Nonlinear time series prediction based on a power-law noise model

In this paper we investigate the influence of a power-law noise model, also called noise, on the performance of a feed-forward neural network used to predict time series. We introduce an optimization procedure that optimizes the parameters the neural networks by maximizing the likelihood function based on the power-law model. We show that our optimization procedure minimizes the mean squared leading to an optimal prediction. Further, we present numerical results applying method to time series from the logistic map and the annual number of sunspots demonstrate that a power-law noise model gives better results than a Gaussian model.

Testing of a Market Fraction Model and Power-law Behaviour in the DAX 30

This paper tests a simple market fraction asset pricing model with heterogeneous
agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model share the same pattern as those of the DAX 30. By conducting econometric analysis via Monte Carlo simulations, we characterize these power-law behaviours and find that estimates of the power-law decay indices, the (FI)GARCH parameters, and the tail index of the selected market fraction model closely match those of the DAX 30. The results strongly support the explanatory power of the heterogeneous agent models.

Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

Historical data reveal power-law dispersal patterns of invasive aquatic species

Understanding how invasive species spread is of particular concern in the current era of globalisation and rapid environmental change. The occurrence of super-diffusive movements within the context of Lévy flights has been discussed with respect to particle physics, human movements, microzooplankton, disease spread in global epidemiology and animal foraging behaviour. Super-diffusive movements provide a theoretical explanation for the rapid spread of organisms and disease, but their applicability to empirical data on the historic spread of organisms has rarely been tested. This study focuses on the role of long-distance dispersal in the invasion dynamics of aquatic invasive species across three contrasting areas and spatial scales: open ocean (north-east Atlantic), enclosed sea (Mediterranean) and an island environment (Ireland). Study species included five freshwater plant species, Azolla filiculoides, Elodea canadensis, Lagarosiphon major, Elodea nuttallii and Lemna minuta; and ten species of marine algae, Asparagopsis armata, Antithamnionella elegans, Antithamnionella ternifolia, Codium fragile, Colpomenia peregrina, Caulerpa taxifolia, Dasysiphonia sp., Sargassum muticum, Undaria pinnatifida and Womersleyella setacea. A simulation model is constructed to show the validity of using historical data to reconstruct dispersal kernels. Lévy movement patterns similar to those previously observed in humans and wild animals are evident in the re-constructed dispersal pattern of invasive aquatic species. Such patterns may be widespread among invasive species and could be exacerbated by further development of trade networks, human travel and environmental change. These findings have implications for our ability to predict and manage future invasions, and improve our understanding of the potential for spread of organisms including infectious diseases, plant pests and genetically modified organisms.

Run off Conditions on Rimming Power Law Fluids

The rimming ?ow of a power-law ?uid in the inner surface of a horizontal rotating cylinder is investigated. Exploiting the fact that the liquid layer is thin, the simplest lubrication theory is applied. The generalized run-off condition for the steady-state ?ow of the power-law liquid is derived. In the bounds implied by this condition, ?lm thickness admits a continuous solution. In the supercritical case when the mass of non-Newtonian liquid exceeds a certain value or the speed of rotation is less than an indicated limit, a discontinuous solution is possible and a hydraulic jump may occur in the steady-state regime. The location and height of the hydraulic jump for the power-law liquid is determined.

Universal power-law diet partitioning by marine fish and squid with surprising stability–diversity implications

A central question in community ecology is how the number of trophic links relates to community species richness. For simple dynamical food-web models, link density (the ratio of links to species) is bounded from above as the number of species increases; but empirical data suggest that it increases without bounds. We found a new empirical upper bound on link density in large marine communities with emphasis on fish and squid, using novel methods that avoid known sources of bias in traditional approaches. Bounds are expressed in terms of the diet-partitioning function (DPF): the average number of resources contributing more than a fraction f to a consumer's diet, as a function of f. All observed DPF follow a functional form closely related to a power law, with power-law exponents indepen- dent of species richness at the measurement accuracy. Results imply universal upper bounds on link density across the oceans. However, the inherently scale-free nature of power-law diet partitioning suggests that the DPF itself is a better defined characterization of network structure than link density.

