NON-GAUSSIAN STATISTICS OF OIL PRICING TIME-SERIES: A CASE STUDY

The stochastic nature of oil price fluctuations is investigated over a twelve-year period, borrowing feedback from an existing database (USA Energy Information Administration database, available online). We evaluate the scaling exponents of the fluctuations by employing different statistical analysis methods, namely rescaled range analysis (R/S), scale windowed variance analysis (SWV) and the generalized Hurst exponent (GH) method. Relying on the scaling exponents obtained, we apply a rescaling procedure to investigate the complex characteristics of the probability density functions (PDFs) dominating oil price fluctuations. It is found that PDFs exhibit scale invariance, and in fact collapse onto a single curve when increments are measured over microscales (typically less than 30 days). The time evolution of the distributions is well fitted by a Levy-type stable distribution. The relevance of a Levy distribution is made plausible by a simple model of nonlinear transfer. Our results also exhibit a degree of multifractality as the PDFs change and converge toward to a Gaussian distribution at the macroscales.

Semiclassical treatment of Wannier's theory when the exponent diverges

We consider a non-standard application of the Wannier model. A physical example is the single ionization of a hydrogenic beryllium ion with a fully stripped beryllium ion, where the ratio of the charge of the third particle to the charges of the escaping particles is 1/4; we investigate the single ionization by an electron of an atom comprising an electron and a nucleus of charge 1/4. An infinite exponent is obtained suggesting that this process is not tractable within the Wannier model. A modified version of Crothers' uniform semiclassical wavefunction for the outgoing particles has been adopted, since the Wannier exponents and are infinite for an effective charge of Z = 1/4. We use Bessel functions to describe the Peterkop functions u and u and derive a new turning point ?. Since u is well behaved at infinity, there exists only the singularity in u at infinity, thus we employ a one- (rather than two-) dimensional change of dependent variable, ensuring that a uniform solution is obtained that avoids semiclassical breakdown on the Wannier ridge. The regularized final-state asymptotic wavefunction is employed, along with a continuum-distorted-wave approximation for the initial-state wavefunction to obtain total cross sections on an absolute scale. © 2006 IOP Publishing Ltd.

Design, characterisation and preliminary clinical evaluation of a novel mucoadhesive topical formulation containing tetracycline for the treatment of periodontal disease

This study describes the formulation, characterisation and preliminary clinical evaluation of mucoadhesive, semi-solid formulations containing hydroxyethylcellulose (HEC, 1-5%, w/w), polyvinylpyrrolidine (PVP, 2 or 3%, w/w), poly carbophil (PC, 1 or 3%, w/w) and tetracycline (5%, w/w, as the hydrochloride). Each formulation was characterised in terms of drug release, hardness, compressibility, adhesiveness (using a texture analyser in texture profile analysis mode), syringeability (using a texture analyser in compression mode) and adhesion to a mucin disc (measured as a detachment force using the texture analyser in tensile mode). The release exponent for the formulations ranged from 0.78+/-0.02 to 1.27+/-0.07, indicating that drug release was non-diffusion controlled. Increasing the concentrations of each polymeric component significantly increased the time required for 10 and 30% release of the original mass of tetracycline, due to both increased viscosity and, additionally, the unique swelling properties of the formulations. Increasing concentrations of each polymeric component also increased the hardness, compressibility, adhesiveness, syringeability and mucoadhesion of the formulations. The effects on product hardness, compressibility and syringeability may be due to increased product viscosity and, hence, increased resistance to compression. Similarly, the effects of these polymers on adhesiveness/mucoadhesion highlight their mucoadhesive nature and, importantly, the effects of polymer state (particularly PC) on these properties. Thus, in formulations where the neutralisation of PC was maximally suppressed, adhesiveness and mucoadhesion were also maximal. Interestingly, statistical interactions were primarily observed between the effects of HEC and PC on drug release, mechanical and mucoadhesive properties. These were explained by the effects of HEC on the physical state of PC, namely swollen or unswollen. In the preliminary clinical evaluation, a formulation was selected that offered an appropriate balance of the above physical properties and contained 3% HEC, 3% PVP and 1% PC, in addition to tetracycline 5% (as the hydrochloride). The clinical efficacy of this (test) formulation was compared to an identical tetracycline-devoid (control) formulation in nine periodontal pockets (greater than or equal to 5 mm depth). One week following administration of the test formulation, there was a significant improvement in periodontal health as identified by reduced numbers of sub-gingival microbial pathogens. Therefore, it can be concluded that, when used in combination with mechanical plaque removal, the tetracycline-containing semi-solid systems described in this study would augment such therapy by enhancing the removal of pathogens, thus improving periodontal health. (C) 2000 Elsevier Science B.V. All rights reserved.

Cost function adaptation: a stochastic gradient algorithm for data echo cancellation

A family of stochastic gradient algorithms and their behaviour in the data echo cancellation work platform are presented. The cost function adaptation algorithms use an error exponent update strategy based on an absolute error mapping, which is updated at every iteration. The quadratic and nonquadratic cost functions are special cases of the new family. Several possible realisations are introduced using these approaches. The noisy error problem is discussed and the digital recursive filter estimator is proposed. The simulation outcomes confirm the effectiveness of the proposed family of algorithms.

