Towards a framework for combining stochastic and deterministic descriptions of nonstationary financial time series

We present in this paper ideas to tackle the problem of analysing and forecasting nonstationary time series within the financial domain. Accepting the stochastic nature of the underlying data generator we assume that the evolution of the generator's parameters is restricted on a deterministic manifold. Therefore we propose methods for determining the characteristics of the time-localised distribution. Starting with the assumption of a static normal distribution we refine this hypothesis according to the empirical results obtained with the methods anc conclude with the indication of a dynamic non-Gaussian behaviour with varying dependency for the time series under consideration.

Time controlled photo-oxidation of polyolefins by polymer bound additives

A variety of iron compounds containing vinyl or thiol functional groups (used as photoactivators) have been synthesised and some of these were successfully bound to both polyethylene and polypropylene backbones during processing in the presence of peroxide and interlinking agent. Concentrates (masterbatches) of the photoactivators in PP and PE were prepared and the pro-oxidant effect of the diluted masterbatches in absence and presence of an antioxidant was evaluated. An antioxidant photoactivator (FeDNC ) was found to sensitise the photoactivity of pro-oxidants (Metone A / Metone M) whereas an antioxidant (ZnDNC) was found to stabilise the polymer (PP and PE) containing both of these combinations. It was observed that the lower concentration of FeDNC sensitises the stability of the polymer containing very small concentration of NiDNC whereas higher concentration of FeDNC stabilises the polymer (LDPE) containing same amount of NiDNC compared to FeDNC alone. The photostability of unstabilised PP containing FeAc could be varied by varying the concentration of ZnDEC. Both the induction period and the UV - life time of the polymer increased by increasing concentration of ZnDEC. It is suggested that ligand exchange reaction may take place between FeAc and ZnDNC. A polymer bound UV stabiliser (HAEB) and a thermal stabiliser (DBBA) were used with a non extractable photoactivator (FeAc) in PP. Small concentrations of the stabilisers (HAEB and DBBA) in combination with the photoactivator (FeAc) sensitise the polymer. The antioxidant present in commercial polymer (LDPE and PP) was found to be of a hindered phenol type, which was found to antagonise with ZnDNC when used in combination with the photoactivators.

The effects of varying forms and degrees of government intervention upon the effective competitiveness of UK small businesses

This doctoral thesis responds to the need for greater understanding of small businesses and their inherent unique problem-types. Integral to the investigation is the theme that for governments to effectively influence small business, a sound understanding of the factors they are seeking to influence is essential. Moreover, the study, in its recognition of the many shortcomings in management research and, in particular that the research methods and approaches adopted often fail to give adequate understanding of issues under study, attempts to develop an innovative and creative research approach. The aim thus being to produce, not only advances in small business management knowledge from the standpoints of government policy makers and `lq recipient small business, but also insights into future potential research method for the continued development of that knowledge. The origins of the methodology lay in the non-acceptance of traditional philosophical positions in epistemology and ontology, with a philosophical standpoint of internal realism underpinning the research. Internal realism presents the basis for the potential co-existence of qualitative and quantitative research strategy and underlines the crucial contributory role of research method in provision of ultimate factual status of the assertions of research findings. The concept of epistemological bootstrapping is thus used to develop a `lq partial research framework to foothold case study research, thereby avoiding limitations of objectivism and brute inductivism. The major insights and issues highlighted by the `lq bootstrap, guide the researcher around the participant case studies. A novel attempt at contextualist (linked multi-level and processual) analysis was attempted in the major in-depth case study, with two further cases playing a support role and contributing to a balanced emphasis of empirical research within the context of time constraints inherent within part-time research.

Enhancing the humidity response time of polymer optical fiber Bragg grating by using laser micromachining

The humidity sensors constructed from polymer optical fiber Bragg gratings (POFBG) respond to the water content change in the fiber induced by varying environmental condition. The water content change is a diffusion process. Therefore the response time of the POFBG sensor strongly depends on the geometry and size of the fiber. In this work we investigate the use of laser micromachining of D-shaped and slotted structures to improve the response time of polymer fiber grating based humidity sensors. A significant improvement in the response time has been achieved in laser micromachined D-shaped POFBG humidity sensors. The slotted geometry allows water rapid access to the core region but this does not of itself improve response time due to the slow expansion of the bulk of the cladding. We show that by straining the slotted sensor, the expansion component can be removed resulting in the response time being determined only by the more rapid, water induced change in core refractive index. In this way the response time is reduced by a factor of 2.5.

Stochastic calculations for fibre Raman amplifiers with randomly varying birefringence

For the first time for the model of real-world forward-pumped fibre Raman amplifier with the randomly varying birefringence, the stochastic calculations have been done numerically based on the Kloeden-Platen-Schurz algorithm. The results obtained for the averaged gain and gain fluctuations as a function of polarization mode dispersion (PMD) parameter agree quantitatively with the results of previously developed analytical model. Simultaneously, the direct numerical simulations demonstrate an increased stochastisation (maximum in averaged gain variation) within the region of the polarization mode dispersion parameter of 0.1÷0.3 ps/km1/2. The results give an insight into margins of applicability of a generic multi-scale technique widely used to derive coupled Manakov equations and allow generalizing analytic model with accounting for pump depletion, group-delay dispersion and Kerr-nonlinearity that is of great interest for development of the high-transmission-rates optical networks.

The time course of changes in retinal vessel diameter in response to differing durations of flicker light provocation

Purpose: To determine the response of retinal vessels to differing durations of flicker light (FL) sitmulation. Methods: We recorded retinal arterial and venous vessel dilation to 12.5 Hz flicker light provocation (Retinal Vessel Analyzer, Imedos Systems) of varying duration (5, 7, 10 and 20 seconds) in twelve healthy young individuals (age range 26-45 yrs). All participants underwent a full ocular examination including intraocular pressure and blood pressure measurements. Results: Maximum dilation (MD) did not show a significant dependence on flicker duration in arteries whereas maximum constriction (MC) did. However, in veins MD significantly increased with flicker duration. Approximately 80-90% of MD in arteries is reached within 10 seconds of flicker light stimulation. Conclusions: The vast majority of arterial dilatory capacity is reached within 10 seconds of flicker light stimulation even though venous dilation continues strongly. Since the MC of arteries shows a significant dependence on flicker duration measurements at two different durations can provide more information about the retinal vascular system than at a single flicker duration alone.