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].

Evolution of the structural and fracture design of the ISS payloads due to the new launchers, specifically applied to Biolab IEC-2 projects

The relatively young discipline of astronautics represents one of the scientifically most fascinating and technologically advanced achievements of our time. The human exploration in space does not offer only extraordinary research possibilities but also demands high requirements from man and technology. The space environment provides a lot of attractive experimental tools towards the understanding of fundamental mechanism in natural sciences. It has been shown that especially reduced gravity and elevated radiation, two distinctive factors in space, influence the behavior of biological systems significantly. For this reason one of the key objectives on board of an earth orbiting laboratory is the research in the field of life sciences, covering the broad range from botany, human physiology and crew health up to biotechnology. The Columbus Module is the only European low gravity platform that allows researchers to perform ambitious experiments in a continuous time frame up to several months. Biolab is part of the initial outfitting of the Columbus Laboratory; it is a multi-user facility supporting research in the field of biology, e.g. effect of microgravity and space radiation on cell cultures, micro-organisms, small plants and small invertebrates. The Biolab IEC are projects designed to work in the automatic part of Biolab. In this moment in the TO-53 department of Airbus Defence & Space (formerly Astrium) there are two experiments that are in phase C/D of the development and they are the subject of this thesis: CELLRAD and CYTOSKELETON. They will be launched in soft configuration, that means packed inside a block of foam that has the task to reduce the launch loads on the payload. Until 10 years ago the payloads which were launched in soft configuration were supposed to be structural safe by themselves and a specific structural analysis could be waived on them; with the opening of the launchers market to private companies (that are not under the direct control of the international space agencies), the requirements on the verifications of payloads are changed and they have become much more conservative. In 2012 a new random environment has been introduced due to the new Space-X launch specification that results to be particularly challenging for the soft launched payloads. The last ESA specification requires to perform structural analysis on the payload for combined loads (random vibration, quasi-steady acceleration and pressure). The aim of this thesis is to create FEM models able to reproduce the launch configuration and to verify that all the margins of safety are positive and to show how they change because of the new Space-X random environment. In case the results are negative, improved design solution are implemented. Based on the FEM result a study of the joins has been carried out and, when needed, a crack growth analysis has been performed.

Mappatura dell'impervious e consumo di suolo tramite analisi di change detection in telerilevamento

Il telerilevamento rappresenta un efficace strumento per il monitoraggio dell’ambiente e del territorio, grazie alla disponibilità di sensori che riprendono con cadenza temporale fissa porzioni della superficie terrestre. Le immagini multi/iperspettrali acquisite sono in grado di fornire informazioni per differenti campi di applicazione. In questo studio è stato affrontato il tema del consumo di suolo che rappresenta un’importante sfida per una corretta gestione del territorio, poiché direttamente connesso con i fenomeni del runoff urbano, della frammentazione ecosistemica e con la sottrazione di importanti territori agricoli. Ancora non esiste una definizione unica, ed anche una metodologia di misura, del consumo di suolo; in questo studio è stato definito come tale quello che provoca impermeabilizzazione del terreno. L’area scelta è quella della Provincia di Bologna che si estende per 3.702 km2 ed è caratterizzata a nord dalla Pianura Padana e a sud dalla catena appenninica; secondo i dati forniti dall’ISTAT, nel periodo 2001-2011 è stata la quarta provincia in Italia con più consumo di suolo. Tramite classificazione pixel-based è stata fatta una mappatura del fenomeno per cinque immagini Landsat. Anche se a media risoluzione, e quindi non in grado di mappare tutti i dettagli, esse sono particolarmente idonee per aree estese come quella scelta ed inoltre garantiscono una più ampia copertura temporale. Il periodo considerato va dal 1987 al 2013 e, tramite procedure di change detection applicate alle mappe prodotte, si è cercato di quantificare il fenomeno, confrontarlo con i dati esistenti e analizzare la sua distribuzione spaziale.