Adaptive data echo cancellation using cost function adaptation

For a digital echo canceller it is desirable to reduce the adaptation time, during which the transmission of useful data is not possible. LMS is a non-optimal algorithm in this case as the signals involved are statistically non-Gaussian. Walach and Widrow (IEEE Trans. Inform. Theory 30 (2) (March 1984) 275-283) investigated the use of a power of 4, while other research established algorithms with arbitrary integer (Pei and Tseng, IEEE J. Selected Areas Commun. 12(9)(December 1994) 1540-1547) or non-quadratic power (Shah and Cowan, IEE.Proc.-Vis. Image Signal Process. 142 (3) (June 1995) 187-191). This paper suggests that continuous and automatic, adaptation of the error exponent gives a more satisfactory result. The family of cost function adaptation (CFA) stochastic gradient algorithm proposed allows an increase in convergence rate and, an improvement of residual error. As special case the staircase CFA algorithm is first presented, then the smooth CFA is developed. Details of implementations are also discussed. Results of simulation are provided to show the properties of the proposed family of algorithms. (C) 2000 Elsevier Science B.V. All rights reserved.

A Phase Grating Approach to Modeling Surface Diffusion in FDTD Room Acoustics Simulations

In this paper, a method for modeling diffusive boundaries in finite difference time domain (FDTD) room acoustics simulations with the use of impedance filters is presented. The proposed technique is based on the concept of phase grating diffusers, and realized by designing boundary impedance filters from normal-incidence reflection filters with added delay. These added delays, that correspond to the diffuser well depths, are varied across the boundary surface, and implemented using Thiran allpass filters. The proposed method for simulating sound scattering is suitable for modeling high frequency diffusion caused by small variations in surface roughness and, more generally, diffusers characterized by narrow wells with infinitely thin separators. This concept is also applicable to other wave-based modeling techniques. The approach is validated by comparing numerical results for Schroeder diffusers to measured data. In addition, it is proposed that irregular surfaces are modeled by shaping them with Brownian noise, giving good control over the sound scattering properties of the simulated boundary through two parameters, namely the spectral density exponent and the maximum well depth.

The top-down mechanism for body-mass-abundance scaling

Scaling relationships between mean body masses and abundances of species in multitrophic communities continue to be a subject of intense research and debate. The top-down mechanism explored in this paper explains the frequently observed inverse linear relationship between body mass and abundance (i.e., constant biomass) in terms of a balancing of resource biomasses by behaviorally and evolutionarily adapting foragers, and the evolutionary response of resources to this foraging pressure. The mechanism is tested using an allometric, multitrophic community model with a complex food web structure. It is a statistical model describing the evolutionary and population dynamics of tens to hundreds of species in a uniform way. Particularities of the model are the detailed representation of the evolution and interaction of trophic traits to reproduce topological food web patterns, prey switching behavior modeled after experimental observations, and the evolutionary adaptation of attack rates. Model structure and design are discussed. For model states comparable to natural communities, we find that (1) the body-mass-abundance scaling does not depend on the allometric scaling exponent of physiological rates in the form expected from the energetic equivalence rule or other bottom-up theories; (2) the scaling exponent of abundance as a function of body mass is approximately -1, independent of the allometric exponent for physiological rates assumed; (3) removal of top-down control destroys this pattern, and energetic equivalence is recovered. We conclude that the top-down mechanism is active in the model, and that it is a viable alternative to bottom-up mechanisms for controlling body-mass-abundance relations in natural communities.

Disorder-induced phase transition in a one-dimensional model of rice pile

We propose a one-dimensional rice-pile model which connects the 1D BTW sandpile model (Phys. Rev. A 38 (1988) 364) and the Oslo rice-pile model (Phys. Rev. Lett. 77 (1997) 107) in a continuous manner. We found that for a sufficiently large system, there is a sharp transition between the trivial critical behaviour of the 1D BTW model and the self-organized critical (SOC) behaviour. When there is SOC, the model belongs to a known universality class with the avalanche exponent tau = 1.53. (C) 1999 Elsevier Science B.V. All rights reserved.

Scaling in the time-dependent failure of a fiber bundle with local load sharing

We study the scaling behaviors of a time-dependent fiber-bundle model with local load sharing. Upon approaching the complete failure of the bundle, the breaking rate of fibers diverges according to r(t)proportional to(T-f-t)(-xi) where T-f is the lifetime of the bundle and xi approximate to 1.0 is a universal scaling exponent. The average lifetime of the bundle [T-f] scales with the system size as N-delta, where delta depends on the distribution of individual fiber as well as the breakdown rule. [S1063-651X(99)13902-3].

NUMERICAL SIMULATIONS OF BURST PROCESSES IN FIBER-BUNDLES

We discuss a very effective numerical method for simulating fibre-bundle models with equal load-sharing and with local load-sharing. Particular attention is paid to the case of the local load-sharing model, in which the critical load x(c) is defined as the average load per fibre that causes the final complete failure. It is shown that x(c) --> 0 when the size of the system N --> infinity. We also show analytically that the power law of the burst size distribution, D(Delta) alpha Delta(-xi), is approximately correct. The exponent xi in the local load-sharing case is not universal, since it depends on the strength distribution as well on as the size of the system.

BURST-SIZE DISTRIBUTION IN FIBER-BUNDLES WITH LOCAL LOAD-SHARING

A critical load x(c) is introduced into the fiber-bundle model with local load-sharing. The critical load is defined as the average load per fiber that causes the final complete failure. It is shown that x(c) --> 0 when the size of the system N --> infinity. A power law for the burst-size distribution, D(DELTA) is-proportional-to DELTA(-xi) is approximately correct. The exponent xi is not universal, since it depends on the strength distribution as well as the size of the system.