Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Large eddy simulation of turbine internal cooling ducts

Abstract Large-Eddy Simulation (LES) and hybrid Reynolds-averaged Navier–Stokes–LES (RANS–LES) methods are applied to a turbine blade ribbed internal duct with a 180° bend containing 24 pairs of ribs. Flow and heat transfer predictions are compared with experimental data and found to be in agreement. The choice of LES model is found to be of minor importance as the flow is dominated by large geometric scale structures. This is in contrast to several linear and nonlinear RANS models, which display turbulence model sensitivity. For LES, the influence of inlet turbulence is also tested and has a minor impact due to the strong turbulence generated by the ribs. Large scale turbulent motions destroy any classical boundary layer reducing near wall grid requirements. The wake-type flow structure makes this and similar flows nearly Reynolds number independent, allowing a range of flows to be studied at similar cost. Hence LES is a relatively cheap method for obtaining accurate heat transfer predictions in these types of flows.

Efficient parametric uncertainty analysis within the hybrid Finite Element/Statistical Energy Analysis method

This paper is concerned with the development of efficient algorithms for propagating parametric uncertainty within the context of the hybrid Finite Element/Statistical Energy Analysis (FE/SEA) approach to the analysis of complex vibro-acoustic systems. This approach models the system as a combination of SEA subsystems and FE components; it is assumed that the FE components have fully deterministic properties, while the SEA subsystems have a high degree of randomness. The method has been recently generalised by allowing the FE components to possess parametric uncertainty, leading to two ensembles of uncertainty: a non-parametric one (SEA subsystems) and a parametric one (FE components). The SEA subsystems ensemble is dealt with analytically, while the effect of the additional FE components ensemble can be dealt with by Monte Carlo Simulations. However, this approach can be computationally intensive when applied to complex engineering systems having many uncertain parameters. Two different strategies are proposed: (i) the combination of the hybrid FE/SEA method with the First Order Reliability Method which allows the probability of the non-parametric ensemble average of a response variable exceeding a barrier to be calculated and (ii) the combination of the hybrid FE/SEA method with Laplace's method which allows the evaluation of the probability of a response variable exceeding a limit value. The proposed approaches are illustrated using two built-up plate systems with uncertain properties and the results are validated against direct integration, Monte Carlo simulations of the FE and of the hybrid FE/SEA models. © 2013 Elsevier Ltd.

Estimation of the detection probability for Yangtze finless porpoises (Neophocaena phocaenoides asiaeorientalis) with a passive acoustic method

Yangtze finless porpoises were surveyed by using simultaneous visual and acoustical methods from 6 November to 13 December 2006. Two research vessels towed stereo acoustic data loggers, which were used to store the intensity and sound source direction of the high frequency sonar signals produced by finless porpoises at detection ranges up to 300 m on each side of the vessel. Simple stereo beam forming allowed the separation of distinct biosonar sound source, which enabled us to count the number of vocalizing porpoises. Acoustically, 204 porpoises were detected from one vessel and 199 from the other vessel in the same section of the Yangtze River. Visually, 163 and 162 porpoises were detected from two vessels within 300 m of the vessel track. The calculated detection probability using acoustic method was approximately twice that for visual detection for each vessel. The difference in detection probabilities between the two methods was caused by the large number of single individuals that were missed by visual observers. However, the sizes of large groups were underestimated by using the acoustic methods. Acoustic and visual observations complemented each other in the accurate detection of porpoises. The use of simple, relatively inexpensive acoustic monitoring systems should enhance population surveys of free-ranging, echolocating odontocetes. (C) 2008 Acoustical Society of America.

Estimated detection distance of a baiji's (Chinese river dolphin, Lipotes vexillifer) whistles using a passive acoustic survey method

Source levels and phonation intervals of whistles produced by a free-ranging baiji (Chinese river dolphin) were measured in the seminatural reserve of Shishou in Hubei, China. A total of 43 whistles were recorded over 12 recording sessions. The mean dominant frequency (the frequency at the highest energy) was 5.7 kHz (s.d.=0.67). The calculated source level was 143.2 dB rms re 1 mu Pa (s.d.=5.8). Most phonation intervals were shorter than 460 s, and the average interval was 205 s (s.d. = 254). Theoretical detection range of baiji's whistle was 6600 m at the present study site, but it could reduce a couple of hundred meters in practical noisy situation in the Yangtze River. Sporadic phonation (205 s interval on average) with relatively faint signal of baiji was considered, to be difficult to be detected by a towing hydrophone system. Stationed monitoring or slow speed towing of hydrophones along the river current is recommended. (c) 2006 Acoustical Society of America.

Research on the influence of fabrication parameters on the performance of buried ion-exchanged glass waveguides using the variational method

The variational method is proposed to analyze the influence of the fabrication parameters on the performance of buried K+-Na+ ion-exchanged Er3+-Yb3+ ions co-doped glass waveguide. The unknown parameters of the Hermite-Gaussian functions as the trial field distribution are determined based on the scalar variational principle. It is demonstrated that the results calculated in this paper agree with those measured in the experiment. The mode dimensions, the effective refractive index, and the overlap factor as the functions of the fabrication parameters are investigated. These results of the variational analysis are useful for the design and optimization of Er3+-Yb3+ ions co-doped waveguides.

