Detecting intraday periodicities with application to high frequency exchange rates

Many recent papers have documented periodicities in returns, return volatility, bid–ask spreads and trading volume, in both equity and foreign exchange markets. We propose and employ a new test for detecting subtle periodicities in time series data based on a signal coherence function. The technique is applied to a set of seven half-hourly exchange rate series. Overall, we find the signal coherence to be maximal at the 8-h and 12-h frequencies. Retaining only the most coherent frequencies for each series, we implement a trading rule that is based on these observed periodicities. Our results demonstrate in all cases except one that, in gross terms, the rules can generate returns that are considerably greater than those of a buy-and-hold strategy, although they cannot retain their profitability net of transactions costs. We conjecture that this methodology could constitute an important tool for financial market researchers which will enable them to detect, quantify and rank the various periodic components in financial data better.

A PZT-based technique for SHM using the coherence function

This paper presents a new approach for damage detection in structural health monitoring systems exploiting the coherence function between the signals from PZT (Lead Zirconate Titanate) transducers bonded to a host structure. The physical configuration of this new approach is similar to the configuration used in Lamb wave based methods, but the analysis and operation are different. A PZT excited by a signal with a wide frequency range acts as an actuator and others PZTs are used as sensors to receive the signal. The coherences between the signals from the PZT sensors are obtained and the standard deviation for each coherence function is computed. It is demonstrated through experimental results that the standard deviation of the coherence between the signals from the PZTs in healthy and damaged conditions is a very sensitive metric index to detect damage. Tests were carried out on an aluminum plate and the results show that the proposed methodology could be an excellent approach for structural health monitoring (SHM) applications.

Optic Disc Margin Anatomy in Patients with Glaucoma and Normal Controls with Spectral Domain Optical Coherence Tomography

Objective: To characterize optic nerve head (ONH) anatomy related to the clinical optic disc margin with spectral domain-optical coherence tomography (SD-OCT). Design: Cross-sectional study. Participants: Patients with open-angle glaucoma with focal, diffuse, and sclerotic optic disc damage, and age-matched normal controls. Methods: High-resolution radial SD-OCT B-scans centered on the ONH were analyzed at each clock hour. For each scan, the border tissue of Elschnig was classified for obliqueness (internally oblique, externally oblique, or nonoblique) and the presence of Bruch's membrane overhanging the border tissue. Optic disc stereophotographs were co-localized to SD-OCT data with customized software. The frequency with which the disc margin identified in stereophotographs coincided with (1) Bruch's membrane opening (BMO), defined as the innermost edge of Bruch's membrane; (2) Bruch's membrane/border tissue, defined as any aspect of either outside BMO or border tissue; or (3) border tissue, defined as any aspect of border tissue alone, in the B-scans was computed at each clock hour. Main Outcome Measures: The SD-OCT structures coinciding with the disc margin in stereophotographs. Results: There were 30 patients (10 with each type of disc damage) and 10 controls, with a median (range) age of 68.1 (42-86) years and 63.5 (42-77) years, respectively. Although 28 patients (93%) had 2 or more border tissue configurations, the most predominant one was internally oblique, primarily superiorly and nasally, frequently with Bruch's membrane overhang. Externally oblique border tissue was less frequent, observed mostly inferiorly and temporally. In controls, there was predominantly internally oblique configuration around the disc. Although the configurations were not statistically different between patients and controls, they were among the 3 glaucoma groups. At most locations, the SD-OCT structure most frequently identified as the disc margin was some aspect of Bruch's membrane and border tissue external to BMO. Bruch's membrane overhang was regionally present in the majority of patients with glaucoma and controls; however, in most cases it was not visible as the disc margin. Conclusions: The clinically perceived disc margin is most likely not the innermost edge of Bruch's membrane detected by SD-OCT. These findings have important implications for the automated detection of the disc margin and estimates of the neuroretinal rim. Financial Disclosure(s): Proprietary or commercial disclosure may be found after the references. Ophthalmology 2012;119:738-747 (C) 2012 by the American Academy of Ophthalmology.

Increased coherence among striatal regions in the theta range during attentive wakefulness

The striatum, the largest component of the basal ganglia, is usually subdivided into associative, motor and limbic components. However, the electrophysiological interactions between these three subsystems during behavior remain largely unknown. We hypothesized that the striatum might be particularly active during exploratory behavior, which is presumably associated with increased attention. We investigated the modulation of local field potentials (LFPs) in the striatum during attentive wakefulness in freely moving rats. To this end, we implanted microelectrodes into different parts of the striatum of Wistar rats, as well as into the motor, associative and limbic cortices. We then used electromyograms to identify motor activity and analyzed the instantaneous frequency, power spectra and partial directed coherence during exploratory behavior. We observed fine modulation in the theta frequency range of striatal LFPs in 92.5 ± 2.5% of all epochs of exploratory behavior. Concomitantly, the theta power spectrum increased in all striatal channels (P < 0.001), and coherence analysis revealed strong connectivity (coefficients >0.7) between the primary motor cortex and the rostral part of the caudatoputamen nucleus, as well as among all striatal channels (P < 0.001). Conclusively, we observed a pattern of strong theta band activation in the entire striatum during attentive wakefulness, as well as a strong coherence between the motor cortex and the entire striatum. We suggest that this activation reflects the integration of motor, cognitive and limbic systems during attentive wakefulness.

