Microscopic origin of non-Gaussian distributions of financial returns

In this paper we study the possible microscopic origin of heavy-tailed probability density distributions for the price variation of financial instruments. We extend the standard log-normal process to include another random component in the so-called stochastic volatility models. We study these models under an assumption, akin to the Born-Oppenheimer approximation, in which the volatility has already relaxed to its equilibrium distribution and acts as a background to the evolution of the price process. In this approximation, we show that all models of stochastic volatility should exhibit a scaling relation in the time lag of zero-drift modified log-returns. We verify that the Dow-Jones Industrial Average index indeed follows this scaling. We then focus on two popular stochastic volatility models, the Heston and Hull-White models. In particular, we show that in the Hull-White model the resulting probability distribution of log-returns in this approximation corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are given in terms of the microscopic stochastic volatility model. Finally, we show that the log-returns for 30 years Dow Jones index data is well fitted by a Tsallis distribution, obtaining the relevant parameters. (c) 2007 Elsevier B.V. All rights reserved.

Testing the resolving power of two-dimensional K+K+ interferometry

We show results from an analysis performed to test the resolving power of a two-dimensional χ2 method proposed previously when applied to the case of kaon interferometry, where no significant contribution from long-lived resonances is expected. For that purpose, use is made of the preliminary E859 K+K+ interferometry data from Si+Au collisions at 14.6/4 GeV/c. Although less sensitivity is achieved in the present case, this analysis seems to favor scenarios with no resonance formation at the AGS energy range. The possible compatibility of data with zero decoupling proper time interval, conjectured by the three-dimensional experimental analysis, is also investigated and is ruled out when considering more realistic dynamical models with expanding sources. Furthermore, these results strongly emphasize that the static Gaussian parametrization cannot be trusted under more realistic conditions, leading to a distorted or even wrong interpretation of the source parameters.

Likelihood-based inference for power distributions

This paper considers likelihood-based inference for the family of power distributions. Widely applicable results are presented which can be used to conduct inference for all three parameters of the general location-scale extension of the family. More specific results are given for the special case of the power normal model. The analysis of a large data set, formed from density measurements for a certain type of pollen, illustrates the application of the family and the results for likelihood-based inference. Throughout, comparisons are made with analogous results for the direct parametrisation of the skew-normal distribution.

Statistics of the received power for free space optical channels

Free space optical (FSO) communication links can experience extreme signal degradation due to atmospheric turbulence induced spatial and temporal irradiance fuctuations (scintillation) in the laser wavefront. In addition, turbulence can cause the laser beam centroid to wander resulting in power fading, and sometimes complete loss of the signal. Spreading of the laser beam and jitter are also artifacts of atmospheric turbulence. To accurately predict the signal fading that occurs in a laser communication system and to get a true picture of how this affects crucial performance parameters like bit error rate (BER) it is important to analyze the probability density function (PDF) of the integrated irradiance fuctuations at the receiver. In addition, it is desirable to find a theoretical distribution that accurately models these ?uctuations under all propagation conditions. The PDF of integrated irradiance fuctuations is calculated from numerical wave-optic simulations of a laser after propagating through atmospheric turbulence to investigate the evolution of the distribution as the aperture diameter is increased. The simulation data distribution is compared to theoretical gamma-gamma and lognormal PDF models under a variety of scintillation regimes from weak to very strong. Our results show that the gamma-gamma PDF provides a good fit to the simulated data distribution for all aperture sizes studied from weak through moderate scintillation. In strong scintillation, the gamma-gamma PDF is a better fit to the distribution for point-like apertures and the lognormal PDF is a better fit for apertures the size of the atmospheric spatial coherence radius ρ0 or larger. In addition, the PDF of received power from a Gaussian laser beam, which has been adaptively compensated at the transmitter before propagation to the receiver of a FSO link in the moderate scintillation regime is investigated. The complexity of the adaptive optics (AO) system is increased in order to investigate the changes in the distribution of the received power and how this affects the BER. For the 10 km link, due to the non-reciprocal nature of the propagation path the optimal beam to transmit is unknown. These results show that a low-order level of complexity in the AO provides a better estimate for the optimal beam to transmit than a higher order for non-reciprocal paths. For the 20 km link distance it was found that, although minimal, all AO complexity levels provided an equivalent improvement in BER and that no AO complexity provided the correction needed for the optimal beam to transmit. Finally, the temporal power spectral density of received power from a FSO communication link is investigated. Simulated and experimental results for the coherence time calculated from the temporal correlation function are presented. Results for both simulation and experimental data show that the coherence time increases as the receiving aperture diameter increases. For finite apertures the coherence time increases as the communication link distance is increased. We conjecture that this is due to the increasing speckle size within the pupil plane of the receiving aperture for an increasing link distance.

