Quantifying and modeling financial market fluctuations

Die Entstehung eines Marktpreises für einen Vermögenswert kann als Superposition der einzelnen Aktionen der Marktteilnehmer aufgefasst werden, die damit kumulativ Angebot und Nachfrage erzeugen. Dies ist in der statistischen Physik mit der Entstehung makroskopischer Eigenschaften vergleichbar, die von mikroskopischen Wechselwirkungen zwischen den beteiligten Systemkomponenten hervorgerufen werden. Die Verteilung der Preisänderungen an Finanzmärkten unterscheidet sich deutlich von einer Gaußverteilung. Dies führt zu empirischen Besonderheiten des Preisprozesses, zu denen neben dem Skalierungsverhalten nicht-triviale Korrelationsfunktionen und zeitlich gehäufte Volatilität zählen. In der vorliegenden Arbeit liegt der Fokus auf der Analyse von Finanzmarktzeitreihen und den darin enthaltenen Korrelationen. Es wird ein neues Verfahren zur Quantifizierung von Muster-basierten komplexen Korrelationen einer Zeitreihe entwickelt. Mit dieser Methodik werden signifikante Anzeichen dafür gefunden, dass sich typische Verhaltensmuster von Finanzmarktteilnehmern auf kurzen Zeitskalen manifestieren, dass also die Reaktion auf einen gegebenen Preisverlauf nicht rein zufällig ist, sondern vielmehr ähnliche Preisverläufe auch ähnliche Reaktionen hervorrufen. Ausgehend von der Untersuchung der komplexen Korrelationen in Finanzmarktzeitreihen wird die Frage behandelt, welche Eigenschaften sich beim Wechsel von einem positiven Trend zu einem negativen Trend verändern. Eine empirische Quantifizierung mittels Reskalierung liefert das Resultat, dass unabhängig von der betrachteten Zeitskala neue Preisextrema mit einem Anstieg des Transaktionsvolumens und einer Reduktion der Zeitintervalle zwischen Transaktionen einhergehen. Diese Abhängigkeiten weisen Charakteristika auf, die man auch in anderen komplexen Systemen in der Natur und speziell in physikalischen Systemen vorfindet. Über 9 Größenordnungen in der Zeit sind diese Eigenschaften auch unabhängig vom analysierten Markt - Trends, die nur für Sekunden bestehen, zeigen die gleiche Charakteristik wie Trends auf Zeitskalen von Monaten. Dies eröffnet die Möglichkeit, mehr über Finanzmarktblasen und deren Zusammenbrüche zu lernen, da Trends auf kleinen Zeitskalen viel häufiger auftreten. Zusätzlich wird eine Monte Carlo-basierte Simulation des Finanzmarktes analysiert und erweitert, um die empirischen Eigenschaften zu reproduzieren und Einblicke in deren Ursachen zu erhalten, die zum einen in der Finanzmarktmikrostruktur und andererseits in der Risikoaversion der Handelsteilnehmer zu suchen sind. Für die rechenzeitintensiven Verfahren kann mittels Parallelisierung auf einer Graphikkartenarchitektur eine deutliche Rechenzeitreduktion erreicht werden. Um das weite Spektrum an Einsatzbereichen von Graphikkarten zu aufzuzeigen, wird auch ein Standardmodell der statistischen Physik - das Ising-Modell - auf die Graphikkarte mit signifikanten Laufzeitvorteilen portiert. Teilresultate der Arbeit sind publiziert in [PGPS07, PPS08, Pre11, PVPS09b, PVPS09a, PS09, PS10a, SBF+10, BVP10, Pre10, PS10b, PSS10, SBF+11, PB10].

