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.

Modeling of CW Yb-doped fiber lasers with highly nonlinear cavity dynamics

We develop a theoretical framework for modeling of continuous wave Yb-doped fiber lasers with highly nonlinear cavity dynamics. The developed approach has shown good agreement between theoretical predictions and experimental results for particular scheme of Yb-doped laser with large spectral broadening during single round trip. The model is capable to accurately describe main features of the experimentally measured laser outputs such as power efficiency slope, power leakage through fibre Bragg gratings, spectral broadening and spectral shape of generated radiation. © 2011 Optical Society of America.

Adiabatic soliton laser

The key to generating stable optical pulses is mastery of nonlinear light dynamics in laser resonators. Modern techniques to control the buildup of laser pulses are based on nonlinear science and include classical solitons, dissipative solitons, parabolic pulses (similaritons) and various modifications and blending of these methods. Fiber lasers offer remarkable opportunities to apply one-dimensional nonlinear science models for the design and optimization of very practical laser systems. Here, we propose a new concept of a laser based on the adiabatic amplification of a soliton pulse in the cavity - the adiabatic soliton laser. The adiabatic change of the soliton parameters during evolution in the resonator relaxes the restriction on the pulse energy inherent in traditional soliton lasers. Theoretical analysis is confirmed by extensive numerical modeling.

Impact of the order of cavity elements in all-normal dispersion ring fiber lasers

Nonlinearity plays a critical role in the intra-cavity dynamics of high-pulse energy fiber lasers. Management of the intra-cavity nonlinear dynamics is the key to increase the output pulse energy in such laser systems. Here, we examine the impact of the order of the intra-cavity elements on the energy of generated pulses in the all-normal dispersion mode-locked ring fiber laser cavity. In mathematical terms, the nonlinear light dynamics in resonator makes operators corresponding to the action of laser elements (active and passive fiber, out-coupler, saturable absorber) non-commuting and the order of their appearance in a cavity important. For the simple design of all-normal dispersion ring fiber laser with varying cavity length, we found the order of the cavity elements, leading to maximum output pulse energy.

Inverse four-wave mixing and self-parametric amplification in optical fibre

An important group of nonlinear processes in optical fibre involve the mixing of four waves due to the intensity dependence of the refractive index. It is customary to distinguish between nonlinear effects that require external/pumping waves (cross-phase modulation and parametric processes such as four-wave mixing) and those arising from self-action of the propagating optical field (self-phase modulation and modulation instability). Here, we present a new nonlinear self-action effect—self-parametric amplification—which manifests itself as optical spectrum narrowing in normal dispersion fibre, leading to very stable propagation with a distinctive spectral distribution. The narrowing results from inverse four-wave mixing, resembling an effective parametric amplification of the central part of the spectrum by energy transfer from the spectral tails. Self-parametric amplification and the observed stable nonlinear spectral propagation with a random temporal waveform can find applications in optical communications and high-power fibre lasers with nonlinear intracavity dynamics.

Investigation and modelling of tremor reducer with the technology of targeted energy transfer

This thesis presents the study of a two-degree-of-freedom (2 DOF) nonlinear system consisting of two grounded linear oscillators coupled to two separate light weight nonlinear energy sinks of an essentially nonlinear stiffness. In this thesis, Targeted Energy Transfer (TET) and NES concept are introduced. Previous studies and research of Energy pumping and NES are presented. The characters in nonlinear energy pumping have been introduced at the start of the thesis. For the aim to design the application of a tremor reduction assessment device, the knowledge of tremor reduction has also been mentioned. Two main parties have been presented in the research: dynamical theoretic method of nonlinear energy pumping study and experiments of nonlinear vibration reduction model. In this thesis, nonlinear energy sink (NES) has been studied and used as a core attachment for the research. A new theoretic method of nonlinear vibration reduction which with two NESs has been attached to a primary system has been designed and tested with the technology of targeted energy transfer. Series connection and parallel connection structure systems have been designed to run the tests. Genetic algorithm has been used and presented in the thesis for searching the fit components. One more experiment has been tested with the final components. The results have been compared to find out most efficiency structure and components for the theoretic model. A tremor reduction experiment has been designed and presented in the thesis. The experiment is for designing an application for reducing human body tremor. By using the theoretic method earlier, the experiment has been designed and tested with a tremor reduction model. The experiment includes several tests, one single NES attached system and two NESs attached systems with different structures. The results of theoretic models and experiment models have been compared. The discussion has been made in the end. At the end of the thesis, some further work has been considered to designing the device of the tremor reduction.

