Serial correlation in the returns of UK capitalization based portfolios

This article examines whether UK portfolio returns are time varying so that expected returns follow an AR(1) process as proposed by Conrad and Kaul for the USA. It explores this hypothesis for four portfolios that have been formed on the basis of market capitalization. The portfolio returns are modelled using a kalman filter signal extraction model in which the unobservable expected return is the state variable and is allowed to evolve as a stationary first order autoregressive process. It finds that this model is a good representation of returns and can account for most of the autocorrelation present in observed portfolio returns. This study concludes that UK portfolio returns are time varying and the nature of the time variation appears to introduce a substantial amount of autocorrelation to portfolio returns. Like Conrad and Kaul if finds a link between the extent to which portfolio returns are time varying and the size of firms within a portfolio but not the monotonic one found for the USA. © 2004 Taylor and Francis Ltd.

Design and analysis of distributed utility maximization algorithm for multihop wireless network with inaccurate feedback

Distributed network utility maximization (NUM) is receiving increasing interests for cross-layer optimization problems in multihop wireless networks. Traditional distributed NUM algorithms rely heavily on feedback information between different network elements, such as traffic sources and routers. Because of the distinct features of multihop wireless networks such as time-varying channels and dynamic network topology, the feedback information is usually inaccurate, which represents as a major obstacle for distributed NUM application to wireless networks. The questions to be answered include if distributed NUM algorithm can converge with inaccurate feedback and how to design effective distributed NUM algorithm for wireless networks. In this paper, we first use the infinitesimal perturbation analysis technique to provide an unbiased gradient estimation on the aggregate rate of traffic sources at the routers based on locally available information. On the basis of that, we propose a stochastic approximation algorithm to solve the distributed NUM problem with inaccurate feedback. We then prove that the proposed algorithm can converge to the optimum solution of distributed NUM with perfect feedback under certain conditions. The proposed algorithm is applied to the joint rate and media access control problem for wireless networks. Numerical results demonstrate the convergence of the proposed algorithm. © 2013 John Wiley & Sons, Ltd.

Formant-frequency variation and its effects on across-formant grouping in speech perception

How speech is separated perceptually from other speech remains poorly understood. In a series of experiments, perceptual organisation was probed by presenting three-formant (F1+F2+F3) analogues of target sentences dichotically, together with a competitor for F2 (F2C), or for F2+F3, which listeners must reject to optimise recognition. To control for energetic masking, the competitor was always presented in the opposite ear to the corresponding target formant(s). Sine-wave speech was used initially, and different versions of F2C were derived from F2 using separate manipulations of its amplitude and frequency contours. F2Cs with time-varying frequency contours were highly effective competitors, whatever their amplitude characteristics, whereas constant-frequency F2Cs were ineffective. Subsequent studies used synthetic-formant speech to explore the effects of manipulating the rate and depth of formant-frequency change in the competitor. Competitor efficacy was not tuned to the rate of formant-frequency variation in the target sentences; rather, the reduction in intelligibility increased with competitor rate relative to the rate for the target sentences. Therefore, differences in speech rate may not be a useful cue for separating the speech of concurrent talkers. Effects of competitors whose depth of formant-frequency variation was scaled by a range of factors were explored using competitors derived either by inverting the frequency contour of F2 about its geometric mean (plausibly speech-like pattern) or by using a regular and arbitrary frequency contour (triangle wave, not plausibly speech-like) matched to the average rate and depth of variation for the inverted F2C. Competitor efficacy depended on the overall depth of frequency variation, not depth relative to that for the other formants. Furthermore, the triangle-wave competitors were as effective as their more speech-like counterparts. Overall, the results suggest that formant-frequency variation is critical for the across-frequency grouping of formants but that this grouping does not depend on speech-specific constraints. © Springer Science+Business Media New York 2013.

Pricing-to-market and the volatility of UK export prices

This empirical study examines the Pricing-To-Market (PTM) behaviour of 20 UK export sectors. Using both Exponential General Autoregressive Conditional Heteroscedasticity (EGARCH) and Threshold GARCH (TGARCH) estimation methods, we find evidence of PTM that is accompanied by strong conditional volatility and weak asymmetry effects. The PTM estimates suggest that when the currency of exporters appreciates in the current period, exporters pass-on between 31% and 94% of the Foreign Exchange (FX) rate increase to importers. However, both export price changes and producers' prices are sluggish, perhaps being driven by coordination failure and menu driven costs, amongst others. Furthermore, export prices contain strong time varying effects which impact on PTM strategy. Exporters do not typically appear to put much more weight on negative news of (say) an FX rate appreciation compared to positive news of an FX rate depreciation. Much depends on the export sector. © 2010 Taylor & Francis.

