The dynamics of matrix momentum

We analyse the matrix momentum algorithm, which provides an efficient approximation to on-line Newton's method, by extending a recent statistical mechanics framework to include second order algorithms. We study the efficacy of this method when the Hessian is available and also consider a practical implementation which uses a single example estimate of the Hessian. The method is shown to provide excellent asymptotic performance, although the single example implementation is sensitive to the choice of training parameters. We conjecture that matrix momentum could provide efficient matrix inversion for other second order algorithms.

Natural gradient matrix momentum

Natural gradient learning is an efficient and principled method for improving on-line learning. In practical applications there will be an increased cost required in estimating and inverting the Fisher information matrix. We propose to use the matrix momentum algorithm in order to carry out efficient inversion and study the efficacy of a single step estimation of the Fisher information matrix. We analyse the proposed algorithm in a two-layer network, using a statistical mechanics framework which allows us to describe analytically the learning dynamics, and compare performance with true natural gradient learning and standard gradient descent.

Momentum profits in alternative stock market structures

The aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the London stock market has employed three different trading systems: a floor based system, a computerized dealer system called SEAQ and the automated auction system SETS. Since each new trading system has reduced the level of execution costs, one might expect, a priori, the magnitude of momentum profits to decline with each amendment to the trading system. However, the opposite empirical result is found showing that shares trading on the automated system generate higher momentum profits than those trading on the floor system and companies trading on the SETS system display greater momentum profitability than those trading on SEAQ. Our empirical results concur with the theoretical findings of the trader’s hesitation model of Du [Du, J., 2002. Heterogeneity in investor confidence and asset market under- and overreaction. Working paper] and the empirical findings of Arena et al. [Arena, M., Haggard, S., Yan, X., Price momentum and idiosyncratic volatility. Financial Review, in press].

Momentum profits following bull and bear markets

This paper examines the profitability that the widely published momentum strategy achieves following bull and bear markets. Investors can gain stronger momentum profits by adopting the continuation strategy after poor lagged market returns. The longer the duration used to describe the bear state, the stronger the momentum returns that are realised. The results contradict the theoretical findings of the investors' overconfidence model of Daniel et al. (`Investor Psychology and Security Market Under- and Over-Reactions', Journal of Finance, 53, 1839-85, 1998) and the follow-the-trend model of Kim (`Long-term Momentum Hypothesis: Contrarian and Momentum Strategies', Working Paper, 2002), but concur with the theoretical results of the traders' hesitation model of Du (`Heterogeneity in Investor Confidence and Asset Market Under- and Overreaction', Working Paper, 2002).

Momentum profits and macroeconomic factors

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows. Thus, when investors are sending their capital elsewhere, reduced funds at home, dampen the profitability of the momentum trading strategy. It also finds that when the market closes, below its opening level in the previous six months, momentum profits are higher, which might be a reflection of mean reversion in the market. © 2004 Taylor and Francis Ltd.

Does the neuropathology of human patients with variant Creutzfeldt-Jakob disease reflect haematogenous spread of the disease?

To test the hypothesis that the distribution of the pathology in variant Creutzfeldt-Jakob disease (vCJD) represents haematogenous spread of the disease, we studied the spatial correlation between the vacuolation, prion protein (PrP) deposits, and the blood vessel profiles in the cerebral cortex, hippocampus, dentate gyrus, and cerebellum of 11 cases of the disease. In the majority of areas, there were no significant spatial correlations between either the vacuolation or the diffuse type of PrP deposit and the blood vessels. By contrast, a consistent pattern of spatial correlation was observed between the florid PrP deposits and blood vessels mainly in the cerebral cortex. The frequency of positive spatial correlations was similar in different anatomical areas of the cerebral cortex and in the upper compared with the lower laminae. Hence, with the exception of the florid deposits, the data do not demonstrate a spatial relationship between the pathological features of vCJD and blood vessels. The spatial correlation of the florid deposits and blood vessels may be attributable to factors associated with the blood vessels that promote the aggregation of PrP to form a condensed core rather than reflecting the haematogenous spread of the disease. © 2003 Elsevier Ireland Ltd. All rights reserved.

Does the neurodegeneration of Alzheimer’s disease spread between visual cortical regions B17 and B18 via the feedforward or feedback short cortico-cortical projections?

The laminar distribution of senile plaques (SP) and neurofibrillary tangles (NFT) was studied in areas B17 and B18 of the visual cortex in 18 cases of Alzheimer’s disease which varied in disease onset and duration. The objective was to test the hypothesis that SP and NFT could spread via either the feedforward or feedback short cortico-cortical projections. In area B17, the mean density of SP and NFT reached a maximum in lamina III and in laminae II and III respectively. In B18, mean SP density was maximal in laminae III and IV and NFT density in laminae II and III. No significant correlations were observed in any cortical lamina between the density of SP and patient age. However, the density of NFT in laminae III, IV and VI in B18 was negatively correlated with patient age. In addition, in B18, the density of SP in lamina II and lamina V was negatively correlated with disease duration and disease onset respectively. Although these results suggest that SP and NFT might spread between B17 and B18 via the feedforward short cortico-cortical projections, it is also possible that the longer cortico-cortical and cortico-subcortical connections may be involved.