Computer aided design and finite element modeling to predict bulk mechanical properties of bone scaffolds using triply periodic minimal surfaces (progettazione assistita al calcolatore ed analisi con il metodo degli elementi finiti per predire il comportamento meccanico di scaffolds ossei creati con l'uso di superfici minime periodiche in tre direzioni)

The aim of Tissue Engineering is to develop biological substitutes that will restore lost morphological and functional features of diseased or damaged portions of organs. Recently computer-aided technology has received considerable attention in the area of tissue engineering and the advance of additive manufacture (AM) techniques has significantly improved control over the pore network architecture of tissue engineering scaffolds. To regenerate tissues more efficiently, an ideal scaffold should have appropriate porosity and pore structure. More sophisticated porous configurations with higher architectures of the pore network and scaffolding structures that mimic the intricate architecture and complexity of native organs and tissues are then required. This study adopts a macro-structural shape design approach to the production of open porous materials (Titanium foams), which utilizes spatial periodicity as a simple way to generate the models. From among various pore architectures which have been studied, this work simulated pore structure by triply-periodic minimal surfaces (TPMS) for the construction of tissue engineering scaffolds. TPMS are shown to be a versatile source of biomorphic scaffold design. A set of tissue scaffolds using the TPMS-based unit cell libraries was designed. TPMS-based Titanium foams were meant to be printed three dimensional with the relative predicted geometry, microstructure and consequently mechanical properties. Trough a finite element analysis (FEA) the mechanical properties of the designed scaffolds were determined in compression and analyzed in terms of their porosity and assemblies of unit cells. The purpose of this work was to investigate the mechanical performance of TPMS models trying to understand the best compromise between mechanical and geometrical requirements of the scaffolds. The intention was to predict the structural modulus in open porous materials via structural design of interconnected three-dimensional lattices, hence optimising geometrical properties. With the aid of FEA results, it is expected that the effective mechanical properties for the TPMS-based scaffold units can be used to design optimized scaffolds for tissue engineering applications. Regardless of the influence of fabrication method, it is desirable to calculate scaffold properties so that the effect of these properties on tissue regeneration may be better understood.

Development of An Energy Modeling Approach to Analyse Historical Building Performance

In the last years the attentions on the energy efficiency on historical buildings grows, as different research project took place across Europe. The attention on combining, the need of the preservation of the buildings, their value and their characteristic, with the need of the reduction of energy consumption and the improvements of indoor comfort condition, stimulate the discussion of two points of view that are usually in contradiction, buildings engineer and Conservation Institution. The results are surprising because a common field is growing while remains the need of balancing the respective exigencies. From these experience results clear that many questions should be answered also from the building physicist regarding the correct assessment: on the energy consumption of this class of buildings, on the effectiveness of the measures that could be adopted, and much more. This thesis gives a contribution to answer to these questions developing a procedure to analyse the historic building. The procedure gives a guideline of the energy audit for the historical building considering the experimental activities to dial with the uncertainty of the estimation of the energy balance. It offers a procedure to simulate the energy balance of building with a validated dynamic model considering also a calibration procedure to increase the accuracy of the model. An approach of design of energy efficiency measures through an optimization that consider different aspect is also presented. All the process is applied to a real case study to give to the reader a practical understanding.

Motor control system in Parkinson’s disease: a modeling approach

Parkinson’s disease is a neurodegenerative disorder due to the death of the dopaminergic neurons of the substantia nigra of the basal ganglia. The process that leads to these neural alterations is still unknown. Parkinson’s disease affects most of all the motor sphere, with a wide array of impairment such as bradykinesia, akinesia, tremor, postural instability and singular phenomena such as freezing of gait. Moreover, in the last few years the fact that the degeneration in the basal ganglia circuitry induces not only motor but also cognitive alterations, not necessarily implicating dementia, and that dopamine loss induces also further implications due to dopamine-driven synaptic plasticity got more attention. At the present moment, no neuroprotective treatment is available, and even if dopamine-replacement therapies as well as electrical deep brain stimulation are able to improve the life conditions of the patients, they often present side effects on the long term, and cannot recover the neural loss, which instead continues to advance. In the present thesis both motor and cognitive aspects of Parkinson’s disease and basal ganglia circuitry were investigated, at first focusing on Parkinson’s disease sensory and balance issues by means of a new instrumented method based on inertial sensor to provide further information about postural control and postural strategies used to attain balance, then applying this newly developed approach to assess balance control in mild and severe patients, both ON and OFF levodopa replacement. Given the inability of levodopa to recover balance issues and the new physiological findings than underline the importance in Parkinson’s disease of non-dopaminergic neurotransmitters, it was therefore developed an original computational model focusing on acetylcholine, the most promising neurotransmitter according to physiology, and its role in synaptic plasticity. The rationale of this thesis is that a multidisciplinary approach could gain insight into Parkinson’s disease features still unresolved.

