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.

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.

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.

Differential power analysis resistance of Camellia and countermeasure strategy on FPGAs

Security devices are vulnerable to Differential Power Analysis (DPA) that reveals the key by monitoring the power consumption of the circuits. In this paper, we present the first DPA attack against an FPGA implementation of the Camellia encryption algorithm with all key sizes and evaluate the DPA resistance of the algorithm. The Camellia cryptographic algorithm involves several different key-dependent intermediate operations including S-Box operations. In previous research, it was believed that the Camellia is stronger than AES due to the additional Whitening phase protecting the S-Box operation. However, we propose an attack that bypasses the Whitening phase and targets the S-Box. In this paper, we also discuss a lowcost countermeasure strategy to protect the Pre-whitening / Post-whitening and FL function of Camellia using Dual-rail Precharged Logic and to protect against attacks of the S-Box using Random Delay Insertion. © 2009 IEEE.

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.

Enforcing Member State Compliance with EU Environmental Law: A Critical Evaulation of the Use of Financial Penalties

The 1993 Treaty on European Union finally closed a legal vacuum in
EU law, by giving the Court the power to impose financial penalties to
enforce compliance with its judgments. Today, this power is found
within Article 260(2) of the Treaty on the Functioning of the
European Union. Drawing upon case law, this article examines the
role that the Court’s enforcement powers have played in relation to
EU environmental law. It argues that EU law has yet to make full use
of their potential. The article commences with the Commission and
questions whether it has sufficient resources to carry out its functions
under Article 260(2). The article also examines the ongoing problem of
Member State delay in complying with Court judgments and the
weight given to environmental considerations in the Court’s decision
making on financial penalties. The article concludes by examining the
implications of the Lisbon Treaty.

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.

Spanish Golden Age Poetry in Motion: The Dynamics of Creation and Conversation.

The fourteen essays of this volume engage in distinct ways with the matter of motion in early modern Spanish poetics, without limiting the dialectic of stasis and movement to any single sphere or manifestation. Interrogation of the interdependence of tradition and innovation, poetry, power and politics, shifting signifiers, the intersection of topography and deviant temporalities, the movement between the secular and the sacred, tensions between centres and peripheries, issues of manuscript circulation and reception, poetic calls and echoes across continents and centuries, and between creative writing and reading subjects, all demonstrate that Helgerson's central notion of conspicuous movement is relevant beyond early sixteenth-century secular poetics, By opening it up we approximate a better understanding of poetry's flexible spatio-temporal co-ordinates in a period of extraordinary historical circumstances and conterminous radical cultural transformation

Laughter Induction Techniques Suitable for Generating Motion Capture Data of Laughter Associated Body Movements

Laughter is a frequently occurring social signal and an important part of human non-verbal communication. However it is often overlooked as a serious topic of scientific study. While the lack of research in this area is mostly due to laughter’s non-serious nature, it is also a particularly difficult social signal to produce on demand in a convincing manner; thus making it a difficult topic for study in laboratory settings. In this paper we provide some techniques and guidance for inducing both hilarious laughter and conversational laughter. These techniques were devised with the goal of capturing mo- tion information related to laughter while the person laughing was either standing or seated. Comments on the value of each of the techniques and general guidance as to the importance of atmosphere, environment and social setting are provided.

Unveiling Fairness for the Consumer:The Law, Economics and Justice of Expanded Arbitration

In recent years, the US Supreme Court has rather controversially extended the ambit of the Federal Arbitration Act to extend arbitration’s reach into, inter alia¸ consumer matters, with the consequence that consumers are often (and unbeknownst to them) denied remedies which would otherwise be available. Such denied remedies include recourse to class action proceedings, effective denial of punitive damages, access to discovery and the ability to resolve the matter in a convenient forum.

The court’s extension of arbitration’s ambit is controversial. Attempts to overturn this extension have been made in Congress, but to no avail. In contrast to American law, European consumer law looks at pre-dispute agreements to arbitrate directed at consumers with extreme suspicion, and does so on the grounds of fairness. In contrast, some argue that pre-dispute agreements in consumer (and employment) matters are consumer welfare enhancing: they decrease the costs of doing business, which is then passed on to the consumer. This Article examines these latter claims from both an economic and normative perspective.

The economic analysis of these arguments shows that their assumptions do not hold. Rather than being productive of consumer surplus, the use of arbitration is likely to have the opposite effect. The industries from which the recent Supreme Court cases originated not only do not exhibit the industrial structure assumed by the proponents of expanded arbitration, but are also industries which exhibit features that facilitate consumer welfare reducing collusion.

The normative analysis addresses the fairness concerns. It is explicitly based upon John Rawls’ notion of “justice as fairness,” which can provide a lens to evaluate social institutions. This Rawlsian analysis considers the use of extended arbitration in consumer matters in the light of the earlier economic results. It suggests that the asymmetries present in the contractual allocation of rights serve as prima facie evidence that such arbitration–induced exclusions are prima facie unjust/unfair. However, as asymmetry is only a prima facie test, a generalized criticism of the arbitration exclusions (of the sort found in Congress and underlying the European regime) is overbroad.

Small Signal Stability Performance of Power System during High Penetration of Wind Generation

The small signal stability of interconnected power systems is one of the important aspects that need to be investigated since the oscillations caused by this kind of instability have caused many incidents. With the increasing penetration of wind power in the power system, particularly doubly fed induction generator (DFIG), the impact on the power system small signal stability performance should be fully investigated. Because the DFIG wind turbine integration is through a fast action converter and associated control, it does not inherently participate in the electromechanical small signal oscillation. However, it influences the small signal stability by impacting active power flow paths in the network and replacing synchronous generators that have power system stabilizer (PSS). In this paper, the IEEE 39 bus test system has been used in the analysis. Furthermore, four study cases and several operation scenarios have been conducted and analysed. The selective eigenvalue Arnoldi/lanczos's method is used to obtain the system eigenvalue in the range of frequency from 0.2 Hz to 2 Hz which is related to electromechanical oscillations. Results show that the integration of DFIG wind turbines in a system during several study cases and operation scenarios give different influence on small signal stability performance.

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.