Multifractality and long-range dependence of asset returns: the scaling behavior of the Markov-switching multifractal model with lognormal volatility components

In this paper, we consider daily financial data from various sources (stock market indices, foreign exchange rates and bonds) and analyze their multiscaling properties by estimating the parameters of a Markov-switching multifractal (MSM) model with Lognormal volatility components. In order to see how well estimated models capture the temporal dependency of the empirical data, we estimate and compare (generalized) Hurst exponents for both empirical data and simulated MSM models. In general, the Lognormal MSM models generate "apparent" long memory in good agreement with empirical scaling provided that one uses sufficiently many volatility components. In comparison with a Binomial MSM specification [11], results are almost identical. This suggests that a parsimonious discrete specification is flexible enough and the gain from adopting the continuous Lognormal distribution is very limited.

True and apparent scaling : the proximity of the Markov-switching multifractal model to long-range dependence

In this paper, we consider daily financial data of a collection of different stock market indices, exchange rates, and interest rates, and we analyze their multi-scaling properties by estimating a simple specification of the Markov-switching multifractal (MSM) model. In order to see how well the estimated model captures the temporal dependence of the data, we estimate and compare the scaling exponents H(q) (for q=1,2) for both empirical data and simulated data of the MSM model. In most cases the multifractal model appears to generate ‘apparent’ long memory in agreement with the empirical scaling laws.

Modelling and testing of long range battery electric vehicle performance

There are two significant issues facing road transport in the medium to long term: the depletion of cheap oil reserves and the need to reduce carbon emissions. A long term solution for passenger cars could be the introduction of battery electric vehicles (BEVs). However, one of the main problems associated with the current generation of BEVs is their short range relative to conventional internal combustion engine (ICE) cars.

To investigate this issue, a long range battery electric vehicle, the UltraCommuter (UC), was constructed by the University of Waikato in partnership with HybridAuto Ltd. This paper describes the development, modelling and testing of the UC and its performance in the 2007 World Solar Challenge.

Compounding factors and their effect on the design of long range battery electric vehicles

 It is well known that the one of the main problems concerning battery electric vehicles (BEVs) is their short range compared to conventional petrol and diesel vehicles. In this work the technical factors that will enable long range BEVs are investigated. The concept of Compounding Factors is presented and shows that if certain parameters can be met then BEV’s can have a comparable performance to conventional petrol cars. The development and initial testing of a long range BEW prototype is presented and discussed.

Control of partial coalescence of self-assembled metal nano-particles across lyotropic liquid crystals templates towards long range meso-porous metal frameworks design

The formation of purely metallic meso-porous metal thin films by partial interface coalescence of self-assembled metal nano-particles across aqueous solutions of Pluronics triblock lyotropic liquid crystals is demonstrated for the first time. Small angle X-ray scattering was used to study the influence of the thin film composition and processing conditions on the ordered structures. The structural characteristics of the meso-structures formed demonstrated to primarily rely on the lyotropic liquid crystal properties while the nature of the metal nano-particles used as well as the their diameters were found to affect the ordered structure formation. The impact of the annealing temperature on the nano-particle coalescence and efficiency at removing the templating lyotropic liquid crystals was also analysed. It is demonstrated that the lyotropic liquid crystal is rendered slightly less thermally stable, upon mixing with metal nano-particles and that low annealing temperatures are sufficient to form purely metallic frameworks with average pore size distributions smaller than 500 nm and porosity around 45% with potential application in sensing, catalysis, nanoscale heat exchange, and molecular separation.

People's war under modern conditions : an investigation into Chinese defence strategy, 1977-2049

This thesis is an investigation of the relevance of ‘people's war’ to contemporary Chinese defence policy. This loose concept has been eroded by 'modernity’, but a guerilla-based defence remains the essential theme. Prior to China's acquisition of nuclear weapons, people's war was the sole element of the state's deterrent policy, aiming to swamp an invader with China's numerical strength. In the 1980s and beyond people's war finds effectiveness through a combination of materiel of middle range technology and the traditional usage of massive manpower. People's war under modern conditions remains essentially defensive, but now incorporates 'active defence’ with accent on greater mobility. However, the central thesis of this work relates to how the traditional strategy may influence nuclear doctrine. This thesis proposes that China could abandon long-range ballistic missiles and adopt a new concept in nuclear strategy: that of, Guerilla Nuclear Warfare. Trained in guerilla tactics and equipped with battlefield nuclear weapons, this would represent the logical extension of China's people's war strategy to the new nuclear conditions associated with superpower research into space-based ballistic missile defences and which, in full deployment, could nullify a Chinese nuclear deterrent based only on 'mid-tech' delivery systems. Guerilla Nuclear Warfare, as a strategy, would involve the irregular use of locally held and controlled tactical nuclear weapons, but it would also be a method of circumventing the proposed Soviet missile defence shield by not challenging it. Guerilla Nuclear Warfare does not exist in the late 1980s, but evidence exists to suggest its development. It cannot yet be proven as the new direction but China's strategic circumstances add weight to available indications: unless the Strategic Defence programs of the established superpowers are arrested then it appears the sole option available to the Chinese for the maintenance of a nuclear deterrent in the early part of the 21st Century.

