics of rapid pulsed vacuum-arc thermally annealed, individual and network multi-walled carbon nanotubes. Substantially reduced defect densities (by at least an order of magnitude), measured by micro-Raman spectroscopy, and were achieved by partial reconstruction of the bamboo-type defects during thermal pulsing compared with more traditional single-pulse thermal annealing. Rapid pulsed annealed processed networks and individual multi-walled nanotubes showed a consistent increase in conductivity (of over a factor of five at room temperature), attributed to the reduced number density of resistive axial interfaces and, in the case of network samples, the possible formation of structural bonds between crossed nanotubes. Compared to the highly defective as-grown nanotubes, the pulsed annealed samples exhibited reduced temperature sensitivity in their transport characteristics signifying the dominance of scattering events from structural defects. Transport measurements in the annealed multi-walled nanotubes deviated from linear Ohmic, typically metallic, behavior to an increasingly semiconducting-like behavior attributed to thermally induced axial strains. Rapid pulsed annealed networks had an estimated band gap of 11.26 meV (as-grown; 6.17 meV), and this observed band gap enhancement was inherently more pronounced for individual nanotubes compared with the networks most likely attributed to mechanical pinning effect of the probing electrodes which possibly amplifies the strain induced band gap. In all instances the estimated room temperature band gaps increased by a factor of two. The gating performance of back-gated thin-film transistor structures verified that the observed weak semiconductivity (p-type) inferred from the transport characteristic at room temperature. © 2014 Copyright Taylor & Francis Group, LLC.

Second-order rate region of constant-composition codes for the multiple-access channel

This paper presents an achievable second-order rate region for the discrete memoryless multiple-access channel. The result is obtained using a random-coding ensemble in which each user's codebook contains codewords of a fixed composition. It is shown that this ensemble performs at least as well as i.i.d. random coding in terms of second-order asymptotics, and an example is given where a strict improvement is observed. © 2013 IEEE.