Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

Processing and rendering of Fourier domain optical coherence tomography images at a line rate over 524 kHz using a graphics processing unit

In Fourier domain optical coherence tomography (FD-OCT), a large amount of interference data needs to be resampled from the wavelength domain to the wavenumber domain prior to Fourier transformation. We present an approach to optimize this data processing, using a graphics processing unit (GPU) and parallel processing algorithms. We demonstrate an increased processing and rendering rate over that previously reported by using GPU paged memory to render data in the GPU rather than copying back to the CPU. This avoids unnecessary and slow data transfer, enabling a processing and display rate of well over 524,000 A-scan/s for a single frame. To the best of our knowledge this is the fastest processing demonstrated to date and the first time that FD-OCT processing and rendering has been demonstrated entirely on a GPU.

Nonlinear pulse shaping in fibres for pulse generation and optical processing

The development of new all-optical technologies for data processing and signal manipulation is a field of growing importance with a strong potential for numerous applications in diverse areas of modern science. Nonlinear phenomena occurring in optical fibres have many attractive features and great, but not yet fully explored, potential in signal processing. Here, we review recent progress on the use of fibre nonlinearities for the generation and shaping of optical pulses and on the applications of advanced pulse shapes in all-optical signal processing. Amongst other topics, we will discuss ultrahigh repetition rate pulse sources, the generation of parabolic shaped pulses in active and passive fibres, the generation of pulses with triangular temporal profiles, and coherent supercontinuum sources. The signal processing applications will span optical regeneration, linear distortion compensation, optical decision at the receiver in optical communication systems, spectral and temporal signal doubling, and frequency conversion. © Copyright 2012 Sonia Boscolo and Christophe Finot.

All-optical nonlinear fibre signal processing

All-optical technologies for data processing and signal manipulation are expected to play a major role in future optical communications. Nonlinear phenomena occurring in optical fibre have many attractive features and great, but not yet fully exploited potential in optical signal processing. Here, we overview our recent results and advances in developing novel photonic techniques and approaches to all-optical processing based on fibre nonlinearities. Amongst other topics, we will discuss phase-preserving optical 2R regeneration, the possibility of using parabolic/flat-top pulses for optical signal processing and regeneration, and nonlinear optical pulse shaping. A method for passive nonlinear pulse shaping based on pulse pre-chirping and propagation in a normally dispersive fibre will be presented. The approach provides a simple way of generating various temporal waveforms of fundamental and practical interest. Particular emphasis will be given to the formation and characterization of pulses with a triangular intensity profile. A new technique of doubling/copying optical pulses in both the frequency and time domains using triangular-shaped pulses will be also introduced.

Recent developments in all-optical nonlinear signal processing for fiber-optic communications

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibers have attractive applications in optical signal processing. In this paper, we review our recent advances in developing all-optical processing techniques at high speed based on optical fiber nonlinearities.

Novel approaches in nonlinear optical fibre-based signal processing

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibres have many attractive features and a great, not yet fully explored potential in optical signal processing. Here, we overview our recent advances in developing novel techniques and approaches to all-optical processing based on optical fibre nonlinearities.

Recent developments in all-optical nonlinear signal processing for fiber-optic communications

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibers have attractive applications in optical signal processing. In this paper, we review our recent advances in developing all-optical processing techniques at high speed based on optical fiber nonlinearities.

All-optical nonlinear fibre signal processing

All-optical technologies for data processing and signal manipulation are expected to play a major role in future optical communications. Nonlinear phenomena occurring in optical fibre have many attractive features and great, but not yet fully exploited potential in optical signal processing. Here, we overview our recent results and advances in developing novel photonic techniques and approaches to all-optical processing based on fibre nonlinearities. Amongst other topics, we will discuss phase-preserving optical 2R regeneration, the possibility of using parabolic/flat-top pulses for optical signal processing and regeneration, and nonlinear optical pulse shaping. A method for passive nonlinear pulse shaping based on pulse pre-chirping and propagation in a normally dispersive fibre will be presented. The approach provides a simple way of generating various temporal waveforms of fundamental and practical interest. Particular emphasis will be given to the formation and characterization of pulses with a triangular intensity profile. A new technique of doubling/copying optical pulses in both the frequency and time domains using triangular-shaped pulses will be also introduced.

Approximation of Experimental Data by Bezier Curves

Very often the experimental data are the realization of the process, fully determined by some unknown function, being distorted by hindrances. Treatment and experimental data analysis are substantially facilitated, if these data to represent as analytical expression. The experimental data processing algorithm and the example of using this algorithm for spectrographic analysis of oncologic preparations of blood is represented in this article.

