Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

The impacts of management reform on irrigation water use efficiency in the Guanzhong plain, China

This paper examines the efficiency of the 1998 irrigation management reform in the Guanzhong Plain, Shaanxi, China, at farm and canal level. Stochastic frontier analysis is applied to estimate irrigation water use efficiency, based on panel data for 800 farmers, spread over 80 irrigation canals, for the period 1999–2005. Analysis of determinants of water use efficiency shows that at farm level, water price and disclosure are important factors. Compared to the base case of unreformed, management reform has a positive impact with water user association having the largest effect, followed by joint-stock co-operative and private company. The canal model is in line with the farm level model, although estimates are less significant.

Effects of particle/matrix interface and strengthening mechanisms on the mechanical properties of metal matrix composites

A randomly distributed multi-particle model considering the effects of particle/matrix interface and strengthening mechanisms introduced by the particles has been constructed. Particle shape, distribution, volume fraction and the particles/matrix interface due to the factors including element diffusion were considered in the model. The effects of strengthening mechanisms, caused by the introduction of particles on the mechanical properties of the composites, including grain refinement strengthening, dislocation strengthening and Orowan strengthening, are incorporated. In the model, the particles are assumed to have spheroidal shape, with uniform distribution of the centre, long axis length and inclination angle. The axis ratio follows a right half-normal distribution. Using Monte Carlo method, the location and shape parameters of the spheroids are randomly selected. The particle volume fraction is calculated using the area ratio of the spheroids. Then, the effects of particle/matrix interface and strengthening mechanism on the distribution of Mises stress and equivalent strain and the flow behaviour for the composites are discussed.

Microstructure evolution in CLAM steel under low cycle fatigue

In the process of room-temperature low cycle fatigue, the China Low Activation Martensitic steel exhibits at the beginning cyclic hardening and then continuous cyclic softening. The grain size decreased and the martensitic lath transformed to cells/subgrains after the tests. The subgrains increase in size with increasing strain amplitude.

Laves-phase in the China Low Activation Martensitic steel after long-term creep exposure

Creep test at 600 °C under 130 MPa for the China Low Activation Martensitic (CLAM) steel was performed up to 7913 h in this study. According to the stress level, the crept specimen was divided into three regions in order to investigate the influence of stress on Laves-phase formation. In addition to the expected M23C6 carbide and MX carbonitride, the amount and the size of Laves phase in these three regions on the crept specimen were characterized by transmission electron microscopy. Laves phase could be found in all the regions and the creep stress could promote the formation of Laves phase.

Low cycle fatigue properties of CLAM steel at 823 K

China Low Activation Martensitic (CLAM) steel is considered to be the main candidate material for the first wall components of future fusion reactors in China. In this paper, the low cycle fatigue (LCF) behavior of CLAM steel is studied under fully reversed tension–compression loading at 823 K in air. Total strain amplitude was controlled from 0.14% to 1.8% with a constant strain rate of 2.4×10−3 s−1. The corresponding plastic strain amplitude ranged from 0.023% to 1.613%. The CLAM steel displayed continuous softening to failure at 823 K. The relationship between strain, stress and fatigue life was obtained using the parameters obtained from fatigue tests. The LCF properties of CLAM steel at 823 K followed Coffin–Manson relationship. Furthermore, irregular serration was observed on the stress–strain hysteresis loops of CLAM steel tested with the total strain amplitude of 0.45–1.8%, which was attributed to the dynamic strain aging (DSA) effect. During continuous cyclic deformation, the microstructure and precipitate distribution of CLAM steel changed gradually. Many tempered martensitic laths were decomposed into subgrains, and the size and number of M23C6 carbide and MX carbonitride precipitates decreased with the increase of total strain amplitude. The response cyclic stress promoted the recovery of martensitic lath, while the thermal activation mainly played an important role on the growth of precipitates in CLAM steel at 823 K. In order to have a better understanding of high-temperature LCF behavior, the potential mechanisms controlling stress–strain response, DSA phenomenon and microstructure changes have also been evaluated.

