Financial modelling with 2-EPT probability density functions

The class of all Exponential-Polynomial-Trigonometric (EPT) functions is classical and equal to the Euler-d’Alembert class of solutions of linear differential equations with constant coefficients. The class of non-negative EPT functions defined on [0;1) was discussed in Hanzon and Holland (2010) of which EPT probability density functions are an important subclass. EPT functions can be represented as ceAxb, where A is a square matrix, b a column vector and c a row vector where the triple (A; b; c) is the minimal realization of the EPT function. The minimal triple is only unique up to a basis transformation. Here the class of 2-EPT probability density functions on R is defined and shown to be closed under a variety of operations. The class is also generalised to include mixtures with the pointmass at zero. This class coincides with the class of probability density functions with rational characteristic functions. It is illustrated that the Variance Gamma density is a 2-EPT density under a parameter restriction. A discrete 2-EPT process is a process which has stochastically independent 2-EPT random variables as increments. It is shown that the distribution of the minimum and maximum of such a process is an EPT density mixed with a pointmass at zero. The Laplace Transform of these distributions correspond to the discrete time Wiener-Hopf factors of the discrete time 2-EPT process. A distribution of daily log-returns, observed over the period 1931-2011 from a prominent US index, is approximated with a 2-EPT density function. Without the non-negativity condition, it is illustrated how this problem is transformed into a discrete time rational approximation problem. The rational approximation software RARL2 is used to carry out this approximation. The non-negativity constraint is then imposed via a convex optimisation procedure after the unconstrained approximation. Sufficient and necessary conditions are derived to characterise infinitely divisible EPT and 2-EPT functions. Infinitely divisible 2-EPT density functions generate 2-EPT Lévy processes. An assets log returns can be modelled as a 2-EPT Lévy process. Closed form pricing formulae are then derived for European Options with specific times to maturity. Formulae for discretely monitored Lookback Options and 2-Period Bermudan Options are also provided. Certain Greeks, including Delta and Gamma, of these options are also computed analytically. MATLAB scripts are provided for calculations involving 2-EPT functions. Numerical option pricing examples illustrate the effectiveness of the 2-EPT approach to financial modelling.

Interaction of additive and quantization noises in digital PLLs

Phase-locked loops (PLLs) are a crucial component in modern communications systems. Comprising of a phase-detector, linear filter, and controllable oscillator, they are widely used in radio receivers to retrieve the information content from remote signals. As such, they are capable of signal demodulation, phase and carrier recovery, frequency synthesis, and clock synchronization. Continuous-time PLLs are a mature area of study, and have been covered in the literature since the early classical work by Viterbi [1] in the 1950s. With the rise of computing in recent decades, discrete-time digital PLLs (DPLLs) are a more recent discipline; most of the literature published dates from the 1990s onwards. Gardner [2] is a pioneer in this area. It is our aim in this work to address the difficulties encountered by Gardner [3] in his investigation of the DPLL output phase-jitter where additive noise to the input signal is combined with frequency quantization in the local oscillator. The model we use in our novel analysis of the system is also applicable to another of the cases looked at by Gardner, that is the DPLL with a delay element integrated in the loop. This gives us the opportunity to look at this system in more detail, our analysis providing some unique insights into the variance `dip' seen by Gardner in [3]. We initially provide background on the probability theory and stochastic processes. These branches of mathematics are the basis for the study of noisy analogue and digital PLLs. We give an overview of the classical analogue PLL theory as well as the background on both the digital PLL and circle map, referencing the model proposed by Teplinsky et al. [4, 5]. For our novel work, the case of the combined frequency quantization and noisy input from [3] is investigated first numerically, and then analytically as a Markov chain via its Chapman-Kolmogorov equation. The resulting delay equation for the steady-state jitter distribution is treated using two separate asymptotic analyses to obtain approximate solutions. It is shown how the variance obtained in each case matches well to the numerical results. Other properties of the output jitter, such as the mean, are also investigated. In this way, we arrive at a more complete understanding of the interaction between quantization and input noise in the first order DPLL than is possible using simulation alone. We also do an asymptotic analysis of a particular case of the noisy first-order DPLL with delay, previously investigated by Gardner [3]. We show a unique feature of the simulation results, namely the variance `dip' seen for certain levels of input noise, is explained by this analysis. Finally, we look at the second-order DPLL with additive noise, using numerical simulations to see the effects of low levels of noise on the limit cycles. We show how these effects are similar to those seen in the noise-free loop with non-zero initial conditions.

