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.

Implicit leadership theories in applied settings:factor structure, generalizability, and stability over time

The present empirical investigation had a 3-fold purpose: (a) to cross-validate L. R. Offermann, J. K. Kennedy, and P. W. Wirtz's (1994) scale of Implicit Leadership Theories (ILTs) in several organizational settings and to further provide a shorter scale of ILTs in organizations; (b) to assess the generalizability of ILTs across different employee groups, and (c) to evaluate ILTs' change over time. Two independent samples were used for the scale validation (N 1 = 500 and N 2 = 439). A 6-factor structure (Sensitivity, Intelligence, Dedication, Dynamism, Tyranny, and Masculinity) was found to most accurately represent ILTs in organizational settings. Regarding the generalizability of ILTs, although the 6-factor structure was consistent across different employee groups, there was only partial support for total factorial invariance. Finally, evaluation of gamma, beta, and alpha change provided support for ILTs' stability over time.

Valence-tautomeric RbMnFe Prussian blue analogues:composition and time stability investigation

Three different stoichiometric forms of RbMn[Fe(CN) ]y·zHO [x = 0.96, y = 0.98, z = 0.75 (1); x = 0.94, y = 0.88, z = 2.17 (2); x = 0.61, y = 0.86, z = 2.71 (3)] Prussian blue analogues were synthesized and investigated by magnetic, calorimetric, Raman spectroscopic, X-ray diffraction, and Fe Mössbauer spectroscopic methods. Compounds 1 and 2 show a hysteresis loop between the high-temperature (HT) Fe(S = 1/2)-CN-Mn(S = 5/2) and the low-temperature (LT) Fe(S = 0)-CN-Mn(S = 2) forms of 61 and 135 K width centered at 273 and 215 K, respectively, whereas the third compound remains in the HT phase down to 5 K. The splitting of the quadrupolar doublets in the Fe Mössbauer spectra reveal the electron-transfer-active centers. Refinement of the X-ray powder diffraction profiles shows that electron-transfer-active materials have the majority of the Rb ions on only one of the two possible interstitial sites, whereas nonelectron-transfer-active materials have the Rb ions equally distributed. Moreover, the stability of the compounds with time and following heat treatment is also discussed. © Wiley-VCH Verlag GmbH & Co. KGaA, 2009.

Modelling nonlinear stochastic dynamics in financial time series

For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.

Temporal finite elements in the dynamic analysis of structures

This thesis demonstrates that the use of finite elements need not be confined to space alone, but that they may also be used in the time domain, It is shown that finite element methods may be used successfully to obtain the response of systems to applied forces, including, for example, the accelerations in a tall structure subjected to an earthquake shock. It is further demonstrated that at least one of these methods may be considered to be a practical alternative to more usual methods of solution. A detailed investigation of the accuracy and stability of finite element solutions is included, and methods of applications to both single- and multi-degree of freedom systems are described. Solutions using two different temporal finite elements are compared with those obtained by conventional methods, and a comparison of computation times for the different methods is given. The application of finite element methods to distributed systems is described, using both separate discretizations in space and time, and a combined space-time discretization. The inclusion of both viscous and hysteretic damping is shown to add little to the difficulty of the solution. Temporal finite elements are also seen to be of considerable interest when applied to non-linear systems, both when the system parameters are time-dependent and also when they are functions of displacement. Solutions are given for many different examples, and the computer programs used for the finite element methods are included in an Appendix.

Eating behaviours of preadolescent children over time:stability, continuity and the moderating role of perceived parental feeding practices

The links between childhood eating behaviours and parental feeding practices are well-established in younger children, but there is a lack of research examining these variables in a preadolescent age group, particularly from the child's perspective, and longitudinally. This study firstly aimed to examine the continuity and stability of preadolescent perceptions of their parents' controlling feeding practices (pressure to eat and restriction) over a 12 month period. The second aim was to explore if perceptions of parental feeding practices moderated the relationship between preadolescents' eating behaviours longitudinally. Two hundred and twenty nine preadolescents (mean age at recruitment 8.73 years) completed questionnaires assessing their eating behaviours and their perceptions of parental feeding practices at two time points, 12 months apart (T1 and T2). Preadolescents' perceptions of their parental feeding practices remained stable. Perceptions of restriction and pressure to eat were continuous. Perceptions of parental pressure to eat and restriction significantly moderated the relationships between eating behaviours at T1 and T2. The findings from this study suggest that in a preadolescent population, perceptions of parental pressure to eat and restriction of food may exacerbate the development of problematic eating behaviours.

Perturbative discrete-time multivariate fiber channel model with finite memory

We introduce a discrete-time fibre channel model that provides an accurate analytical description of signal-signal and signal-noise interference with memory defined by the interplay of nonlinearity and dispersion. Also the conditional pdf of signal distortion, which captures non-circular complex multivariate symbol interactions, is derived providing the necessary platform for the analysis of channel statistics and capacity estimations in fibre optic links.