Coronary optical frequency domain imaging (OFDI) for in vivo evaluation of stent healing: comparison with light and electron microscopy

Coronary late stent thrombosis, a rare but devastating complication, remains an important concern in particular with the increasing use of drug-eluting stents. Notably, pathological studies have indicated that the proportion of uncovered coronary stent struts represents the best morphometric predictor of late stent thrombosis. Intracoronary optical frequency domain imaging (OFDI), a novel second-generation optical coherence tomography (OCT)-derived imaging method, may allow rapid imaging for the detection of coronary stent strut coverage with a markedly higher precision when compared with intravascular ultrasound, due to a microscopic resolution (axial approximately 10-20 microm), and at a substantially increased speed of image acquisition when compared with first-generation time-domain OCT. However, a histological validation of coronary OFDI for the evaluation of stent strut coverage in vivo is urgently needed. Hence, the present study was designed to evaluate the capacity of coronary OFDI by electron (SEM) and light microscopy (LM) analysis to detect and evaluate stent strut coverage in a porcine model.

Reproducibility of retinal thickness measurements in healthy subjects using spectralis optical coherence tomography

PURPOSE: To test the reproducibility of retinal thickness measurements in healthy volunteers of a new Frequency-domain optical coherence tomography (OCT) device (Spectralis OCT; Heidelberg Engineering, Heidelberg, Germany). DESIGN: Prospective, observational study. METHODS: Forty-one eyes of 41 healthy subjects were included into the study. Intraobserver reproducibility was tested with 20 x 15 degree raster scans consisting of 37 high-resolution line scans that were repeated three times by one examiner (M.N.M.). Mean retinal thickness was calculated for nine areas corresponding to the Early Treatment Diabetic Retinopathy Study (ETDRS) areas. Coefficients of variation (COV) were calculated. RESULTS: Retinal thickness measurements were highly reproducible for all ETDRS areas. Mean total retinal thickness was 342 +/- 15 microm. Mean foveal thickness was 286 +/- 17 microm. COVs ranged from 0.38% to 0.86%. Lowest COV was found for the temporal outer ETDRS area (area 7; COV, 0.38%). Highest COV was found for the temporal inner ETDRS area (area 3; COV, 0.86%). Mean difference between measurement 1 and 2, measurement 1 and 3, and measurement 2 and 3 for all ETDRS areas was 1.01 microm, 0.98 microm, and 0.99 microm, respectively. CONCLUSION: Spectralis OCT retinal thickness measurements in healthy volunteers showed excellent intraobserver reproducibility with virtually identical results between retinal thickness measurements performed by one operator.

Incidence and Imaging Outcomes of Acute Scaffold Disruption and Late Structural Discontinuity After Implantation of the Absorb Everolimus-Eluting Fully Bioresorbable Vascular Scaffold: Optical Coherence Tomography Assessment in the ABSORB Cohort B Trial (A Clinical Evaluation of the Bioabsorbable Everolimus Eluting Coronary Stent System in the Treatment of Patients With De Novo Native Coronary Artery Lesions).

OBJECTIVES This study sought to describe the frequency and clinical impact of acute scaffold disruption and late strut discontinuity of the second-generation Absorb bioresorbable polymeric vascular scaffolds (Absorb BVS, Abbott Vascular, Santa Clara, California) in the ABSORB (A Clinical Evaluation of the Bioabsorbable Everolimus Eluting Coronary Stent System in the Treatment of Patients With De Novo Native Coronary Artery Lesions) cohort B study by optical coherence tomography (OCT) post-procedure and at 6, 12, 24, and 36 months. BACKGROUND Fully bioresorbable scaffolds are a novel approach to treatment for coronary narrowing that provides transient vessel support with drug delivery capability without the long-term limitations of metallic drug-eluting stents. However, a potential drawback of the bioresorbable scaffold is the potential for disruption of the strut network when overexpanded. Conversely, the structural discontinuity of the polymeric struts at a late stage is a biologically programmed fate of the scaffold during the course of bioresorption. METHODS The ABSORB cohort B trial is a multicenter single-arm trial assessing the safety and performance of the Absorb BVS in the treatment of 101 patients with de novo native coronary artery lesions. The current analysis included 51 patients with 143 OCT pullbacks who underwent OCT at baseline and follow-up. The presence of acute disruption or late discontinuities was diagnosed by the presence on OCT of stacked, overhung struts or isolated intraluminal struts disconnected from the expected circularity of the device. RESULTS Of 51 patients with OCT imaging post-procedure, acute scaffold disruption was observed in 2 patients (3.9%), which could be related to overexpansion of the scaffold at the time of implantation. One patient had a target lesion revascularization that was presumably related to the disruption. Of 49 patients without acute disruption, late discontinuities were observed in 21 patients. There were no major adverse cardiac events associated with this finding except for 1 patient who had a non-ischemia-driven target lesion revascularization. CONCLUSIONS Acute scaffold disruption is a rare iatrogenic phenomenon that has been anecdotally associated with anginal symptoms, whereas late strut discontinuity is observed in approximately 40% of patients and could be viewed as a serendipitous OCT finding of a normal bioresorption process without clinical implications. (ABSORB Clinical Investigation, Cohort B [ABSORB B]; NCT00856856).