CFD modelling of the fast pyrolysis of biomass in fluidised bed reactors. Part B: Heat, momentum and mass transport in bubbling fluidised beds

The fluid–particle interaction inside a 150 g/h fluidised bed reactor is modelled. The biomass particle is injected into the fluidised bed and the heat, momentum and mass transport from the fluidising gas and fluidised sand is modelled. The Eulerian approach is used to model the bubbling behaviour of the sand, which is treated as a continuum. Heat transfer from the bubbling bed to the discrete biomass particle, as well as biomass reaction kinetics are modelled according to the literature. The particle motion inside the reactor is computed using drag laws, dependent on the local volume fraction of each phase. FLUENT 6.2 has been used as the modelling framework of the simulations with the whole pyrolysis model incorporated in the form of user-defined function (UDF). The study completes the fast pyrolysis modelling in bubbling fluidised bed reactors.

CFD modelling of the fast pyrolysis of biomass in fluidised bed reactors, Part A: Eulerian computation of momentum transport in bubbling fluidised beds

The fluid–particle interaction inside a 150 g/h fluidised bed reactor is modelled. The biomass particle is injected into the fluidised bed and the momentum transport from the fluidising gas and fluidised sand is modelled. The Eulerian approach is used to model the bubbling behaviour of the sand, which is treated as a continuum. The particle motion inside the reactor is computed using drag laws, dependent on the local volume fraction of each phase, according to the literature. FLUENT 6.2 has been used as the modelling framework of the simulations with a completely revised drag model, in the form of user defined function (UDF), to calculate the forces exerted on the particle as well as its velocity components. 2-D and 3-D simulations are tested and compared. The study is the first part of a complete pyrolysis model in fluidised bed reactors.

Sparsely spread CDMA - A statistical mechanics-based analysis

Sparse code division multiple access (CDMA), a variation on the standard CDMA method in which the spreading (signature) matrix contains only a relatively small number of nonzero elements, is presented and analysed using methods of statistical physics. The analysis provides results on the performance of maximum likelihood decoding for sparse spreading codes in the large system limit. We present results for both cases of regular and irregular spreading matrices for the binary additive white Gaussian noise channel (BIAWGN) with a comparison to the canonical (dense) random spreading code. © 2007 IOP Publishing Ltd.

AIDS: structure, replication and spread of the AIDS virus

AIDS (Acquired Immune Deficiency Syndrome)was first, described as a new disease of humans in 1981. The origins of the disease are controversial. AIDS is caused by a retrovirus, a type of virus which rarely attacks human cells. The first virus of this type recorded in humans is reponsible for a type of leukaemia and was identified in 1978. AIDS is thus the third type of human retrovirus to be discovered and hence, is referred to as T-lymphotrophic virus III (HTLV-III). For viruses to replicate, they have to invade a host cell which in this case is a T4-lymphocyte, a type of white blood cell that regulates the immune system. The problems of the disease result directly from the death of these cells. As a consequence, the immune system is compromised leading to a number of opportunistic secondary infections and other disorders.

Impact of linear mode coupling on the group delay spread in few-mode fibers

We report an investigation on the group delay spread in few-mode fibers operating in the weak and strong linear coupling regimes, and for the first time, we study the transition region between them. A single expression linking the group delay spread to the fiber correlation length is validated for any coupling regime, considering 3 guided modes.

Bid-ask spread dynamics in foreign exchange markets

The aim of this paper is to examine the short term dynamics of foreign exchange rate spreads. Using a vector autoregressive model (VAR) we show that most of the variation in the spread comes from the long run dependencies between past and future spreads rather than being caused by changes in inventory, adverse selection, cost of carry or order processing costs. We apply the Integrated Cumulative Sum of Squares (ICSS) algorithm of Inclan and Tiao (1994) to discover how often spread volatility changes. We find that spread volatility shifts are relatively uncommon and shifts in one currency spread tend not to spillover to other currency spreads. © 2013.

Evaluating spread models with a basket security

In this article we evaluate the most widely used spread decomposition models using Exchange Traded Funds (ETFs). These funds are an example of a basket security and allow the diversification of private information causing these securities to have lower adverse selection costs than individual securities. We use this feature as a criterion for evaluating spread decomposition models. Comparisons of adverse selection costs for ETF's and control securities obtained from spread decomposition models show that only the Glosten-Harris (1988) and the Madhavan-Richardson-Roomans (1997) models provide estimates of the spread that are consistent with the diversification of private information in a basket security. Our results are robust even after controlling for the stock exchange. © 2011 Copyright Taylor and Francis Group, LLC.