Autosoliton propagation at 80Gbit/s in standard fibre using in-line nonlinear loop switches

Experimental observation of autosoliton propagation in a nonlinear switch-guided, dispersion-managed system operating at 80Gbit/s is reported for the first time. The system is based on a strong dispersion map and supports autosoliton propagation over 3,000km.

The Front National:from systematic opposition to systemic integration?

For most of its existence, the Front National (FN) fitted the classic definition of the anti-system party, opposing the founding values, institutions and elites of the Fifth Republic. Now, under Marine Le Pen's leadership, it has embarked on a strategy to integrate to the regime it once defied. Does this strategy of normalisation bear scrutiny? Using a framework drawn from Giovanni Sartori and Robert Michels, this article asks whether the FN is a one-time anti-system party that is becoming mainstream, and also whether these simple oppositional categories are adequate for understanding ideological and policy evolution in the FN's case. Through an analysis of continuity and change in FN strategy and programmes, the article shows a party torn between anti-system differentiation and institutional adaptation. It may claim to have cast out its demons but has not undertaken the necessary moderation of its programme to substantiate that claim. The FN today is on no linear path of deradicalisation but exhibits a combination of consistent, diminished and increasing radicalism across different policy areas. Despite an upward dynamic and a hugely favourable context, it remains almost entirely excluded from power and far from the breakthrough required to become a party of government.

Informational masking of monaural target speech by a single contralateral formant

Recent research suggests that the ability of an extraneous formant to impair intelligibility depends on the variation of its frequency contour. This idea was explored using a method that ensures interference cannot occur through energetic masking. Three-formant (F1+F2+F3) analogues of natural sentences were synthesized using a monotonous periodic source. Target formants were presented monaurally, with the target ear assigned randomly on each trial. A competitor for F2 (F2C) was presented contralaterally; listeners must reject F2C to optimize recognition. In experiment 1, F2Cs with various frequency and amplitude contours were used. F2Cs with time-varying frequency contours were effective competitors; constant-frequency F2Cs had far less impact. To a lesser extent, amplitude contour also influenced competitor impact; this effect was additive. In experiment 2, F2Cs were created by inverting the F2 frequency contour about its geometric mean and varying its depth of variation over a range from constant to twice the original (0%-200%). The impact on intelligibility was least for constant F2Cs and increased up to ∼100% depth, but little thereafter. The effect of an extraneous formant depends primarily on its frequency contour; interference increases as the depth of variation is increased until the range exceeds that typical for F2 in natural speech.

Informational masking of monaural target speech by a single contralateral formant

Recent research suggests that the ability of an extraneous formant to impair intelligibility depends on the variation of its frequency contour. This idea was explored using a method that ensures interference occurs only through informational masking. Three-formant analogues of sentences were synthesized using a monotonous periodic source (F0 = 140 Hz). Target formants were presented monaurally; the target ear was assigned randomly on each trial. A competitor for F2 (F2C) was presented contralaterally; listeners must reject F2C to optimize recognition. In experiment 1, F2Cs with various frequency and amplitude contours were used. F2Cs with time-varying frequency contours were effective competitors; constant-frequency F2Cs had far less impact. Amplitude contour also influenced competitor impact; this effect was additive. In experiment 2, F2Cs were created by inverting the F2 frequency contour about its geometric mean and varying its depth of variation over a range from constant to twice the original (0–200%). The impact on intelligibility was least for constant F2Cs and increased up to ~100% depth, but little thereafter. The effect of an extraneous formant depends primarily on its frequency contour; interference increases as the depth of variation is increased until the range exceeds that typical for F2 in natural speech.

Optimally-designed single fiber Bragg grating filter scheme for RZ-OOK/DPSK/DQPSK to NRZ-OOK/DPSK/DQPSK format conversion

We investigate return-to-zero (RZ) to non-return-to-zero (NRZ) format conversion by means of the linear time-invariant system theory. It is shown that the problem of converting random RZ stream to NRZ stream can be reduced to constructing an appropriate transfer function for the linear filter. This approach is then used to propose novel optimally-designed single fiber Bragg grating (FBG) filter scheme for RZ-OOK/DPSK/DQPSK to NRZ-OOK/DPSK/DQPSK format conversion. The spectral response of the FBG is designed according to the optical spectra of the algebraic difference between isolated NRZ and RZ pulses, and the filter order is optimized for the maximum Q-factor of the output NRZ signals. Experimental results as well as simulations show that such an optimallydesigned FBG can successfully perform RZ-OOK/DPSK/DQPSK to NRZOOK/ DPSK/DQPSK format conversion.

