Identifying financial crises in real time

Following the thermodynamic formulation of a multifractal measure that was shown to enable the detection of large fluctuations at an early stage, here we propose a new index which permits us to distinguish events like financial crises in real time. We calculate the partition function from which we can obtain thermodynamic quantities analogous to the free energy and specific heat. The index is defined as the normalized energy variation and it can be used to study the behavior of stochastic time series, such as financial market daily data. Famous financial market crashes-Black Thursday (1929), Black Monday (1987) and the subprime crisis (2008)-are identified with clear and robust results. The method is also applied to the market fluctuations of 2011. From these results it appears as if the apparent crisis of 2011 is of a different nature to the other three. We also show that the analysis has forecasting capabilities. © 2012 Elsevier B.V. All rights reserved.

Monitoring of hydrogen sulfide via substrate-integrated hollow waveguide mid-infrared sensors in real-time

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

A Comparative Analysis of In-Medium Spectral Functions for N(940) and N (au)(1535) in Real-Time Thermal Field Theory

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Programmable logic design of a compact Genetic Algorithm for phasor estimation in real-time

The main objective of this work is to present an efficient method for phasor estimation based on a compact Genetic Algorithm (cGA) implemented in Field Programmable Gate Array (FPGA). To validate the proposed method, an Electrical Power System (EPS) simulated by the Alternative Transients Program (ATP) provides data to be used by the cGA. This data is as close as possible to the actual data provided by the EPS. Real life situations such as islanding, sudden load increase and permanent faults were considered. The implementation aims to take advantage of the inherent parallelism in Genetic Algorithms in a compact and optimized way, making them an attractive option for practical applications in real-time estimations concerning Phasor Measurement Units (PMUs).

Optimized scheduling in real-time environments with column generation

Im Bereich sicherheitsrelevanter eingebetteter Systeme stellt sich der Designprozess von Anwendungen als sehr komplex dar. Entsprechend einer gegebenen Hardwarearchitektur lassen sich Steuergeräte aufrüsten, um alle bestehenden Prozesse und Signale pünktlich auszuführen. Die zeitlichen Anforderungen sind strikt und müssen in jeder periodischen Wiederkehr der Prozesse erfüllt sein, da die Sicherstellung der parallelen Ausführung von größter Bedeutung ist. Existierende Ansätze können schnell Designalternativen berechnen, aber sie gewährleisten nicht, dass die Kosten für die nötigen Hardwareänderungen minimal sind. Wir stellen einen Ansatz vor, der kostenminimale Lösungen für das Problem berechnet, die alle zeitlichen Bedingungen erfüllen. Unser Algorithmus verwendet Lineare Programmierung mit Spaltengenerierung, eingebettet in eine Baumstruktur, um untere und obere Schranken während des Optimierungsprozesses bereitzustellen. Die komplexen Randbedingungen zur Gewährleistung der periodischen Ausführung verlagern sich durch eine Zerlegung des Hauptproblems in unabhängige Unterprobleme, die als ganzzahlige lineare Programme formuliert sind. Sowohl die Analysen zur Prozessausführung als auch die Methoden zur Signalübertragung werden untersucht und linearisierte Darstellungen angegeben. Des Weiteren präsentieren wir eine neue Formulierung für die Ausführung mit fixierten Prioritäten, die zusätzlich Prozessantwortzeiten im schlimmsten anzunehmenden Fall berechnet, welche für Szenarien nötig sind, in denen zeitliche Bedingungen an Teilmengen von Prozessen und Signalen gegeben sind. Wir weisen die Anwendbarkeit unserer Methoden durch die Analyse von Instanzen nach, welche Prozessstrukturen aus realen Anwendungen enthalten. Unsere Ergebnisse zeigen, dass untere Schranken schnell berechnet werden können, um die Optimalität von heuristischen Lösungen zu beweisen. Wenn wir optimale Lösungen mit Antwortzeiten liefern, stellt sich unsere neue Formulierung in der Laufzeitanalyse vorteilhaft gegenüber anderen Ansätzen dar. Die besten Resultate werden mit einem hybriden Ansatz erzielt, der heuristische Startlösungen, eine Vorverarbeitung und eine heuristische mit einer kurzen nachfolgenden exakten Berechnungsphase verbindet.

Sviluppo di un modulo di visualizzazione, memorizzazione e analisi dati in real-time con elevato parallelismo

Progettazione e implementazione dei moduli di visualizzazione, memorizzazione e analisi di un sistema software di acquisizione dati in real-time da dispositivi prodotti da Elements s.r.l. La tesi mostra tutte le fasi di analisi, progettazione, implementazione e testing dei moduli sviluppati.

Detecting and resolving position-dependent temperature effects in real-time quantitative polymerase chain reaction

Real-time quantitative polymerase chain reaction (qPCR) depends on precise temperature control of the sample during cycling. In the current study, we investigated how temperature variation in plate-based qPCR instruments influences qPCR results. Temperature variation was measured by amplicon melting analysis as a convenient means to assess well-to-well differences. Multiple technical replicates of several SYBR Green I-based qPCR assays allowed correlation of relative well temperature to quantification cycle. We found that inadequate template denaturation results in an inverse correlation and requires increasing the denaturation temperature, adding a DNA destabilizing agent, or pretreating with a restriction enzyme. In contrast, inadequate primer annealing results in a direct correlation and requires lowering the annealing temperature. Significant correlations were found in 18 of 25 assays. The critical nature of temperature-dependent effects was shown in a blinded study of 29 patients for the diagnosis of Prader-Willy and Angelman syndromes, where eight diagnoses were incorrect unless temperature-dependent effects were controlled. A method to detect temperature-dependent effects by pairwise comparisons of replicates in routine experiments is presented and applied. Systematic temperature errors in qPCR instruments can be recognized and their effects eliminated when high precision is required in quantitative genetic diagnostics and critical complementary DNA analyses.

