Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

A comparison of variational and Markov chain Monte Carlo methods for inference in partially observed stochastic dynamic systems

In recent work we have developed a novel variational inference method for partially observed systems governed by stochastic differential equations. In this paper we provide a comparison of the Variational Gaussian Process Smoother with an exact solution computed using a Hybrid Monte Carlo approach to path sampling, applied to a stochastic double well potential model. It is demonstrated that the variational smoother provides us a very accurate estimate of mean path while conditional variance is slightly underestimated. We conclude with some remarks as to the advantages and disadvantages of the variational smoother. © 2008 Springer Science + Business Media LLC.

Soliton generation from randomly modulated return-to-zero pulses

We consider return-to-zero (RZ) pulses with random phase modulation propagating in a nonlinear channel (modelled by the integrable nonlinear Schrödinger equation, NLSE). We suggest two different models for the phase fluctuations of the optical field: (i) Gaussian short-correlated fluctuations and (ii) generalized telegraph process. Using the rectangular-shaped pulse form we demonstrate that the presence of phase fluctuations of both types strongly influences the number of solitons generated in the channel. It is also shown that increasing the correlation time for the random phase fluctuations affects the coherent content of a pulse in a non-trivial way. The result obtained has potential consequences for all-optical processing and design of optical decision elements.

Bayesian online algorithms for learning in discrete Hidden Markov Models

We propose and analyze two different Bayesian online algorithms for learning in discrete Hidden Markov Models and compare their performance with the already known Baldi-Chauvin Algorithm. Using the Kullback-Leibler divergence as a measure of generalization we draw learning curves in simplified situations for these algorithms and compare their performances.

Virtual Gires-Tournois etalons realized with phase-modulated wideband chirped fiber gratings

We propose and demonstrate novel virtual Gires–Tournois (GT) etalons based on fiber gratings. By introducing an additional phase modulation in wideband linearly chirped fiber Bragg gratings, we have successfully generated GT resonance with only one grating. This technique can simplify the fabrication procedure while retaining the normal advantages of distributed etalons, including their full compatibility with optical fiber, low insertion loss, and low cost. Such etalons can be used as dispersion compensation devices in optical transmission systems.

Variational Markov Chain Monte Carlo for Bayesian smoothing of non-linear niffusions

In this paper we develop set of novel Markov chain Monte Carlo algorithms for Bayesian smoothing of partially observed non-linear diffusion processes. The sampling algorithms developed herein use a deterministic approximation to the posterior distribution over paths as the proposal distribution for a mixture of an independence and a random walk sampler. The approximating distribution is sampled by simulating an optimized time-dependent linear diffusion process derived from the recently developed variational Gaussian process approximation method. Flexible blocking strategies are introduced to further improve mixing, and thus the efficiency, of the sampling algorithms. The algorithms are tested on two diffusion processes: one with double-well potential drift and another with SINE drift. The new algorithm's accuracy and efficiency is compared with state-of-the-art hybrid Monte Carlo based path sampling. It is shown that in practical, finite sample, applications the algorithm is accurate except in the presence of large observation errors and low observation densities, which lead to a multi-modal structure in the posterior distribution over paths. More importantly, the variational approximation assisted sampling algorithm outperforms hybrid Monte Carlo in terms of computational efficiency, except when the diffusion process is densely observed with small errors in which case both algorithms are equally efficient.

Visual search for object orientation can be modulated by canonical orientation

The authors studied the influence of canonical orientation on visual search for object orientation. Displays consisted of pictures of animals whose axis of elongation was either vertical or tilted in their canonical orientation. Target orientation could be either congruent or incongruent with the object's canonical orientation. In Experiment 1, vertical canonical targets were detected faster when they were tilted (incongruent) than when they were vertical (congruent). This search asymmetry was reversed for tilted canonical targets. The effect of canonical orientation was partially preserved when objects were high-pass filtered, but it was eliminated when they were low-pass filtered, rendering them as unfamiliar shapes (Experiment 2). The effect of canonical orientation was also eliminated by inverting the objects (Experiment 3) and in a patient with visual agnosia (Experiment 4). These results indicate that orientation search with familiar objects can be modulated by canonical orientation, and they indicate a top-down influence on orientation processing. (PsycINFO Database Record (c) 2010 APA, all rights reserved)

Identifying and correcting non-Markov states in peptide conformational dynamics

Conformational transitions in proteins define their biological activity and can be investigated in detail using the Markov state model. The fundamental assumption on the transitions between the states, their Markov property, is critical in this framework. We test this assumption by analyzing the transitions obtained directly from the dynamics of a molecular dynamics simulated peptide valine-proline-alanine-leucine and states defined phenomenologically using clustering in dihedral space. We find that the transitions are Markovian at the time scale of ˜ 50 ps and longer. However, at the time scale of 30–40 ps the dynamics loses its Markov property. Our methodology reveals the mechanism that leads to non-Markov behavior. It also provides a way of regrouping the conformations into new states that now possess the required Markov property of their dynamics.

Amplification of temporally modulated signal beams via two-wave mixing in Bi12SiO20

A theoretical analysis of two-wave mixing in a BSO crystal is developed in the undepleted-pump approximation for a modulated signal beam. It is shown that, for a modulation of high enough frequency, significant ac amplification is possible at three distinct values of pump-beam detuning. A signal beam that is amplitude modulated by a square wave is analyzed by means of the theory, and experimental results are presented in confirmation of the analysis. Finally, it is shown that in the presence of absorption the optimum detunings for dc and ac amplification are different.

