Modelling nonlinear stochastic dynamics in financial time series

For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.

Investigating viscous fluid flow in an internal mixer using computational fluid dynamics

This thesis presents an effective methodology for the generation of a simulation which can be used to increase the understanding of viscous fluid processing equipment and aid in their development, design and optimisation. The Hampden RAPRA Torque Rheometer internal batch twin rotor mixer has been simulated with a view to establishing model accuracies, limitations, practicalities and uses. As this research progressed, via the analyses several 'snap-shot' analysis of several rotor configurations using the commercial code Polyflow, it was evident that the model was of some worth and its predictions are in good agreement with the validation experiments, however, several major restrictions were identified. These included poor element form, high man-hour requirements for the construction of each geometry and the absence of the transient term in these models. All, or at least some, of these limitations apply to the numerous attempts to model internal mixes by other researchers and it was clear that there was no generally accepted methodology to provide a practical three-dimensional model which has been adequately validated. This research, unlike others, presents a full complex three-dimensional, transient, non-isothermal, generalised non-Newtonian simulation with wall slip which overcomes these limitations using unmatched ridding and sliding mesh technology adapted from CFX codes. This method yields good element form and, since only one geometry has to be constructed to represent the entire rotor cycle, is extremely beneficial for detailed flow field analysis when used in conjunction with user defined programmes and automatic geometry parameterisation (AGP), and improves accuracy for investigating equipment design and operation conditions. Model validation has been identified as an area which has been neglected by other researchers in this field, especially for time dependent geometries, and has been rigorously pursued in terms of qualitative and quantitative velocity vector analysis of the isothermal, full fill mixing of generalised non-Newtonian fluids, as well as torque comparison, with a relatively high degree of success. This indicates that CFD models of this type can be accurate and perhaps have not been validated to this extent previously because of the inherent difficulties arising from most real processes.

Oscillatory dynamics in the perception of pain investigated using magnetoencephalography

This thesis investigates changes in the oscillatory dynamics in key areas of the pain matrix during different modalities of pain. Gamma oscillations were seen in the primary somatosensory cortex in response to somatic electrical stimulation at painful and non-painful intensities. The strength of the gamma oscillations was found to relate to the intensity of the stimulus. Gamma oscillations were not seen during distal oesophageal electrical stimulation or the cold pressor test. Gamma oscillations were not seen in all participants during somatic electrical stimulation, however clear evoked responses from SI were seen in everyone. During a train of electrical pulses to the median nerve and the digit, a decrease in the frequency of the gamma oscillations was seen across the duration of the train. During a train of electrical stimuli to the median nerve and the digit, gamma oscillations were seen at ~20-100ms following stimulus onset and at frequencies between 30-100Hz. This gamma response was found to have a strong evoked component. Following a single electrical pulse to the digit, gamma oscillations were seen at 100-250ms and between 60-95Hz and were not temporally coincident with the main components of the evoked response. These results suggest that gamma oscillations may have an important role in encoding different aspects of sensory stimuli within their characteristics such as strength and frequency. These findings help to elucidate how somatic stimuli are processed within the cortex which in turn may be used to understand abnormal cases of somatosensory processing.

Fibre optic sensors for high speed hypervelocity impact studies and low velocity drop tests

The initial aim of this project was to develop a non-contact fibre optic based displacement sensor to operate in the harsh environment of a 'Light Gas Gun' (LGG), which can 'fire' small particles at velocities ranging from 1-8.4 km/s. The LGG is used extensively for research in aerospace to analyze the effects of high speed impacts on materials. Ideally the measurement should be made close to the centre of the impact to minimise corruption of the data from edge effects and survive the impact. A further requirement is that it should operate at a stand-off distance of ~ 8cm. For these reasons we chose to develop a pseudo con-focal intensity sensor, which demonstrated resolution comparable with conventional PVDF sensors combined with high survivability and low cost. A second sensor was developed based on 'Fibre Bragg Gratings' (FBG) which although requiring contact with the target the low weight and very small contact area had minimal effect on the dynamics of the target. The FBG was mounted either on the surface of the target or tangentially between a fixed location. The output signals from the FBG were interrogated in time by a new method. Measurements were made on composite and aluminium plates in the LGG and on low speed drop tests. The particle momentum for the drop tests was chosen to be similar to that of the particles used in the LGG.