Correlation of the Corneal Toricity Between Anterior and Posterior Corneal Surfaces in the Normal Human Eye

Purpose: To evaluate the correlation of the magnitude of corneal toricity and power vector components of both corneal surfaces measured with a Scheimpflug photography-based system. Methods: A total of 117 healthy normal eyes of 117 subjects selected randomly with ages ranging from 7 to 80 years were included. All eyes received an anterior segment and corneal analysis with the Sirius system (CSO) evaluating the anterior and posterior mean toricity for 3 and 7 mm (aAST and pAST). The vector components J0 and J45 as well as the overall strength blur (B) were calculated for each keratometric measurement using the procedure defined by Thibos and Horner. Results: The coefficient of correlation between aAST and pAST was 0.52 and 0.62 and the mean anteroposterior ratio for toricity was 0.46 ± 0.39 and 0.57 ± 0.75 for 3 and 7 mm, respectively. These ratios correlated significantly with aAST, anterior corneal J0, and manifest refraction J0 (r ≥ 0.39, P < 0.01). The coefficient of correlation was 0.69 and 0.81 between anterior and posterior J0 for 3 and 7 mm, respectively. For J45, the coefficients were 0.62 and 0.71, respectively. The linear regression analysis revealed that the pAST and power vectors could be predicted from the anterior corneal data (R2 ≥ 0.40, P < 0.01). Conclusions: The toricity and astigmatic power vector components of the posterior corneal surface in the human healthy eye are related to those of the anterior and therefore can be predicted consistently from the anterior toricity and astigmatic power vectors.

Conversion of a chirped Gaussian pulse to a soliton or a bound multisoliton state in quasi-lossless and lossy optical fiber spans

The formation of single-soliton or bound-multisoliton states from a single linearly chirped Gaussian pulse in quasi-lossless and lossy fiber spans is examined. The conversion of an input-chirped pulse into soliton states is carried out by virtue of the so-called direct Zakharov-Shabat spectral problem, the solution of which allows one to single out the radiative (dispersive) and soliton constituents of the beam and determine the parameters of the emerging bound state(s). We describe here how the emerging pulse characteristics (the number of bound solitons, the relative soliton power) depend on the input pulse chirp and amplitude. © 2007 Optical Society of America.

Power tapping function in near infra-red region based on 45° tilted fiber gratings

We report an efficient power tapping device working in near infra-red (800 nm) wavelength region based on UV-in- scribed 45° tilted fiber grating (45°-TFG) structure. Five 45°-TFGs were UV-inscribed in hydrogenated PS750 fiber using a custom-designed phase mask with different grating lengths of 3 mm, 5 mm, 9 mm, 12 mm and 15 mm, showing polarization dependent losses (PDLs) of 1 dB, 3 dB, 7 dB, 10 dB and 13 dB, respectively. The power side-tapping efficiency is clearly depending on the grating strength. It has been identified that the power tapping efficiency increases with the grating strength and deceases along the grating length. The side-tapped power profile has also been examined in azimuthal direction, showing a near-Gaussian distribution. These experimental results clearly demonstrated that 45°- TFGs may be used as in-fiber power tapping devices for applications requiring in-line signal monitoring.