Imaging and modeling of pore scale processes in porous media using X-ray computed tomography and lattice Boltzmann solver

In der Erdöl– und Gasindustrie sind bildgebende Verfahren und Simulationen auf der Porenskala im Begriff Routineanwendungen zu werden. Ihr weiteres Potential lässt sich im Umweltbereich anwenden, wie z.B. für den Transport und Verbleib von Schadstoffen im Untergrund, die Speicherung von Kohlendioxid und dem natürlichen Abbau von Schadstoffen in Böden. Mit der Röntgen-Computertomografie (XCT) steht ein zerstörungsfreies 3D bildgebendes Verfahren zur Verfügung, das auch häufig für die Untersuchung der internen Struktur geologischer Proben herangezogen wird. Das erste Ziel dieser Dissertation war die Implementierung einer Bildverarbeitungstechnik, die die Strahlenaufhärtung der Röntgen-Computertomografie beseitigt und den Segmentierungsprozess dessen Daten vereinfacht. Das zweite Ziel dieser Arbeit untersuchte die kombinierten Effekte von Porenraumcharakteristika, Porentortuosität, sowie die Strömungssimulation und Transportmodellierung in Porenräumen mit der Gitter-Boltzmann-Methode. In einer zylindrischen geologischen Probe war die Position jeder Phase auf Grundlage der Beobachtung durch das Vorhandensein der Strahlenaufhärtung in den rekonstruierten Bildern, das eine radiale Funktion vom Probenrand zum Zentrum darstellt, extrahierbar und die unterschiedlichen Phasen ließen sich automatisch segmentieren. Weiterhin wurden Strahlungsaufhärtungeffekte von beliebig geformten Objekten durch einen Oberflächenanpassungsalgorithmus korrigiert. Die Methode der „least square support vector machine” (LSSVM) ist durch einen modularen Aufbau charakterisiert und ist sehr gut für die Erkennung und Klassifizierung von Mustern geeignet. Aus diesem Grund wurde die Methode der LSSVM als pixelbasierte Klassifikationsmethode implementiert. Dieser Algorithmus ist in der Lage komplexe geologische Proben korrekt zu klassifizieren, benötigt für den Fall aber längere Rechenzeiten, so dass mehrdimensionale Trainingsdatensätze verwendet werden müssen. Die Dynamik von den unmischbaren Phasen Luft und Wasser wird durch eine Kombination von Porenmorphologie und Gitter Boltzmann Methode für Drainage und Imbibition Prozessen in 3D Datensätzen von Böden, die durch synchrotron-basierte XCT gewonnen wurden, untersucht. Obwohl die Porenmorphologie eine einfache Methode ist Kugeln in den verfügbaren Porenraum einzupassen, kann sie dennoch die komplexe kapillare Hysterese als eine Funktion der Wassersättigung erklären. Eine Hysterese ist für den Kapillardruck und die hydraulische Leitfähigkeit beobachtet worden, welche durch die hauptsächlich verbundenen Porennetzwerke und der verfügbaren Porenraumgrößenverteilung verursacht sind. Die hydraulische Konduktivität ist eine Funktion des Wassersättigungslevels und wird mit einer makroskopischen Berechnung empirischer Modelle verglichen. Die Daten stimmen vor allem für hohe Wassersättigungen gut überein. Um die Gegenwart von Krankheitserregern im Grundwasser und Abwässern vorhersagen zu können, wurde in einem Bodenaggregat der Einfluss von Korngröße, Porengeometrie und Fluidflussgeschwindigkeit z.B. mit dem Mikroorganismus Escherichia coli studiert. Die asymmetrischen und langschweifigen Durchbruchskurven, besonders bei höheren Wassersättigungen, wurden durch dispersiven Transport aufgrund des verbundenen Porennetzwerks und durch die Heterogenität des Strömungsfeldes verursacht. Es wurde beobachtet, dass die biokolloidale Verweilzeit eine Funktion des Druckgradienten als auch der Kolloidgröße ist. Unsere Modellierungsergebnisse stimmen sehr gut mit den bereits veröffentlichten Daten überein.