Phillips-Heffron Power System Model for SmartPark and Suppression of Interarea Oscillations

This paper investigates the use of plug-in parking lots (SmartPark) as integral energy storage to improve small-signal stability using plug-in electric vehicles (PEV). The paper establishes the Phillips-Heffron model of a power system for a SmartPark solution. Based on this model, SmartPark-based stabilisers have been designed based using phase compensation to improve power system oscillation stability. The effectiveness of stabilisation superimposed on the active and reactive power regulators is verified by simulations obtained from a multi-machine power system model with SmartPark and a large-scale wind farm inclusion.

Fractal species distributions do not produce power-law species-area relationships

We derive the species-area relationship (SAR) expected from an assemblage of fractally distributed species. If species have truly fractal spatial distributions with different fractal dimensions, we show that the expected SAR is not the classical power-law function, as suggested recently in the literature. This analytically derived SAR has a distinctive shape that is not commonly observed in nature: upward-accelerating richness with increasing area (when plotted on log-log axes). This suggests that, in reality, most species depart from true fractal spatial structure. We demonstrate the fitting of a fractal SAR using two plant assemblages (Alaskan trees and British grasses). We show that in both cases, when modelled as fractal patterns, the modelled SAR departs from the observed SAR in the same way, in accord with the theory developed here. The challenge is to identify how species depart from fractality, either individually or within assemblages, and more importantly to suggest reasons why species distributions are not self-similar and what, if anything, this can tell us about the spatial processes involved in their generation.

Secure D2D Communication in Large-Scale Cognitive Cellular Networks: A Wireless Power Transfer Model

In this paper, we investigate secure device-to-device (D2D) communication in energy harvesting large-scale cognitive cellular networks. The energy constrained D2D transmitter harvests energy from multiantenna equipped power beacons (PBs), and communicates with the corresponding receiver using the spectrum of the primary base stations (BSs). We introduce a power transfer model and an information signal model to enable wireless energy harvesting and secure information transmission. In the power transfer model, three wireless power transfer (WPT) policies are proposed: 1) co-operative power beacons (CPB) power transfer, 2) best power beacon (BPB) power transfer, and 3) nearest power beacon (NPB) power transfer. To characterize the power transfer reliability of the proposed three policies, we derive new expressions for the exact power outage probability. Moreover, the analysis of the power outage probability is extended to the case when PBs are equipped with large antenna arrays. In the information signal model, we present a new comparative framework with two receiver selection schemes: 1) best receiver selection (BRS), where the receiver with the strongest channel is selected; and 2) nearest receiver selection (NRS), where the nearest receiver is selected. To assess the secrecy performance, we derive new analytical expressions for the secrecy outage probability and the secrecy throughput considering the two receiver selection schemes using the proposed WPT policies. We presented Monte carlo simulation results to corroborate our analysis and show: 1) secrecy performance improves with increasing densities of PBs and D2D receivers due to larger multiuser diversity gain; 2) CPB achieves better secrecy performance than BPB and NPB but consumes more power; and 3) BRS achieves better secrecy performance than NRS but demands more instantaneous feedback and overhead. A pivotal conclusion- is reached that with increasing number of antennas at PBs, NPB offers a comparable secrecy performance to that of BPB but with a lower complexity.

Rheological destructuring of aqueous gels composed of cellulose ethers following storage in the presence of redox agents