Direction Finding Estimators of Cyclostationary Signals in Array Processing for Microwave Power Transmission

A solar power satellite is paid attention to as a clean, inexhaustible large- scale base-load power supply. The following technology related to beam control is used: A pilot signal is sent from the power receiving site and after direction of arrival estimation the beam is directed back to the earth by same direction. A novel direction-finding algorithm based on linear prediction technique for exploiting cyclostationary statistical information (spatial and temporal) is explored. Many modulated communication signals exhibit a cyclostationarity (or periodic correlation) property, corresponding to the underlying periodicity arising from carrier frequencies or baud rates. The problem was solved by using both cyclic second-order statistics and cyclic higher-order statistics. By evaluating the corresponding cyclic statistics of the received data at certain cycle frequencies, we can extract the cyclic correlations of only signals with the same cycle frequency and null out the cyclic correlations of stationary additive noise and all other co-channel interferences with different cycle frequencies. Thus, the signal detection capability can be significantly improved. The proposed algorithms employ cyclic higher-order statistics of the array output and suppress additive Gaussian noise of unknown spectral content, even when the noise shares common cycle frequencies with the non-Gaussian signals of interest. The proposed method completely exploits temporal information (multiple lag ), and also can correctly estimate direction of arrival of desired signals by suppressing undesired signals. Our approach was generalized over direction of arrival estimation of cyclostationary coherent signals. In this paper, we propose a new approach for exploiting cyclostationarity that seems to be more advanced in comparison with the other existing direction finding algorithms.

Message passing for distributed optimisation of power allocation with renewable resources

The increase in renewable energy generators introduced into the electricity grid is putting pressure on its stability and management as predictions of renewable energy sources cannot be accurate or fully controlled. This, with the additional pressure of fluctuations in demand, presents a problem more complex than the current methods of controlling electricity distribution were designed for. A global approximate and distributed optimisation method for power allocation that accommodates uncertainties and volatility is suggested and analysed. It is based on a probabilistic method known as message passing [1], which has deep links to statistical physics methodology. This principled method of optimisation is based on local calculations and inherently accommodates uncertainties; it is of modest computational complexity and provides good approximate solutions.We consider uncertainty and fluctuations drawn from a Gaussian distribution and incorporate them into the message-passing algorithm. We see the effect that increasing uncertainty has on the transmission cost and how the placement of volatile nodes within a grid, such as renewable generators or consumers, effects it.

Gaussian Process Kernels for Cross-Spectrum Analysis in Electrophysiological Time Series

Multi-output Gaussian processes provide a convenient framework for multi-task problems. An illustrative and motivating example of a multi-task problem is multi-region electrophysiological time-series data, where experimentalists are interested in both power and phase coherence between channels. Recently, the spectral mixture (SM) kernel was proposed to model the spectral density of a single task in a Gaussian process framework. This work develops a novel covariance kernel for multiple outputs, called the cross-spectral mixture (CSM) kernel. This new, flexible kernel represents both the power and phase relationship between multiple observation channels. The expressive capabilities of the CSM kernel are demonstrated through implementation of 1) a Bayesian hidden Markov model, where the emission distribution is a multi-output Gaussian process with a CSM covariance kernel, and 2) a Gaussian process factor analysis model, where factor scores represent the utilization of cross-spectral neural circuits. Results are presented for measured multi-region electrophysiological data.

Effect of pharmacological pupil dilation on measurements and iol power calculation made using the new swept-source optical coherence tomography-based optical biometer

Purpose: to determine whether pupil dilation affects biometric measurements and intraocular lens (IOL) power calculation made using the new swept-source optical coherence tomography-based optical biometer (IOLMaster 700©; Carl Zeiss Meditec, Jena, Germany). Procedures: eighty-one eyes of 81 patients evaluated for cataract surgery were prospectively examined using the IOLMaster 700© before and after pupil dilation with tropicamide 1%. The measurements made were: axial length (AL), central corneal thickness (CCT), aqueous chamber depth (ACD), lens thickness (LT), mean keratometry (MK), white-to-white distance (WTW) and pupil diameter (PD). Holladay II and SRK/T formulas were used to calculate IOL power. Agreement between measurement modes (with and without dilation) was assessed through intraclass correlation coefficients (ICC) and Bland-Altman plots. Results: mean patient age was 75.17 ± 7.54 years (range: 57–92). Of the variables determined, CCT, ACD, LT and WTW varied significantly according to pupil dilation. Excellent intraobserver correlation was observed between measurements made before and after pupil dilation. Mean IOL power calculation using the Holladay 2 and SRK/T formulas were unmodified by pupil dilation. Conclusions: the use of pupil dilation produces statistical yet not clinically significant differences in some IOLMaster 700© measurements. However, it does not affect mean IOL power calculation.

