Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Slip flow and heat transfer in microbearings with fractal surface topographies

The effects of random surface roughness on slip flow and heat transfer in microbearings are investigated. A three-dimensional random surface roughness model characterized by fractal geometry is used to describe the multiscale self-affine roughness, which is represented by the modified two-variable Weierstrass- Mandelbrot (W-M) functions, at micro-scale. Based on this fractal characterization, the roles of rarefaction and roughness on the thermal and flow properties in microbearings are predicted and evaluated using numerical analyses and simulations. The results show that the boundary conditions of velocity slip and temperature jump depend not only on the Knudsen number but also on the surface roughness. It is found that the effects of the gas rarefaction and surface roughness on flow behavior and heat transfer in the microbearing are strongly coupled. The negative influence of roughness on heat transfer found to be the Nusselt number reduction. In addition, the effects of temperature difference and relative roughness on the heat transfer in the bearing are also analyzed and discussed. © 2012 Elsevier Ltd. All rights reserved.

A numerical simulation of AFR switch of SI engines

A novel mechanical method of achieving a rapid switch between stoichiometric and lean conditions for SI engines is explored. Two and three throttle configurations, a switch strategy which employs a standard intake manifold and an assembly of pipes and throttle(s), are investigated numerically by using a one-dimensional engine simulation program based on the method of characteristics. The results indicate that it is possible to achieve rapid AFR switch without a torque jump, i.e. unperceptible to the driver. © 1998 Society of Automotive Engineers, Inc.

Local equilibrium of the Gibbs interface in two-phase systems

We analyze the local equilibrium assumption for interfaces from the perspective of gauge transformations, which are the small displacements of Gibbs' dividing surface. The gauge invariance of thermodynamic properties turns out to be equivalent to conditions for jumps of bulk densities across the interface. This insight strengthens the foundations of the local equilibrium assumption for interfaces and can be used to characterize nonequilibrium interfaces in a compact and consistent way, with a clear focus on gauge-invariant properties. Using the principle of gauge invariance, we show that the validity of Clapeyron equations can be extended to nonequilibrium interfaces, and an additional jump condition for the momentum density is recognized to be of the Clapeyron type. © 2012 Europhysics Letters Association.

The temporal evolution of feedback gains rapidly update to task demands.

Recent theoretical frameworks such as optimal feedback control suggest that feedback gains should modulate throughout a movement and be tuned to task demands. Here we measured the visuomotor feedback gain throughout the course of movements made to "near" or "far" targets in human subjects. The visuomotor gain showed a systematic modulation over the time course of the reach, with the gain peaking at the middle of the movement and dropping rapidly as the target is approached. This modulation depends primarily on the proportion of the movement remaining, rather than hand position, suggesting that the modulation is sensitive to task demands. Model-predictive control suggests that the gains should be continuously recomputed throughout a movement. To test this, we investigated whether feedback gains update when the task goal is altered during a movement, that is when the target of the reach jumped. We measured the visuomotor gain either simultaneously with the jump or 100 ms after the jump. The visuomotor gain nonspecifically reduced for all target jumps when measured synchronously with the jump. However, the visuomotor gain 100 ms later showed an appropriate modulation for the revised task goal by increasing for jumps that increased the distance to the target and reducing for jumps that decreased the distance. We conclude that visuomotor feedback gain shows a temporal evolution related to task demands and that this evolution can be flexibly recomputed within 100 ms to accommodate online modifications to task goals.

Analysis of mode characteristics for equilateral-polygonal resonators with a center hole

Mode characteristics for equilateral triangles, squares, and hexagonal resonators with a center hole are numerically simulated by the finite-different time domain (FDTD) technique. The center hole does not break the symmetry behavior of the original resonators and can result in modification of the mode field patterns and mode Q factors. In an equilateral triangle resonator the center hole can suppress the symmetry state of degenerate states with the merit of single mode operation. In a square resonator, the Q factor can be enhanced for some modes with a suitable size of the hole. For a hexagonal resonator with a side length of 1 mu m and a refractive index of 3.2, the mode Q factors first gradually decrease with the increase of the hole diameter for modes at a wavelength of about 1500 nm, then the modes transform to that of a microdisk with a jump of the mode wavelength as the hole diameter approaches 0.7 mu m. Finally, the mode Q factors greatly enhance as the hole diameter reaches about 1 mu m. The results indicate that the center hole can greatly modify mode characteristics, especially that of the mode Q factor. (C) 2009 Optical Society of America

Photovoltaic effect in a photon storage cell

The response of photonic memory effect in I-V characteristics of a specially designed photonic memory cell was reported. When the cell is biased in a storage mode, the optical excitation with the photon's energy larger than the energy gap gives rise to a step-like jump in the current. A set-up was used to measure the transient photocurrent at the biases where the step-like jump showed up. It is proved that the falling transient edge of the photocurrent, as the photoexcitation turns off, mainly maps the decaying of electrons and holes, which were previously stored in the cell during the illumination. Its time constant is a measure of photonic memory time.