Temporal scaling of optical rogue waves in unidirectional ring fiber laser

A fiber mode-lock laser allows generation of the optical rogue wave (ORW) at different time scales. The criteria for distinguishing between them is a comparison of the event lifetime with the main characteristic time of the system. The characteristic time can be estimated from the decay of an autocorrelation function (AF). Thus, in comparison with AF characteristic time, fast optical rogue wave (FORW) events have duration less than the AF decay time and it appeared due to pulse-pulse interaction and nonlinear pulses dynamics. While slow optical rogue wave (SORW) have a duration much more longer than the decay time of the AF which it papered due to hopping between different attractors. Switching between regimes can be managed by change the artificial birefringence that induced in a laser cavity. For understanding the role playing by the periodical amplification and the resonator, we have performed an unidirectional fiber laser experiments without a saturable absorber. This laser experiment allowed to generate of most of the RW patterns which were either observed experimentally or predicted theoretically. In this way, we have observed the generation of an FORW along with SORW under similar conditions. Most of the patterns were found to be mutually exclusive which means that only one RW mechanism was realized in each regime of generation.

Nonlinear dynamics of cilia and flagella

Cilia and flagella are hairlike extensions of eukaryotic cells which generate oscillatory beat patterns that can propel micro-organisms and create fluid flows near cellular surfaces. The evolutionary highly conserved core of cilia and flagella consists of a cylindrical arrangement of nine microtubule doublets, called the axoneme. The axoneme is an actively bending structure whose motility results from the action of dynein motor proteins cross-linking microtubule doublets and generating stresses that induce bending deformations. The periodic beat patterns are the result of a mechanical feedback that leads to self-organized bending waves along the axoneme. Using a theoretical framework to describe planar beating motion, we derive a nonlinear wave equation that describes the fundamental Fourier mode of the axonemal beat. We study the role of nonlinearities and investigate how the amplitude of oscillations increases in the vicinity of an oscillatory instability. We furthermore present numerical solutions of the nonlinear wave equation for different boundary conditions. We find that the nonlinear waves are well approximated by the linearly unstable modes for amplitudes of beat patterns similar to those observed experimentally.

Nonlinear dynamics of a periodically driven Duffing resonator coupled to a Van der Pol oscillator

We explore the dynamics of a periodically driven Duffing resonator coupled elastically to a van der Pol oscillator in the case of 1?:?1 internal resonance in the cases of weak and strong coupling. Whilst strong coupling leads to dominating synchronization, the weak coupling case leads to a multitude of complex behaviours. A two-time scales method is used to obtain the frequency-amplitude modulation. The internal resonance leads to an antiresonance response of the Duffing resonator and a stagnant response (a small shoulder in the curve) of the van der Pol oscillator. The stability of the dynamic motions is also analyzed. The coupled system shows a hysteretic response pattern and symmetry-breaking facets. Chaotic behaviour of the coupled system is also observed and the dependence of the system dynamics on the parameters are also studied using bifurcation analysis.

Synchronization processes in nonlinear systems and their relation to cortical oscillatory dynamics

