937 resultados para Algoritmic pairs trading, statistical arbitrage, Kalman filter, mean reversion.


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This work presents a statistical study on the variability of the mechanical properties of hardened self-compacting concrete, including the compressive strength, splitting tensile strength and modulus of elasticity. The comparison of the experimental results with those derived from several codes and recommendations allows evaluating if the hardened behaviour of self-compacting concrete can be appropriately predicted by the existing formulations. The variables analyzed include the maximum size aggregate, paste and gravel content. Results from the analyzed self-compacting concretes presented variability measures in the same range than the expected for conventional vibrated concrete, with all the results within a confidence level of 95%. From several formulations for conventional concrete considered in this study, it was observed that a safe estimation of the modulus of elasticity can be obtained from the value of compressive strength; with lower strength self-compacting concretes presenting higher safety margins. However, most codes overestimate the material tensile strength. (C) 2010 Elsevier Ltd. All rights reserved.

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This technical note develops information filter and array algorithms for a linear minimum mean square error estimator of discrete-time Markovian jump linear systems. A numerical example for a two-mode Markovian jump linear system, to show the advantage of using array algorithms to filter this class of systems, is provided.

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The greenhouse effect and resulting increase in the Earth`s temperature may accelerate the mean sea-level rise. The natural response of bays and estuaries to this rise, such as this case study of Santos Bay (Brazil), will include change in shoreline position, land flooding and wetlands impacts. The main impacts of this scenario were studied in a physical model built in the Coastal and Harbour Division of Hydraulic Laboratory, University of Sao Paulo, and the main conclusions are presented in this paper. The model reproduces near 1,000 km(2) of the study area, including Santos, Sao Vicente, Praia Grande, Cubatao, Guaruja and Bertioga cities.

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The volumetric reconstruction technique presented in this paper employs a two-camera stereoscopic particle image velocimetry (SPIV) system in order to reconstruct the mean flow behind a fixed cylinder fitted with helical strakes, which are commonly used to suppress vortex-induced vibrations (VIV). The technique is based on the measurement of velocity fields at equivalent adjacent planes that results in pseudo volumetric fields. The main advantage over proper volumetric techniques is the avoidance of additional equipment and complexity. The averaged velocity fields behind the straked cylinders and the geometrical periodicity of the three-start configuration are used to further simplify the reconstruction process. Two straked cylindrical models with the same pitch (p = 10d) and two different heights (h = 0.1 and 0.2d) are tested. The reconstructed flow shows that the strakes introduce in the wake flow a well-defined wavelength of one-third of the pitch. Measurements of hydrodynamic forces, fluctuating velocity, vortex formation length, and vortex shedding frequency show the interdependence of the wake parameters. The vortex formation length is increased by the strakes, which is an important effect for the suppression of vortex-induced vibrations. The results presented complement previous investigations concerning the effectiveness of strakes as VIV suppressors and provide a basis of comparison to numerical simulations.

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The objective of the present work is to propose a numerical and statistical approach, using computational fluid dynamics, for the study of the atmospheric pollutant dispersion. Modifications in the standard k-epsilon turbulence model and additional equations for the calculation of the variance of concentration are introduced to enhance the prediction of the flow field and scalar quantities. The flow field, the mean concentration and the variance of a flow over a two-dimensional triangular hill, with a finite-size point pollutant source, are calculated by a finite volume code and compared with published experimental results. A modified low Reynolds k-epsilon turbulence model was employed in this work, using the constant of the k-epsilon model C(mu)=0.03 to take into account the inactive atmospheric turbulence. The numerical results for the velocity profiles and the position of the reattachment point are in good agreement with the experimental results. The results for the mean and the variance of the concentration are also in good agreement with experimental results from the literature. (C) 2009 Elsevier Ltd. All rights reserved.