Storage of photoexcited electron-hole pairs in an AlAs/GaAs heterostructure created by electron transfer in real and kappa spaces

The storage of photoexcited electron-hole pairs is experimentally carried out and theoretically realized by transferring electrons in both real and k spaces through resonant Gamma - X in an AlAs/GaAs heterostructure. This is proven by the peculiar capacitance jump and hysteresis in the measured capacitance-voltage curves. Our structure may be used as a photonic memory cell with a long storage time and a fast retrieval of photons as well.

Purification of single-walled carbon nanotubes synthesized by the catalytic decomposition of hydrocarbons

A procedure for purifying single-walled carbon nanotubes (SWNTs) synthesized by the catalytic decomposition of hydrocarbons has been developed. Based on the results from SEM observations, EDS analysis and Raman measurements, it was found that amorphous carbon, catalyst particles, vapor-grown carbon nanofibers and multi-walled carbon nanotubes were removed from the ropes of SWNTs without damaging the SWNT bundles, and a 40% yield of the SWNTs with a purity of about 95% was achieved after purification. (C) 2000 Elsevier Science Ltd. All rights reserved.

Temperature-dependent modulation characteristics for 1.3 mu m InAs/GaAs quantum dot lasers

Temperature-dependent modulation characteristics of 1.3 mu m InAs/GaAs quantum dot (QD) lasers under small signals have been carefully studied at various bias currents. Based on experimental observations, it is found that the modulation bandwidth significantly increases when excited state (ES) lasing emerges at high temperature. This is attributed to additional photons emitted by ES lasing which contribute to the modulation response. A rate equation model including two discrete electron energy levels and the level of wetting layer has been used to investigate the temperature-dependent dynamic behavior of the QD lasers. Numerical investigations confirm that the significant jump for the small signal modulation response is indeed caused by ES photons. Furthermore, we identify how the electron occupation probabilities of the two discrete energy levels can influence the photon density of different states and finally the modulation rate. Both experiments and numerical analysis show that the modulation bandwidth of QD lasers at high temperature can be increased by injecting more carriers into the ES that has larger electron state degeneracy and faster carrier's relaxation time than the ground state.

An Integratable Distributed Bragg Reflector Laser by Low-Energy Ion Implantation Induced Quantum Well Intermixing

An integratable distributed Bragg reflector laser is fabricated by low-energy ion implantation induced quantum well intermixing. A 4.6nm quasi-continuous wavelength tuning range is achieved by controlling phase current and grating current simultaneously,and side mode suppression ratio maintains over 30dB throughout the tuning range except a few mode jump points.

Magnetic characterization of Co1-xNixFe2O4 (0 <= x <= 1) nanoparticles prepared by co-precipitation route

Magnetic nanoparticles of Ni-doped cobalt ferrite [Co1-xNixFe2O4(0 <= x <= 1)] synthesized by coprecipitation route have been studied as a function of doping concentration (x) and particle size. The size of the particles as determined by X-ray diffractometer (XRD) and transmission electron microscope (TEM) analyses was found in the range 12-48 nm. The coercivity (H-C) and saturation magnetization (M-S) showed a decreasing behavior with increasing Ni concentration. M-S of all the samples annealed at 600 degrees C lies in the range 65.8-13.7 emu/gm. Field-cooled (FC) studies of the samples showed horizontal shift (exchange bias) and vertical shift in the magnetization loop. Strong decrease in exchange bias (H-b) and vertical shift (delta M) was found for low Ni concentrations while negligible decrease was found at higher concentrations. The presence of exchange bias in the low Ni-concentration region has been explained with reference to the interface spins interaction between a surface region (with structural and spin disorder) and a ferrimagnetic core region. M(T) graphs of the samples showed a decreasing trend of blocking temperature (T-b) with increasing Ni concentration. The decrease of T-b with increasing Ni concentration has been attributed to the lower anisotropy energy of Ni+2 ions as compared to Co+2 that increases the probability of the jump across the anisotropy barrier which in turn decreases the blocking temperature of the system.

Study of a magnetic alloy-loaded RF cavity for bunch compression at the CSR

The Heavy Ion Research Facility and Cooling Storage Ring (HIRFL-CSR) accelerator in Lanzhou offers a unique possibility for the generation of high density and short pulse heavy ion beams by non-adiabatic bunch compression longitudinally, which is implemented by a fast jump of the RF-voltage amplitude. For this purpose, an RF cavity with high electric field gradient loaded with Magnetic Alloy cores has been developed. The results show that the resonant frequency range of the single-gap RF cavity is from 1.13 MHz to 1.42 MHz, and a maximum RF voltage of 40 kV with a total length of 100 cm can be obtained, which can be used to compress heavy ion beams of U-238(72+) with 250 MeV/u from the initial bunch length of 200 ns to 50 ns with the coaction of the two single-gap RF cavity mentioned above.

DECODE: a new method for discovering clusters of different densities in spatial data

National Key Basic Research and Development Program of China [2006CB701305]; State Key Laboratory of Resource and Environment Information System [088RA400SA]; Chinese Academy of Sciences