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.

A model for motion sharpening: contrast gain control precedes compressive nonlinearity

Blurred edges appear sharper in motion than when they are stationary. We have previously shown how such distortions in perceived edge blur may be explained by a model which assumes that luminance contrast is encoded by a local contrast transducer whose response becomes progressively more compressive as speed increases. To test this model further, we measured the sharpening of drifting, periodic patterns over a large range of contrasts, blur widths, and speeds Human Vision. The results indicate that, while sharpening increased with speed, it was practically invariant with contrast. This contrast invariance cannot be explained by a fixed compressive nonlinearity since that predicts almost no sharpening at low contrasts.We show by computational modelling of spatiotemporal responses that, if a dynamic contrast gain control precedes the static nonlinear transducer, then motion sharpening, its speed dependence, and its invariance with contrast can be predicted with reasonable accuracy.

Template model for blur coding: the role of early nonlinearity in edge segmentation

We describe a template model for perception of edge blur and identify a crucial early nonlinearity in this process. The main principle is to spatially filter the edge image to produce a 'signature', and then find which of a set of templates best fits that signature. Psychophysical blur-matching data strongly support the use of a second-derivative signature, coupled to Gaussian first-derivative templates. The spatial scale of the best-fitting template signals the edge blur. This model predicts blur-matching data accurately for a wide variety of Gaussian and non-Gaussian edges, but it suffers a bias when edges of opposite sign come close together in sine-wave gratings and other periodic images. This anomaly suggests a second general principle: the region of an image that 'belongs' to a given edge should have a consistent sign or direction of luminance gradient. Segmentation of the gradient profile into regions of common sign is achieved by implementing the second-derivative 'signature' operator as two first-derivative operators separated by a half-wave rectifier. This multiscale system of nonlinear filters predicts perceived blur accurately for periodic and aperiodic waveforms. We also outline its extension to 2-D images and infer the 2-D shape of the receptive fields.

Localized waves in optical systems with periodic dispersion and nonlinearity management

We overview our recent developments in the theory of dispersion-managed (DM) solitons within the context of optical applications. First, we present a class of localized solutions with a period multiple to that of the standard DM soliton in the nonlinear Schrödinger equation with periodic variations of the dispersion. In the framework of a reduced ordinary differential equation-based model, we discuss the key features of these structures, such as a smaller energy compared to traditional DM solitons with the same temporal width. Next, we present new results on dissipative DM solitons, which occur in the context of mode-locked lasers. By means of numerical simulations and a reduced variational model of the complex Ginzburg-Landau equation, we analyze the influence of the different dissipative processes that take place in a laser.

A collagen IV matrix is required for guinea pig gastric epithelial cell monolayers to provide an optimal model of the stomach surface for biopharmaceutical screening

The surface epithelial cells of the stomach represent a major component of the gastric barrier. A cell culture model of the gastric epithelial cell surface would prove useful for biopharmaceutical screening of new chemical entities and dosage forms. Primary cultures of guinea pig gastric mucous epithelial cells were grown on filter inserts (Transwells®) for 3 days. Tight-junction formation, assessed by transepithelial electrical resistance (TEER) and permeability of mannitol and fluorescein, was enhanced when collagen IV rather than collagen I was used to coat the polycarbonate filter. TEER for cells grown on collagen IV was close to that obtained with intact guinea pig gastric epithelium in vitro. Differentiation was assessed by incorporation of [ 3H]glucosamine into glycoprotein and by activity of NADPH oxidase, which produces superoxide. Both of these measures were greater for cells grown on filters coated with collagen I than for cells grown on plastic culture plates, but no major difference was found between cells grown on collagens I and IV. The proportion of cells, which stained positively for mucin with periodic acid Schiff reagent, was greater than 95% for all culture conditions. Monolayers grown on membranes coated with collagen IV exhibited apically polarized secretion of mucin and superoxide, and were resistant to acidification of the apical medium to pH 3.0 for 30 min. A screen of nonsteroidal anti-inflammatory drugs revealed a novel effect of diclofenac and niflumic acid in reversibly reducing permeability by the paracellular route. In conclusion, the mucous cell preparation grown on collagen IV represents a good model of the gastric surface epithelium suitable for screening procedures. © 2005 The Society for Biomolecular Screening.

Localized waves in optical systems with periodic dispersion and nonlinearity management

We overview our recent developments in the theory of dispersion-managed (DM) solitons within the context of optical applications. First, we present a class of localized solutions with a period multiple to that of the standard DM soliton in the nonlinear Schrödinger equation with periodic variations of the dispersion. In the framework of a reduced ordinary differential equation-based model, we discuss the key features of these structures, such as a smaller energy compared to traditional DM solitons with the same temporal width. Next, we present new results on dissipative DM solitons, which occur in the context of mode-locked lasers. By means of numerical simulations and a reduced variational model of the complex Ginzburg-Landau equation, we analyze the influence of the different dissipative processes that take place in a laser.

Thermal counterflow in a periodic channel with solid boundaries

We perform numerical simulations of finite temperature quantum turbulence produced through thermal counterflow in superfluid 4He, using the vortex filament model. We investigate the effects of solid boundaries along one of the Cartesian directions, assuming a laminar normal fluid with a Poiseuille velocity profile, whilst varying the temperature and the normal fluid velocity. We analyze the distribution of the quantized vortices, reconnection rates, and quantized vorticity production as a function of the wall-normal direction. We find that the quantized vortex lines tend to concentrate close to the solid boundaries with their position depending only on temperature and not on the counterflow velocity. We offer an explanation of this phenomenon by considering the balance of two competing effects, namely the rate of turbulent diffusion of an isotropic tangle near the boundaries and the rate of quantized vorticity production at the center. Moreover, this yields the observed scaling of the position of the peak vortex line density with the mutual friction parameter. Finally, we provide evidence that upon the transition from laminar to turbulent normal fluid flow, there is a dramatic increase in the homogeneity of the tangle, which could be used as an indirect measure of the transition to turbulence in the normal fluid component for experiments.