Temporal evolution of strut light intensity after implantation of bioresorbable polymeric intracoronary scaffolds in the ABSORB cohort B trial-an application of a new quantitative method based on optical coherence tomography.

BACKGROUND Quantitative light intensity analysis of the strut core by optical coherence tomography (OCT) may enable assessment of changes in the light reflectivity of the bioresorbable polymeric scaffold from polymer to provisional matrix and connective tissues, with full disappearance and integration of the scaffold into the vessel wall. The aim of this report was to describe the methodology and to apply it to serial human OCT images post procedure and at 6, 12, 24 and 36 months in the ABSORB cohort B trial. METHODS AND RESULTS In serial frequency-domain OCT pullbacks, corresponding struts at different time points were identified by 3-dimensional foldout view. The peak and median values of light intensity were measured in the strut core by dedicated software. A total of 303 corresponding struts were serially analyzed at 3 time points. In the sequential analysis, peak light intensity increased gradually in the first 24 months after implantation and reached a plateau (relative difference with respect to baseline [%Dif]: 61.4% at 12 months, 115.0% at 24 months, 110.7% at 36 months), while the median intensity kept increasing at 36 months (%Dif: 14.3% at 12 months, 75.0% at 24 months, 93.1% at 36 months). CONCLUSIONS Quantitative light intensity analysis by OCT was capable of detecting subtle changes in the bioresorbable strut appearance over time, and could be used to monitor the bioresorption and integration process of polylactide struts.

Probing the Structure, Pseudorotation, and Radial Vibrations of Cyclopentane by Femtosecond Rotational Raman Coherence Spectroscopy

Femtosecond time-resolved Raman rotational coherence spectroscopy (RCS) is employed to determine accurate rotational, vibration–rotation coupling constants, and centrifugal distortion constants of cyclopentane (C⁵H¹⁰). Its lowest-frequency vibration is a pseudorotating ring deformation that interconverts 10 permutationally distinct but energetically degenerate “twist” minima interspersed by 10 “bent” conformers. While the individual twist and bent structures are polar asymmetric tops, the pseudorotation is fast on the time scale of external rotation, rendering cyclopentane a fluxionally nonpolar symmetric top molecule. The pseudorotational level pattern corresponds to a one-dimensional internal rotor with a pseudorotation constant Bps ≈ 2.8 cm⁻¹. The pseudorotational levels are significantly populated up to l = ± 13 at 298 K; <10% of the molecules are in the l = 0 level. The next-higher vibration is the “radial” ν²³ ring deformation mode at 273 cm⁻¹, which is far above the pseudorotational fundamental. Femtosecond Raman RCS measurements were performed in a gas cell at T = 293 K and in a pulsed supersonic jet at T ≈ 90 K. The jet cooling reduces the pseudorotational distribution to l < ±8 and eliminates the population of ν²³, allowing one to determine the rotational constant as A0 = B0 = 6484.930(11) MHz. This value is ∼300 times more precise than the previous value. The fit of the RCS transients reveals that the rotation–pseudorotation coupling constant αe,psB = −0.00070(1) MHz is diminutive, implying that excitation of the pseudorotation has virtually no effect on the B0 rotational constant of cyclopentane. The smallness of αe,psB can be realized when comparing to the vibration–rotation coupling constant of the ν²³ vibration, αe,23B = −9.547(1) MHz, which is about 10⁴ times larger.

Time-frequency characterization of a sound propagation channel as an educational tool

This paper discusses the use of sound waves to illustrate multipath radio propagation concepts. Specifically, a procedure is presented to measure the time-varying frequency response of the channel. This helps demonstrate how a propagation channel can be characterized in time and frequency, and provides visualizations of the concepts of coherence time and coherence bandwidth. The measurements are very simple to carry out, and the required equipment is easily available. The proposed method can be useful for wireless or mobile communication courses.

