Testing for financial crashes using the Log Periodic Power Law model

Many papers claim that a Log Periodic Power Law (LPPL) model fitted to financial market bubbles that precede large market falls or 'crashes', contains parameters that are confined within certain ranges. Further, it is claimed that the underlying model is based on influence percolation and a martingale condition. This paper examines these claims and their validity for capturing large price falls in the Hang Seng stock market index over the period 1970 to 2008. The fitted LPPLs have parameter values within the ranges specified post hoc by Johansen and Sornette (2001) for only seven of these 11 crashes. Interestingly, the LPPL fit could have predicted the substantial fall in the Hang Seng index during the recent global downturn. Overall, the mechanism posited as underlying the LPPL model does not do so, and the data used to support the fit of the LPPL model to bubbles does so only partially. © 2013.

Quantum dot-based terahertz photoconductive antennas

We present novel Terahertz (THz) emitting optically pumped Quantum Dot (QD) photoconductive (PC) materials and antenna structures on their basis both for pulsed and CW pumping regimes. Full text Quantum dot and microantenna design - Presented here are design considerations for the semiconductor materials in our novel QD-based photoconductive antenna (PCA) structures, metallic microantenna designs, and their implementation as part of a complete THz source or transceiver system. Layers of implanted QDs can be used for the photocarrier lifetime shortening mechanism[1,2]. In our research we use InAs:GaAs QD structures of varying dot layer number and distributed Bragg reflector(DBR)reflectivity range. According to the observed dependence of carrier lifetimes on QD layer periodicity [3], it is reasonable to assume that electron lifetimes can be potentially reduced down to 0.45ps in such structures. Both of these features; long excitation wavelength and short carriers lifetime predict possible feasibility of QD antennas for THz generation and detection. In general, relatively simple antenna configurations were used here, including: coplanar stripline (CPS); Hertzian-type dipoles; bow-ties for broadband and log-spiral(LS)or log-periodic(LP)‘toothed’ geometriesfor a CW operation regime. Experimental results - Several lasers are used for antenna pumping: Ti:Sapphire femtosecond laser, as well as single-[4], double-[5] wavelength, and pulsed [6] QD lasers. For detection of the THz signal different schemes and devices were used, e.g. helium-cooled bolometer, Golay cell and a second PCA for coherent THz detection in a traditional time-domain measurement scheme.Fig.1shows the typical THz output power trend from a 5 um-gap LPQD PCA pumped using a tunable QD LD with optical pump spectrum shown in (b). Summary - QD-based THz systems have been demonstrated as a feasible and highly versatile solution. The implementation of QD LDs as pump sources could be a major step towards ultra-compact, electrically controllable transceiver system that would increase the scope of data analysis due to the high pulse repetition rates of such LDs [3], allowing real-time THz TDS and data acquisition. Future steps in development of such systems now lie in the further investigation of QD-based THz PCA structures and devices, particularly with regards to their compatibilitywith QD LDs as pump sources. [1]E. U. Rafailov et al., “Fast quantum-dot saturable absorber for passive mode-locking of solid-State lasers,”Photon.Tech.Lett., IEEE, vol. 16 pp. 2439-2441(2004) [2]E. Estacio, “Strong enhancement of terahertz emission from GaAs in InAs/GaAs quantum dot structures. Appl.Phys.Lett., vol. 94 pp. 232104 (2009) [3]C. Kadow et al., “Self-assembled ErAs islands in GaAs: Growth and subpicosecond carrier dynamics,” Appl. Phys. Lett., vol. 75 pp. 3548-3550 (1999) [4]T. Kruczek, R. Leyman, D. Carnegie, N. Bazieva, G. Erbert, S. Schulz, C. Reardon, and E. U. Rafailov, “Continuous wave terahertz radiation from an InAs/GaAs quantum-dot photomixer device,” Appl. Phys. Lett., vol. 101(2012) [5]R. Leyman, D. I. Nikitichev, N. Bazieva, and E. U. Rafailov, “Multimodal spectral control of a quantum-dot diode laser for THz difference frequency generation,” Appl. Phys. Lett., vol. 99 (2011) [6]K.G. Wilcox, M. Butkus, I. Farrer, D.A. Ritchie, A. Tropper, E.U. Rafailov, “Subpicosecond quantum dot saturable absorber mode-locked semiconductor disk laser, ” Appl. Phys. Lett. Vol 94, 2511 © 2014 IEEE.

Modelling conditional probability distributions for periodic variables

Most of the common techniques for estimating conditional probability densities are inappropriate for applications involving periodic variables. In this paper we introduce two novel techniques for tackling such problems, and investigate their performance using synthetic data. We then apply these techniques to the problem of extracting the distribution of wind vector directions from radar scatterometer data gathered by a remote-sensing satellite.

Modelling conditional probability distributions for periodic variables

Most of the common techniques for estimating conditional probability densities are inappropriate for applications involving periodic variables. In this paper we apply two novel techniques to the problem of extracting the distribution of wind vector directions from radar catterometer data gathered by a remote-sensing satellite.

Modelling conditional probability distributions for periodic variables

Most conventional techniques for estimating conditional probability densities are inappropriate for applications involving periodic variables. In this paper we introduce three related techniques for tackling such problems, and investigate their performance using synthetic data. We then apply these techniques to the problem of extracting the distribution of wind vector directions from radar scatterometer data gathered by a remote-sensing satellite.