Technical and allocative efficiency of irrigation water use in the Guanzhong Plain, China

Due to increasing water scarcity, accelerating industrialization and urbanization, efficiency of irrigation water use in Northern China needs urgent improvement. Based on a sample of 347 wheat growers in the Guanzhong Plain, this paper simultaneously estimates a production function, and its corresponding first-order conditions for cost minimization, to analyze efficiency of irrigation water use. The main findings are that average technical, allocative, and overall economic efficiency are 0.35, 0.86 and 0.80, respectively. In a second stage analysis, we find that farmers’ perception of water scarcity, water price and irrigation infrastructure increase irrigation water allocative efficiency, while land fragmentation decreases it. We also show that farmers’ income loss due to higher water prices can be offset by increasing irrigation water use efficiency.

Predictive Maintenance for Improved Sustainability - An Ion Beam Etch Endpoint Detection System Use Case

In modern semiconductor manufacturing facilities maintenance strategies are increasingly shifting from traditional preventive maintenance (PM) based approaches to more efficient and sustainable predictive maintenance (PdM) approaches. This paper describes the development of such an online PdM module for the endpoint detection system of an ion beam etch tool in semiconductor manufacturing. The developed system uses optical emission spectroscopy (OES) data from the endpoint detection system to estimate the RUL of lenses, a key detector component that degrades over time. Simulation studies for historical data for the use case demonstrate the effectiveness of the proposed PdM solution and the potential for improved sustainability that it affords.

Testing of a Market Fraction Model and Power-law Behaviour in the DAX 30

This paper tests a simple market fraction asset pricing model with heterogeneous
agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squared returns) of the market fraction model share the same pattern as those of the DAX 30. By conducting econometric analysis via Monte Carlo simulations, we characterize these power-law behaviours and find that estimates of the power-law decay indices, the (FI)GARCH parameters, and the tail index of the selected market fraction model closely match those of the DAX 30. The results strongly support the explanatory power of the heterogeneous agent models.

Optical coherence tomography (OCT) for detection of macular oedema in patients with diabetic retinopathy

Background

Diabetic macular oedema (DMO) is a thickening of the central retina, or the macula, and is associated with long-term visual loss in people with diabetic retinopathy (DR). Clinically significant macular oedema (CSMO) is the most severe form of DMO. Almost 30 years ago, the Early Treatment Diabetic Retinopathy Study (ETDRS) found that CSMO, diagnosed by means of stereoscopic fundus photography, leads to moderate visual loss in one of four people within three years. It also showed that grid or focal laser photocoagulation to the macula halves this risk. Recently, intravitreal injection of antiangiogenic drugs has also been used to try to improve vision in people with macular oedema due to DR.Optical coherence tomography (OCT) is based on optical reflectivity and is able to image retinal thickness and structure producing cross-sectional and three-dimensional images of the central retina. It is widely used because it provides objective and quantitative assessment of macular oedema, unlike the subjectivity of fundus biomicroscopic assessment which is routinely used by ophthalmologists instead of photography. Optical coherence tomography is also used for quantitative follow-up of the effects of treatment of CSMO.

Objectives

To determine the diagnostic accuracy of OCT for detecting DMO and CSMO, defined according to ETDRS in 1985, in patients referred to ophthalmologists after DR is detected. In the update of this review we also aimed to assess whether OCT might be considered the new reference standard for detecting DMO.

Search methods

We searched the Cochrane Database of Systematic Reviews (CDSR), the Database of Abstracts of Reviews of Effects (DARE), the Health Technology Assessment Database (HTA) and the NHS Economic Evaluation Database (NHSEED) (The Cochrane Library 2013, Issue 5), Ovid MEDLINE, Ovid MEDLINE In-Process and Other Non-Indexed Citations, Ovid MEDLINE Daily, Ovid OLDMEDLINE (January 1946 to June 2013), EMBASE (January 1950 to June 2013), Web of Science Conference Proceedings Citation Index - Science (CPCI-S) (January 1990 to June 2013), BIOSIS Previews (January 1969 to June 2013), MEDION and the Aggressive Research Intelligence Facility database (ARIF). We did not use any date or language restrictions in the electronic searches for trials. We last searched the electronic databases on 25 June 2013. We checked bibliographies of relevant studies for additional references.