Crystallization and morphology of the PLLA phase within random poly (L-lactide-ran-ɛ-caprolactone)

This work has mainly focused on the poly (L-lactide) (PLLA) which is a material for multiple applications with performances comparable to those of petrochemical polymers (PP, PS, PET, etc. ...), readily recyclable and also compostable. However, PLLA has certain shortcomings that limit its applications. It is a brittle, hard polymer with a very low elongation at break, hydrophobic, exhibits low crystallization kinetics and takes a long time to degrade. The properties of PLLA may be modified by copolymerization (random, block, and graft) of L-lactide monomers with other co-monomers. In this thesis it has been studied the crystallization and morphology of random copolymers poly (L-lactide-ran-ε-caprolactone) with different compositions of the two monomers since the physical, mechanical, optical and chemical properties of a material depend on this behavior. Thermal analyses were performed by differential scanning calorimetry (DSC) and thermogravimetry (TGA) to observe behaviors due to the different compositions of the copolymers. The crystallization kinetics and morphology of poly (L-lactide-ran-ε-caprolactone) was investigated by polarized light optical microscopy (PLOM) and differential scanning calorimetry (DSC). Their thermal behavior was observed with crystallization from melt. It was observed that with increasing amounts of PCL in the copolymer, there is a decrease of the thermal degradation. Studies on the crystallization kinetics have shown that small quantities of PCL in the copolymer increase the overall crystallization kinetics and the crystal growth rate which decreases with higher quantities of PCL.

Climate change in Libya and desertification of Jifara Plain

The study was arranged to manifest its objectives through preceding it with an intro-duction. Particular attention was paid in the second part to detect the physical settings of the study area, together with an attempt to show the climatic characteristics in Libya. In the third part, observed temporal and spatial climate change in Libya was investigated through the trends of temperature, precipitation, relative humidity and cloud amount over the peri-ods (1946-2000), (1946-1975), and (1976-2000), comparing the results with the global scales. The forth part detected the natural and human causes of climate change concentrat-ing on the greenhouse effect. The potential impacts of climate change on Libya were ex-amined in the fifth chapter. As a case study, desertification of Jifara Plain was studied in the sixth part. In the seventh chapter, projections and mitigations of climate change and desertification were discussed. Ultimately, the main results and recommendations of the study were summarized. In order to carry through the objectives outlined above, the following methods and approaches were used: a simple linear regression analysis was computed to detect the trends of climatic parameters over time; a trend test based on a trend-to-noise-ratio was applied for detecting linear or non-linear trends; the non-parametric Mann-Kendall test for trend was used to reveal the behavior of the trends and their significance; PCA was applied to construct the all-Libya climatic parameters trends; aridity index after Walter-Lieth was shown for computing humid respectively arid months in Libya; correlation coefficient, (after Pearson) for detecting the teleconnection between sun spot numbers, NAOI, SOI, GHGs, and global warming, climate changes in Libya; aridity index, after De Martonne, to elaborate the trends of aridity in Jifara Plain; Geographical Information System and Re-mote Sensing techniques were applied to clarify the illustrations and to monitor desertifi-cation of Jifara Plain using the available satellite images MSS, TM, ETM+ and Shuttle Radar Topography Mission (SRTM). The results are explained by 88 tables, 96 figures and 10 photos. Temporal and spatial temperature changes in Libya indicated remarkably different an-nual and seasonal trends over the long observation period 1946-2000 and the short obser-vation periods 1946-1975 and 1976-2000. Trends of mean annual temperature were posi-tive at all study stations except at one from 1946-2000, negative trends prevailed at most stations from 1946-1975, while strongly positive trends were computed at all study stations from 1976-2000 corresponding with the global warming trend. Positive trends of mean minimum temperatures were observed at all reference stations from 1946-2000 and 1976-2000, while negative trends prevailed at most stations over the period 1946-1975. For mean maximum temperature, positive trends were shown from 1946-2000 and from 1976-2000 at most stations, while most trends were negative from 1946-1975. Minimum tem-peratures increased at nearly more than twice the rate of maximum temperatures at most stations. In respect of seasonal temperature, warming mostly occurred in summer and au-tumn in contrast to the global observations identifying warming mostly in winter and spring in both study periods. Precipitation across Libya is characterized by scanty and sporadically totals, as well as high intensities and very high spatial and temporal variabilities. From 1946-2000, large inter-annual and intra-annual variabilities were observed. Positive trends of annual precipi-tation totals have been observed from 1946-2000, negative trends from 1976-2000 at most stations. Variabilities of seasonal precipitation over Libya are more strikingly experienced from 1976-2000 than from 1951-1975 indicating a growing magnitude of climate change in more recent times. Negative trends of mean annual relative humidity were computed at eight stations, while positive trends prevailed at seven stations from 1946-2000. For the short observation period 1976-2000, positive trends were computed at most stations. Annual cloud amount totals decreased at most study stations in Libya over both long and short periods. Re-markably large spatial variations of climate changes were observed from north to south over Libya. Causes of climate change were discussed showing high correlation between tempera-ture increasing over Libya and CO2 emissions; weakly positive correlation between pre-cipitation and North Atlantic Oscillation index; negative correlation between temperature and sunspot numbers; negative correlation between precipitation over Libya and Southern Oscillation Index. The years 1992 and 1993 were shown as the coldest in the 1990s result-ing from the eruption of Mount Pinatubo, 1991. Libya is affected by climate change in many ways, in particular, crop production and food security, water resources, human health, population settlement and biodiversity. But the effects of climate change depend on its magnitude and the rate with which it occurs. Jifara Plain, located in northwestern Libya, has been seriously exposed to desertifica-tion as a result of climate change, landforms, overgrazing, over-cultivation and population growth. Soils have been degraded, vegetation cover disappeared and the groundwater wells were getting dry in many parts. The effect of desertification on Jifara Plain appears through reducing soil fertility and crop productivity, leading to long-term declines in agri-cultural yields, livestock yields, plant standing biomass, and plant biodiversity. Desertifi-cation has also significant implications on livestock industry and the national economy. Desertification accelerates migration from rural and nomadic areas to urban areas as the land cannot support the original inhabitants. In the absence of major shifts in policy, economic growth, energy prices, and con-sumer trends, climate change in Libya and desertification of Jifara Plain are expected to continue in the future. Libya cooperated with United Nations and other international organizations. It has signed and ratified a number of international and regional agreements which effectively established a policy framework for actions to mitigate climate change and combat deserti-fication. Libya has implemented several laws and legislative acts, with a number of ancil-lary and supplementary rules to regulate. Despite the current efforts and ongoing projects being undertaken in Libya in the field of climate change and desertification, urgent actions and projects are needed to mitigate climate change and combat desertification in the near future.