Characterisation and surface-profiling techniques for composite particles produced by dry powder coating in pharmaceutical drug delivery

The production of composite particles using dry powder coating is a one-step, environmentally friendly, process for the fabrication of particles with targeted properties and favourable functionalities. Diverse functionalities, such flowability enhancement, content uniformity, and dissolution, can be developed from dry particle coating. In this review, we discuss the particle functionalities that can be tailored and the selection of characterisation techniques relevant to understanding their molecular basis. We address key features in the powder blend sampling process and explore the relevant characterisation techniques, focussing on the functionality delivered by dry coating and on surface profiling that explores the dynamics and surface characteristics of the composite blends. Dry particle coating is a solvent- and heat-free process that can be used to develop functionalised particles. However, assessment of the resultant functionality requires careful selection of sensitive analytical techniques that can distinguish particle surface changes within nano and/or micrometre ranges.

Stock market efficiency before and after a financial liberalisation reform:do breaks in volatility dynamics matter?

This article focuses on the deviations from normality of stock returns before and after a financial liberalisation reform, and shows the extent to which inference based on statistical measures of stock market efficiency can be affected by not controlling for breaks. Drawing from recent advances in the econometrics of structural change, it compares the distribution of the returns of five East Asian emerging markets when breaks in the mean and variance are either (i) imposed using certain official liberalisation dates or (ii) detected non-parametrically using a data-driven procedure. The results suggest that measuring deviations from normality of stock returns with no provision for potentially existing breaks incorporates substantial bias. This is likely to severely affect any inference based on the corresponding descriptive or test statistics.

Molecular dynamics study of solvent transport in nanoscale osmosis

An ideal of osmotic equilibrium between an ideal solution and pure solvent separated by a semi-permeable membrane is studied numerically using the method of molecular dynamics. The osmotic flow is observed as the inflow of the solvent across the membrane from the dilute to the concentrated side. The validity of van't Hoff's law for osmotic pressure is confirmed over a wide range of concentrations. It is found that the law is established by a balance between non-uniform partial pressures of solute and solvent. Furthermore, the present model permits an understanding of the mechanism of the osmotic flow in the relaxation process as the liquids evolve from the initial state to the equilibrium state. We focus in particular on the interaction between solute and solvent. ©2008 The Physical Society of Japan.

Generalized mean field approximation for parallel dynamics of the Ising model

The dynamics of the non-equilibrium Ising model with parallel updates is investigated using a generalized mean field approximation that incorporates multiple two-site correlations at any two time steps, which can be obtained recursively. The proposed method shows significant improvement in predicting local system properties compared to other mean field approximation techniques, particularly in systems with symmetric interactions. Results are also evaluated against those obtained from Monte Carlo simulations. The method is also employed to obtain parameter values for the kinetic inverse Ising modeling problem, where couplings and local field values of a fully connected spin system are inferred from data. © 2014 IOP Publishing Ltd and SISSA Medialab srl.

Dynamics of effectuation and causation in technology-based new ventures (INTERACTIVE PAPER)

The creation of new ventures is a process characterized by the need to decide and take action in the face of uncertainty, and this is particularly so in the case of technology-based ventures. Effectuation theory (Sarasvathy, 2001) has advanced two possible approaches for making decisions while facing uncertainty in the entrepreneurial process. Causation logic is based on prediction and aims at lowering uncertainty, whereas effectuation logic is based on non-predictive action and aims at working with uncertainty. This study aims to generate more fine-grained insight in the dynamics of effectuation and causation over time. We address the following questions: (1) What patterns can be found in effectual and causal behaviour of technology-based new ventures over time? And (2) How may patterns in the dynamics of effectuation and causation be explained?

Random walks in local dynamics of network losses

We suggest a model for data losses in a single node (memory buffer) of a packet-switched network (like the Internet) which reduces to one-dimensional discrete random walks with unusual boundary conditions. By construction, the model has critical behavior with a sharp transition from exponentially small to finite losses with increasing data arrival rate. We show that for a finite-capacity buffer at the critical point the loss rate exhibits strong fluctuations and non-Markovian power-law correlations in time, in spite of the Markovian character of the data arrival process.