Within-Otolith Variability in Chemical Fingerprints: Implications for Sampling Designs and Possible Environmental Interpretation

Largely used as a natural biological tag in studies of dispersal/connectivity of fish, otolith elemental fingerprinting is usually analyzed by laser ablation-inductively coupled plasma-mass spectrometry (LA-ICP-MS). LA-ICP-MS produces an elemental fingerprint at a discrete time-point in the life of a fish and can generate data on within-otolith variability of that fingerprint. The presence of within-otolith variability has been previously acknowledged but not incorporated into experimental designs on the presumed, but untested, grounds of both its negligibility compared to among-otolith variability and of spatial autocorrelation among multiple ablations within an otolith. Here, using a hierarchical sampling design of spatial variation at multiple scales in otolith chemical fingerprints for two Mediterranean coastal fishes, we explore: 1) whether multiple ablations within an otolith can be used as independent replicates for significance tests among otoliths, and 2) the implications of incorporating within-otolith variability when assessing spatial variability in otolith chemistry at a hierarchy of spatial scales (different fish, from different sites, at different locations on the Apulian Adriatic coast). We find that multiple ablations along the same daily rings do not necessarily exhibit spatial dependency within the otolith and can be used to estimate residual variability in a hierarchical sampling design. Inclusion of within-otolith measurements reveals that individuals at the same site can show significant variability in elemental uptake. Within-otolith variability examined across the spatial hierarchy identifies differences between the two fish species investigated, and this finding leads to discussion of the potential for within-otolith variability to be used as a marker for fish exposure to stressful conditions. We also demonstrate that a 'cost'-optimal allocation of sampling effort should typically include some level of within-otolith replication in the experimental design. Our findings provide novel evidence to aid the design of future sampling programs and improve our general understanding of the mechanisms regulating elemental fingerprints.

Wireless networked control systems with QoS-based sampling

Closing feedback loops using an IEEE 802.11b ad hoc wireless communication network incurs many challenges sensitivity to varying channel conditions and lower physical transmission rates tend to limit the bandwidth of the communication channel. Given that the bandwidth usage and control performance are linked, a method of adapting the sampling interval based on an 'a priori', static sampling policy has been proposed and, more significantly, assuring stability in the mean square sense using discrete-time Markov jump linear system theory. Practical issues including current limitations of the 802.11 b protocol, the sampling policy and stability are highlighted. Simulation results on a cart-mounted inverted pendulum show that closed-loop stability can be improved using sample rate adaptation and that the control design criteria can be met in the presence of channel errors and severe channel contention.

Microscopic models for dielectric relaxation in disordered systems

It is shown how the Debye rotational diffusion model of dielectric relaxation of polar molecules (which may be described in microscopic fashion as the diffusion limit of a discrete time random walk on the surface of the unit sphere) may be extended to yield the empirical Havriliak-Negami (HN) equation of anomalous dielectric relaxation from a microscopic model based on a kinetic equation just as in the Debye model. This kinetic equation is obtained by means of a generalization of the noninertial Fokker-Planck equation of conventional Brownian motion (generally known as the Smoluchowski equation) to fractional kinetics governed by the HN relaxation mechanism. For the simple case of noninteracting dipoles it may be solved by Fourier transform techniques to yield the Green function and the complex dielectric susceptibility corresponding to the HN anomalous relaxation mechanism.

Modelling the mechanical response of the reed-mouthpiece-lip system of a clarinet. Part II: A lumped model approximation

A non-linear lumped model of the reed-mouthpiece-lip system of a clarinet is formulated, in which the lumped parameters are derived from numerical experiments with a finite-difference simulation based on a distributed reed model. The effective stiffness per unit area is formulated as a function of the pressure signal driving the reed, in order to simulate the effects of the reed bending against the lay, and mass and damping terms are added as a first approximation to the dynamic behaviour of the reed. A discrete-time formulation is presented, and its response is compared to that of the distributed model. In addition, the lumped model is applied in the simulation of clarinet tones, enabling the analysis of the effects of using a pressure-dependent stiffness per unit area on sustained oscillations. The analysed effects and features are in qualitative agreement with players' experiences and experimental results obtained in prior studies.