This thesis was focused on theoretical models of synchronization to cortical dynamics as measured by magnetoencephalography (MEG). Dynamical systems theory was used in both identifying relevant variables for brain coordination and also in devising methods for their quantification. We presented a method for studying interactions of linear and chaotic neuronal sources using MEG beamforming techniques. We showed that such sources can be accurately reconstructed in terms of their location, temporal dynamics and possible interactions. Synchronization in low-dimensional nonlinear systems was studied to explore specific correlates of functional integration and segregation. In the case of interacting dissimilar systems, relevant coordination phenomena involved generalized and phase synchronization, which were often intermittent. Spatially-extended systems were then studied. For locally-coupled dissimilar systems, as in the case of cortical columns, clustering behaviour occurred. Synchronized clusters emerged at different frequencies and their boundaries were marked through oscillation death. The macroscopic mean field revealed sharp spectral peaks at the frequencies of the clusters and broader spectral drops at their boundaries. These results question existing models of Event Related Synchronization and Desynchronization. We re-examined the concept of the steady-state evoked response following an AM stimulus. We showed that very little variability in the AM following response could be accounted by system noise. We presented a methodology for detecting local and global nonlinear interactions from MEG data in order to account for residual variability. We found crosshemispheric nonlinear interactions of ongoing cortical rhythms concurrent with the stimulus and interactions of these rhythms with the following AM responses. Finally, we hypothesized that holistic spatial stimuli would be accompanied by the emergence of clusters in primary visual cortex resulting in frequency-specific MEG oscillations. Indeed, we found different frequency distributions in induced gamma oscillations for different spatial stimuli, which was suggestive of temporal coding of these spatial stimuli. Further, we addressed the bursting character of these oscillations, which was suggestive of intermittent nonlinear dynamics. However, we did not observe the characteristic-3/2 power-law scaling in the distribution of interburst intervals. Further, this distribution was only seldom significantly different to the one obtained in surrogate data, where nonlinear structure was destroyed. In conclusion, the work presented in this thesis suggests that advances in dynamical systems theory in conjunction with developments in magnetoencephalography may facilitate a mapping between levels of description int he brain. this may potentially represent a major advancement in neuroscience.

Nonlinear pulse shaping and polarization dynamics in mode-locked fibre lasers

We review our recent progress on the study of new nonlinear mechanisms of pulse shaping in passively mode-locked fibre lasers. These include a mode-locking regime featuring pulses with a triangular distribution of the intensity, and spectral compression arising from nonlinear pulse propagation. We also report on our recent experimental studies unveiling new families of vector solitons with precessing states of polarization for multipulsing and bound-state soliton operations in a carbon nanotube mode-locked fibre laser with anomalous dispersion cavity. © 2013 IEEE.

Nonlinear pulse shaping and polarization dynamics in mode-locked fibre lasers

We review our recent progress on the study of new nonlinear mechanisms of pulse shaping in passively mode-locked fibre lasers. These include a mode-locking regime featuring pulses with a triangular distribution of the intensity, and spectral compression arising from nonlinear pulse propagation. We also report on our recent experimental studies unveiling new families of vector solitons with precessing states of polarization for multipulsing and bound-state soliton operations in a carbon nanotube mode-locked fibre laser with anomalous dispersion cavity. © 2013 IEEE.

Nonlinear pulse shaping and polarization dynamics in mode-locked fiber lasers

We review our recent progress on the study of new nonlinear mechanisms of pulse shaping in passively mode-locked fiber lasers. These include a mode-locking regime featuring pulses with a triangular distribution of the intensity, and spectral compression arising from nonlinear pulse propagation. We also report on our recent experimental studies unveiling new types of vector solitons with processing states of polarization for multi-pulse and tightly bound-state soliton (soliton molecule) operations in a carbon nanotube (CNT) mode-locked fiber laser with anomalous dispersion cavity. © 2014 World Scientific Publishing Company.

Polarization dynamics of dissipative solitons in a erbium doped fiber laser passively mode locked by carbon nanotube polymer composite

Here we present first investigation of polarization dynamics from a carbon nanotube mode locked erbium doped fiber laser. Both vector and polarization switching dissipative soliton have been observed. © 2014 Optical Society of America.

Mode-locking intracavity dynamics:modeling nonlinear power and energy fluctuations

Modern high-power, pulsed lasers are driven by strong intracavity fluctuations. Critical in driving the intracavity dynamics is the nontrivial phase profiles generated and their periodic modification from either nonlinear mode-coupling, spectral filtering or dispersion management. Understanding the theoretical origins of the intracavity fluctuations helps guide the design, optimization and construction of efficient, high-power and high-energy pulsed laser cavities. Three specific mode-locking component are presented for enhancing laser energy: waveguide arrays, spectral filtering and dispersion management. Each component drives a strong intracavity dynamics that is captured through various modeling and analytic techniques.