Technological innovation in electronic inventory solutions:an analysis of patent data

The purpose of this paper is to investigate the technological development of electronic inventory solutions from perspective of patent analysis. We first applied the international patent classification to classify the top categories of data processing technologies and their corresponding top patenting countries. Then we identified the core technologies by the calculation of patent citation strength and standard deviation criterion for each patent. To eliminate those core innovations having no reference relationships with the other core patents, relevance strengths between core technologies were evaluated also. Our findings provide market intelligence not only for the research and development community, but for the decision making of advanced inventory solutions.

Nonlinear pulse shaping in fibres for pulse generation and optical processing

The development of new all-optical technologies for data processing and signal manipulation is a field of growing importance with a strong potential for numerous applications in diverse areas of modern science. Nonlinear phenomena occurring in optical fibres have many attractive features and great, but not yet fully explored, potential in signal processing. Here, we review recent progress on the use of fibre nonlinearities for the generation and shaping of optical pulses and on the applications of advanced pulse shapes in all-optical signal processing. Amongst other topics, we will discuss ultrahigh repetition rate pulse sources, the generation of parabolic shaped pulses in active and passive fibres, the generation of pulses with triangular temporal profiles, and coherent supercontinuum sources. The signal processing applications will span optical regeneration, linear distortion compensation, optical decision at the receiver in optical communication systems, spectral and temporal signal doubling, and frequency conversion. © Copyright 2012 Sonia Boscolo and Christophe Finot.

Individual variability analysis of fluorescence parameters measured in skin with different levels of nutritive blood flow

Fluorescence spectroscopy has recently become more common in clinical medicine. However, there are still many unresolved issues related to the methodology and implementation of instruments with this technology. In this study, we aimed to assess individual variability of fluorescence parameters of endogenous markers (NADH, FAD, etc.) measured by fluorescent spectroscopy (FS) in situ and to analyse the factors that lead to a significant scatter of results. Most studied fluorophores have an acceptable scatter of values (mostly up to 30%) for diagnostic purposes. Here we provide evidence that the level of blood volume in tissue impacts FS data with a significant inverse correlation. The distribution function of the fluorescence intensity and the fluorescent contrast coefficient values are a function of the normal distribution for most of the studied fluorophores and the redox ratio. The effects of various physiological (different content of skin melanin) and technical (characteristics of optical filters) factors on the measurement results were additionally studied.The data on the variability of the measurement results in FS should be considered when interpreting the diagnostic parameters, as well as when developing new algorithms for data processing and FS devices.

Rapid machine tool verification

This paper describes work carried out to develop methods of verifying that machine tools are capable of machining parts to within specification, immediately before carrying out critical material removal operations, and with negligible impact on process times. A review of machine tool calibration and verification technologies identified that current techniques were not suitable due to requirements for significant time and skilled human intervention. A 'solution toolkit' is presented consisting of a selection circular tests and artefact probing which are able to rapidly verify the kinematic errors and in some cases also dynamic errors for different types of machine tool, as well as supplementary methods for tool and spindle error detection. A novel artefact probing process is introduced which simplifies data processing so that the process can be readily automated using only the native machine tool controller. Laboratory testing and industrial case studies are described which demonstrate the effectiveness of this approach.

Achieving low cost and high quality aero structure assembly through integrated digital metrology systems

Measurement assisted assembly (MAA) has the potential to facilitate a step change in assembly efficiency for large structures such as airframes through the reduction of rework, manually intensive processes and expensive monolithic assembly tooling. It is shown how MAA can enable rapid part-to-part assembly, increased use of flexible automation, traceable quality assurance and control, reduced structure weight and improved aerodynamic tolerances. These advances will require the development of automated networks of measurement instruments; model based thermal compensation, the automatic integration of 'live' measurement data into variation simulation and algorithms to generate cutting paths for predictive shimming and drilling processes. This paper sets out an architecture for digital systems which will enable this integrated approach to variation management. © 2013 The Authors.

Early design verification of complex assembly variability using a hybrid - model based and physical testing - methodology

Design verification in the digital domain, using model-based principles, is a key research objective to address the industrial requirement for reduced physical testing and prototyping. For complex assemblies, the verification of design and the associated production methods is currently fragmented, prolonged and sub-optimal, as it uses digital and physical verification stages that are deployed in a sequential manner using multiple systems. This paper describes a novel, hybrid design verification methodology that integrates model-based variability analysis with measurement data of assemblies, in order to reduce simulation uncertainty and allow early design verification from the perspective of satisfying key assembly criteria.