Despite their widespread use, there is a paucity of information concerning the effect of storage on the rheological properties of pharmaceutical gels that contain organic and inorganic additives. Therefore, this study examined the effect of storage (1 month at either 4 or 37 degrees C) on the rheological and mechanical properties of gels composed of either hydroxypropylmethylcellulose (3-5% w/w, HPMC) or hydroxyethylcellulose (3-5% w/w, HEC) and containing or devoid of dispersed organic (tetracycline hydrochloride 2% w/w) or inorganic (iron oxide 0.1% w/w) agents. The mechanical properties were measured using texture profile analysis whereas the rheological properties were analyzed using continuous shear rheometry and modeled using the Power Law model. All formulations exhibited pseudoplastic flow with minimal thixotropy. Increasing polymer concentration (3-5% w/w) significantly increased the consistency, hardness, compressibility, and adhesiveness of the formulations due to increased polymer chain entanglement. Following storage (I month at 4 and 37 degrees C) the consistency and mechanical properties of additive free HPMC gets (but not HEC gels) increased, due to the time-dependent development of polymer chain entanglements. Incorporation of tetracycline hydrochloride significantly decreased and increased the rheological and mechanical properties of HPMC and HEC gels, respectively. Conversely, the incorporation of iron oxide did not affect these properties. Following storage, the rheological and mechanical properties of HPMC and HEC formulations were markedly compromised. This effect was greater following storage at 37 than at 4 degrees C and, additionally, greater in the presence of tetracycline hydrochloride than iron oxide. It is suggested that the loss of rheological/mechanical structure was due to chain depolymerization, facilitated by the redox properties of tetracycline hydrochloride and iron oxide. These observations have direct implications for the design and formulation of gels containing an active pharmaceutical ingredient. (c) 2005 Wiley Periodicals, Inc.

A material model for multiaxial stretching and stress relaxation of polypropylene under process conditions

Polypropylene sheets have been stretched at 160 °C to a state of large biaxial strain of extension ratio 3, and the stresses then allowed to relax at constant strain. The state of strain is reached via a path consisting of two sequential planar extensions, the second perpendicular to the first, under plane stress conditions with zero stress acting normal to the sheet. This strain path is highly relevant to solid phase deformation processes such as stretch blow moulding and thermoforming, and also reveals fundamental aspects of the flow rule required in the constitutive behaviour of the material. The rate of decay of stress is rapid, and such as to be highly significant in the modelling of processes that include stages of constant strain. A constitutive equation is developed that includes Eyring processes to model both the stress relaxation and strain rate dependence of the stress. The axial and transverse stresses observed during loading show that the use of a conventional Levy-Mises flow rule is ineffective, and instead a flow rule is used that takes account of the anisotropic state of the material via a power law function of the principal extension ratios. Finally the constitutive model is demonstrated to give quantitatively useful representation of the stresses both in loading and in stress relaxation.

Examination of the flow rheological and textural properties of polymer gels composed of poly(methylvinylether-co-maleic anhydride) and poly(vinylpyrrolidone): rheological and mathematical interpretation of textural parameters.

The purpose of this study was to mathematically characterize the effects of defined experimental parameters (probe speed and the ratio of the probe diameter to the diameter of sample container) on the textural/mechanical properties of model gel systems. In addition, this study examined the applicability of dimensional analysis for the rheological interpretation of textural data in terms of shear stress and rate of shear. Aqueous gels (pH 7) were prepared containing 15% w/w poly(methylvinylether-co-maleic anhydride) and poly(vinylpyrrolidone) (PVP) (0, 3, 6, or 9% w/w). Texture profile analysis (TPA) was performed using a Stable Micro Systems texture analyzer (model TA-XT 2; Surrey, UK) in which an analytical probe was twice compressed into each formulation to a defined depth (15 mm) and at defined rates (1, 3, 5, 8, and 10 mm s-1), allowing a delay period (15 s) between the end of the first and beginning of the second compressions. Flow rheograms were performed using a Carri-Med CSL2-100 rheometer (TA Instruments, Surrey, UK) with parallel plate geometry under controlled shearing stresses at 20.0°?±?0.1°C. All formulations exhibited pseudoplastic flow with no thixotropy. Increasing concentrations of PVP significantly increased formulation hardness, compressibility, adhesiveness, and consistency. Increased hardness, compressibility, and consistency were ascribed to enhanced polymeric entanglements, thereby increasing the resistance to deformation. Increasing probe speed increased formulation hardness in a linear manner, because of the effects of probe speed on probe displacement and surface area. The relationship between formulation hardness and probe displacement was linear and was dependent on probe speed. Furthermore, the proportionality constant (gel strength) increased as a function of PVP concentration. The relationship between formulation hardness and diameter ratio was biphasic and was statistically defined by two linear relationships relating to diameter ratios from 0 to 0.4 and from 0.4 to 0.563. The dramatically increased hardness, associated with diameter ratios in excess of 0.4, was accredited to boundary effects, that is, the effect of the container wall on product flow. Using dimensional analysis, the hardness and probe displacement in TPA were mathematically transformed into corresponding rheological parameters, namely shearing stress and rate of shear, thereby allowing the application of the power law (??=?k?n) to textural data. Importantly, the consistencies (k) of the formulations, calculated using transformed textural data, were statistically similar to those obtained using flow rheometry. In conclusion, this study has, firstly, characterized the relationships between textural data and two key instrumental parameters in TPA and, secondly, described a method by which rheological information may be derived using this technique. This will enable a greater application of TPA for the rheological characterization of pharmaceutical gels and, in addition, will enable efficient interpretation of textural data under different experimental parameters.

