Stochastic volatility and the goodness-of-fit of the Heston model

Recently, Drǎgulescu and Yakovenko proposed an analytical formula for computing the probability density function of stock log returns, based on the Heston model, which they tested empirically. Their research design inadvertently favourably biased the fit of the data to the Heston model, thus overstating their empirical results. Furthermore, Drǎgulescu and Yakovenko did not perform any goodness-of-fit statistical tests. This study employs a research design that facilitates statistical tests of the goodness-of-fit of the Heston model to empirical returns. Robustness checks are also performed. In brief, the Heston model outperformed the Gaussian model only at high frequencies and even so does not provide a statistically acceptable fit to the data. The Gaussian model performed (marginally) better at medium and low frequencies, at which points the extra parameters of the Heston model have adverse impacts on the test statistics. © 2005 Taylor & Francis Group Ltd.

Surface wave techniques for the study of engineering structures and materials

A wire drive pulse echo method of measuring the spectrum of solid bodies described. Using an 's' plane representation, a general analysis of the transient response of such solids has been carried out. This was used for the study of the stepped amplitude transient of high order modes of disks and for the case where there are two adjacent resonant frequencies. The techniques developed have been applied to the measurenent of the elasticities of refractory materials at high temperatures. In the experimental study of the high order in-plane resonances of thin disks it was found that the energy travelled at the edge of the disk and this initiated the work on one dimensional Rayleigh waves.Their properties were established for the straight edge condition by following an analysis similar to that of the two dimensional case. Experiments were then carried out on the velocity dispersion of various circuits including the disk and a hole in a large plate - the negative curvature condition.Theoretical analysis established the phase and group velocities for these cases and experimental tests on aluminium and glass gave good agreement with theory. At high frequencies all velocities approach that of the one dimensional Rayleigh waves. When applied to crack detection it was observed that a signal burst travelling round a disk showed an anomalous amplitude effect. In certain cases the signal which travelled the greater distance had the greater amplitude.An experiment was designed to investigate the phenanenon and it was established that the energy travelled in two nodes with different velocities.It was found by analysis that as well as the Rayleigh surface wave on the edge, a seoond node travelling at about the shear velocity was excited and the calculated results gave reasonable agreement with the experiments.

The microstructure of the foreign exchange market:the determinants of bid-ask spreads in the foreign exchange market

The purpose of this thesis is to shed more light in the FX market microstructure by examining the determinants of bid-ask spread for three currencies pairs, the US dollar/Japanese yen, the British pound/US dollar and the Euro/US dollar in different time zones. I examine the commonality in liquidity with the elaboration of FX market microstructure variables in financial centres across the world (New York, London, Tokyo) based on the quotes of three exchange rate currency pairs over a ten-year period. I use GARCH (1,1) specifications, ICSS algorithm, and vector autoregression analysis to examine the effect of trading activity, exchange rate volatility and inventory holding costs on both quoted and relative spreads. ICSS algorithm results show that intraday spread series are much less volatile compared to the intraday exchange rate series as the number of change points obtained from ICSS algorithm is considerably lower. GARCH (1,1) estimation results of daily and intraday bid-ask spreads, show that the explanatory variables work better when I use higher frequency data (intraday results) however, their explanatory power is significantly lower compared to the results based on the daily sample. This suggests that although daily spreads and intraday spreads have some common determinants there are other factors that determine the behaviour of spreads at high frequencies. VAR results show that there are some differences in the behaviour of the variables at high frequencies compared to the results from the daily sample. A shock in the number of quote revisions has more effect on the spread when short term trading intervals are considered (intra-day) compared to its own shocks. When longer trading intervals are considered (daily) then the shocks in the spread have more effect on the future spread. In other words, trading activity is more informative about the future spread when intra-day trading is considered while past spread is more informative about the future spread when daily trading is considered