The influence of pH and fluid dynamics on the antibacterial efficacy of 45S5 Bioglass

In recent years, there has been considerable interest in the potential antibacterial properties that bioactive glasses may possess. However, there have been several conflicting reports on the antibacterial efficacy of 45S5 Bioglass®. Various mechanisms regarding its mode of action have been proposed, such as changes in the environmental pH, increased osmotic pressure, and ‘needle like’ sharp glass debris which could potentially damage prokaryotic cell walls and thus inactivate bacteria. In this current study, a systematic investigation was undertaken on the antibacterial efficacy of 45S5 Bioglass® on Escherichia coli NCTC 10538 and Staphylococcus aureus ATCO 6538 under a range of clinically relevant scenarios including varying Bioglass® concentration, direct and indirect contact between Bioglass® and microorganisms, static and shaking incubation conditions, elevated and neutralised pH environments. The results demonstrated that under elevated pH conditions, Bioglass® particles has no antibacterial effect on S. aureus whilst, a concentration dependent antibacterial effect against E. coli was observed. However, the antibacterial activity ceased when the pH of the media was neutralised. The results of this current study therefore suggest that the mechanism of antibacterial activity of Bioglass® is associated with changes in the environmental pH; an environment that is less likely to occur in vivo due to buffering of the system.

The role of pinning and instability in a class of non-equilibrium growth models

We study the dynamics of a growing crystalline facet where the growth mechanism is controlled by the geometry of the local curvature. A continuum model, in (2+1) dimensions, is developed in analogy with the Kardar-Parisi-Zhang (KPZ) model is considered for the purpose. Following standard coarse graining procedures, it is shown that in the large time, long distance limit, the continuum model predicts a curvature independent KPZ phase, thereby suppressing all explicit effects of curvature and local pinning in the system, in the "perturbative" limit. A direct numerical integration of this growth equation, in 1+1 dimensions, supports this observation below a critical parametric range, above which generic instabilities, in the form of isolated pillared structures lead to deviations from standard scaling behaviour. Possibilities of controlling this instability by introducing statistically "irrelevant" (in the sense of renormalisation groups) higher ordered nonlinearities have also been discussed.

A taxonomy of heterogeneity and dynamics in particle swarm optimisation

We propose a taxonomy for heterogeneity and dynamics of swarms in PSO, which separates the consideration of homogeneity and heterogeneity from the presence of adaptive and non-adaptive dynamics, both at the particle and swarm level. It thus supports research into the separate and combined contributions of each of these characteristics. An analysis of the literature shows that most recent work has focussed on only parts of the taxonomy. Our results agree with prior work that both heterogeneity and dynamics are useful. However while heterogeneity does typically improve PSO, this is often dominated by the improvement due to dynamics. Adaptive strategies used to generate heterogeneity may end up sacrificing the dynamics which provide the greatest performance increase. We evaluate exemplar strategies for each area of the taxonomy and conclude with recommendations.

Travelling-wave model of semiconductor optical amplifier based non-linear loop mirror

A travelling-wave model of a semiconductor optical amplifier based non-linear loop mirror is developed to investigate the importance of travelling-wave effects and gain/phase dynamics in predicting device behaviour. A constant effective carrier recovery lifetime approximation is found to be reasonably accurate (±10%) within a wide range of control pulse energies. Based on this approximation, a heuristic model is developed for maximum computational efficiency. The models are applied to a particular configuration involving feedback.

Towards novel compact laser sources for non-invasive diagnostics and treatment

An important field of application of lasers is biomedical optics. Here, they offer great utility for diagnosis, therapy and surgery. For the development of novel methods of laser-based biomedical diagnostics careful study of light propagation in biological tissues is necessary to enhance our understanding of the optical measurements undertaken, increase research and development capacity and the diagnostic reliability of optical technologies. Ultimately, fulfilling these requirements will increase uptake in clinical applications of laser based diagnostics and therapeutics. To address these challenges informative biomarkers relevant to the biological and physiological function or disease state of the organism must be selected. These indicators are the results of the analysis of tissues and cells, such as blood. For non-invasive diagnostics peripheral blood, cells and tissue can potentially provide comprehensive information on the condition of the human organism. A detailed study of the light scattering and absorption characteristics can quickly detect physiological and morphological changes in the cells due to thermal, chemical, antibiotic treatments, etc [1-5]. The selection of a laser source to study the structure of biological particles also benefits from the fact that gross pathological changes are not induced and diagnostics make effective use of the monochromatic directional coherence properties of laser radiation.