Analysis of financial indices by means of the windowed Fourier transform

The goal of this study is to analyze the dynamical properties of financial data series from nineteen worldwide stock market indices (SMI) during the period 1995–2009. SMI reveal a complex behavior that can be explored since it is available a considerable volume of data. In this paper is applied the window Fourier transform and methods of fractional calculus. The results reveal classification patterns typical of fractional order systems.

Multidimensional scaling analysis of fractional systems

This paper investigates the use of multidimensional scaling in the evaluation of fractional system. Several algorithms are analysed based on the time response of the closed loop system under the action of a reference step input signal. Two alternative performance indices, based on the time and frequency domains, are tested. The numerical experiments demonstrate the feasibility of the proposed visualization method.

The effect of fractional order in variable structure control

This paper studies fractional variable structure controllers. Two cases are considered namely, the sliding reference model and the control action, that are generalized from integer into fractional orders. The test bed consists in a mechanical manipulator and the effect of the fractional approach upon the system performance is evaluated. The results show that fractional dynamics, both in the switching surface and the control law are important design algorithms in variable structure controllers.

Introducing the fractional-order Darwinian PSO

One of the most well-known bio-inspired algorithms used in optimization problems is the particle swarm optimization (PSO), which basically consists on a machinelearning technique loosely inspired by birds flocking in search of food. More specifically, it consists of a number of particles that collectively move on the search space in search of the global optimum. The Darwinian particle swarm optimization (DPSO) is an evolutionary algorithm that extends the PSO using natural selection, or survival of the fittest, to enhance the ability to escape from local optima. This paper firstly presents a survey on PSO algorithms mainly focusing on the DPSO. Afterward, a method for controlling the convergence rate of the DPSO using fractional calculus (FC) concepts is proposed. The fractional-order optimization algorithm, denoted as FO-DPSO, is tested using several well-known functions, and the relationship between the fractional-order velocity and the convergence of the algorithm is observed. Moreover, experimental results show that the FO-DPSO significantly outperforms the previously presented FO-PSO.

GTS allocation analysis in IEEE 802.15.4 for real-time wireless sensor networks

The IEEE 802.15.4 protocol proposes a flexible communication solution for Low-Rate Wireless Personal Area Networks including sensor networks. It presents the advantage to fit different requirements of potential applications by adequately setting its parameters. When enabling its beacon mode, the protocol makes possible real-time guarantees by using its Guaranteed Time Slot (GTS) mechanism. This paper analyzes the performance of the GTS allocation mechanism in IEEE 802.15.4. The analysis gives a full understanding of the behavior of the GTS mechanism with regards to delay and throughput metrics. First, we propose two accurate models of service curves for a GTS allocation as a function of the IEEE 802.15.4 parameters. We then evaluate the delay bounds guaranteed by an allocation of a GTS using Network Calculus formalism. Finally, based on the analytic results, we analyze the impact of the IEEE 802.15.4 parameters on the throughput and delay bound guaranteed by a GTS allocation. The results of this work pave the way for an efficient dimensioning of an IEEE 802.15.4 cluster.

Modeling and worst-case dimensioning of cluster-tree wireless sensor networks

Time-sensitive Wireless Sensor Network (WSN) applications require finite delay bounds in critical situations. This paper provides a methodology for the modeling and the worst-case dimensioning of cluster-tree WSNs. We provide a fine model of the worst-case cluster-tree topology characterized by its depth, the maximum number of child routers and the maximum number of child nodes for each parent router. Using Network Calculus, we derive “plug-and-play” expressions for the endto- end delay bounds, buffering and bandwidth requirements as a function of the WSN cluster-tree characteristics and traffic specifications. The cluster-tree topology has been adopted by many cluster-based solutions for WSNs. We demonstrate how to apply our general results for dimensioning IEEE 802.15.4/Zigbee cluster-tree WSNs. We believe that this paper shows the fundamental performance limits of cluster-tree wireless sensor networks by the provision of a simple and effective methodology for the design of such WSNs.

Energy and delay trade-off of the GTS allocation mechanism in IEEE 802.15.4 for wireless sensor networks

The IEEE 802.15.4 protocol proposes a flexible communication solution for Low-Rate Wireless Personal Area Networks (LR-WPAN) including wireless sensor networks (WSNs). It presents the advantage to fit different requirements of potential applications by adequately setting its parameters. When in beaconenabled mode, the protocol can provide timeliness guarantees by using its Guaranteed Time Slot (GTS) mechanism. However, power-efficiency and timeliness guarantees are often two antagonistic requirements in wireless sensor networks. The purpose of this paper is to analyze and propose a methodology for setting the relevant parameters of IEEE 802.15.4-compliant WSNs that takes into account a proper trade-off between power-efficiency and delay bound guarantees. First, we propose two accurate models of service curves for a GTS allocation as a function of the IEEE 802.15.4 parameters, using Network Calculus formalism. We then evaluate the delay bound guaranteed by a GTS allocation and express it as a function of the duty cycle. Based on the relation between the delay requirement and the duty cycle, we propose a power-efficient superframe selection method that simultaneously reduces power consumption and enables meeting the delay requirements of real-time flows allocating GTSs. The results of this work may pave the way for a powerefficient management of the GTS mechanism in an IEEE 802.15.4 cluster.

