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.

Temporal extension of Laplacian Eigenmaps for unsupervised dimensionality reduction of time series

A novel non-linear dimensionality reduction method, called Temporal Laplacian Eigenmaps, is introduced to process efficiently time series data. In this embedded-based approach, temporal information is intrinsic to the objective function, which produces description of low dimensional spaces with time coherence between data points. Since the proposed scheme also includes bidirectional mapping between data and embedded spaces and automatic tuning of key parameters, it offers the same benefits as mapping-based approaches. Experiments on a couple of computer vision applications demonstrate the superiority of the new approach to other dimensionality reduction method in term of accuracy. Moreover, its lower computational cost and generalisation abilities suggest it is scalable to larger datasets. © 2010 IEEE.

Efficient Non-Linear Idealisations of Aircraft Fuselage Panels in Compression

Aircraft fuselages are complex assemblies of thousands of components and as a result simulation models are highly idealised. In the typical design process, a coarse FE model is used to determine loads within the structure. The size of the model and number of load cases necessitates that only linear static behaviour is considered. This paper reports on the development of a modelling approach to increase the accuracy of the global model, accounting for variations in stiffness due to non-linear structural behaviour. The strategy is based on representing a fuselage sub-section with a single non-linear element. Large portions of fuselage structure are represented by connecting these non-linear elements together to form a framework. The non-linear models are very efficient, reducing computational time significantly

The alteration of the structural properties and photocatalytic activity of TiO2 following exposure to non-linear irradiation sources

When TiO2 powder was irradiated with a laser light (>0.8 MW peak pulse power (PPP) at 355 nm) a visible change in its colour from white to dark blue was observed. The initial rate of change of the total colour difference was related to the laser light intensity and the longer the irradiation time the more substantial the colour change. The result of X-ray diffraction (XRD) studies showed that the crystal structure of the TiO2 developed a more rutile form after laser exposure. ESR studies indicated that the colour change was associated with the generation of Ti(III) species in the photocatalyst. Electron microscopic studies showed that more spherical shaped particles of TiO2 were observed after laser treatment although the average particle size remained largely unchanged. No significant changes in the band gap or the surface area of the laser modified TiO2 were observed. The laser modified photocatalyst showed no enhancement in activity for the destruction of methylene blue, rhodamine B and stearic acids, indicating that the rutile/anatase ratio is unimportant in the destruction of the test pollutants used in this work, via TiO2 photocatalysis

Determination of Non-linear Damping Coefficients of bottom-hinged Oscillating Wave Surge Converters Using Numerical Free Decay Tests

Linear wave theory models are commonly applied to predict the performance of bottom-hinged oscillating wave surge converters (OWSC) in operational sea states. To account for non-linear effects, the additional input of coefficients not included in the model itself becomes necessary. In ocean engineering it is
common practice to obtain damping coefficients of floating structures from free decay tests. This paper presents results obtained from experimental tank tests and numerical computational fluid dynamics simulations of OWSC’s. Agreement between numerical and experimental methods is found to be very good, with CFD providing more data points at small amplitude rotations.
Analysis of the obtained data reveals that linear quadratic-damping, as commonly used in time domain models, is not able to accurately model the occurring damping over the whole regime of rotation amplitudes. The authors
conclude that a hyperbolic function is most suitable to express the instantaneous damping ratio over the rotation amplitude and would be the best choice to be used in coefficient based time domain models.

Error sensitive historical GIS: Identifying areal interpolation errors in time series data

Historical GIS has the potential to re-invigorate our use of statistics from historical censuses and related sources. In particular, areal interpolation can be used to create long-run time-series of spatially detailed data that will enable us to enhance significantly our understanding of geographical change over periods of a century or more. The difficulty with areal interpolation, however, is that the data that it generates are estimates which will inevitably contain some error. This paper describes a technique that allows the automated identification of possible errors at the level of the individual data values.

Non-linear conductance of disordered quantum wires

The self-consistent electron potential in a current-carrying disordered quantum wire is spatially inhomogeneous due to the formation of resistivity dipoles across scattering centres. In this paper it is argued that these inhomogeneities in the potential result in a suppression of the differential conductance of such a wire at finite applied voltage. A semi-classical argument allows this suppression, quadratic in the voltage, to be related directly to the amount of intrinsic defect scattering in the wire. This result is then tested against numerical calculations.

Non-linear electronic transport in Pt nanowires deposited by focused ion beam

Electrical transport and structural properties of platinum nanowires, deposited using the focussed ion beam method have been investigated. Energy dispersive X-ray spectroscopy reveals metal-rich grains (atomic composition 31% Pt and 50% Ga) in a largely non-metallic matrix of C, O and Si. Resistivity measurements (15-300 K) reveal a negative temperature coefficient with the room-temperature resistivity 80-300 times higher than that of bulk Pt. Temperature dependent current-voltage characteristics exhibit non-linear behaviour in the entire range investigated. The conductance spectra indicate increasing non-linearity with decreasing temperature, reaching 4% at 15 K. The observed electrical behaviour is explained in terms of a model for inter-grain tunnelling in disordered media, a mechanism that is consistent with the strongly disordered nature of the nanowires observed in the structure and composition analysis.