Extreme times in financial markets.

We apply the theory of continuous time random walks (CTRWs) to study some aspects involving extreme events in financial time series. We focus our attention on the mean exit time (MET). We derive a general equation for this average and compare it with empirical results coming from high-frequency data of the U.S. dollar and Deutsche mark futures market. The empirical MET follows a quadratic law in the return length interval which is consistent with the CTRW formalism.

On Ito's formula for elliptic diffusion processes

Bardina and Jolis [Stochastic process. Appl. 69 (1997) 83-109] prove an extension of Ito's formula for F(Xt, t), where F(x, t) has a locally square-integrable derivative in x that satisfies a mild continuity condition in t and X is a one-dimensional diffusion process such that the law of Xt has a density satisfying certain properties. This formula was expressed using quadratic covariation. Following the ideas of Eisenbaum [Potential Anal. 13 (2000) 303-328] concerning Brownian motion, we show that one can re-express this formula using integration over space and time with respect to local times in place of quadratic covariation. We also show that when the function F has a locally integrable derivative in t, we can avoid the mild continuity condition in t for the derivative of F in x.

Production of nanometric particles in radio frequency glow discharges in mixtures of silane and methane

The formation of silicon particles in rf glow discharges has attracted attention due to their effect as a contaminant during film deposition or etching. However, silicon and silicon alloy powders produced by plasma¿enhanced chemical vapor deposition (PECVD) are promising new materials for sintering ceramics, for making nanoscale filters, or for supporting catalytic surfaces. Common characteristics of these powders are their high purity and the easy control of their stoichiometry through the composition of the precursor gas mixture. Plasma parameters also influence their structure. Nanometric powders of silicon¿carbon alloys exhibiting microstructural properties such as large hydrogen content and high surface/volume ratio have been produced in a PECVD reactor using mixtures of silane and methane at low pressure (-1 Torr) and low frequency square¿wave modulated rf power (13.56 MHz). The a¿Si1¿xCx:H powders were obtained from different precursor gas mixtures, from R=0.05 to R=9, where R=[SiH4]/([SiH4]+[CH4]). The structure of the a¿Si1¿xCx:H powder was analyzed by several techniques. The particles appeared agglomerated, with a wide size distribution between 5 and 100 nm. The silane/methane gas mixture determined the vibrational features of these powders in the infrared. Silicon-hydrogen groups were present for every gas composition, whereas carbon¿hydrogen and silicon¿carbon bonds appeared in methane¿rich mixtures (R-0.6). The thermal desorption of hydrogen revealed two main evolutions at about 375 and 660¿°C that were ascribed to hydrogen bonded to silicon and carbon, respectively. The estimated hydrogen atom concentration in the sample was about 50%.

Evolutionary analysis of genetic variants involved in rare diseases

Next-generation sequencing techniques such as exome sequencing can successfully detect all genetic variants in a human exome and it has been useful together with the implementation of variant filters to identify causing-disease mutations. Two filters aremainly used for the mutations identification: low allele frequency and the computational annotation of the genetic variant. Bioinformatic tools to predict the effect of a givenvariant may have errors due to the existing bias in databases and sometimes show a limited coincidence among them. Advances in functional and comparative genomics are needed in order to properly annotate these variants.The goal of this study is to: first, functionally annotate Common Variable Immunodeficiency disease (CVID) variants with the available bioinformatic methods in order to assess the reliability of these strategies. Sencondly, as the development of new methods to reduce the number of candidate genetic variants is an active and necessary field of research, we are exploring the utility of gene function information at organism level as a filter for rare disease genes identification. Recently, it has been proposed that only 10-15% of human genes are essential and therefore we would expect that severe rare diseases are mostly caused by mutations on them. Our goal is to determine whether or not these rare and severe diseases are caused by deleterious mutations in these essential genes. If this hypothesis were true, taking into account essential genes as a filter would be an interesting parameter to identify causingdisease mutations.