A Physically-Constrained Source Model For FDTD Acoustic Simulation

The Finite Difference Time Domain (FDTD) method is becoming increasingly popular for room acoustics simulation. Yet, the literature on grid excitation methods is relatively sparse, and source functions are traditionally implemented in a hard or additive form
using arbitrarily-shaped functions which do not necessarily obey the physical laws of sound generation. In this paper we formulate
a source function based on a small pulsating sphere model. A physically plausible method to inject a source signal into the grid
is derived from first principles, resulting in a source with a near-flat spectrum that does not scatter incoming waves. In the final
discrete-time formulation, the source signal is the result of passing a Gaussian pulse through a digital filter simulating the dynamics of the pulsating sphere, hence facilitating a physically correct means to design source functions that generate a prescribed sound field.

COMPUTATION OF SYNTHETIC SPECTRA FROM SIMULATIONS OF RELATIVISTIC SHOCKS

Particle-in-cell (PIC) simulations of relativistic shocks are in principle capable of predicting the spectra of photons that are radiated incoherently by the accelerated particles. The most direct method evaluates the spectrum using the fields given by the Lienard-Wiechart potentials. However, for relativistic particles this procedure is computationally expensive. Here we present an alternative method that uses the concept of the photon formation length. The algorithm is suitable for evaluating spectra both from particles moving in a specific realization of a turbulent electromagnetic field or from trajectories given as a finite, discrete time series by a PIC simulation. The main advantage of the method is that it identifies the intrinsic spectral features and filters out those that are artifacts of the limited time resolution and finite duration of input trajectories.

Glued trees algorithm under phase damping

We study the behaviour of the glued trees algorithm described by Childs et al. in [1] under decoherence. We consider a discrete time reformulation of the continuous time quantum walk protocol and apply a phase damping channel to the coin state, investigating the effect of such a mechanism on the probability of the walker appearing on the target vertex of the graph. We pay particular attention to any potential advantage coming from the use of weak decoherence for the spreading of the walk across the glued trees graph. © 2013 Elsevier B.V.

Ecological dynamics of extinct species in empty habitat networks. 1. The role of habitat pattern and quantity, stochasticity and dispersal

We examined a remnant host plant (Primula veris L.) habitat network that was last inhabited by the rare butterfly Hamearis lucina L. in north Wales in 1943, to assess the relative contribution of several spatial parameters to its regional extinction. We first examined relationships between P. veris characteristics and H. lucina eggs in surviving H. lucina populations, and used these to predict the suitability and potential carrying capacity of the habitat network in north Wales. This resulted in an estimate of roughly 4500 eggs (ca 227 adults). We developed a discrete space, discrete time metapopulation model to evaluate the relative contribution of dispersal distance, habitat and environmental stochasticity as possible causes of extinction. We simulated the potential persistence of the butterfly in the current network as well as in three artificial (historical and present) habitat networks that differed in the quantity (current and X3) and fragmentation of the habitat (current and aggregated). We identified that reduced habitat quantity and increased isolation would have increased the probability of regional extinction, in conjunction with environmental stochasticity and H. lucina's dispersal distance. This general trend did not change in a qualitative manner when we modified the ability of dispersing females to stay in, and find suitable habitats (by changing the size of the grid cells used in the model). Contrary to most metapopulation model predictions, system persistence declined with increasing migration rate, suggesting that the mortality of migrating individuals in fragmented landscapes may pose significant risks to system-wide persistence. Based on model predictions for the present landscape we argue that a major programme of habitat restoration would be required for a re-established metapopulation to persist for > 100 years.

A metapopulation model of species boundaries

The majority, if not all, species have a limited geographic range bounded by a distribution edge. Violent ecotones such as sea coasts clearly produce edges for many species; however such ecotones, while sufficient for the formation of an edge, are not always necessary. We demonstrate this by simulation in discrete time of a spatially structured finite size metapopulation subjected to a spatial gradient in per-unit-time population extinction probability together with spatially structured dispersal and recolonisation. We find that relatively sharp edges separating a homeland or main geographical range from an outland or zone of relatively sparse and ephemeral colonisation can form in gradual environmental gradients. The form and placing of the edge is an emergent property of the metapopulation dynamics. The sharpness of the edge declines with increasing dispersal distance, and is dependent on the relative scales of dispersal distance and gradient length. The space over which the edge develops is short relative to the potential species range. The edge is robust against changes in both the shape of the environmental gradient and to a lesser extent to alterations in the kind of dispersal operating. Persistence times in the absence of environmental gradients are virtually independent of the shape of the dispersal function describing migration. The common finding of bell shaped population density distributions across geographic ranges may occur without the strict necessity of a niche mediated response to a spatially autocorrelated environment.