Índice acumulativo de riesgo (nice) como prueba diagnóstica con base en tomografía corneal por elevación en la prevención de ectasia corneal post-lasik

Antecedentes La ectasia corneal post-lasik (ECPL) es una complicación infrecuente, pero devastadora en la cirugía lasik (queratomileusis asistida con éxcimer láser) para el tratamiento de la miopía con o sin astigmatismo. Con base en la tomografía corneal por elevación por imágenes de Scheimpflug (Sistema Pentacam HR, Oculus Wetzlar, Alemania), se propone un novedoso índice acumulativo de riesgo para ser utilizado como prueba diagnóstica de tamizaje y así prevenir esta complicación. Metodología Se realizó un estudio observacional analítico, de corte transversal tipo pruebas diagnósticas, con el fin de evaluar las características operativas del índice NICE teniendo como estándar de referencia el módulo de Belin-Ambrosio (Pentacam HR) utilizando un modelo de regresión logística binaria, tablas de contingencia y estimando el área bajo la curva ROC. Resultados Se evaluaron 361 ojos de los cuales el 59,3% provenían de pacientes de sexo femenino, la edad media global fue de 30 años (RIC 11,0). El modelo logístico binario aplicado se construyó con base en cuatro variables independientes cuantitativas (K2, PAQUI, EP e I-S) y una cualitativa (SEXO), y se determinó su relación con la variable dependiente, NICE (puntaje final). Las variables predictoras fueron estadísticamente significativas clasificando adecuadamente el 92,9% de los ojos evaluados según presencia o ausencia de riesgo. El coeficiente de Nagelkerke fue de 74,4%. Conclusiones El índice acumulativo de riesgo NICE es una herramienta diagnóstica novedosa en la evaluación de candidatos a cirugía refractiva lasik para prevenir la ectasia secundaria.

Non-gaussian Spatial Correlations Dramatically Weaken Localization.

We perform variational studies of the interaction-localization problem to describe the interaction-induced renormalizations of the effective (screened) random potential seen by quasiparticles. Here we present results of careful finite-size scaling studies for the conductance of disordered Hubbard chains at half-filling and zero temperature. While our results indicate that quasiparticle wave functions remain exponentially localized even in the presence of moderate to strong repulsive interactions, we show that interactions produce a strong decrease of the characteristic conductance scale g^{*} signaling the crossover to strong localization. This effect, which cannot be captured by a simple renormalization of the disorder strength, instead reflects a peculiar non-Gaussian form of the spatial correlations of the screened disordered potential, a hitherto neglected mechanism to dramatically reduce the impact of Anderson localization (interference) effects.

Comparação entre métodos para mensuração da potência aeróbia em atletas tetraplégicos= : Comparison of methods for aerobic power assessment in athletes with tetraplegia

Universidade Estadual de Campinas . Faculdade de Educação Física

Reliability and discriminatory power of methods for dental plaque quantification

OBJECTIVE: This in situ study evaluated the discriminatory power and reliability of methods of dental plaque quantification and the relationship between visual indices (VI) and fluorescence camera (FC) to detect plaque. MATERIAL AND METHODS: Six volunteers used palatal appliances with six bovine enamel blocks presenting different stages of plaque accumulation. The presence of plaque with and without disclosing was assessed using VI. Images were obtained with FC and digital camera in both conditions. The area covered by plaque was assessed. Examinations were done by two independent examiners. Data were analyzed by Kruskal-Wallis and Kappa tests to compare different conditions of samples and to assess the inter-examiner reproducibility. RESULTS: Some methods presented adequate reproducibility. The Turesky index and the assessment of area covered by disclosed plaque in the FC images presented the highest discriminatory powers. CONCLUSION: The Turesky index and images with FC with disclosing present good reliability and discriminatory power in quantifying dental plaque.