Selection Criteria

We selected studies that assessed the diagnostic accuracy of any OCT model for detecting DMO or CSMO in patients with DR who were referred to eye clinics. Diabetic macular oedema and CSMO were diagnosed by means of fundus biomicroscopy by ophthalmologists or stereophotography by ophthalmologists or other trained personnel.

Data collection and analysis

Three authors independently extracted data on study characteristics and measures of accuracy. We assessed data using random-effects hierarchical sROC meta-analysis models.

Main results

We included 10 studies (830 participants, 1387 eyes), published between 1998 and 2012. Prevalence of CSMO was 19% to 65% (median 50%) in nine studies with CSMO as the target condition. Study quality was often unclear or at high risk of bias for QUADAS 2 items, specifically regarding study population selection and the exclusion of participants with poor quality images. Applicablity was unclear in all studies since professionals referring patients and results of prior testing were not reported. There was a specific 'unit of analysis' issue because both eyes of the majority of participants were included in the analyses as if they were independent.In nine studies providing data on CSMO (759 participants, 1303 eyes), pooled sensitivity was 0.78 (95% confidence interval (CI) 0.72 to 0.83) and specificity was 0.86 (95% CI 0.76 to 0.93). The median central retinal thickness cut-off we selected for data extraction was 250 µm (range 230 µm to 300 µm). Central CSMO was the target condition in all but two studies and thus our results cannot be applied to non-central CSMO.Data from three studies reporting accuracy for detection of DMO (180 participants, 343 eyes) were not pooled. Sensitivities and specificities were about 0.80 in two studies and were both 1.00 in the third study.Since this review was conceived, the role of OCT has changed and has become a key ingredient of decision-making at all levels of ophthalmic care in this field. Moreover, disagreements between OCT and fundus examination are informative, especially false positives which are referred to as subclinical DMO and are at higher risk of developing clinical CSMO.

Authors' conclusions

Using retinal thickness thresholds lower than 300 µm and ophthalmologist's fundus assessment as reference standard, central retinal thickness measured with OCT was not sufficiently accurate to diagnose the central type of CSMO in patients with DR referred to retina clinics. However, at least OCT false positives are generally cases of subclinical DMO that cannot be detected clinically but still suffer from increased risk of disease progression. Therefore, the increasing availability of OCT devices, together with their precision and the ability to inform on retinal layer structure, now make OCT widely recognised as the new reference standard for assessment of DMO, even in some screening settings. Thus, this review will not be updated further.

A self-learning teaching-learning based optimization for dynamic economic/environmental dispatch considering multiple plug-in electric vehicle loads

Economic and environmental load dispatch aims to determine the amount of electricity generated from power plants to meet load demand while minimizing fossil fuel costs and air pollution emissions subject to operational and licensing requirements. These two scheduling problems are commonly formulated with non-smooth cost functions respectively considering various effects and constraints, such as the valve point effect, power balance and ramp rate limits. The expected increase in plug-in electric vehicles is likely to see a significant impact on the power system due to high charging power consumption and significant uncertainty in charging times. In this paper, multiple electric vehicle charging profiles are comparatively integrated into a 24-hour load demand in an economic and environment dispatch model. Self-learning teaching-learning based optimization (TLBO) is employed to solve the non-convex non-linear dispatch problems. Numerical results on well-known benchmark functions, as well as test systems with different scales of generation units show the significance of the new scheduling method.

