Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Power system stability enhancement using flux control for excitation system

This paper proposes a new controller for the excitation system to improve rotor angle stability. The proposed controller uses energy function to predict desired flux for the generator to achieve improved first swing stability and enhanced system damping. The controller is designed through predicting the desired value of flux for the future step of the system and then obtaining appropriate supplementary control input for the excitation system. The simulations are performed on Single-Machine-Infinite-Bus system and the results verify the efficiency of the controller. The proposed method facilitates the excitation system with a feasible and reliable controller for severe disturbances.

Design of a nonlinear excitation controller using inverse filtering for transient stability enhancement

This paper proposes a nonlinear excitation controller to improve transient stability, oscillation damping and voltage regulation of the power system. The energy function of the predicted system states is used to obtain the desired flux for the next time step, which in turn is used to obtain a supplementary control input using an inverse filtering method. The inverse filtering technique enables the system to provide an additional input for the excitation system, which forces the system to track the desired flux. Synchronous generator flux saturation model is used in this paper. A single machine infinite bus (SMIB) test system is used to demonstrate the efficacy of the proposed control method using time-domain simulations. The robustness of the controller is assessed under different operating conditions.

Melanopsin ganglion cell function in early age-related macular degeneration

Purpose Melanopsin-expressing retinal ganglion cells (mRGCs) have non-image forming functions including mediation of the pupil light reflex (PLR). There is limited knowledge about mRGC function in retinal disease. Initial retinal changes in age-related macular degeneration (AMD) occur in the paracentral region where mRGCs have their highest density, making them vulnerable during disease onset. In this cross-sectional clinical study, we measured the PLR to determine if mRGC function is altered in early stages of macular degeneration. Methods Pupil responses were measured in 8 early AMD patients (AREDS 2001 classification; mean age 72.6 ± 7.2 years, 5M, and 3F) and 12 healthy control participants (mean age 66.6 ± 6.1 years, 8M and 4F) using a custom-built Maxwellian-view pupillometer. Stimuli were 0.5 Hz sinewaves (10 s duration, 35.6° diameter) of short wavelength light (464nm, blue; retinal irradiance = 14.5 log quanta.cm-2.s-1) to produce high melanopsin excitation and of long wavelength light (638nm, red; retinal irradiance = 14.9 log quanta.cm-2.s-1), to bias activation to outer retina and provide a control. Baseline pupil diameter was determined during a 10 s pre-stimulus period. The post illumination pupil response (PIPR) was recorded for 40 s. The 6 s PIPR and maximum pupil constriction were expressed as percentage baseline (M ± SD). Results The blue PIPR was significantly less sustained (p<0.01) in the early AMD group (75.49 ± 7.88%) than the control group (58.28 ± 9.05%). The red PIPR was not significantly different (p>0.05) between the early AMD (84.79 ± 4.03%) and control groups (82.01 ± 5.86%). Maximum constriction amplitude in the early AMD group for blue (43.67 ± 6.35%) and red (48.64 ± 6.49%) stimuli were not significantly different to the control group for blue (39.94 ± 3.66%) and red (44.98 ± 3.15%) stimuli (p>0.05). Conclusions These results are suggestive of inner retinal mRGC deficits in early AMD. This non-invasive, objective measure of pupil responses may provide a new method for quantifying mRGC function and monitoring AMD progression.

An approximate method for the solution of an influence function foil rolling model

Fleck and Johnson (Int. J. Mech. Sci. 29 (1987) 507) and Fleck et al. (Proc. Inst. Mech. Eng. 206 (1992) 119) have developed foil rolling models which allow for large deformations in the roll profile, including the possibility that the rolls flatten completely. However, these models require computationally expensive iterative solution techniques. A new approach to the approximate solution of the Fleck et al. (1992) Influence Function Model has been developed using both analytic and approximation techniques. The numerical difficulties arising from solving an integral equation in the flattened region have been reduced by applying an Inverse Hilbert Transform to get an analytic expression for the pressure. The method described in this paper is applicable to cases where there is or there is not a flat region.

Smoothing a Discrete Hazard Function for the Number of Patients Colonized with Methicillin-Resistance Staphylococcus Aureus in an Intensive Care Unit

A new method for estimating the time to colonization of Methicillin-resistant Staphylococcus Aureus (MRSA) patients is developed in this paper. The time to colonization of MRSA is modelled using a Bayesian smoothing approach for the hazard function. There are two prior models discussed in this paper: the first difference prior and the second difference prior. The second difference prior model gives smoother estimates of the hazard functions and, when applied to data from an intensive care unit (ICU), clearly shows increasing hazard up to day 13, then a decreasing hazard. The results clearly demonstrate that the hazard is not constant and provide a useful quantification of the effect of length of stay on the risk of MRSA colonization which provides useful insight.

Raman spectroscopy of kaolinites using different excitation wavelengths

The Raman spectra of both low- and high-defect kaolinites in the hydroxyl stretching and low-wavenumber region were obtained with excitation at three visible wavelengths of 633, 514 and 442 nm and a UV wavelength of 325 nm. The UV-excited spectra were comparable to those excited by the visible wavelengths. The Raman spectra show hydroxyl stretching bands at 3621 cm-1 attributed to the inner hydroxyl, at 3692 and 3684 cm-1 attributed to the longitudinal and transverse optic modes of the inner surface hydroxyls and at 3668 and 3653 cm-1 assigned to the out-of phase vibrations of the inner surface hydroxyls. Two bands were observed in the spectral profile at 3695 cm-1 for the high-defect kaolinite at 3698 and 3691 cm-1 and were assigned to TO/LO splitting. An increase in relative intensity of the transverse optic mode is observed with decrease in laser wavelength. The intensity of the out-of-phase vibrations at 3668 and 3653 cm-1 of the inner surface hydroxyls shows a linear relationship with the longitudinal and transverse optic modes. In the low-wavenumber region excellent correlation was found between the experimentally determined and the calculated band positions.