Pair trading in Bovespa with a quantitative approach: cointegration, Ornstein-Uhlenbeck equation and Kelly criterion.

Pair trading is an old and well-known technique among traders. In this paper, we discuss an important element not commonly debated in Brazil: the cointegration between pairs, which would guarantee the spread stability. We run the Dickey-Fuller test to check cointegration, and then compare the results with non-cointegrated pairs. We found that the Sharpe ratio of cointegrated pairs is greater than the non-cointegrated. We also use the Ornstein-Uhlenbeck equation in order to calculate the half-life of the pairs. Again, this improves their performance. Last, we use the leverage suggested by Kelly Formula, once again improving the results.

Band-edge states of the zero(th)-order gap in quasi-periodic photonic superlattices

The photonic modes of Thue-Morse and Fibonacci lattices with generating layers A and B, of positive and negative indices of refraction, are calculated by the transfer-matrix technique. For Thue-Morse lattices, as well for periodic lattices with AB unit cell, the constructive interference of reflected waves, corresponding to the zero(th)-order gap, takes place when the optical paths in single layers A and B are commensurate. In contrast, for Fibonacci lattices of high order, the same phenomenon occurs when the ratio of those optical paths is close to the golden ratio. In the long wavelength limit, analytical expressions defining the edge frequencies of the zero(th) order gap are obtained for both quasi-periodic lattices. Furthermore, analytical expressions that define the gap edges around the zero(th) order gap are shown to correspond to the = 0 and = 0 conditions.

Bright solitons in quasi-one-dimensional dipolar condensates with spatially modulated interactions

We introduce a model for the condensate of dipolar atoms or molecules, in which the dipole-dipole interaction (DDI) is periodically modulated in space due to a periodic change of the local orientation of the permanent dipoles, imposed by the corresponding structure of an external field (the necessary field can be created, in particular, by means of magnetic lattices, which are available to the experiment). The system represents a realization of a nonlocal nonlinear lattice, which has a potential to support various spatial modes. By means of numerical methods and variational approximation (VA), we construct bright one-dimensional solitons in this system and study their stability. In most cases, the VA provides good accuracy and correctly predicts the stability by means of the Vakhitov-Kolokolov criterion. It is found that the periodic modulation may destroy some solitons, which exist in the usual setting with unmodulated DDI and can create stable solitons in other cases, not verified in the absence of modulations. Unstable solitons typically transform into persistent localized breathers. The solitons are often mobile, with inelastic collisions between them leading to oscillating localized modes. © 2013 American Physical Society.

Effect of crown-to-implant ratio on peri-implant stress: a finite element analysis

The aim of this study was to evaluate stress distribution in the fixation screws and bone tissue around implants in single-implant supported prostheses with crowns of different heights (10,12.5, 15 mm crown-to-implant ratio 1:1, 1.25:1, 1.5:1, respectively). It was designed using three 3-Dmodels. Each model was developed with a mandibular segment of bone block including an internal hexagon implant supporting a screw-retained, single metalceramic crown. The crown height was set at 10, 12.5, and 15 mm with crown-to-implant ratio of 1:1, 1.25:1, 1.5:1, respectively. The applied forces were 200 N (axial) and 100 N (oblique). The increase of crown height showed differences with the oblique load in some situations. By von Mises'criterion, a high stress area was concentrated at the implant/fixation screw and abutment/implant interfaces at crown-to-implant ratio of 1:1, 1.25:1, 1.5:1, respectively. Using the maxiinum principal criteria, the buccal regions showed higher traction stress intensity, whereas the distal regions showed the largest compressive stress in all models. The increase of C/I ratio must be carefully evaluated by the dentist since the increase of this C/I ratio is proportional to the increase of average stress for both screw fixation (C/I 1:1 to 1:1.25 ratio = 30.1% and C/I 1:1 to 1 :1.5 ratio = 46.3%) and bone tissue (C/I 1:1 to 1:1.25 ratio = 30% and C/I 1:1 to 1:1.5 ratio = 51.5%). (C) 2014 Elsevier B.V. All rights reserved.