Effect of pulsed current on the electrodeposition of chromium and copper

This research was concerned with the effects of pulsed current on the electrodeposition of chromium and copper. In the case of the latter metal, a novel application has been studied and a theory proposed for the ability to improve throwing power by the joint use of organic additives and pulsed reverse current. During the course of the research, several improvements were made to the pulse plating unit.Chromium. A study was made of the effect of square wave pulsed current on various physical properties of deposits from three hard chromium plating electrolytes. The effect of varying frequency at a duty cycle of 50% on the mean bulk internal stress, visual appearance, hardness, crack characteristics and surface topography of the electrodeposits was determined. X-ray diffraction techniques were used to study the phases present in the deposits. The effect of varying frequency on the cathodic efficiencies of the electrolytes was also determined. It was found that pulsed current reduced the internal stress of deposits from the sulphate catalysed electrolyte. It also reduced or eliminated cracking of deposits and reduced deposit brightness. Under certain conditions, pulsed current was found to induce the co-deposition of hydrides of chromium. Deposit hardness was found to be reduced by the use of pulsed current. Cathodic efficiencies of the high efficiency electrolytes were reduced by use of pulsed current although this effect was minimised at high frequencies. The sulphate catalysed electrolyte showed an increase in efficiency over the frequency range where hydrides were co-deposited.Copper. The polarisation behaviour of acid copper solutions containing polyethers, sulphopropyl sulphides and chloride ions was studied using both direct and pulse reverse current. The effect of these additives on the rest potentials of copper deposits immersed in the electrolyte was also studied. Hole Throwing Power on printed circuit boards was determined using a specially designed test cell. The effect of pulsed reverse current on the hole throwing power of commercially produced printed circuit boards was also studied. Polyethers were found to have an inhibiting effect on the deposition of copper whereas the sulphopropyl sulphides produced a stimulating (i.e. depolarising) effect. Studies of rest potentials made when both additives were present indicated that the sulphopropyl sulphide was preferentially adsorbed. The use of pulsed reverse current in solutions containing both polyether and sulphopropyl sulphide was found to cause desorption of the sulphopropyl sulphide at the cathode surface. Thus, at higher current densities, the inhibiting effect of the polyether produced an increase in the cathodic polarisation potential. At lower current densities, the depolarisation effect of the sulphopropyl sulphide could still occur. On printed circuit boards, this effect was found to produce an increase in the `hole throwing power' due to depolarisation of the holes relative to the surface of the boards. Typically, using direct current, hole/surface thickness ratios of 40% were obtained when plating 0.6 mm holes in a 3.2 mm thick board at a current density of 3 A/dm2 whereas using pulsed reverse current, ratios of 80% could be obtained at an equivalent rate of deposition. This was observed both in laboratory tests and on commercially plated boards.

Towards a unified understanding of event-related changes in the EEG:the Firefly model of synchronization through cross-frequency phase modulation

Although event-related potentials (ERPs) are widely used to study sensory, perceptual and cognitive processes, it remains unknown whether they are phase-locked signals superimposed upon the ongoing electroencephalogram (EEG) or result from phase-alignment of the EEG. Previous attempts to discriminate between these hypotheses have been unsuccessful but here a new test is presented based on the prediction that ERPs generated by phase-alignment will be associated with event-related changes in frequency whereas evoked-ERPs will not. Using empirical mode decomposition (EMD), which allows measurement of narrow-band changes in the EEG without predefining frequency bands, evidence was found for transient frequency slowing in recognition memory ERPs but not in simulated data derived from the evoked model. Furthermore, the timing of phase-alignment was frequency dependent with the earliest alignment occurring at high frequencies. Based on these findings, the Firefly model was developed, which proposes that both evoked and induced power changes derive from frequency-dependent phase-alignment of the ongoing EEG. Simulated data derived from the Firefly model provided a close match with empirical data and the model was able to account for i) the shape and timing of ERPs at different scalp sites, ii) the event-related desynchronization in alpha and synchronization in theta, and iii) changes in the power density spectrum from the pre-stimulus baseline to the post-stimulus period. The Firefly Model, therefore, provides not only a unifying account of event-related changes in the EEG but also a possible mechanism for cross-frequency information processing.