Magnetoencephalography in epilepsy

Magnetoencephalographic (MEG) signals, like electroencephalographic (EEG) measures, are the direct extracranial manifestations of neuronal activation. The two techniques can detect time-varying changes in electromagnetic activity with a sub-millisecond time resolution. Extra-cranial electromagnetic measures are the cornerstone of the non-invasive diagnostic armamentarium in patients with epilepsy. Their extremely high temporal resolution – comparable to intracranial recordings – is the basis for a precise definition of onset and propagation of ictal and interictal abnormalities. Given the cost of the infrastructure and equipment, MEG has yet to develop into a routinely applicable diagnostic tool in clinical settings. However, in recent years, an increasing number of patients with epilepsy have been investigated – usually in the context of presurgical evaluation of refractory epilepsies – and initial encouraging results have been reported. We will briefly review the principles and the technology behind MEG and its contribution in the diagnostic work-up of patients with epilepsy.

Decelerating Airy pulses

It is shown that an electromagnetic wave equation in time domain is reduced in paraxial approximation to an equation similar to the Schrodinger equation but in which the time and space variables play opposite roles. This equation has solutions in form of time-varying pulses with the Airy function as an envelope. The pulses are generated by a source point with an Airy time varying field and propagate in vacuum preserving their shape and magnitude. The motion is according to a quadratic law with the velocity changing from infinity at the source point to zero in infinity. These one-dimensional results are extended to the 3D+time case when a similar Airy-Bessel pulse is excited by the field at a plane aperture. The same behaviour of the pulses, the non-diffractive preservation and their deceleration, is found. © 2011 IEEE.

A sensory-guided surgical micro-drill

This article describes a surgical robotic device that is able to discriminate tissue interfaces and other controlling parameters ahead of the drill tip. The advantage in such a surgery is that the tissues at the interfaces can be preserved. A smart tool detects ahead of the tool point and is able to control the interaction with respect to the flexing tissue, to avoid penetration or to control the extent of protrusion with respect to the position of the tissue. For surgical procedures, where precision is required, the tool offers significant benefit. To interpret the drilling conditions and the conditions leading up to breakthrough at a tissue interface, a sensing scheme is used that discriminates between the variety of conditions posed in the drilling environment. The result is a fully autonomous system, which is able to respond to the tissue type, behaviour, and deflection in real-time. The system is also robust in terms of disturbances encountered in the operating theatre. The device is pragmatic. It is intuitive to use, efficient to set up, and uses standard drill bits. The micro-drill, which has been used to prepare cochleostomies in the theatre, was used to remove the bone tissue leaving the endosteal membrane intact. This has enabled the preservation of sterility and the drilling debris to be removed prior to the insertion of the electrode. It is expected that this technique will promote the preservation of hearing and reduce the possibility of complications. The article describes the device (including simulated drill progress and hardware set-up) and the stages leading up to its use in the theatre. © 2010 Authors.

Dynamics of spatial heterogeneity in a landfill with interacting phase densities:a stochastic analysis

A landfill represents a complex and dynamically evolving structure that can be stochastically perturbed by exogenous factors. Both thermodynamic (equilibrium) and time varying (non-steady state) properties of a landfill are affected by spatially heterogenous and nonlinear subprocesses that combine with constraining initial and boundary conditions arising from the associated surroundings. While multiple approaches have been made to model landfill statistics by incorporating spatially dependent parameters on the one hand (data based approach) and continuum dynamical mass-balance equations on the other (equation based modelling), practically no attempt has been made to amalgamate these two approaches while also incorporating inherent stochastically induced fluctuations affecting the process overall. In this article, we will implement a minimalist scheme of modelling the time evolution of a realistic three dimensional landfill through a reaction-diffusion based approach, focusing on the coupled interactions of four key variables - solid mass density, hydrolysed mass density, acetogenic mass density and methanogenic mass density, that themselves are stochastically affected by fluctuations, coupled with diffusive relaxation of the individual densities, in ambient surroundings. Our results indicate that close to the linearly stable limit, the large time steady state properties, arising out of a series of complex coupled interactions between the stochastically driven variables, are scarcely affected by the biochemical growth-decay statistics. Our results clearly show that an equilibrium landfill structure is primarily determined by the solid and hydrolysed mass densities only rendering the other variables as statistically "irrelevant" in this (large time) asymptotic limit. The other major implication of incorporation of stochasticity in the landfill evolution dynamics is in the hugely reduced production times of the plants that are now approximately 20-30 years instead of the previous deterministic model predictions of 50 years and above. The predictions from this stochastic model are in conformity with available experimental observations.