Measuring Tail Risks at High Frequency

I develop a new methodology for measuring tail risks using the cross section of bid-ask spreads. Market makers embed tail risk information into spreads because (1) they lose to arbitrageurs when changes to asset values exceed the cost of liquidity and (2) underlying price movements and potential costs are linear in factor loadings. Using this insight, simple cross-sectional regressions relating spreads and trading volume to factor betas can recover tail risks in real time for priced or non-priced return factors. The methodology disentangles financial and aggregate market risks during the 2007-2008 Financial Crisis; anticipates jump risks associated with Federal Open Market Committee announcements; and quantifies a sharp, temporary increase in market tail risk before and throughout the 2010 Flash Crash. The recovered time series of implied market risks also aligns closely with both realized market jumps and the VIX.

Theta-associated high-frequency oscillations (110–160 Hz) in the hippocampus and neocortex

TORT, A. B. L. ; SCHEFFER-TEIXEIRA, R ; Souza, B.C. ; DRAGUHN, A. ; BRANKACK, J. . Theta-associated high-frequency oscillations (110-160 Hz) in the hippocampus and neocortex. Progress in Neurobiology , v. 100, p. 1-14, 2013.

Misura UHF (Ultra High Frequency) delle scariche parziali nei sistemi isolati a gas: metodologie per la verifica della sensibilità di misura

Le apparecchiature di manovra tramite isolamento a gas (GIS) sono in funzione da più di 45 anni e hanno dimostrato un alto livello di affidabilità, con tassi di difetto molto bassi. Tuttavia, il riscontro pratico indica che alcuni dei guasti che si verificano durante il servizio sono legati a difetti del sistema di isolamento. Molti di questi difetti possono essere rilevati tramite diagnostica con scariche parziali (PD). Per la rilevazione PD, viene utilizzato il metodo UHF perché meno sensibile ai disturbi e quindi più facile da gestire in confronto al metodo convenzionale secondo IEC 60270. Un rapporto di Electra pubblicato nel 1999 dal CIGRE Task Force 15/33.03.05 descrive la procedura in due fasi per la verifica della sensibilità del sistema UHF in modo molto generale. Dopo 15 anni dalla sua applicazione, è diventata necessaria una descrizione più dettagliata, sia su misure necessarie al test di laboratorio (Passaggio 1) che sul test in loco (Passaggio 2).

Theta-associated high-frequency oscillations (110–160 Hz) in the hippocampus and neocortex

TORT, A. B. L. ; SCHEFFER-TEIXEIRA, R ; Souza, B.C. ; DRAGUHN, A. ; BRANKACK, J. . Theta-associated high-frequency oscillations (110-160 Hz) in the hippocampus and neocortex. Progress in Neurobiology , v. 100, p. 1-14, 2013.

Mixture of time-dependent growth models with an application to blue swimmer crab length-frequency data

Understanding how aquatic species grow is fundamental in fisheries because stock assessment often relies on growth dependent statistical models. Length-frequency-based methods become important when more applicable data for growth model estimation are either not available or very expensive. In this article, we develop a new framework for growth estimation from length-frequency data using a generalized von Bertalanffy growth model (VBGM) framework that allows for time-dependent covariates to be incorporated. A finite mixture of normal distributions is used to model the length-frequency cohorts of each month with the means constrained to follow a VBGM. The variances of the finite mixture components are constrained to be a function of mean length, reducing the number of parameters and allowing for an estimate of the variance at any length. To optimize the likelihood, we use a minorization–maximization (MM) algorithm with a Nelder–Mead sub-step. This work was motivated by the decline in catches of the blue swimmer crab (BSC) (Portunus armatus) off the east coast of Queensland, Australia. We test the method with a simulation study and then apply it to the BSC fishery data.