Density functional theory study of mixed-phase TiO2: heterostructures and electronic properties

In this work, density functional theory calculations have been performed to study the geometric, electronic, and energetic properties of two-phase TiO2 composites built by joining two single-phase TiO2 slabs, aiming at verifying possible improvement of the photo-activities of the composites through phase separation of excitons. We find that such desired electronic properties can be determined by several factors. When both the HOMO and LUMO levels of one of the two single-phase TiO2 slabs are higher than the corresponding ones of the other, the composite may have native electronic structures with phase-separated HOMO-LUMO states, especially when the two slabs exhibit highly matched surface lattices. For those pairs of TiO2 slabs with the HOMO and LUMO levels of one phase being within the range of those of the other, though the energetically favored composite give HOMO-LUMO states within one phase, one may still be able to separate them and move the HOMO state to the interface region by destabilizing the interactions between the two slabs.

Evidence To Challenge the Universality of the Horiuti-Polanyi Mechanism for Hydrogenation in Heterogeneous Catalysis:Origin and Trend of the Preference of a Non-Horiuti-Polanyi Mechanism

The Horiuti-Polanyi mechanism has been considered to be universal for explaining the mechanisms of hydrogenation reactions in heterogeneous catalysis for several decades. In this work, we examine this mechanism for the hydrogenation of acrolein, the simplest alpha,beta-unsaturated aldehyde, in gold-based systems as well as some other metals using extensive first-principles calculations. It is found that a non-Horiuti-Polanyi mechanism is favored in some cases. Furthermore, the physical origin and trend of this mechanism are revealed and discussed regarding the geometrical and electronic effects, which will have a significant influence on current understandings on heterogeneous catalytic hydrogenation reactions and the future catalyst design for these reactions.

Oxygen vacancy formation in CeO2 and Ce1-xZrxO2 solid solutions:electron localization, electrostatic potential and structural relaxation

Ceria (CeO2) and ceria-based composite materials, especially Ce1-xZrxO2 solid solutions, possess a wide range of applications in many important catalytic processes, such as three-way catalysts, owing to their excellent oxygen storage capacity (OSC) through the oxygen vacancy formation and refilling. Much of this activity has focused on the understanding of the electronic and structural properties of defective CeO2 with and without doping, and comprehending the determining factor for oxygen vacancy formation and the rule to tune the formation energy by doping has constituted a central issue in material chemistry related to ceria. However, the calculation on electronic structures and the corresponding relaxation patterns in defective CeO2-x oxides remains at present a challenge in the DFT framework. A pragmatic approach based on density functional theory with the inclusion of on-site Coulomb correction, i.e. the so-called DFT + U technique, has been extensively applied in the majority of recent theoretical investigations. Firstly, we review briefly the latest electronic structure calculations of defective CeO2(111), focusing on the phenomenon of multiple configurations of the localized 4f electrons, as well as the discussions of its formation mechanism and the catalytic role in activating the O-2 molecule. Secondly, aiming at shedding light on the doping effect on tuning the oxygen vacancy formation in ceria-based solid solutions, we summarize the recent theoretical results of Ce1-xZrxO2 solid solutions in terms of the effect of dopant concentrations and crystal phases. A general model on O vacancy formation is also discussed; it consists of electrostatic and structural relaxation terms, and the vital role of the later is emphasized. Particularly, we discuss the crucial role of the localized structural relaxation patterns in determining the superb oxygen storage capacity in kappa-phase Ce1-xZr1-xO2. Thirdly, we briefly discuss some interesting findings for the oxygen vacancy formation in pure ceria nanoparticles (NPs) uncovered by DFT calculations and compare those with the bulk or extended surfaces of ceria as well as different particle sizes, emphasizing the role of the electrostatic field in determining the O vacancy formation.

A density functional theory study of hydrogen dissociation and diffusion at the perimeter sites of Au/TiO2

Reactivity of supported gold catalysts is a hot topic in catalysis for many years. This communication reports an investigation on the dissociation of molecular hydrogen at the perimeter sites of Au/TiO2 and the spillover of hydrogen atoms from the gold to the support using density functional theory calculations. It is found that the heterolytic dissociation is favoured in comparison with homolytic dissociation of molecular hydrogen at the perimeter sites. However, the surface oxygen of the rutile TiO2(110) surface at these sites can be readily passivated by the formed OH, suggesting that further dissociation of molecular hydrogen may occur at pure gold sites.