Modeling multiple state electrostatically formed nanowire transistors

The present thesis work proposes a new physical equivalent circuit model for a recently proposed semiconductor transistor, a 2-drain MSET (Multiple State Electrostatically Formed Nanowire Transistor). It presents a new software-based experimental setup that has been developed for carrying out numerical simulations on the device and on equivalent circuits. As of 2015, we have already approached the scaling limits of the ubiquitous CMOS technology that has been in the forefront of mainstream technological advancement, so many researchers are exploring different ideas in the realm of electrical devices for logical applications, among them MSET transistors. The idea that underlies MSETs is that a single multiple-terminal device could replace many traditional transistors. In particular a 2-drain MSET is akin to a silicon multiplexer, consisting in a Junction FET with independent gates, but with a split drain, so that a voltage-controlled conductive path can connect either of the drains to the source. The first chapter of this work presents the theory of classical JFETs and its common equivalent circuit models. The physical model and its derivation are presented, the current state of equivalent circuits for the JFET is discussed. A physical model of a JFET with two independent gates has been developed, deriving it from previous results, and is presented at the end of the chapter. A review of the characteristics of MSET device is shown in chapter 2. In this chapter, the proposed physical model and its formulation are presented. A listing for the SPICE model was attached as an appendix at the end of this document. Chapter 3 concerns the results of the numerical simulations on the device. At first the research for a suitable geometry is discussed and then comparisons between results from finite-elements simulations and equivalent circuit runs are made. Where points of challenging divergence were found between the two numerical results, the relevant physical processes are discussed. In the fourth chapter the experimental setup is discussed. The GUI-based environments that allow to explore the four-dimensional solution space and to analyze the physical variables inside the device are described. It is shown how this software project has been structured to overcome technical challenges in structuring multiple simulations in sequence, and to provide for a flexible platform for future research in the field.

Observations and modeling of the Marginal Ice Zone

Global climate change in recent decades has strongly influenced the Arctic generating pronounced warming accompanied by significant reduction of sea ice in seasonally ice-covered seas and a dramatic increase of open water regions exposed to wind [Stephenson et al., 2011]. By strongly scattering the wave energy, thick multiyear ice prevents swell from penetrating deeply into the Arctic pack ice. However, with the recent changes affecting Arctic sea ice, waves gain more energy from the extended fetch and can therefore penetrate further into the pack ice. Arctic sea ice also appears weaker during melt season, extending the transition zone between thick multi-year ice and the open ocean. This region is called the Marginal Ice Zone (MIZ). In the Arctic, the MIZ is mainly encountered in the marginal seas, such as the Nordic Seas, the Barents Sea, the Beaufort Sea and the Labrador Sea. Formed by numerous blocks of sea ice of various diameters (floes) the MIZ, under certain conditions, allows maritime transportation stimulating dreams of industrial and touristic exploitation of these regions and possibly allowing, in the next future, a maritime connection between the Atlantic and the Pacific. With the increasing human presence in the Arctic, waves pose security and safety issues. As marginal seas are targeted for oil and gas exploitation, understanding and predicting ocean waves and their effects on sea ice become crucial for structure design and for real time safety of operations. The juxtaposition of waves and sea ice represents a risk for personnel and equipment deployed on ice, and may complicate critical operations such as platform evacuations. The risk is difficult to evaluate because there are no long-term observations of waves in ice, swell events are difficult to predict from local conditions, ice breakup can occur on very short time-scales and wave-ice interactions are beyond the scope of current forecasting models [Liu and Mollo-Christensen, 1988,Marko, 2003]. In this thesis, a newly developed Waves in Ice Model (WIM) [Williams et al., 2013a,Williams et al., 2013b] and its related Ocean and Sea Ice model (OSIM) will be used to study the MIZ and the improvements of wave modeling in ice infested waters. The following work has been conducted in collaboration with the Nansen Environmental and Remote Sensing Center and within the SWARP project which aims to extend operational services supporting human activity in the Arctic by including forecast of waves in ice-covered seas, forecast of sea-ice in the presence of waves and remote sensing of both waves and sea ice conditions. The WIM will be included in the downstream forecasting services provided by Copernicus marine environment monitoring service.