Estimating conditional probability densities for periodic variables

Most of the common techniques for estimating conditional probability densities are inappropriate for applications involving periodic variables. In this paper we introduce three novel techniques for tackling such problems, and investigate their performance using synthetic data. We then apply these techniques to the problem of extracting the distribution of wind vector directions from radar scatterometer data gathered by a remote-sensing satellite.

Towards a semiology of the periodic review of UK regulated utilities

This note explores the regulatory process of UK privatised utilities through the periodic review of prices. It provides a brief history of the privatisation programme in the UK and the theoretical arguments for the price-cap regulation that has been used. It argues that regulatory process appears to involve a covert dialogue and exchange of information between the regulator and regulated and also a second separate review process that consists of an overt dialogue. Using a semiotic analysis the authors suggest that the unfolding of each of these overt reviews follows a very similar pattern that is constantly being re-enacted. It is concluded that further research is required into the relative importance of the two separate review processes in the setting of the price-cap.

Regulation - the movie:a semiotic study of the periodic review of UK regulated industry

This paper explores the regulatory process of UK privatised utilities as manifest in the periodic review of prices. Two separate review processes are identified, operating concurrently - a covert dialogue between the regulator and the regulated and an overt dialogue taking place in the public arena. Using a semiotic analysis of the review the authors argue that the overt event is the real review. Furthermore they argue that the unfolding of each review is so similar that it can be likened to a film script which is constantly re-enacted. The purpose of the review as a legitimating vehicle for the regulator and regulated, who exist in a symbiotic relationship, is explored in terms of the semiotics involved and the myth creation role of legitimation in order to explain the significance of the regulatory process.

Casemix accounting systems and medical coding:organisational actors balanced on "leaky black boxes"

The adoption of DRG coding may be seen as a central feature of the mechanisms of the health reforms in New Zealand. This paper presents a story of the use of DRG coding by describing the experience of one major health provider. The conventional literature portrays casemix accounting and medical coding systems as rational techniques for the collection and provision of information for management and contracting decisions/negotiations. Presents a different perspective on the implications and effects of the adoption of DRG technology, in particular the part played by DRG coding technology as a part of a casemix system is explicated from an actor network theory perspective. Medical coding and the DRG methodology will be argued to represent ``black boxes''. Such technological ``knowledge objects'' provide strong points in the networks which are so important to the processes of change in contemporary organisations.

Stable propagation of solitons with increased energy through the combined action of dispersion management and periodic saturable absorption

It is shown, through numerical simulations, that by using a combination of dispersion management and periodic saturable absorption it is possible to transmit solitonlike pulses with greatly increased energy near to the zero net dispersion wavelength. This system is shown to support the stable propagation of solitons over transoceanic distances for a wide range of input powers.

Modulational instabilities in fibres with periodic dispersion

We analytically and numerically analyze the occurrence of modulational instability in fibers with periodic changes in the group-velocity dispersion. For small variations, a set of resonances occurs in the gain spectrum. However, large dispersion variations eliminate these resonances and restrict the bandwidth of the fundamental gain spectrum. This research has been motivated by the adoption of dispersion management techniques in long-haul optical communications.

Do β-amyloid (Aβ) deposits in patients with Alzheimer's disease and Down's syndrome grow according to the log-normal model?

The size frequency distributions of diffuse, primitive and classic β- amyloid (Aβ) deposits were studied in single sections of cortical tissue from patients with Alzheimer's disease (AD) and Down's syndrome (DS) and compared with those predicted by the log-normal model. In a sample of brain regions, these size distributions were compared with those obtained by serial reconstruction through the tissue and the data used to adjust the size distributions obtained in single sections. The adjusted size distributions of the diffuse, primitive and classic deposits deviated significantly from a log-normal model in AD and DS, the greatest deviations from the model being observed in AD. More Aβ deposits were observed close to the mean and fewer in the larger size classes than predicted by the model. Hence, the growth of Aβ deposits in AD and DS does not strictly follow the log-normal model, deposits growing to within a more restricted size range than predicted. However, Aβ deposits grow to a larger size in DS compared with AD which may reflect differences in the mechanism of Aβ formation.

Size distribution curves of senile plaques in patients with Alzheimer’s disease: do plaques grow according to the log-normal model?

The size frequency distributions of diffuse, primitive and cored senile plaques (SP) were studied in single sections of the temporal lobe from 10 patients with Alzheimer’s disease (AD). The size distribution curves were unimodal and positively skewed. The size distribution curve of the diffuse plaques was shifted towards larger plaques while those of the neuritic and cored plaques were shifted towards smaller plaques. The neuritic/diffuse plaque ratio was maximal in the 11 – 30 micron size class and the cored/ diffuse plaque ratio in the 21 – 30 micron size class. The size distribution curves of the three types of plaque deviated significantly from a log-normal distribution. Distributions expressed on a logarithmic scale were ‘leptokurtic’, i.e. with excess of observations near the mean. These results suggest that SP in AD grow to within a more restricted size range than predicted from a log-normal model. In addition, there appear to be differences in the patterns of growth of diffuse, primitive and cored plaques. If neuritic and cored plaques develop from earlier diffuse plaques, then smaller diffuse plaques are more likely to be converted to mature plaques.