Financial time series analysis : Chaos and neurodynamics approach

This work aims at combining the Chaos theory postulates and Artificial Neural Networks classification and predictive capability, in the field of financial time series prediction. Chaos theory, provides valuable qualitative and quantitative tools to decide on the predictability of a chaotic system. Quantitative measurements based on Chaos theory, are used, to decide a-priori whether a time series, or a portion of a time series is predictable, while Chaos theory based qualitative tools are used to provide further observations and analysis on the predictability, in cases where measurements provide negative answers. Phase space reconstruction is achieved by time delay embedding resulting in multiple embedded vectors. The cognitive approach suggested, is inspired by the capability of some chartists to predict the direction of an index by looking at the price time series. Thus, in this work, the calculation of the embedding dimension and the separation, in Takens‘ embedding theorem for phase space reconstruction, is not limited to False Nearest Neighbor, Differential Entropy or other specific method, rather, this work is interested in all embedding dimensions and separations that are regarded as different ways of looking at a time series by different chartists, based on their expectations. Prior to the prediction, the embedded vectors of the phase space are classified with Fuzzy-ART, then, for each class a back propagation Neural Network is trained to predict the last element of each vector, whereas all previous elements of a vector are used as features.

Anomalous spin-related quantum phase in mesoscopic hole rings

We have obtained numerically exact results for the spin-related geometric quantum phases that arise in p-type semiconductor ring structures. The interplay between gate-controllable (Rashba) spin splitting and quantum-confinement-induced mixing between hole-spin states causes a much higher sensitivity of magnetoconductance oscillations to external parameters than previously expected. Our results imply a much-enhanced functionality of hole-ring spin-interference devices and shed new light on recent experimental findings.

Quantum control of electromagnetically induced transparency dispersion via atomic tunneling in a double-well Bose-Einstein condensate

Electromagnetically induced transparency (EIT) is an important tool for controlling light propagation and nonlinear wave mixing in atomic gases with potential applications ranging from quantum computing to table top tests of general relativity. Here we consider EIT in an atomic Bose-Einstein condensate (BEC) trapped in a double-well potential. A weak probe laser propagates through one of the wells and interacts with atoms in a three-level Lambda configuration. The well through which the probe propagates is dressed by a strong control laser with Rabi frequency Omega(mu), as in standard EIT systems. Tunneling between the wells at the frequency g provides a coherent coupling between identical electronic states in the two wells, which leads to the formation of interwell dressed states. The macroscopic interwell coherence of the BEC wave function results in the formation of two ultranarrow absorption resonances for the probe field that are inside of the ordinary EIT transparency window. We show that these new resonances can be interpreted in terms of the interwell dressed states and the formation of a type of dark state involving the control laser and the interwell tunneling. To either side of these ultranarrow resonances there is normal dispersion with very large slope controlled by g. We discuss prospects for observing these ultranarrow resonances and the corresponding regions of high dispersion experimentally.

Effects of a quantum measurement on the electric conductivity : Application to graphene

We generalize the standard linear-response (Kubo) theory to obtain the conductivity of a system that is subject to a quantum measurement of the current. Our approach can be used to specifically elucidate how back-action inherent to quantum measurements affects electronic transport. To illustrate the utility of our general formalism, we calculate the frequency-dependent conductivity of graphene and discuss the effect of measurement-induced decoherence on its value in the dc limit. We are able to resolve an ambiguity related to the parametric dependence of the minimal conductivity.

Taxa de câmbio, rentabilidade e quantum exportado: existe alguma relação afinal? evidências para o Brasil

Este trabalho tem por objetivo avaliar em que medida a taxa de câmbio real é um condicionante importante para a evolução do quantum exportado brasileiro. Para tanto, é testada a existência de alguma relação entre variações na taxa de câmbio real e variações no quantum exportado, a saber, relação de causalidade no sentido de Granger em qualquer direção e correlação simultânea dos choques que afetam tais séries, conforme o método sugerido por Gourieroux e Jasiak (2001). Não foi possível obter evidência forte de relação entre a taxa de câmbio real e o quantum exportado em termos agregados para o período analisado (1977 a 2009). Entretanto, para várias desagregações e destinos foi possível detectar a existência de pelo menos uma destas relações entre a taxa de câmbio real e quantum exportado. Em particular, para o caso dos bens básicos, não há evidência de relação robusta entre as variáveis pesquisadas. O mesmo vale para bens intermediários. Já para os bens finais – bens de capital, de consumo de bens duráveis e não duráveis – a evidência de relação entre a taxa de câmbio e o quantum é mais forte. Como conclusão, o trabalho sugere que a taxa de câmbio, embora não tenha efeitos significativos em termos agregados, pode gerar importantes efeitos sobre a composição das exportações.

Sparse 1D discrete Dirac operators I: Quantum transport

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Two-colour photocurrent detection technique for coherent control of a single InGaAs/GaAs quantum dot

We present a two-colour photocurrent detection method for coherent control of a single InGaAs/GaAs self-assembled quantum dot. A pulse shaping technique provides a high degree of control over picosecond optical pulses. Rabi rotations on the exciton to biexciton transition are presented, and fine structure beating is detected via time-resolved measurements. (c) 2009 WILEY-VCH Verlag GmbH & Co. KGaA, Weinheim

Photoinduced hole-transfer in semiconducting polymer/low-bandgap cyanine dye blends: evidence for unit charge separation quantum yield

Power-conversion efficiencies of organic heterojunction solar cells can be increased by using semiconducting donor-acceptor materials with complementary absorption spectra extending to the near-infrared region. Here, we used continuous wave fluorescence and absorption, as well as nanosecond transient absorption spectroscopy to study the initial charge transfer step for blends of a donor poly(p-phenylenevinylene) derivative and low-band gap cyanine dyes serving as electron acceptors. Electron transfer is the dominant relaxation process after photoexcitation of the donor. Hole transfer after cyanine photoexcitation occurs with an efficiency close to unity up to dye concentrations of similar to 30 wt%. Cyanines present an efficient self-quenching mechanism of their fluorescence, and for higher dye loadings in the blend, or pure cyanine films, this process effectively reduces the hole transfer. Comparison between dye emission in an inert polystyrene matrix and the donor matrix allowed us to separate the influence of self-quenching and charge transfer mechanisms. Favorable photovoltaic bilayer performance, including high open-circuit voltages of similar to 1 V confirmed the results from optical experiments. The characteristics of solar cells using different dyes also highlighted the need for balanced adjustment of the energy levels and their offsets at the heterojunction when using low-bandgap materials, and accentuated important effects of interface interactions and solid-state packing on charge generation and transport.