Modeling And Predicting The Performance Of Infiltrated Solid Oxide Fuel Cell Anodes

Fuel cells are a topic of high interest in the scientific community right now because of their ability to efficiently convert chemical energy into electrical energy. This thesis is focused on solid oxide fuel cells (SOFCs) because of their fuel flexibility, and is specifically concerned with the anode properties of SOFCs. The anodes are composed of a ceramic material (yttrium stabilized zirconia, or YSZ), and conducting material. Recent research has shown that an infiltrated anode may offer better performance at a lower cost. This thesis focuses on the creation of a model of an infiltrated anode that mimics the underlying physics of the production process. Using the model, several key parameters for anode performance are considered. These are the initial volume fraction of YSZ in the slurry before sintering, the final porosity of the composite anode after sintering, and the size of the YSZ and conducting particles in the composite. The performance measures of the anode, namely percolation threshold and effective conductivity, are analyzed as a function of these important input parameters. Simple two and three-dimensional percolation models are used to determine the conditions at which the full infiltrated anode would be investigated. These more simple models showed that the aspect ratio of the anode has no effect on the threshold or effective conductivity, and that cell sizes of 303 are needed to obtain accurate conductivity values. The full model of the infiltrated anode is able to predict the performance of the SOFC anodes and it can be seen that increasing the size of the YSZ decreases the percolation threshold and increases the effective conductivity at low conductor loadings. Similar trends are seen for a decrease in final porosity and a decrease in the initial volume fraction of YSZ.

Modeling of red blood cell life-spans in hematologically normal populations

Despite the impact of red blood cell (RBC) Life-spans in some disease areas such as diabetes or anemia of chronic kidney disease, there is no consensus on how to quantitatively best describe the process. Several models have been proposed to explain the elimination process of RBCs: random destruction process, homogeneous life-span model, or a series of 4-transit compartment model. The aim of this work was to explore the different models that have been proposed in literature, and modifications to those. The impact of choosing the right model on future outcomes prediction--in the above mentioned areas--was also investigated. Both data from indirect (clinical data) and direct life-span measurement (biotin-labeled data) methods were analyzed using non-linear mixed effects models. Analysis showed that: (1) predictions from non-steady state data will depend on the RBC model chosen; (2) the transit compartment model, which considers variation in life-span in the RBC population, better describes RBC survival data than the random destruction or homogenous life-span models; and (3) the additional incorporation of random destruction patterns, although improving the description of the RBC survival data, does not appear to provide a marked improvement when describing clinical data.

MODELING FUNCTIONAL DATA WITH SPATIALLY HETEROGENEOUS SHAPE CHARACTERISTICS

We propose a novel class of models for functional data exhibiting skewness or other shape characteristics that vary with spatial or temporal location. We use copulas so that the marginal distributions and the dependence structure can be modeled independently. Dependence is modeled with a Gaussian or t-copula, so that there is an underlying latent Gaussian process. We model the marginal distributions using the skew t family. The mean, variance, and shape parameters are modeled nonparametrically as functions of location. A computationally tractable inferential framework for estimating heterogeneous asymmetric or heavy-tailed marginal distributions is introduced. This framework provides a new set of tools for increasingly complex data collected in medical and public health studies. Our methods were motivated by and are illustrated with a state-of-the-art study of neuronal tracts in multiple sclerosis patients and healthy controls. Using the tools we have developed, we were able to find those locations along the tract most affected by the disease. However, our methods are general and highly relevant to many functional data sets. In addition to the application to one-dimensional tract profiles illustrated here, higher-dimensional extensions of the methodology could have direct applications to other biological data including functional and structural MRI.