Order–disorder transitions in poly(3,4-ethylenedioxythiophene)

The commonly held perception that high conductivity in conducting polymers is linked to a high level of π-stacking order in the material is shown here to be of lesser importance in highly conducting poly(3,4-ethylenedioxythiophene) (PEDT), which has been prepared by chemical vapour phase polymerisation. Despite the fact that there is a highly energetic phase transition about 130 °C (110 J/g), and that this transition corresponds to a loss of the long-range π-stacking as observed in grazing angle XRD, the conductivity remains unchanged beyond the transition and only decreases by a factor of two when heating to above 200 °C. The XRD data suggest that order in two dimension remains above the phase transition measured by DSC and this order is sufficient to maintain a high level of electronic conductivity. Furthermore, as the ligand on the iron salt used in the synthesis is varied, the conductivity of the PEDT varies over two orders of magnitude. These phenomena cannot be explained by different degree of doping or crystallinity and it is proposed that the iron salt has an ordering effect during the vapour phase polymerisation.

Chemisorbed and physisorbed Structures for 1,10-Phenanthroline and Dipyrido[3,2-a:2',3'-c]phenazine on Au(111)

Scanning tunneling microscopy (STM) images of 1,10-phenanthroline (PHEN) and dipyrido[3,2-a:2‘,3‘-c]phenazine (DPPZ) on Au(111) are recorded using both in situ and ex situ techniques. The images of PHEN depict regimes of physisorption and chemisorption, whereas DPPZ is only physisorbed. All physisorbed structures are not pitted and fluctuate dynamically, involving aligned (4 × 4) surface domains with short-range (ca. 20 molecules) order for PHEN but unaligned chains with medium-range (ca. 100 molecules) order for DPPZ. In contrast, the chemisorbed PHEN monolayers remain stable for days, are associated with surface pitting, and form a (4 × √13)R46° lattice with long-range order. The density of pitted atoms on large gold terraces is shown to match the density of chemisorbed molecules, suggesting that gold adatoms link PHEN to the surface. For PHEN, chemisorbed and physisorbed adsorbate structures are optimized using plane-wave density-functional theory (DFT) calculations for the surface structure. Realistic binding energies are then obtained adding dispersive corrections determined using complete-active-space self-consistent field calculations using second-order perturbation theory (CASPT2) applied to cluster-interaction models. A fine balance between the large adsorbate−adsorbate dispersive forces, adsorbate−surface dispersive forces, gold ligation energy, and surface mining energy is shown to dictate the observed phenomena, leading to high surface mobility and substrate/surface lattice incommensurability. Increasing the magnitude of the dispersive forces through use of DPPZ, rather than PHEN, to disturb this balance produced physisorbed monolayers without pits and/or surface registration but with much longer-range order. Analogies are drawn with similar but poorly understood processes involved in the binding of thiols to Au(111).

Direct measurement of surface forces due to charging of solids immersed in a nonpolar liquid

Direct measurements of a long-range force between charged solid surfaces in a nonpolar liquid are presented for the first time. Measurements were made between mica surfaces in solutions of the anionic surfactant sodium di-2-ethylhexylsulfosuccinate (AOT) at millimolar concentrations in n-decane using a surface force apparatus which has been modified to improve its sensitivity for detecting a weak and long-range force. Modifications include a magnetic drive system, the use of a weak cantilever spring with the apparatus mounted in a vertical configuration, and a detailed consideration of the interference optics to allow accurate measurements of surface separations up to several micrometers. The results show a repulsion that is well fitted by theoretical curves based on a model in which only counterions enter the calculation, in other words, in the absence of a reservoir of ions in the solvent. Fitting the theory to the data allows an estimate of the mica surface charge density of ∼1 mC/m². A mechanism for surface charging of mica in this solution is proposed, which includes a role for trace amounts of water that are inevitably present and adsorbed surface aggregates of AOT. The relevance of the results to previously observed charge stabilization of colloids in nonaqueous solvents is discussed.

A reevaluation of forces measured across thin polymer films : nonequillibrium and pinning effects

We have measured forces between molecularly smooth solid surfaces separated by thin films of molten polydimethylsiloxane. We show that a long-range repulsion reported in earlier work is not an equilibrium force, but can be attributed to viscous drag effects. Consistent with previous results, the viscosity of the film can be modeled by assuming that a layer of polymer molecules is immobilized or ‘‘pinned’’ at each surface for a time longer than the time scale of the measurements. We propose that this pinning is a result of entanglement-like effects in the vicinity of a wall.

Bubble-solid interactions in water and electrolyte solutions

Surface forces between an air bubble and a flat mica surface immersed in aqueous electrolyte solutions have been investigated using a modified surface force apparatus. An analysis of the deformation of the air bubble with respect to the mutual position of the bubble and the mica surface, the capillary pressure, and the disjoining pressure allows the air-liquid surface electrical potential to be determined. The experiments show that a long-range, double-layer repulsion acts between the mica (which is negatively charged) and an air bubble in water and in various electrolyte solutions at low concentration, thereby indicating that the air bubble surface is negatively charged. However, there is clear evidence that charge regulation occurs at the air-water interface to maintain a constant surface potential, and as a result of this, the charge at this interface changes from negative to positive as the bubble approaches the mica surface. Because of the attraction that arises as a result of the charge reversal, a finite force is required to separate the bubble from the mica, though the mica remains wetted by the aqueous phase. At the low concentrations investigated, the potential on the gas-liquid interface is independent of the electrolyte type within experimental uncertainty.