Single-ionization of helium at Ti:sapphire wavelengths: rates and scaling laws

We present a numerical and theoretical study of intense-field single-electron ionization of helium at 390 nm and 780 nm. Accurate ionization rates (over an intensity range of (0.175-34) X10^14 W/ cm^2 at 390 nm, and (0.275 - 14.4) X 10^14 W /cm^2 at 780 nm) are obtained from full-dimensionality integrations of the time-dependent helium-laser Schroedinger equation. We show that the power law of lowest order perturbation theory, modified with a ponderomotive-shifted ionization potential, is capable of modelling the ionization rates over an intensity range that extends up to two orders of magnitude higher than that applicable to perturbation theory alone. Writing the modified perturbation theory in terms of scaled wavelength and intensity variables, we obtain to first approximation a single ionization law for both the 390 nm and 780 nm cases. To model the data in the high intensity limit as well as in the low, a new function is introduced for the rate. This function has, in part, a resemblance to that derived from tunnelling theory but, importantly, retains the correct frequency-dependence and scaling behaviour derived from the perturbative-like models at lower intensities. Comparison with the predictions of classical ADK tunnelling theory confirms that ADK performs poorly in the frequency and intensity domain treated here.

The 2003 November 14 occultation by Titan of TYC 1343-1865-1

We observed a stellar occultation by Titan on 2003 November 14 from La Palma Observatory using ULTRACAM with three Sloan filters: u, g, and i (358, 487, and 758 nm, respectively). The occultation probed latitudes 2°?S and 1°?N during immersion and emersion, respectively. A prominent central flash was present in only the i filter, indicating wavelength-dependent atmospheric extinction. We inverted the light curves to obtain six lower-limit temperature profiles between 335 and 485 km (0.04 and 0.003 mb) altitude. The i profiles agreed with the temperature measured by the Huygens Atmospheric Structure Instrument [Fulchignoni, M., and 43 colleagues, 2005. Nature 438, 785 791] above 415 km (0.01 mb). The profiles obtained from different wavelength filters systematically diverge as altitude decreases, which implies significant extinction in the light curves. Applying an extinction model [Elliot, J.L., Young, L.A., 1992. Astron. J. 103, 991 1015] gave the altitudes of line of sight optical depth equal to unity: 396±7 and 401±20 km (u immersion and emersion); 354±7 and 387±7 km (g immersion and emersion); and 336±5 and 318±4 km (i immersion and emersion). Further analysis showed that the optical depth follows a power law in wavelength with index 1.3±0.2. We present a new method for determining temperature from scintillation spikes in the occulting body's atmosphere. Temperatures derived with this method are equal to or warmer than those measured by the Huygens Atmospheric Structure Instrument. Using the highly structured, three-peaked central flash, we confirmed the shape of Titan's middle atmosphere using a model originally derived for a previous Titan occultation [Hubbard, W.B., and 45 colleagues, 1993. Astron. Astrophys. 269, 541 563].

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.