Modeling of electroosmotic and electrophoretic mobilization in capillary and microchip isoelectric focusing

Our dynamic capillary electrophoresis model which uses material specific input data for estimation of electroosmosis was applied to investigate fundamental aspects of isoelectric focusing (IEF) in capillaries or microchannels made from bare fused-silica (FS), FS coated with a sulfonated polymer, polymethylmethacrylate (PMMA) and poly(dimethylsiloxane) (PDMS). Input data were generated via determination of the electroosmotic flow (EOF) using buffers with varying pH and ionic strength. Two models are distinguished, one that neglects changes of ionic strength and one that includes the dependence between electroosmotic mobility and ionic strength. For each configuration, the models provide insight into the magnitude and dynamics of electroosmosis. The contribution of each electrophoretic zone to the net EOF is thereby visualized and the amount of EOF required for the detection of the zone structures at a particular location along the capillary, including at its end for MS detection, is predicted. For bare FS, PDMS and PMMA, simulations reveal that EOF is decreasing with time and that the entire IEF process is characterized by the asymptotic formation of a stationary steady-state zone configuration in which electrophoretic transport and electroosmotic zone displacement are opposite and of equal magnitude. The location of immobilization of the boundary between anolyte and most acidic carrier ampholyte is dependent on EOF, i.e. capillary material and anolyte. Overall time intervals for reaching this state in microchannels produced by PDMS and PMMA are predicted to be similar and about twice as long compared to uncoated FS. Additional mobilization for the detection of the entire pH gradient at the capillary end is required. Using concomitant electrophoretic mobilization with an acid as coanion in the catholyte is shown to provide sufficient additional cathodic transport for that purpose. FS capillaries dynamically double coated with polybrene and poly(vinylsulfonate) are predicted to provide sufficient electroosmotic pumping for detection of the entire IEF gradient at the cathodic column end.

Molecular modeling of EPON 862-DETDA polymer

EPON 862 is an epoxy resin which is cured with the hardening agent DETDA to form a crosslinked epoxy polymer and is used as a component in modern aircraft structures. These crosslinked polymers are often exposed to prolonged periods of temperatures below glass transition range which cause physical aging to occur. Because physical aging can compromise the performance of epoxies and their composites and because experimental techniques cannot provide all of the necessary physical insight that is needed to fully understand physical aging, efficient computational approaches to predict the effects of physical aging on thermo-mechanical properties are needed. In this study, Molecular Dynamics and Molecular Minimization simulations are being used to establish well-equilibrated, validated molecular models of the EPON 862-DETDA epoxy system with a range of crosslink densities using a united-atom force field. These simulations are subsequently used to predict the glass transition temperature, thermal expansion coefficients, and elastic properties of each of the crosslinked systems for validation of the modeling techniques. The results indicate that glass transition temperature and elastic properties increase with increasing levels of crosslink density and the thermal expansion coefficient decreases with crosslink density, both above and below the glass transition temperature. The results also indicate that there may be an upper limit to crosslink density that can be realistically achieved in epoxy systems. After evaluation of the thermo-mechanical properties, a method is developed to efficiently establish molecular models of epoxy resins that represent the corresponding real molecular structure at specific aging times. Although this approach does not model the physical aging process, it is useful in establishing a molecular model that resembles the physically-aged state for further use in predicting thermo-mechanical properties as a function of aging time. An equation has been predicted based on the results which directly correlate aging time to aged volume of the molecular model. This equation can be helpful for modelers who want to study properties of epoxy resins at different levels of aging but have little information about volume shrinkage occurring during physical aging.