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Arsenic (As) and chromium (Cr) are two of the most toxic pollutants introduced into natural waters from a variety of sources, and they cause various adverse effects on living bodies when their concentrations exceed permissible limits. Laboratory experiments have been conducted to investigate the sorption of As and Cr on carbon steel and removal of trace elements from drinking water with a household filtration process. The affinity of As and Cr species for iron/iron carbide (Fe/Fe3C) sites is the key factor in controlling the removal of the elements. The method is based on the use of powder carbon steel, powdered block carbon, and ball ceramic in the ion-sorption columns as a cleaning process. The presence of carbon steel in a system that contains As3+ and Cr6+ might have a potential effect.

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This paper addresses the minimization of the mean absolute deviation from a common due date in a two-machine flowshop scheduling problem. We present heuristics that use an algorithm, based on proposed properties, which obtains an optimal schedule fora given job sequence. A new set of benchmark problems is presented with the purpose of evaluating the heuristics. Computational experiments show that the developed heuristics outperform results found in the literature for problems up to 500 jobs. (C) 2007 Elsevier Ltd. All rights reserved.

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Purpose - This paper seeks to identify collaboration elements and evaluate their intensity in the Brazilian supermarket retail chain, especially the manufacturer-retailer channel. Design/methodology/approach - A structured questionnaire was elaborated and applied to 125 representatives from suppliers of large supermarket chains. Statistical methods including multivariate analysis were employed. Variables were grouped and composed into five indicators (joint actions, information sharing, interpersonal integration, gains and cost sharing, and strategic integration) to assess the degree of collaboration. Findings - The analyses showed that the interviewees considered interpersonal integration to be of greater importance to collaboration intensity than the other integration factors, such as gain or cost sharing or even strategic integration. Research limitations/implications - The research was conducted solely from the point of view of the industries that supply the large retail networks. The interviews were not conducted in pairs; that is, there was no application of one questionnaire to the retail network and another to the partner industry. Practical implications - Companies should invest in conducting periodic meetings with their partners to increase collaboration intensity, and should carry out technical visits to learn about their partners` logistic reality and thus make better operational decisions. Originality/value - The paper reveals which indicators produce greater collaboration intensity, and thus those that are more relevant to more efficient logistics management.

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This paper presents an analysis of a reconfigurable patch filter based on a triple-mode circular patch resonator with four radial slots. The analysis has been carried out thanks to the development of a new theoretical approach of the tunable patch filter based on the coupling matrix. The coefficients of the coupling matrix related to the tunable behavior have been identified and some rules for their evolution have been derived. For a proof-of-concept, a bandpass filter has been designed with a continuous tunability obtained with varactors connected across the slots. State-of-the-art results have been obtained, with a frequency tuning range of 27% from 1.95 to 2.43 GHz and a change in fractional bandwidth from 8.5% to 31.5% for the respective frequencies. In the entire tuning range, the return loss is better than 10 dB and the maximum insertion loss is 2 dB. Due to the newly developed coupling matrix, measurements, simulations, and theory showed great agreement.

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We study the problem of distributed estimation based on the affine projection algorithm (APA), which is developed from Newton`s method for minimizing a cost function. The proposed solution is formulated to ameliorate the limited convergence properties of least-mean-square (LMS) type distributed adaptive filters with colored inputs. The analysis of transient and steady-state performances at each individual node within the network is developed by using a weighted spatial-temporal energy conservation relation and confirmed by computer simulations. The simulation results also verify that the proposed algorithm provides not only a faster convergence rate but also an improved steady-state performance as compared to an LMS-based scheme. In addition, the new approach attains an acceptable misadjustment performance with lower computational and memory cost, provided the number of regressor vectors and filter length parameters are appropriately chosen, as compared to a distributed recursive-least-squares (RLS) based method.