Nanofabricated media with negative permeability at visible frequencies

A great deal of attention has recently been focused on a new class of smart materials-so-called left-handed media-that exhibit highly unusual electromagnetic properties and promise new device applications. Left-handed materials require negative permeability ν, an extreme condition that has so far been achieved only for frequencies in the microwave to terahertz range. Extension of the approach described in ref. 7 to achieve the necessary high-frequency magnetic response in visible optics presents a formidable challenge, as no material-natural or artificial-is known to exhibit any magnetism at these frequencies. Here we report a nanofabricated medium consisting of electromagnetically coupled pairs of gold dots with geometry carefully designed at a 10-nm level. The medium exhibits a strong magnetic response at visible-light frequencies, including a band with negative ν. The magnetism arises owing to the excitation of an antisymmetric plasmon resonance. The high-frequency permeability qualitatively reveals itself via optical impedance matching. Our results demonstrate the feasibility of engineering magnetism at visible frequencies and pave the way towards magnetic and left-handed components for visible optics. © 2005 Nature Publishing Group.

Surface acoustic wave devices with low loss and high frequency operation

This thesis describes an industrial research project carried out in collaboration with STC Components, Harlow, Essex. Technical and market trends in the use of surface acoustic wave (SAW) devices are reviewed. As a result, three areas not previously addressed by STC were identified: lower insertion loss designs, higher operating frequencies and improved temperature dependent stability. A review of the temperature performance of alternative lower insertion loss designs,shows that greater use could be made of the on-site quartz growing plant. Data is presented for quartz cuts in the ST-AT range. This data is used to modify the temperature performance of a SAW filter. Several recently identified quartz orientations have been tested. These are SST, LST and X33. Problems associated with each cut are described and devices demonstrated. LST quartz, although sensitive to accuracy of cut, is shown to have an improved temperature coefficient over the normal ST orientation. Results show that its use is restricted due to insertion loss variations with temperature. Effects associated with split-finger transducers on LST-quartz are described. Two low-loss options are studied, coupled resonator filters for very narrow bandwidth applications and single phase unidirectional transducers (SPUDT) for fractional bandwidths up to about 1%. Both designs can be implemented with one quarter wavelength transducer geometries at operating frequencies up to 1GHz. The SPUDT design utilised an existing impulse response model to provide analysis of ladder or rung transducers. A coupled resonator filter at 400MHz is demonstrated with a matched insertion loss of less than 3.5dB and bandwidth of 0.05%. A SPUDT device is designed as a re-timing filter for timing extraction in a long haul PCM transmission system. Filters operating at 565MHz are demonstrated with insertion losses of less than 6dB. This basic SPUDT design is extended to a maximally distributed version and demonstrated at 450MHz with 9.8dB insertion loss.

High-frequency fiber Bragg grating sensing interrogation system using Sagnac-loop-based microwave photonic filtering

A novel high-frequency fiber Bragg grating (FBG) sensing interrogation system by using fiber Sagnac-loop-based microwave photonic filtering is proposed and experimentally demonstrated. By adopting the microwave photonic filtering, the wavelength shift of sensing FBG can be converted into amplitude variation of the modulated electronic radio-frequency (RF) signal. In the experiment, the strain applied onto the sensing FBG has been demodulated by measuring the intensity of the recovered RF signal, and by modulating the RF signal with different frequencies, different interrogation sensitivities can be achieved.