Experimental, theoretical and numerical investigation of the nonlinear micromechanical properties of bone

Aging societies suffer from an increasing incidence of bone fractures. Bone strength depends on the amount of mineral measured by clinical densitometry, but also on the micromechanical properties of the bone hierarchical organization. A good understanding has been reached for elastic properties on several length scales, but up to now there is a lack of reliable postyield data on the lower length scales. In order to be able to describe the behavior of bone at the microscale, an anisotropic elastic-viscoplastic damage model was developed using an eccentric generalized Hill criterion and nonlinear isotropic hardening. The model was implemented as a user subroutine in Abaqus and verified using single element tests. A FE simulation of microindentation in lamellar bone was finally performed show-ing that the new constitutive model can capture the main characteristics of the indentation response of bone. As the generalized Hill criterion is limited to elliptical and cylindrical yield surfaces and the correct shape for bone is not known, a new yield surface was developed that takes any convex quadratic shape. The main advantage is that in the case of material identification the shape of the yield surface does not have to be anticipated but a minimization results in the optimal shape among all convex quadrics. The generality of the formulation was demonstrated by showing its degeneration to classical yield surfaces. Also, existing yield criteria for bone at multiple length scales were converted to the quadric formulation. Then, a computational study to determine the influence of yield surface shape and damage on the in-dentation response of bone using spherical and conical tips was performed. The constitutive model was adapted to the quadric criterion and yield surface shape and critical damage were varied. They were shown to have a major impact on the indentation curves. Their influence on indentation modulus, hardness, their ratio as well as the elastic to total work ratio were found to be very well described by multilinear regressions for both tip shapes. For conical tips, indentation depth was not a significant fac-tor, while for spherical tips damage was insignificant. All inverse methods based on microindentation suffer from a lack of uniqueness of the found material properties in the case of nonlinear material behavior. Therefore, monotonic and cyclic micropillar com-pression tests in a scanning electron microscope allowing a straightforward interpretation comple-mented by microindentation and macroscopic uniaxial compression tests were performed on dry ovine bone to identify modulus, yield stress, plastic deformation, damage accumulation and failure mecha-nisms. While the elastic properties were highly consistent, the postyield deformation and failure mech-anisms differed between the two length scales. A majority of the micropillars showed a ductile behavior with strain hardening until failure by localization in a slip plane, while the macroscopic samples failed in a quasi-brittle fashion with microcracks coalescing into macroscopic failure surfaces. In agreement with a proposed rheological model, these experiments illustrate a transition from a ductile mechanical behavior of bone at the microscale to a quasi-brittle response driven by the growth of preexisting cracks along interfaces or in the vicinity of pores at the macroscale. Subsequently, a study was undertaken to quantify the topological variability of indentations in bone and examine its relationship with mechanical properties. Indentations were performed in dry human and ovine bone in axial and transverse directions and their topography measured by AFM. Statistical shape modeling of the residual imprint allowed to define a mean shape and describe the variability with 21 principal components related to imprint depth, surface curvature and roughness. The indentation profile of bone was highly consistent and free of any pile up. A few of the topological parameters, in particular depth, showed significant correlations to variations in mechanical properties, but the cor-relations were not very strong or consistent. We could thus verify that bone is rather homogeneous in its micromechanical properties and that indentation results are not strongly influenced by small de-viations from the ideal case. As the uniaxial properties measured by micropillar compression are in conflict with the current literature on bone indentation, another dissipative mechanism has to be present. The elastic-viscoplastic damage model was therefore extended to viscoelasticity. The viscoelastic properties were identified from macroscopic experiments, while the quasistatic postelastic properties were extracted from micropillar data. It was found that viscoelasticity governed by macroscale properties has very little influence on the indentation curve and results in a clear underestimation of the creep deformation. Adding viscoplasticity leads to increased creep, but hardness is still highly overestimated. It was possible to obtain a reasonable fit with experimental indentation curves for both Berkovich and spherical indenta-tion when abandoning the assumption of shear strength being governed by an isotropy condition. These results remain to be verified by independent tests probing the micromechanical strength prop-erties in tension and shear. In conclusion, in this thesis several tools were developed to describe the complex behavior of bone on the microscale and experiments were performed to identify its material properties. Micropillar com-pression highlighted a size effect in bone due to the presence of preexisting cracks and pores or inter-faces like cement lines. It was possible to get a reasonable fit between experimental indentation curves using different tips and simulations using the constitutive model and uniaxial properties measured by micropillar compression. Additional experimental work is necessary to identify the exact nature of the size effect and the mechanical role of interfaces in bone. Deciphering the micromechanical behavior of lamellar bone and its evolution with age, disease and treatment and its failure mechanisms on several length scales will help preventing fractures in the elderly in the future.