Components and circuits for tunneling diode based high frequency sources

Terahertz (THz) technology has been generating a lot of interest because of the potential applications for systems working in this frequency range. However, to fully achieve this potential, effective and efficient ways of generating controlled signals in the terahertz range are required. Devices that exhibit negative differential resistance (NDR) in a region of their current-voltage (I-V ) characteristics have been used in circuits for the generation of radio frequency signals. Of all of these NDR devices, resonant tunneling diode (RTD) oscillators, with their ability to oscillate in the THz range are considered as one of the most promising solid-state sources for terahertz signal generation at room temperature. There are however limitations and challenges with these devices, from inherent low output power usually in the range of micro-watts (uW) for RTD oscillators when milli-watts (mW) are desired. At device level, parasitic oscillations caused by the biasing line inductance when the device is biased in the NDR region prevent accurate device characterisation, which in turn prevents device modelling for computer simulations. This thesis describes work on I-V characterisation of tunnel diode (TD) and RTD (fabricated by Dr. Jue Wang) devices, and the radio frequency (RF) characterisation and small signal modelling of RTDs. The thesis also describes the design and measurement of hybrid TD oscillators for higher output power and the design and measurement of a planar Yagi antenna (fabricated by Khalid Alharbi) for THz applications. To enable oscillation free current-voltage characterisation of tunnel diodes, a commonly employed method is the use of a suitable resistor connected across the device to make the total differential resistance in the NDR region positive. However, this approach is not without problems as the value of the resistor has to satisfy certain conditions or else bias oscillations would still be present in the NDR region of the measured I-V characteristics. This method is difficult to use for RTDs which are fabricated on wafer due to the discrepancies in designed and actual resistance values of fabricated resistors using thin film technology. In this work, using pulsed DC rather than static DC measurements during device characterisation were shown to give accurate characteristics in the NDR region without the need for a stabilisation resistor. This approach allows for direct oscillation free characterisation for devices. Experimental results show that the I-V characterisation of tunnel diodes and RTD devices free of bias oscillations in the NDR region can be made. In this work, a new power-combining topology to address the limitations of low output power of TD and RTD oscillators is presented. The design employs the use of two oscillators biased separately, but with the combined output power from both collected at a single load. Compared to previous approaches, this method keeps the frequency of oscillation of the combined oscillators the same as for one of the oscillators. Experimental results with a hybrid circuit using two tunnel diode oscillators compared with a single oscillator design with similar values shows that the coupled oscillators produce double the output RF power of the single oscillator. This topology can be scaled for higher (up to terahertz) frequencies in the future by using RTD oscillators. Finally, a broadband Yagi antenna suitable for wireless communication at terahertz frequencies is presented in this thesis. The return loss of the antenna showed that the bandwidth is larger than the measured range (140-220 GHz). A new method was used to characterise the radiation pattern of the antenna in the E-plane. This was carried out on-wafer and the measured radiation pattern showed good agreement with the simulated pattern. In summary, this work makes important contributions to the accurate characterisation and modelling of TDs and RTDs, circuit-based techniques for power combining of high frequency TD or RTD oscillators, and to antennas suitable for on chip integration with high frequency oscillators.

High frequency components of the AE signal as useful features for bond/fibre break discriminators

Abstract not available

Sparse time-frequency data analysis : a multi-scale approach

In this work, we further extend the recently developed adaptive data analysis method, the Sparse Time-Frequency Representation (STFR) method. This method is based on the assumption that many physical signals inherently contain AM-FM representations. We propose a sparse optimization method to extract the AM-FM representations of such signals. We prove the convergence of the method for periodic signals under certain assumptions and provide practical algorithms specifically for the non-periodic STFR, which extends the method to tackle problems that former STFR methods could not handle, including stability to noise and non-periodic data analysis. This is a significant improvement since many adaptive and non-adaptive signal processing methods are not fully capable of handling non-periodic signals. Moreover, we propose a new STFR algorithm to study intrawave signals with strong frequency modulation and analyze the convergence of this new algorithm for periodic signals. Such signals have previously remained a bottleneck for all signal processing methods. Furthermore, we propose a modified version of STFR that facilitates the extraction of intrawaves that have overlaping frequency content. We show that the STFR methods can be applied to the realm of dynamical systems and cardiovascular signals. In particular, we present a simplified and modified version of the STFR algorithm that is potentially useful for the diagnosis of some cardiovascular diseases. We further explain some preliminary work on the nature of Intrinsic Mode Functions (IMFs) and how they can have different representations in different phase coordinates. This analysis shows that the uncertainty principle is fundamental to all oscillating signals.

Prevalence and risk factors for mild and high-frequency bilateral sensorineural hearing loss at age 11 years old:a UK prospective cohort study

OBJECTIVE: This study aimed to assess prevalence and risk factors for mild/high-frequency bilateral sensorineural hearing loss within a UK population of children at age 11 years. DESIGN: Prospective birth cohort study. STUDY SAMPLE: Repeat hearing thresholds were measured in 5032 children, as part of the Avon Longitudinal Study of Parents and Children (ALSPAC) at age 7, 9, and 11 years. Pregnancy, birth, and early medical history were obtained prospectively through parental questionnaires and medical records. RESULTS: Twenty children had mild and seven had high-frequency bilateral sensorineural hearing loss, giving a combined prevalence of 0.5% (95% CI 0.4-0.8%). These children were more likely than the rest of the study sample to have been admitted to hospital at 6-18 months (OR 2.7, 95% CI 1.00-7.30). Parents of these children were more likely to have suspected a hearing problem when the children were 3 years old (OR 2.4, 95% CI 1.05-5.60). CONCLUSIONS: This is the first UK prospective cohort study to investigate the prevalence of mild and high-frequency hearing loss. This study, which has the advantage of a large sample size and repeat hearing measures over a four year period, reports lower prevalence values than US cross-sectional studies.