Mission synthesis of sine-on-random excitations for accelerated vibration qualification testing

In most real-life environments, mechanical or electronic components are subjected to vibrations. Some of these components may have to pass qualification tests to verify that they can withstand the fatigue damage they will encounter during their operational life. In order to conduct a reliable test, the environmental excitations can be taken as a reference to synthesize the test profile: this procedure is referred to as “test tailoring”. Due to cost and feasibility reasons, accelerated qualification tests are usually performed. In this case, the duration of the original excitation which acts on the component for its entire life-cycle, typically hundreds or thousands of hours, is reduced. In particular, the “Mission Synthesis” procedure lets to quantify the induced damage of the environmental vibration through two functions: the Fatigue Damage Spectrum (FDS) quantifies the fatigue damage, while the Maximum Response Spectrum (MRS) quantifies the maximum stress. Then, a new random Power Spectral Density (PSD) can be synthesized, with same amount of induced damage, but a specified duration in order to conduct accelerated tests. In this work, the Mission Synthesis procedure is applied in the case of so-called Sine-on-Random vibrations, i.e. excitations composed of random vibrations superimposed on deterministic contributions, in the form of sine tones typically due to some rotating parts of the system (e.g. helicopters, engine-mounted components, …). In fact, a proper test tailoring should not only preserve the accumulated fatigue damage, but also the “nature” of the excitation (in this case the sinusoidal components superimposed on the random process) in order to obtain reliable results. The classic time-domain approach is taken as a reference for the comparison of different methods for the FDS calculation in presence of Sine-on-Random vibrations. Then, a methodology to compute a Sine-on-Random specification based on a mission FDS is presented.