Low frequency vibrational modes in proteins: Changes induced by point-mutations in the protein-cofactor matrix of bacterial reaction centers

As a step toward understanding their functional role, the low frequency vibrational motions (<300 cm−1) that are coupled to optical excitation of the primary donor bacteriochlorophyll cofactors in the reaction center from Rhodobacter sphaeroides were investigated. The pattern of hydrogen-bonding interaction between these bacteriochlorophylls and the surrounding protein was altered in several ways by mutation of single amino acids. The spectrum of low frequency vibrational modes identified by femtosecond coherence spectroscopy varied strongly between the different reaction center complexes, including between different mutants where the pattern of hydrogen bonds was the same. It is argued that these variations are primarily due to changes in the nature of the individual modes, rather than to changes in the charge distribution in the electronic states involved in the optical excitation. Pronounced effects of point mutations on the low frequency vibrational modes active in a protein-cofactor system have not been reported previously. The changes in frequency observed indicate a strong involvement of the protein in these nuclear motions and demonstrate that the protein matrix can increase or decrease the fluctuations of the cofactor along specific directions.

The High Frequency Component of Heart Rate Variability and Delta EEG Power during Sleep in Healthy Women and Women with Irritable Bowel Syndrome

Thesis (Ph.D.)--University of Washington, 2016-06

Multilevel coherence effects in a two-level atom driven by a trichromatic field

We study the absorption and dispersion properties of a weak probe field monitoring a two-level atom driven by a trichromatic field. We calculate the steady-state linear susceptibility and find that the system can produce a number of multilevel coherence effects predicted for atoms composed of three and more energy levels. Although the atom has only one transition channel, the multilevel effects are possible because there are multichannel transitions between dressed states induced by the driving field. In particular, we show that the system can exhibit multiple electromagnetically induced transparency and can also produce a strong amplification at the central frequency which is not attributed to population inversion in both the atomic bare states and in the dressed atomic states. Moreover, we show that the absorption and dispersion of the probe field is sensitive to the initial relative phase of the components of the driving field. In addition, we show that the group velocity of the probe field can be controlled by changing the initial relative phases or frequencies of the driving fields and can also be varied from subluminal to superluminal. (C) 2003 Elsevier Science B.V. All rights reserved.

Detecting finite bandwidth periodic signals in stationary noise using the signal coherence spectrum

All signals that appear to be periodic have some sort of variability from period to period regardless of how stable they appear to be in a data plot. A true sinusoidal time series is a deterministic function of time that never changes and thus has zero bandwidth around the sinusoid's frequency. A zero bandwidth is impossible in nature since all signals have some intrinsic variability over time. Deterministic sinusoids are used to model cycles as a mathematical convenience. Hinich [IEEE J. Oceanic Eng. 25 (2) (2000) 256-261] introduced a parametric statistical model, called the randomly modulated periodicity (RMP) that allows one to capture the intrinsic variability of a cycle. As with a deterministic periodic signal the RMP can have a number of harmonics. The likelihood ratio test for this model when the amplitudes and phases are known is given in [M.J. Hinich, Signal Processing 83 (2003) 1349-13521. A method for detecting a RMP whose amplitudes and phases are unknown random process plus a stationary noise process is addressed in this paper. The only assumption on the additive noise is that it has finite dependence and finite moments. Using simulations based on a simple RMP model we show a case where the new method can detect the signal when the signal is not detectable in a standard waterfall spectrograrn display. (c) 2005 Elsevier B.V. All rights reserved.

OCT retinal thickness ratios and frequency of follow-up in Wet AMD

Poster Introduction: In neovascular age-related macular degeneration (nAMD), optical coherence tomography (OCT) is an important tool to determine when intravitreal injections of ranibizumab should be administered. Current guidelines recommend that patients should be reviewed four weekly and OCT indications for further treatment include subretinal fluid and intraretinal fluid or cysts. Purpose: We have reviewed the OCT scans of subjects who have successfully responded to ranibizumab to look for factors that might predict which patients will not require injection and could have extended appointments. Method: This was a prospective study in which we observed for 6 consecutive months the OCT images of 28 subjects who had received intravitreal ranibizumab for nAMD and were judged to be clinically inactive at recruitment to the study. Ratios between full retinal thickness (FRT = neurosensory retina + outer reflective band) and outer reflective band (ORB) thickness at the fovea were calculated for each subject at the moment of entering the study and at each successive visit for 6 consecutive months. Results: Patients with lower FRT/ORB ratios were found to be less likely to require an additional injection of ranibizumab and no subject with a ratio of 1.75 or less needed further injections. Conclusion: This small pilot study suggests that on macular OCT, the FRT/ORB ratio, and in particular values of 1.75 or less, may prove to be a useful, practical tool when deciding the follow up period for subjects undergoing treatment with intravitreal ranibizumab for nAMD.