Photonic characteristics of Langmuir-Blodgett self-assembled monolayers of colloidal silica particles

Monodispersed colloidal crystals based on silica sub-micrometric particles were synthesized using the Stöber-Fink-Bohn process. The control of nucleation and coalescence result in improved characteristics such as high sphericity and very low size dispersion. The resulting silica particles show characteristics suitable for self-assembling across large areas of closely-packed 2D crystal monolayers by an accurate Langmuir-Blodgett deposition process on glass, fused silica and silicon substrates. Due to their special optical properties, colloidal films have potential applications in fields including photonics, electronics, electro-optics, medicine (detectors and sensors), membrane filters and surface devices. The deposited monolayers of silica particles were characterized by means of FESEM, AFM and optical transmittance measurements in order to analyze their specific properties and characteristics. We propose a theoretical calculation for the photonic band gaps in 2D systems using an extrapolation of the photonic behavior of the crystal from 3D to 2D. In this work we show that the methodology used and the conditions in self-assembly processes are decisive for producing high-quality two-dimensional colloidal crystals by the Langmuir-Blodgett technique.

Symmetric periodic orbits near a heteroclinic loop formed by two singular points and their invariant manifolds of dimension 1 and 2

In this paper we consider vector fields in R3 that are invariant under a suitable symmetry and that posses a “generalized heteroclinic loop” L formed by two singular points (e+ and e −) and their invariant manifolds: one of dimension 2 (a sphere minus the points e+ and e −) and one of dimension 1 (the open diameter of the sphere having endpoints e+ and e −). In particular, we analyze the dynamics of the vector field near the heteroclinic loop L by means of a convenient Poincar´e map, and we prove the existence of infinitely many symmetric periodic orbits near L. We also study two families of vector fields satisfying this dynamics. The first one is a class of quadratic polynomial vector fields in R3, and the second one is the charged rhomboidal four body problem.

Post-Nonlinear Mixtures and Beyond

Although sources in general nonlinear mixturm arc not separable iising only statistical independence, a special and realistic case of nonlinear mixtnres, the post nonlinear (PNL) mixture is separable choosing a suited separating system. Then, a natural approach is based on the estimation of tho separating Bystem parameters by minimizing an indcpendence criterion, like estimated mwce mutual information. This class of methods requires higher (than 2) order statistics, and cannot separate Gaarsian sources. However, use of [weak) prior, like source temporal correlation or nonstationarity, leads to other source separation Jgw rithms, which are able to separate Gaussian sourra, and can even, for a few of them, works with second-order statistics. Recently, modeling time correlated s011rces by Markov models, we propose vcry efficient algorithms hmed on minimization of the conditional mutual information. Currently, using the prior of temporally correlated sources, we investigate the fesihility of inverting PNL mixtures with non-bijectiw non-liacarities, like quadratic functions. In this paper, we review the main ICA and BSS results for riunlinear mixtures, present PNL models and algorithms, and finish with advanced resutts using temporally correlated snu~sm

Proyecto de ejecución de zona lúdica de verano formada por piscinas, jacuzzi y edificio de servicios