Stationary states in random walks on networks

In this thesis we dealt with the problem of describing a transportation network in which the objects in movement were subject to both finite transportation capacity and finite accomodation capacity. The movements across such a system are realistically of a simultaneous nature which poses some challenges when formulating a mathematical description. We tried to derive such a general modellization from one posed on a simplified problem based on asyncronicity in particle transitions. We did so considering one-step processes based on the assumption that the system could be describable through discrete time Markov processes with finite state space. After describing the pre-established dynamics in terms of master equations we determined stationary states for the considered processes. Numerical simulations then led to the conclusion that a general system naturally evolves toward a congestion state when its particle transition simultaneously and we consider one single constraint in the form of network node capacity. Moreover the congested nodes of a system tend to be located in adjacent spots in the network, thus forming local clusters of congested nodes.

Organ transplantation in Switzerland: impact of the new transplant law on cold ischaemia time and organ transports

On 1 July 2007 a new transplant law came into force in Switzerland. The principal item of this new law is the change from centre-oriented allocation to patient-oriented national allocation of organs. The aim of the present study is to assess the impact on cold ischaemia time (CIT) and transport requirements.

Co2-dependent vasomotor reactivity of cerebral arteries in patients with severe traumatic brain injury: time course and effect of augmentation of cardiac output with dobutamine

Failing cerebral blood flow (CBF) autoregulation may contribute to cerebral damage after traumatic brain injury (TBI). The purpose of this study was to describe the time course of CO(2)-dependent vasoreactivity, measured as CBF velocity in response to hyperventilation (vasomotor reactivity [VMR] index). We included 13 patients who had had severe TBI, 8 of whom received norepinephrine (NE) based on clinical indication. In these patients, measurements were also performed after dobutamine administration, with a goal of increasing cardiac output by 30%. Blood flow velocity was measured with transcranial Doppler ultrasound in both hemispheres. All patients except one had an abnormal VMR index in at least one hemisphere within the first 24 h after TBI. In those patients who did not receive catecholamines, mean VMR index recovered within the first 48 to 72 h. In contrast, in patients who received NE within the first 48 h period, VMR index did not recover on the second day. Cardiac output and mean CBF velocity increased significantly during dobutamine administration, but VMR index did not change significantly. In conclusion, CO(2) vasomotor reactivity was abnormal in the first 24 h after TBI in most of the patients, but recovered within 48 h in those patients who did not receive NE, in contrast to those eventually receiving the drug. Addition of dobutamine to NE had variable but overall insignificant effects on CO(2) vasomotor reactivity.

Retraining of interjoint arm coordination after stroke using robot-assisted time-independent functional training

We have developed a haptic-based approach for retraining of interjoint coordination following stroke called time-independent functional training (TIFT) and implemented this mode in the ARMin III robotic exoskeleton. The ARMin III robot was developed by Drs. Robert Riener and Tobias Nef at the Swiss Federal Institute of Technology Zurich (Eidgenossische Technische Hochschule Zurich, or ETH Zurich), in Zurich, Switzerland. In the TIFT mode, the robot maintains arm movements within the proper kinematic trajectory via haptic walls at each joint. These arm movements focus training of interjoint coordination with highly intuitive real-time feedback of performance; arm movements advance within the trajectory only if their movement coordination is correct. In initial testing, 37 nondisabled subjects received a single session of learning of a complex pattern. Subjects were randomized to TIFT or visual demonstration or moved along with the robot as it moved though the pattern (time-dependent [TD] training). We examined visual demonstration to separate the effects of action observation on motor learning from the effects of the two haptic guidance methods. During these training trials, TIFT subjects reduced error and interaction forces between the robot and arm, while TD subject performance did not change. All groups showed significant learning of the trajectory during unassisted recall trials, but we observed no difference in learning between groups, possibly because this learning task is dominated by vision. Further testing in stroke populations is warranted.