High Frequency Class DE Converter Using a Multilayer Coreless PCB Transformer

In modern power electronics equipment, it is desirable to design a low profile, high power density, and fast dynamic response converter. Increases in switching frequency reduce the size of the passive components such as transformers, inductors, and capacitors which results in compact size and less requirement for the energy storage. In addition, the fast dynamic response can be achieved by operating at high frequency. However, achieving high frequency operation while keeping the efficiency high, requires new advanced devices, higher performance magnetic components, and new circuit topology. These are required to absorb and utilize the parasitic components and also to mitigate the frequency dependent losses including switching loss, gating loss, and magnetic loss. Required performance improvements can be achieved through the use of Radio Frequency (RF) design techniques. To reduce switching losses, resonant converter topologies like resonant RF amplifiers (inverters) combined with a rectifier are the effective solution to maintain high efficiency at high switching frequencies through using the techniques such as device parasitic absorption, Zero Voltage Switching (ZVS), Zero Current Switching (ZCS), and a resonant gating. Gallium Nitride (GaN) device technologies are being broadly used in RF amplifiers due to their lower on- resistance and device capacitances compared with silicon (Si) devices. Therefore, this kind of semiconductor is well suited for high frequency power converters. The major problems involved with high frequency magnetics are skin and proximity effects, increased core and copper losses, unbalanced magnetic flux distribution generating localized hot spots, and reduced coupling coefficient. In order to eliminate the magnetic core losses which play a crucial role at higher operating frequencies, a coreless PCB transformer can be used. Compared to the conventional wire-wound transformer, a planar PCB transformer in which the windings are laid on the Printed Board Circuit (PCB) has a low profile structure, excellent thermal characteristics, and ease of manufacturing. Therefore, the work in this thesis demonstrates the design and analysis of an isolated low profile class DE resonant converter operating at 10 MHz switching frequency with a nominal output of 150 W. The power stage consists of a class DE inverter using GaN devices along with a sinusoidal gate drive circuit on the primary side and a class DE rectifier on the secondary side. For obtaining the stringent height converter, isolation is provided by a 10-layered coreless PCB transformer of 1:20 turn’s ratio. It is designed and optimized using 3D Finite Element Method (FEM) tools and radio frequency (RF) circuit design software. Simulation and experimental results are presented for a 10-layered coreless PCB transformer operating in 10 MHz.

“Step by step”: high frequency short-distance epizoochorous dispersal of aquatic macrophytes

Aquatic macrophytes can successfully colonise and re-colonise areas separated by space and time. The mechanisms underlying such “mobility” are not well understood, but it has often been hypothesised that epizoochory (external dispersal) plays an important role. Yet, there is only limited, and mostly anecdotal, evidence concerning successful epizoochorous dispersal of aquatic macrophytes, particularly in the case of short-distance dispersal. Here we examine in situ and ex situ dispersal of aquatic macrophytes, including three invasive alien species. A high frequency of Lemna minor Linnaeus dispersal was observed in situ, and this was linked to bird-mediated epizoochory. We concluded that wind had no effect on dispersal. Similarly, in an ex situ examination Lemna minuta Kunth and Azolla filiculoides Lamarck, were found to be dispersed with a high frequency by mallard ducks (Anas platyrhynchos). No dispersal was measured for Elodea nuttalli (Planchon) H. St. John. It is concluded that short-distance or “stepping-stone” dispersal via bird-mediated epizoochory can occur with high frequencies, and therefore can play an important role in facilitating colonisation, range expansion and biological invasion of macrophytes.

Analisi evolutiva delle radiosorgenti tramite indagine su “compact steep spectrum" (CSS) e “high frequency peakers” (HFP)

in questo lavoro di tesi verrà fornita dapprima una descrizione degli oggetti che andremo a studiare, e cioè i nuclei galattici attivi (AGN), con un richiamo alle strutture più importanti di cui si costituiscono i loro sottogruppi: Quasar e radiosorgenti. Saranno forniti i segni distintivi con cui poter riconoscere queste forme di sorgenti radio e verrà fornito un modello che consenta di concepire il ciclo vitale radiativo a cui sono destinati tali classi di radiogalassie. Si vedrà che il tipo di radiazione emessa è prevalentemente non termico, anch’essa vista come una loro caratteristica peculiare. Si darà quindi una descrizione di questo meccanismo di radiazione ,che corrisponde all’emissione di sincrotrone, e si analizzeranno, facendo riferimento a questa base teorica, dati provenienti da una particolare tipologia di radiosorgenti: le “High Frequency Peakers” (HFP) che, come si evince dal nome stesso, rappresentano delle sorgenti con uno spettro di radiazione con picco riscontrabile alle alte frequenze. Si studieranno i dati raccolti dal catalogo TGSS a 150MHz con la speranza di avere riscontri tali da poter confermare o rigettare il modello evolutivo che prendiamo in considerazione per descrivere il ciclo vitale di questa classe di oggetti astronomici e di cui daremo spiegazione nelle prossime pagine.