Kineto-elastodynamic analysis of high-speed four-bar mechanism

This thesis addresses the kineto-elastodynamic analysis of a four-bar mechanism running at high-speed where all links are assumed to be flexible. First, the mechanism, at static configurations, is considered as structure. Two methods are used to model the system, namely the finite element method (FEM) and the dynamic stiffness method. The natural frequencies and mode shapes at different positions from both methods are calculated and compared. The FEM is used to model the mechanism running at high-speed. The governing equations of motion are derived using Hamilton's principle. The equations obtained are a set of stiff ordinary differential equations with periodic coefficients. A model is developed whereby the FEM and the dynamic stiffness method are used conjointly to provide high-precision results with only one element per link. The principal concern of the mechanism designer is the behaviour of the mechanism at steady-state. Few algorithms have been developed to deliver the steady-state solution without resorting to costly time marching simulation. In this study two algorithms are developed to overcome the limitations of the existing algorithms. The superiority of the new algorithms is demonstrated. The notion of critical speeds is clarified and a distinction is drawn between "critical speeds", where stresses are at a local maximum, and "unstable bands" where the mechanism deflections will grow boundlessly. Floquet theory is used to assess the stability of the system. A simple method to locate the critical speeds is derived. It is shown that the critical speeds of the mechanism coincide with the local maxima of the eigenvalues of the transition matrix with respect to the rotational speed of the mechanism.

Interocular transfer of spatial adaptation is weak at low spatial frequencies

Adapting one eye to a high contrast grating reduces sensitivity to similar target gratings shown to the same eye, and also to those shown to the opposite eye. According to the textbook account, interocular transfer (IOT) of adaptation is around 60% of the within-eye effect. However, most previous studies on this were limited to using high spatial frequencies, sustained presentation, and criterion-dependent methods for assessing threshold. Here, we measure IOT across a wide range of spatiotemporal frequencies, using a criterion-free 2AFC method. We find little or no IOT at low spatial frequencies, consistent with other recent observations. At higher spatial frequencies, IOT was present, but weaker than previously reported (around 35%, on average, at 8c/deg). Across all conditions, monocular adaptation raised thresholds by around a factor of 2, and observers showed normal binocular summation, demonstrating that they were not binocularly compromised. These findings prompt a reassessment of our understanding of the binocular architecture implied by interocular adaptation. In particular, the output of monocular channels may be available to perceptual decision making at low spatial frequencies.

Stabilization of catalyst particles against sintering on oxide supports with high oxygen ion lability exemplified by Ir-catalyzed decomposition of N2O

Iridium nanoparticles deposited on a variety of surfaces exhibited thermal sintering characteristics that were very strongly correlated with the lability of lattice oxygen in the supporting oxide materials. Specifically, the higher the lability of oxygen ions in the support, the greater the resistance of the nanoparticles to sintering in an oxidative environment. Thus with γ-Al2O3 as the support, rapid and extensive sintering occurred. In striking contrast, when supported on gadolinia-ceria and alumina-ceria-zirconia composite, the Ir nanoparticles underwent negligible sintering. In keeping with this trend, the behavior found with yttria-stabilized zirconia was an intermediate between the two extremes. This resistance, or lack of resistance, to sintering is considered in terms of oxygen spillover from support to nanoparticles and discussed with respect to the alternative mechanisms of Ostwald ripening versus nanoparticle diffusion. Activity towards the decomposition of N2O, a reaction that displays pronounced sensitivity to catalyst particle size (large particles more active than small particles), was used to confirm that catalytic behavior was consistent with the independently measured sintering characteristics. It was found that the nanoparticle active phase was Ir oxide, which is metallic, possibly present as a capping layer. Moreover, observed turnover frequencies indicated that catalyst-support interactions were important in the cases of the sinter-resistant systems, an effect that may itself be linked to the phenomena that gave rise to materials with a strong resistance to nanoparticle sintering.

Generation of harmonic oscillations in ring resonator with high Q-factor

We report on generation of harmonic oscillations with frequencies of hundreds of MHz and radio-frequency linewidth of 13 Hz in unidirectional ring laser oscillator. This high stability makes these oscillators a suitable substitute for existing quartz resonators used in high frequency optoelectronics applications.