Este trabajo final de carrera se basa en la redacción de un proyecto de ejecución de una zona lúdica situada en el interior del recinto de un camping, la cual estará formada por una piscina de grandes dimensiones formada por tres vasos de tipo desbordante, una piscina de tipo infantil, un jacuzzi y finalmente un edificio de servicios complementarios (bar, aseos y enfermería). La piscina grande estará formada por tres vasos donde el agua va deslizándose de uno a otro hasta ser recogida por un depósito de compensación desde donde se realizará la filtración y tratamiento antes de ser devuelta al piscina de nuevo. La instalación está también preparada para ser utilizado cada vaso como una piscina individual, recogiendo el agua por los rebosaderos laterales y conduciéndola al mismo vaso de compensación. El tratamiento del agua se realizará de forma física a través de la filtración mediante filtros de arena y de forma química analizando la cantidad de cloro residual y el nivel de PH y posteriormente añadiendo de forma automática las cantidades de cloro y corrector de PH adecuados mediante bombas dosificadoras de precisión. La piscina infantil es de pequeñas dimensiones y esta preparada para ser utilizada por niños de muy corta edad. Se diferencia de la piscina grande en el sistema de recirculación de agua (en este casos e utilizarán skimmers) y en el tratamiento posterior, ya que se utilizará el sistema de hidrólisis salina para su desinfección en lugar de añadir directamente cloro. Este sistema de tratamiento del agua no es tan agresivo como el tradicional, siendo cada vez mas utilizado en piscinas de mediano y pequeño tamaño. El jacuzzi es de grandes dimensiones, disponiendo de su propio sistema de tratamiento de agua, utilizando el sistema de hidrólisis salina como en el caso de la piscina infantil. El edificio de servicios dispone de zonas de bar, enfermería y aseos. Se ha descrito desde la estructura a las instalaciones, justificando las conclusiones a través de los cálculos correspondientes, bien de forma manual, bien utilizando diverso software especializado.

Trust region versus line search for computing the optical flow

We consider the numerical treatment of the optical flow problem by evaluating the performance of the trust region method versus the line search method. To the best of our knowledge, the trust region method is studied here for the first time for variational optical flow computation. Four different optical flow models are used to test the performance of the proposed algorithm combining linear and nonlinear data terms with quadratic and TV regularization. We show that trust region often performs better than line search; especially in the presence of non-linearity and non-convexity in the model.

Enhanced MDIR receiver for space-time dispersive channels

A particular property of the matched desiredimpulse response receiver is introduced in this paper, namely,the fact that full exploitation of the diversity is obtained withmultiple beamformers when the channel is spatially and timelydispersive. This particularity makes the receiver specially suitablefor mobile and underwater communications. The new structureprovides better performance than conventional and weightedVRAKE receivers, and a diversity gain with no needs of additionalradio frequency equipment. The baseband hardware neededfor this new receiver may be obtained through reconfigurabilityof the RAKE architectures available at the base station. Theproposed receiver is tested through simulations assuming UTRAfrequency-division-duplexing mode.

Conditional maximum likelihood timing recovery: estimators and bounds

This paper is concerned with the derivation of new estimators and performance bounds for the problem of timing estimation of (linearly) digitally modulated signals. The conditional maximum likelihood (CML) method is adopted, in contrast to the classical low-SNR unconditional ML (UML) formulationthat is systematically applied in the literature for the derivationof non-data-aided (NDA) timing-error-detectors (TEDs). A new CML TED is derived and proved to be self-noise free, in contrast to the conventional low-SNR-UML TED. In addition, the paper provides a derivation of the conditional Cramér–Rao Bound (CRB ), which is higher (less optimistic) than the modified CRB (MCRB)[which is only reached by decision-directed (DD) methods]. It is shown that the CRB is a lower bound on the asymptotic statisticalaccuracy of the set of consistent estimators that are quadratic with respect to the received signal. Although the obtained boundis not general, it applies to most NDA synchronizers proposed in the literature. A closed-form expression of the conditional CRBis obtained, and numerical results confirm that the CML TED attains the new bound for moderate to high Eg/No.

Second-order parameter estimation

This work provides a general framework for the design of second-order blind estimators without adopting anyapproximation about the observation statistics or the a prioridistribution of the parameters. The proposed solution is obtainedminimizing the estimator variance subject to some constraints onthe estimator bias. The resulting optimal estimator is found todepend on the observation fourth-order moments that can be calculatedanalytically from the known signal model. Unfortunately,in most cases, the performance of this estimator is severely limitedby the residual bias inherent to nonlinear estimation problems.To overcome this limitation, the second-order minimum varianceunbiased estimator is deduced from the general solution by assumingaccurate prior information on the vector of parameters.This small-error approximation is adopted to design iterativeestimators or trackers. It is shown that the associated varianceconstitutes the lower bound for the variance of any unbiasedestimator based on the sample covariance matrix.The paper formulation is then applied to track the angle-of-arrival(AoA) of multiple digitally-modulated sources by means ofa uniform linear array. The optimal second-order tracker is comparedwith the classical maximum likelihood (ML) blind methodsthat are shown to be quadratic in the observed data as well. Simulationshave confirmed that the discrete nature of the transmittedsymbols can be exploited to improve considerably the discriminationof near sources in medium-to-high SNR scenarios.