Uniform approach to linear and nonlinear interrelation patterns in multivariate time series

Currently, a variety of linear and nonlinear measures is in use to investigate spatiotemporal interrelation patterns of multivariate time series. Whereas the former are by definition insensitive to nonlinear effects, the latter detect both nonlinear and linear interrelation. In the present contribution we employ a uniform surrogate-based approach, which is capable of disentangling interrelations that significantly exceed random effects and interrelations that significantly exceed linear correlation. The bivariate version of the proposed framework is explored using a simple model allowing for separate tuning of coupling and nonlinearity of interrelation. To demonstrate applicability of the approach to multivariate real-world time series we investigate resting state functional magnetic resonance imaging (rsfMRI) data of two healthy subjects as well as intracranial electroencephalograms (iEEG) of two epilepsy patients with focal onset seizures. The main findings are that for our rsfMRI data interrelations can be described by linear cross-correlation. Rejection of the null hypothesis of linear iEEG interrelation occurs predominantly for epileptogenic tissue as well as during epileptic seizures.

Early bursts of body size and shape evolution are rare in comparative data

George Gaylord Simpson famously postulated that much of life's diversity originated as adaptive radiations-more or less simultaneous divergences of numerous lines from a single ancestral adaptive type. However, identifying adaptive radiations has proven difficult due to a lack of broad-scale comparative datasets. Here, we use phylogenetic comparative data on body size and shape in a diversity of animal clades to test a key model of adaptive radiation, in which initially rapid morphological evolution is followed by relative stasis. We compared the fit of this model to both single selective peak and random walk models. We found little support for the early-burst model of adaptive radiation, whereas both other models, particularly that of selective peaks, were commonly supported. In addition, we found that the net rate of morphological evolution varied inversely with clade age. The youngest clades appear to evolve most rapidly because long-term change typically does not attain the amount of divergence predicted from rates measured over short time scales. Across our entire analysis, the dominant pattern was one of constraints shaping evolution continually through time rather than rapid evolution followed by stasis. We suggest that the classical model of adaptive radiation, where morphological evolution is initially rapid and slows through time, may be rare in comparative data.

Increasing Utilization of US Electric Grids via Smart Technologies: Integration of Load Management, Real Time Pricing, Renewables, EVs and Smart Grid Sensors

Electric power grids throughout the world suffer from serious inefficiencies associated with under-utilization due to demand patterns, engineering design and load following approaches in use today. These grids consume much of the world’s energy and represent a large carbon footprint. From material utilization perspectives significant hardware is manufactured and installed for this infrastructure often to be used at less than 20-40% of its operational capacity for most of its lifetime. These inefficiencies lead engineers to require additional grid support and conventional generation capacity additions when renewable technologies (such as solar and wind) and electric vehicles are to be added to the utility demand/supply mix. Using actual data from the PJM [PJM 2009] the work shows that consumer load management, real time price signals, sensors and intelligent demand/supply control offer a compelling path forward to increase the efficient utilization and carbon footprint reduction of the world’s grids. Underutilization factors from many distribution companies indicate that distribution feeders are often operated at only 70-80% of their peak capacity for a few hours per year, and on average are loaded to less than 30-40% of their capability. By creating strong societal connections between consumers and energy providers technology can radically change this situation. Intelligent deployment of smart sensors, smart electric vehicles, consumer-based load management technology very high saturations of intermittent renewable energy supplies can be effectively controlled and dispatched to increase the levels of utilization of existing utility distribution, substation, transmission, and generation equipment. The strengthening of these technology, society and consumer relationships requires rapid dissemination of knowledge (real time prices, costs & benefit sharing, demand response requirements) in order to incentivize behaviors that can increase the effective use of technological equipment that represents one of the largest capital assets modern society has created.

A Novel Method for the Homogenization of Daily Temperature Series and Its Relevance for Climate Change Analysis

Instrumental daily series of temperature are often affected by inhomogeneities. Several methods are available for their correction at monthly and annual scales, whereas few exist for daily data. Here, an improved version of the higher-order moments (HOM) method, the higher-order moments for autocorrelated data (HOMAD), is proposed. HOMAD addresses the main weaknesses of HOM, namely, data autocorrelation and the subjective choice of regression parameters. Simulated series are used for the comparison of both methodologies. The results highlight and reveal that HOMAD outperforms HOM for small samples. Additionally, three daily temperature time series from stations in the eastern Mediterranean are used to show the impact of homogenization procedures on trend estimation and the assessment of extremes. HOMAD provides an improved correction of daily temperature time series and further supports the use of corrected daily temperature time series prior to climate change assessment.