Modelling data and voice traffic over IP networks using continuous-time Markov models

Common approaches to IP-traffic modelling have featured the use of stochastic models, based on the Markov property, which can be classified into black box and white box models based on the approach used for modelling traffic. White box models, are simple to understand, transparent and have a physical meaning attributed to each of the associated parameters. To exploit this key advantage, this thesis explores the use of simple classic continuous-time Markov models based on a white box approach, to model, not only the network traffic statistics but also the source behaviour with respect to the network and application. The thesis is divided into two parts: The first part focuses on the use of simple Markov and Semi-Markov traffic models, starting from the simplest two-state model moving upwards to n-state models with Poisson and non-Poisson statistics. The thesis then introduces the convenient to use, mathematically derived, Gaussian Markov models which are used to model the measured network IP traffic statistics. As one of the most significant contributions, the thesis establishes the significance of the second-order density statistics as it reveals that, in contrast to first-order density, they carry much more unique information on traffic sources and behaviour. The thesis then exploits the use of Gaussian Markov models to model these unique features and finally shows how the use of simple classic Markov models coupled with use of second-order density statistics provides an excellent tool for capturing maximum traffic detail, which in itself is the essence of good traffic modelling. The second part of the thesis, studies the ON-OFF characteristics of VoIP traffic with reference to accurate measurements of the ON and OFF periods, made from a large multi-lingual database of over 100 hours worth of VoIP call recordings. The impact of the language, prosodic structure and speech rate of the speaker on the statistics of the ON-OFF periods is analysed and relevant conclusions are presented. Finally, an ON-OFF VoIP source model with log-normal transitions is contributed as an ideal candidate to model VoIP traffic and the results of this model are compared with those of previously published work.

A novel binaural pitch elicited by phase-modulated noise:MEG and psychophysical observations

Binaural pitches are auditory percepts that emerge from combined inputs to the ears but that cannot be heard if the stimulus is presented to either ear alone. Here, we describe a binaural pitch that is not easily accommodated within current models of binaural processing. Convergent magnetoencephalography (MEG) and psychophysical measurements were used to characterize the pitch, heard when band-limited noise had a rapidly changing interaural phase difference. Several interesting features emerged: First, the pitch was perceptually lateralized, in agreement with the lateralization of the evoked changes in MEG spectral power, and its salience depended on dichotic binaural presentation. Second, the frequency of the pure tone that matched the binaural pitch lay within a lower spectral sideband of the phase-modulated noise and followed the frequency of that sideband when the modulation frequency or center frequency and bandwidth of the noise changed. Thus, the binaural pitch depended on the processing of binaural information in that lower sideband.

An accurate Markov model for slotted CSMA/CA algorithm in IEEE 802.15.4 networks

In this letter we propose an Markov model for slotted CSMA/CA algorithm working in a non-acknowledgement mode, specified in IEEE 802.15.4 standard. Both saturation throughput and energy consumption are modeled as functions of backoff window size, number of contending devices and frame length. Simulations show that the proposed model can achieve a very high accuracy (less than 1% mismatch) if compared to all existing models (bigger than 10% mismatch).

Bandwidth management of WiMAX systems and performance modeling

WiMAX has been introduced as a competitive alternative for metropolitan broadband wireless access technologies. It is connection oriented and it can provide very high data rates, large service coverage, and flexible quality of services (QoS). Due to the large number of connections and flexible QoS supported by WiMAX, the uplink access in WiMAX networks is very challenging since the medium access control (MAC) protocol must efficiently manage the bandwidth and related channel allocations. In this paper, we propose and investigate a cost-effective WiMAX bandwidth management scheme, named the WiMAX partial sharing scheme (WPSS), in order to provide good QoS while achieving better bandwidth utilization and network throughput. The proposed bandwidth management scheme is compared with a simple but inefficient scheme, named the WiMAX complete sharing scheme (WCPS). A maximum entropy (ME) based analytical model (MEAM) is proposed for the performance evaluation of the two bandwidth management schemes. The reason for using MEAM for the performance evaluation is that MEAM can efficiently model a large-scale system in which the number of stations or connections is generally very high, while the traditional simulation and analytical (e.g., Markov models) approaches cannot perform well due to the high computation complexity. We model the bandwidth management scheme as a queuing network model (QNM) that consists of interacting multiclass queues for different service classes. Closed form expressions for the state and blocking probability distributions are derived for those schemes. Simulation results verify the MEAM numerical results and show that WPSS can significantly improve the network's performance compared to WCPS.

Rayleigh noise mitigation in DWDM LR-PONs using carrier suppressed subcarrier-amplitude modulated phase shift keying

We demonstrate a novel Rayleigh interferometric noise mitigation scheme for applications in carrier-distributed dense wavelength division multiplexed (DWDM) passive optical networks at 10 Gbit/s using carrier suppressed subcarrier-amplitude modulated phase shift keying modulation. The required optical signal to Rayleigh noise ratio is reduced by 12 dB, while achieving excellent tolerance to dispersion, subcarrier frequency and drive amplitude variations.

Novel real-time homodyne coherent receiver using a feed-forward based carrier extraction scheme for phase modulated signals

We report a novel real-time homodyne coherent receiver based on a DPSK optical-electrical-optical (OEO) regenerator used to extract a carrier from carrier-less phase modulated signals based on feed-forward based modulation stripping. The performance of this non-DSP based coherent receiver was evaluated for 10.66Gbit/s BPSK signals. Self-homodyne coherent detection and homodyne detection with an injection-locked local oscillator laser was demonstrated. The performance was evaluated by measuring the electrical signal-to-noise (SNR) and recording the eye diagrams. Using injection-locking for the LO improves the performance and enables homodyne detection with optical injection-locking to operate with carrier-less BPSK signals without the need for polarization multiplexed pilot-tones.