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This article presents a triple-mode bandpass filter using a modified circular patch resonator. Etched slots in the resonator split the TM(1, 1, 0)(z) degenerate fundamental modes and also perturb the TM(2, 1, 0)(z) mode, approximating their resonant frequencies to form a third-order bandpass filter. A 2.42 GHz centered filter was designed and fabricated. Experimental results showed a fractional bandwidth of 29%, return loss better than 16 dB, insertion loss of 0.5 dB, and good second harmonic band rejection. The filter exhibited a size reduction of 51% compared with a filter using an unperturbed circular patch resonator at the same frequency. (C) 2008 Wiley Periodicals, Inc. Microwave Opt Technol Lett 51: 178-182, 2009; Published online in Wiley InterScience (www.interscience.wiley.com). DOI 10.1002/mop.23950

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As is well known, Hessian-based adaptive filters (such as the recursive-least squares algorithm (RLS) for supervised adaptive filtering, or the Shalvi-Weinstein algorithm (SWA) for blind equalization) converge much faster than gradient-based algorithms [such as the least-mean-squares algorithm (LMS) or the constant-modulus algorithm (CMA)]. However, when the problem is tracking a time-variant filter, the issue is not so clear-cut: there are environments for which each family presents better performance. Given this, we propose the use of a convex combination of algorithms of different families to obtain an algorithm with superior tracking capability. We show the potential of this combination and provide a unified theoretical model for the steady-state excess mean-square error for convex combinations of gradient- and Hessian-based algorithms, assuming a random-walk model for the parameter variations. The proposed model is valid for algorithms of the same or different families, and for supervised (LMS and RLS) or blind (CMA and SWA) algorithms.

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In this work, we present the simulation, fabrication and characterization of a tunable Bragg filter employing amorphous dielectric films deposited by plasma enhanced chemical vapor deposition technique on a crystalline silicon substrate. The optical device was built using conventional microelectronic processes and consisted of fifteen periodic intervals of Si3N4 layers separated by air with appropriated thickness and lengths to produce transmittance attenuation peaks in the visible region. For this, previous simulations were realized based in the optical parameters of the dielectric film, which were extracted from ellipsometry and profilometry techniques. For the characterization of the optical interferential filter, a 633 nm monochromatic light was injected on the filter, and then the transmitted output light was collected and conducted to a detector through an optical waveguide made also of amorphous dielectric layers. Afterwards, the optical filter was mounted on a Peltier thermoelectric device in order to control the temperature of the optical device. When the temperature of filter changes, a refractive index variation is originated in the dielectric film due to the thermo-optic effect, producing a shift of attenuation peak, which can be well predicted by numerical simulations. This characteristic allows this device to be used as a thermo-optic sensor. (C) 2007 Elsevier B.V. All rights reserved.

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In this technical note we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that more closely reflects real market conditions. A direct expression based on some change of measures, not depending on any recursions, is derived for the optimal hedging strategy as well as for the ""fair hedging price"" considering any given payoff. For the case of a European call option these expressions can be evaluated in a closed form.

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The crosstalk phenomenon consists in recording the volume-conducted electromyographic activity of muscles other than that under study. This interference may impair the correct interpretation of the results in a variety of experiments. A new protocol is presented here for crosstalk assessment between two muscles based on changes in their electrical activity following a reflex discharge in one of the muscles in response to nerve stimulation. A reflex compound muscle action potential (H-reflex) was used to induce a silent period in the muscle that causes the crosstalk, called here the remote muscle. The rationale is that if the activity recorded in the target muscle is influenced by a distant source (the remote muscle) a silent period observed in the electromyogram (EMG) of the remote muscle would coincide with a decrease in the EMG activity of the target muscle. The new crosstalk index is evaluated based on the root mean square (RMS) values of the EMGs obtained in two distinct periods (background EMG and silent period) of both the remote and the target muscles. In the present work the application focused on the estimation of the degree of crosstalk from the soleus muscle to the tibialis anterior muscle during quiet stance. However, the technique may be extended to other pairs of muscles provided a silent period may be evoked in one of them. (C) 2009 IPEM. Published by Elsevier Ltd. All rights reserved.