CALCULATED ELECTRONIC AND MAGNETIC-STRUCTURES OF THE NEW TERNARY RARE-EARTH IRON NITRIDE ND2FE17N3

The electronic and magnetic structures of Nd2Fe17 and Nd2Fe17N3 have been calculated using the first-principle, spin-polarized orthogonalized linear combination of atomic orbitals method. Comparative studies of the two materials reveal important effects of the nitrogen atoms (at 9e site) on the electronic and magnetic structures. Results are presented for the total density of states, site-projected partial density of states and the spin magnetic moments on four nonequivalent Fe sites. The highest magnetic moments are found to be located on the 6c site for Nd2Fe17 and on the 9d site for Nd2Fe17N3, in agreement with the neutron and Mossbauer experiments. The variation trends of the magnetic moments on different Fe sites are discussed in terms of the separation between Fe and N atoms. Compared with Nd2Fe17, an increase in the exchange splitting of the Fe d band is found in Nd2Fe17N3, which accounts for its higher Curie temperature as observed in experiments. The calculated results show that the nitrogen atoms are charge acceptors in these compounds.

CALCULATION OF DIELECTRIC-CONSTANTS FOR SEMICONDUCTORS - AN APPLICATION OF ABINITIO PSEUDOPOTENTIAL METHOD

We have used ab initio pseudopotential method to generate basis wavefunctions and eigen energies to carry out first principle calculations of the static macroscopic dielectric constant for GaAs and GaP. The resulted converged random phase approximation (RPA) value is 12.55 and 10.71, in excellent agreement to the experimental value of 12.4 and 10.86, respectively. The inclusion of the exchange correlation contribution makes the calculated result slightly worsen. A convergence test with respect to the number of k points in Brillouin zone (BZ) integration was carried out. Sixty irreducible BZ k points were used to achieve the converged results. Integration with only 10 special k points increased the RPA value by 15%.

The scattering matrix method for quantum waveguides

A scattering matrix method for investigating the electron transport in quantum waveguides is presented. By dividing the structure into a number of transverse slices, the global scattering matrix is obtained by the composition of the individual scattering matrices associated with each interface. Complicated geometries and inhomogeneous external potentials are included in the formulation. It is shown that the proposed scattering matrix method possesses many advantages over the traditional mode-matching and transfer matrix methods, especially in treating the electron wave propagation in complicated geometries. Justification for the method is provided by the unitarity of the calculated scattering matrix, and the consistency of the results with those obtained by the recursive Green's function method.

A Numerical Method for Calculating Transmission Coefficients Across Arbitrary Potential Barriers with High Accuracy

We report a new method for calculating transmission coefficients across arbitrary potential barriers based on the Runge-Kutta method. A numerical solution of the Schrodinger equation is calculated using the Runge-Kutta method,and a new model is established to analyze the numerical results to find the transmission coefficient. This technique is applied to various cases, such as parabolic potential barrier and double-barrier structures. Transmission probability with high precision is obtained and discussed. The tunnelling current density through a MOS structure is also explored and the result coincides with the Fowler-Nordheim model,which indicates the applicability of our method.

Elastic Strain Field Distribution of a Self-Organized Growth Lensed-Shaped Quantum Dot by Finite Element Method

The stress and strain fields in self-organized growth coherent quantum dots (QD) structures are investigated in detail by two-dimension and three-dimension finite element analyses for lensed-shaped QDs. The nonobjective isolate quantum dot system is used. The calculated results can be directly used to evaluate the conductive band and valence band confinement potential and strain introduced by the effective mass of the charge carriers in strain QD.

Calculation of Valence Subband Structures for Strained Quantum-Wells by Plane Wave Expansion Method Within 6 * 6 Luttinger-Kohn Model

The valence subband energies and wave functions of a tensile strained quantum well are calculated by the plane wave expansion method within the 6 * 6 Luttinger-Kohn model. The effect of the number and period of plane-waves used for expansion on the stability of energy eigenvalues is examined. For practical calculation, it should choose the period large sufficiently to ensure the envelope functions vanish at the boundary and the number of plane waves large enough to ensure the energy eigenvalues keep unchanged within a prescribed range.

Stress analysis of silica-based arrayed waveguide grating by a finite element method

The stress distribution in silica optical waveguides on silicon is calculated by using finite element method (FEM). The waveguides are mainly subjected to compressive stress along the x direction and the z direction, and it is accumulated near the interfaces between the core and cladding layers. The shift of central wavelength of silica arrayed waveguide grating (AWG) on silicon-substrate with the designed wavelength and the polarization dependence are caused by the stress in the silica waveguides.

A method on theoretical simulation of chromosome breaks in cells exposed to heavy ions

Background. The aim of this study is to assess an easy and quick method on simulating chromosome breaks in cells exposed to heavy charged particles. Methods. The theoretical value of chromosome break was calculated, and the validated comparison with the experimental value by using a premature chromosome condensation technique was done. Results. A good consistence was found to be appeared between the theoretical and experimental value. Conclusions. This suggested that a higher relative biological effectiveness of heavy ions was closely correlated with its physical characteristics and besides, a safe approach on predicting chromosome breaks in cells exposed to heavy ions at off-line environment come to be considered. Furthermore, three key factors influencing the theoretical simulation was investigated and discussed.

3D quench simulation using finite element method for CR superconducting magnet's strand

The CR superconducting magnet is a dipole of the FAIR project of GSI in Germany. The quench of the strand is simulated using FEM software ANSYS. From the simulation, the quench propagation can be visualized. Programming with APDL, the value of propagation velocity of normal zone is calculated. Also the voltage increasing over time of the strand is computed and pictured. Furthermore, the Minimum Propagation Zone (MPZ) is studied. At last, the relation between the current and the propagation velocity of normal zone, and the influence of initial temperature on quench propagation are studied.