Fractional order inductive phenomena based on the skin effect

The Maxwell equations play a fundamental role in the electromagnetic theory and lead to models useful in physics and engineering. This formalism involves integer-order differential calculus, but the electromagnetic diffusion points towards the adoption of a fractional calculus approach. This study addresses the skin effect and develops a new method for implementing fractional-order inductive elements. Two genetic algorithms are adopted, one for the system numerical evaluation and another for the parameter identification, both with good results.

Root locus of fractional linear systems

In this paper an algorithm for the calculation of the root locus of fractional linear systems is presented. The proposed algorithm takes advantage of present day computational resources and processes directly the characteristic equation, avoiding the limitations revealed by standard methods. The results demonstrate the good performance for different types of expressions.

Fractional dynamics of a system with particles subjected to impacts

This paper studies the dynamics of a system composed of a collection of particles that exhibit collisions between them. Several entropy measures and different impact conditions of the particles are tested. The results reveal a Power Law evolution both of the system energy and the entropy measures, typical in systems having fractional dynamics.

Analysis of financial data series using fractional Fourier transform and multidimensional scaling

The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.

Modeling of the lung impedance using a fractional order ladder network with constant phase elements

The self similar branching arrangement of the airways makes the respiratory system an ideal candidate for the application of fractional calculus theory. The fractal geometry is typically characterized by a recurrent structure. This study investigates the identification of a model for the respiratory tree by means of its electrical equivalent based on intrinsic morphology. Measurements were obtained from seven volunteers, in terms of their respiratory impedance by means of its complex representation for frequencies below 5 Hz. A parametric modeling is then applied to the complex valued data points. Since at low-frequency range the inertance is negligible, each airway branch is modeled by using gamma cell resistance and capacitance, the latter having a fractional-order constant phase element (CPE), which is identified from measurements. In addition, the complex impedance is also approximated by means of a model consisting of a lumped series resistance and a lumped fractional-order capacitance. The results reveal that both models characterize the data well, whereas the averaged CPE values are supraunitary and subunitary for the ladder network and the lumped model, respectively.

Identifying economic periods and crisis with the multidimensional scaling

This paper applied MDS and Fourier transform to analyze different periods of the business cycle. With such purpose, four important stock market indexes (Dow Jones, Nasdaq, NYSE, S&P500) were studied over time. The analysis under the lens of the Fourier transform showed that the indexes have characteristics similar to those of fractional noise. By the other side, the analysis under the MDS lens identified patterns in the stock markets specific to each economic expansion period. Although the identification of patterns characteristic to each expansion period is interesting to practitioners (even if only in a posteriori fashion), further research should explore the meaning of such regularities and target to find a method to estimate future crisis.

A fractional approach for the motion planning of redundant and hyper-redundant manipulators

The trajectory planning of redundant robots through the pseudoinverse control leads to undesirable drift in the joint space. This paper presents a new technique to solve the inverse kinematics problem of redundant manipulators, which uses a fractional differential of order α to control the joint positions. Two performance measures are defined to examine the strength and weakness of the proposed method. The positional error index measures the precision of the manipulator's end-effector at the target position. The repeatability performance index is adopted to evaluate if the joint positions are repetitive when the manipulator execute repetitive trajectories in the operational workspace. Redundant and hyper-redundant planar manipulators reveal that it is possible to choose in a large range of possible values of α in order to get repetitive trajectories in the joint space.

Application of genetic algorithms in the design of an electrical potential of fractional order

Fractional calculus (FC) is currently being applied in many areas of science and technology. In fact, this mathematical concept helps the researches to have a deeper insight about several phenomena that integer order models overlook. Genetic algorithms (GA) are an important tool to solve optimization problems that occur in engineering. This methodology applies the concepts that describe biological evolution to obtain optimal solution in many different applications. In this line of thought, in this work we use the FC and the GA concepts to implement the electrical fractional order potential. The performance of the GA scheme, and the convergence of the resulting approximation, are analyzed. The results are analyzed for different number of charges and several fractional orders.