A Dynamically Adaptable Image Processing Application Trading Off Between High Performance, Consumption and Dependability in Real Time

As embedded systems evolve, problems inherent to technology become important limitations. In less than ten years, chips will exceed the maximum allowed power consumption affecting performance, since, even though the resources available per chip are increasing, frequency of operation has stalled. Besides, as the level of integration is increased, it is difficult to keep defect density under control, so new fault tolerant techniques are required. In this demo work, a new dynamically adaptable virtual architecture (ARTICo3) to allow dynamic and context-aware use of resources is implemented in a high performance Wireless Sensor node (HiReCookie) to perform an image processing application.

Monitoring the GAP catalyzed H-Ras GTPase reaction at atomic resolution in real time

The molecular reaction mechanism of the GTPase-activating protein (GAP)-catalyzed GTP hydrolysis by Ras was investigated by time resolved Fourier transform infrared (FTIR) difference spectroscopy using caged GTP (P3-1-(2-nitro)phenylethyl guanosine 5′-O-triphosphate) as photolabile trigger. This approach provides the complete GTPase reaction pathway with time resolution of milliseconds at the atomic level. Up to now, one structural model of the GAP⋅Ras⋅GDP⋅AlFx transition state analog is known, which represents a “snap shot” along the reaction-pathway. As now revealed, binding of GAP to Ras⋅GTP shifts negative charge from the γ to β phosphate. Such a shift was already identified by FTIR in GTP because of Ras binding and is now shown to be enhanced by GAP binding. Because the charge distribution of the GAP⋅Ras⋅GTP complex thus resembles a more dissociative-like transition state and is more like that in GDP, the activation free energy is reduced. An intermediate is observed on the reaction pathway that appears when the bond between β and γ phosphate is cleaved. In the intermediate, the released Pi is strongly bound to the protein and surprisingly shows bands typical of those seen for phosphorylated enzyme intermediates. All these results provide a mechanistic picture that is different from the intrinsic GTPase reaction of Ras. FTIR analysis reveals the release of Pi from the protein complex as the rate-limiting step for the GAP-catalyzed reaction. The approach presented allows the study not only of single proteins but of protein–protein interactions without intrinsic chromophores, in the non-crystalline state, in real time at the atomic level.

Incorporating global positioning data in real time P2P audio/video streams for mobile devices

We propose an original method to geoposition an audio/video stream with multiple emitters that are at the same time receivers of the mixed signal. The achieved method is suitable for those comes where a list of positions within a designated area is encoded with a degree of precision adjusted to the visualization capabilities; and is also easily extensible to support new requirements. This method extends a previously proposed protocol, without incurring in any performance penalty.

P2P audio/video protocol with global positioning data in real time for mobile devices

In this paper, we propose an original method to geoposition an audio/video stream with multiple emitters that are at the same time receivers of the mixed signal. The obtained method is suitable when a list of positions within a known area is encoded with precision tailored to the visualization capabilities of the target device. Nevertheless, it is easily adaptable to new precision requirements, as well as parameterized data precision. This method extends a previously proposed protocol, without incurring in any performance penalty.

A theory for execution-time derivation in real-time programs

We provide an abstract command language for real-time programs and outline how a partial correctness semantics can be used to compute execution times. The notions of a timed command, refinement of a timed command, the command traversal condition, and the worst-case and best-case execution time of a command are formally introduced and investigated with the help of an underlying weakest liberal precondition semantics. The central result is a theory for the computation of worst-case and best-case execution times from the underlying semantics based on supremum and infimum calculations. The framework is applied to the analysis of a message transmitter program and its implementation. (c) 2005 Elsevier B.V. All rights reserved.

Numerically optimized implementations, mitigation and simulations of polarisation mode dispersion in real-time transmission systems

The aim of this thesis is to present numerical investigations of the polarisation mode dispersion (PMD) effect. Outstanding issues on the side of the numerical implementations of PMD are resolved and the proposed methods are further optimized for computational efficiency and physical accuracy. Methods for the mitigation of the PMD effect are taken into account and simulations of transmission system with added PMD are presented. The basic outline of the work focusing on PMD can be divided as follows. At first the widely-used coarse-step method for simulating the PMD phenomenon as well as a method derived from the Manakov-PMD equation are implemented and investigated separately through the distribution of a state of polarisation on the Poincaré sphere, and the evolution of the dispersion of a signal. Next these two methods are statistically examined and compared to well-known analytical models of the probability distribution function (PDF) and the autocorrelation function (ACF) of the PMD phenomenon. Important optimisations are achieved, for each of the aforementioned implementations in the computational level. In addition the ACF of the coarse-step method is considered separately, based on the result which indicates that the numerically produced ACF, exaggerates the value of the correlation between different frequencies. Moreover the mitigation of the PMD phenomenon is considered, in the form of numerically implementing Low-PMD spun fibres. Finally, all the above are combined in simulations that demonstrate the impact of the PMD on the quality factor (Q=factor) of different transmission systems. For this a numerical solver based on the coupled nonlinear Schrödinger equation is created which is otherwise tested against the most important transmission impairments in the early chapters of this thesis.