Estudi comparatiu dels filtres de Kalman i IMM per a navegació

Els sistemes híbrids de navegació integren mesures de posició i velocitat provinents de satèl·lits (GPS) i d’unitats de mesura inercials (IMU).Les dades d’aquests sensors s’han de fusionar i suavitzar, i per a aquest propòsit existeixen diversos algorismes de filtratge, que tracten les dades conjuntament o per separat. En aquest treball s’han codificat en Matlab els algorismes dels filtres de Kalman i IMM, i s’han comparat les seves prestacions en diverses trajectòries d’un vehicle. S’han avaluat quantitativament els errors dels dos filtres, i s’han sintonitzat els seus paràmetres per a minimitzar aquests errors. Amb una correcta sintonia dels filtres, s’ha comprovat que el filtre IMM és superior al filtre de Kalman, tant per maniobres brusques com per maniobres suaus, malgrat que la complexitat i el temps de càlcul requerit són majors.

Growth and functionalization of carbon nanotubes on quartz filter for environmental applications

Background: Air pollution has become an important issue worldwide due to its adverse health effects. Among the different air contaminants, volatile organic compounds (VOCs) are liquids or solids with a high vapor pressure at room temperature that are extremely dangerous for human health. Removal of these compounds can be achieved using nanomaterials with tailored properties such as carbon nanotubes. Methods: Vertically-aligned multiwall carbon nanotubes (CNTs) were successfully grown on quartz filters by means of plasma enhanced chemical vapor deposition (PECVD). Furthermore, a plasma treatment was performed in order to modify the surface properties of the CNTs. The adsorption/desorption processes of three chlorinated compounds (trichloroethylene, 1,2-dichlorobenzene and chloroform) on the CNTs were studied using mass spectrometry measurements with a residual gas analyzer. Results: The adsorption capability of the CNTs increased after functionalization of their surface with a water plasma treatment. In addition, it was found that the presence of aromatic rings, water solubility and polarity of the VOCs play an important role on the adsorption/desorption kinetics at the CNTs surface. Conclusions: This study demonstrates the applicability of CNTs deposited on quartz filters for the removal or selective detection of volatile organic compounds (VOCs). The presence of aromatic rings in VOCs results in π -stacking interactions with a significant increase of their adsorption. On the other hand, it was found that CNTs surface interactions increase with water solubility and polarity of the VOC.

Salivary cotinine concentrations in daily smokers in Barcelona, Spain: a cross-sectional study

Background: Characterizing and comparing the determinant of cotinine concentrations in different populations should facilitate a better understanding of smoking patterns and addiction. This study describes and characterizes determinants of salivary cotinine concentration in a sample of Spanish adult daily smoker men and women. Methods: A cross-sectional study was carried out between March 2004 and December 2005 in a representative sample of 1245 people from the general population of Barcelona, Spain. A standard questionnaire was used to gather information on active tobacco smoking and passive exposure, and a saliva specimen was obtained to determine salivary cotinine concentration. Two hundred and eleven adult smokers (>16 years old) with complete data were included in the analysis. Determinants of cotinine concentrations were assessed using linear regression models. Results: Salivary cotinine concentration was associated with the reported number of cigarettes smoked in the previous 24 hours (R2 = 0.339; p < 0.05). The inclusion of a quadratic component for number of cigarettes smoked in the regression analyses resulted in an improvement of the fit (R2 = 0.386; p < 0.05). Cotinine concentration differed significantly by sex, with men having higher levels. Conclusion: This study shows that salivary cotinine concentration is significantly associated with the number of cigarettes smoked and sex, but not with other smoking-related variables.