An experimental and numerical study of ductile failure under quasi-static and impact loadings of Inconel 718 nickel-base superalloy

A numerical and experimental study of ballistic impacts at various temperatures on precipitation hardened Inconel 718 nickel-base superalloy plates has been performed. A coupled elastoplastic-damage constitutive model with Lode angle dependent failure criterion has been implemented in LS-DYNA non-linear finite element code to model the mechanical behaviour of such an alloy. The ballistic impact tests have been carried out at three temperatures: room temperature (25 °C), 400 °C and 700 °C. The numerical study showed that the mesh size is crucial to predict correctly the shear bands detected in the tested plates. Moreover, the mesh size convergence has been achieved for element sizes on the same order that the shear bands. The residual velocity as well as the ballistic limit prediction has been considered excellent for high temperature ballistic tests. Nevertheless, the model has been less accurate for the numerical simulations performed at room temperature, being though in reasonable agreement with the experimental data. Additionally, the influence that the Lode angle had on quasi-static failure patterns such as cup-cone and slanted failure has been studied numerically. The study has revealed that the combined action of weakened constitutive equations and Lode angle dependent failure criterion has been necessary to predict the previously-mentioned failure patterns

Bifurcation study for a vertical channel with constant flux and large aspect ratio

Using suitable coupled Navier-Stokes Equations for an incompressible Newtonian fluid we investigate the linear and non-linear steady state solutions for both a homogeneously and a laterally heated fluid with finite Prandtl Number (Pr=7) in the vertical orientation of the channel. Both models are studied within the Large Aspect Ratio narrow-gap and under constant flux conditions with the channel closed. We use direct numerics to identify the linear stability criterion in parametric terms as a function of Grashof Number (Gr) and streamwise infinitesimal perturbation wavenumber (making use of the generalised Squire’s Theorem). We find higher harmonic solutions at lower wavenumbers with a resonance of 1:3exist, for both of the heating models considered. We proceed to identify 2D secondary steady state solutions, which bifurcate from the laminar state. Our studies show that 2D solutions are found not to exist in certain regions of the pure manifold, where we find that 1:3 resonant mode 2D solutions exist, for low wavenumber perturbations. For the homogeneously heated fluid, we notice a jump phenomenon existing between the pure and resonant mode secondary solutions for very specific wavenumbers .We attempt to verify whether mixed mode solutions are present for this model by considering the laterally heated model with the same geometry. We find mixed mode solutions for the laterally heated model showing that a bridge exists between the pure and 1:3 resonant mode 2D solutions, of which some are stationary and some travelling. Further, we show that for the homogeneously heated fluid that the 2D solutions bifurcate in hopf bifurcations and there exists a manifold where the 2D solutions are stable to Eckhaus criterion, within this manifold we proceed to identify 3D tertiary solutions and find that the stability for said 3D bifurcations is not phase locked to the 2D state. For the homogeneously heated model we identify a closed loop within the neutral stability curve for higher perturbation wavenumubers and analyse the nature of the multiple 2D bifurcations around this loop for identical wavenumber and find that a temperature inversion occurs within this loop. We conclude that for a homogeneously heated fluid it is possible to have abrup ttransitions between the pure and resonant 2D solutions, and that for the laterally heated model there exist a transient bifurcation via mixed mode solutions.

Resonance properties of domain boundaries in quasi-two dimensional antiferromagnets

The so-called "internal modes" localized near the domain boundaries in quasi-two dimensional antiferromagnets are investigated. The possible localized states are classified and their frequency dependences on the system discreteness parameter λ=J/β, which describes the ratio of the magnitudes of the exchange interplane interaction and the magnetic anisotropy, are found. A sudden change in the spectrum of the local internal modes is observed at a critical value of this parameter, λ=λb=3/4, where the domain wall shifts from a collinear to a canted shape. When λ<λb there are one symmetric and two antisymmetric local modes, and when λ>λb the modes are two symmetric, one antisymmetric, and one shear. For discreteness parameters close to the critical value, the frequencies of some of the local modes lie deep inside the gap for the linear AFM magnon spectrum and can be observed experimentally. © 2010 American Institute of Physics.

Aspect ratio for mesh partitioning

This paper deals with the measure of Aspect Ratio for mesh partitioning and gives hints why, for certain solvers, the Aspect Ratio of partitions plays an important role. We define and rate different kinds of Aspect Ratio, present a new center-based partitioning method which optimizes this measure implicitly and rate several existing partitioning methods and tools under the criterion of Aspect Ratio.