Improving the robustness of the iterative solver in state-space modelling of guitar distortion circuitry

Iterative solvers are required for the discrete-time simulation of nonlinear behaviour in analogue distortion circuits. Unfortunately,these methods are often computationally too expensive for realtime simulation. Two methods are presented which attempt to reduce the expense of iterative solvers. This is achieved by applying information that is derived from the specific form of the non linearity.The approach is first explained through the modelling of an asymmetrical diode clipper, and further exemplified by application to the Dallas Rangemaster Treble Booster guitar pedal, which provides an initial perspective of the performance on systems with multiple nonlinearities.

Optimization models for a short sea fuel oil distribution problem

O transporte marítimo e o principal meio de transporte de mercadorias em todo o mundo. Combustíveis e produtos petrolíferos representam grande parte das mercadorias transportadas por via marítima. Sendo Cabo Verde um arquipelago o transporte por mar desempenha um papel de grande relevância na economia do país. Consideramos o problema da distribuicao de combustíveis em Cabo Verde, onde uma companhia e responsavel por coordenar a distribuicao de produtos petrolíferos com a gestão dos respetivos níveis armazenados em cada porto, de modo a satisfazer a procura dos varios produtos. O objetivo consiste em determinar políticas de distribuicão de combustíveis que minimizam o custo total de distribuiçao (transporte e operacões) enquanto os n íveis de armazenamento sao mantidos nos n íveis desejados. Por conveniencia, de acordo com o planeamento temporal, o prob¬lema e divido em dois sub-problemas interligados. Um de curto prazo e outro de medio prazo. Para o problema de curto prazo sao discutidos modelos matemáticos de programacao inteira mista, que consideram simultaneamente uma medicao temporal cont ínua e uma discreta de modo a modelar multiplas janelas temporais e taxas de consumo que variam diariamente. Os modelos sao fortalecidos com a inclusão de desigualdades validas. O problema e então resolvido usando um "software" comercial. Para o problema de medio prazo sao inicialmente discutidos e comparados varios modelos de programacao inteira mista para um horizonte temporal curto assumindo agora uma taxa de consumo constante, e sao introduzidas novas desigualdades validas. Com base no modelo escolhido sao compara¬das estrategias heurísticas que combinam três heur ísticas bem conhecidas: "Rolling Horizon", "Feasibility Pump" e "Local Branching", de modo a gerar boas soluçoes admissíveis para planeamentos com horizontes temporais de varios meses. Finalmente, de modo a lidar com situaçoes imprevistas, mas impor¬tantes no transporte marítimo, como as mas condicões meteorológicas e congestionamento dos portos, apresentamos um modelo estocastico para um problema de curto prazo, onde os tempos de viagens e os tempos de espera nos portos sao aleatórios. O problema e formulado como um modelo em duas etapas, onde na primeira etapa sao tomadas as decisões relativas as rotas do navio e quantidades a carregar e descarregar e na segunda etapa (designada por sub-problema) sao consideradas as decisoes (com recurso) relativas ao escalonamento das operacões. O problema e resolvido por um metodo de decomposto que usa um algoritmo eficiente para separar as desigualdades violadas no sub-problema.

Dynamic temperature models of a soiless greenhouse

In this paper climate discrete-time dynamic models for the inside air temperature of a soilless greenhouse are identified, using data acquired during two different periods of the year. These models employ data from air temperature and relative humidity.

Identification of greenhouse climate dynamic models

In this paper climate discrete-time dynamic models for the inside air temperature of two different greenhouses are identified, using data acquired during two different periods of the year. These models employ data from air temperature and relative humidity (both outside and inside the greenhouse), solar radiation, wind speed, and control inputs (ventialtion, etc.).