An Empirical Comparison of Linear and Nonlinear Volatility Models for Nordic Stock Returns

This paper examines how volatility in financial markets can preferable be modeled. The examination investigates how good the models for the volatility, both linear and nonlinear, are in absorbing skewness and kurtosis. The examination is done on the Nordic stock markets, including Finland, Sweden, Norway and Denmark. Different linear and nonlinear models are applied, and the results indicates that a linear model can almost always be used for modeling the series under investigation, even though nonlinear models performs slightly better in some cases. These results indicate that the markets under study are exposed to asymmetric patterns only to a certain degree. Negative shocks generally have a more prominent effect on the markets, but these effects are not really strong. However, in terms of absorbing skewness and kurtosis, nonlinear models outperform linear ones.

Construction and use of linear regression models for processor performance analysis

Processor architects have a challenging task of evaluating a large design space consisting of several interacting parameters and optimizations. In order to assist architects in making crucial design decisions, we build linear regression models that relate Processor performance to micro-architecture parameters, using simulation based experiments. We obtain good approximate models using an iterative process in which Akaike's information criteria is used to extract a good linear model from a small set of simulations, and limited further simulation is guided by the model using D-optimal experimental designs. The iterative process is repeated until desired error bounds are achieved. We used this procedure to establish the relationship of the CPI performance response to 26 key micro-architectural parameters using a detailed cycle-by-cycle superscalar processor simulator The resulting models provide a significance ordering on all micro-architectural parameters and their interactions, and explain the performance variations of micro-architectural techniques.

On the momentum balance in linear-combination models for the transition zone

The momentum balance of the linear-combination integral model for the transition zone is investigated for constant pressure flows. The imbalance is found to be small enough to be negligible for all practical purposes. [S0889-504X(00)00703-0].

An integer arithmetic method to compute generalized matrix inverse and solve linear equations exactly

An algorithm that uses integer arithmetic is suggested. It transforms anm ×n matrix to a diagonal form (of the structure of Smith Normal Form). Then it computes a reflexive generalized inverse of the matrix exactly and hence solves a system of linear equations error-free.

The generalized Onsager model for the secondary flow in a high-speed rotating cylinder

The generalizations of the Onsager model for the radial boundary layer and the Carrier-Maslen model for the end-cap axial boundary layer in a high-speed rotating cylinder are formulated for studying the secondary gas flow due to wall heating and due to insertion of mass, momentum and energy into the cylinder. The generalizations have wider applicability than the original Onsager and Carrier-Maslen models, because they are not restricted to the limit A >> 1, though they are restricted to the limit R e >> 1 and a high-aspect-ratio cylinder whose length/diameter ratio is large. Here, the stratification parameter A = root m Omega(2)R(2)/2k(B)T). This parameter A is the ratio of the peripheral speed, Omega R, to the most probable molecular speed, root 2k(B)T/m, the Reynolds number Re = rho w Omega R(2)/mu, where m is the molecular mass, Omega and R are the rotational speed and radius of the cylinder, k(B) is the Boltzmann constant, T is the gas temperature, rho(w) is the gas density at wall, and mu is the gas viscosity. In the case of wall forcing, analytical solutions are obtained for the sixth-order generalized Onsager equations for the master potential, and for the fourth-order generalized Carrier-Maslen equation for the velocity potential. For the case of mass/momentum/energy insertion into the flow, the separation-of-variables procedure is used, and the appropriate homogeneous boundary conditions are specified so that the linear operators in the axial and radial directions are self-adjoint. The discrete eigenvalues and eigenfunctions of the linear operators (sixth-order and second-order in the radial and axial directions for the Onsager equation, and fourth-order and second-order in the axial and radial directions for the Carrier-Maslen equation) are determined. These solutions are compared with direct simulation Monte Carlo (DSMC) simulations. The comparison reveals that the boundary conditions in the simulations and analysis have to be matched with care. The commonly used `diffuse reflection' boundary conditions at solid walls in DSMC simulations result in a non-zero slip velocity as well as a `temperature slip' (gas temperature at the wall is different from wall temperature). These have to be incorporated in the analysis in order to make quantitative predictions. In the case of mass/momentum/energy sources within the flow, it is necessary to ensure that the homogeneous boundary conditions are accurately satisfied in the simulations. When these precautions are taken, there is excellent agreement between analysis and simulations, to within 10 %, even when the stratification parameter is as low as 0.707, the Reynolds number is as low as 100 and the aspect ratio (length/diameter) of the cylinder is as low as 2, and the secondary flow velocity is as high as 0.2 times the maximum base flow velocity. The predictions of the generalized models are also significantly better than those of the original Onsager and Carrier-Maslen models, which are restricted to thin boundary layers in the limit of high stratification parameter.

Generalized bidirectional multi-pair multi-antennawireless network coding

In this paper, we focus on increasing the throughput and diversity of network coded MIMO transmissions in bidirectional multi-pair wireless relay networks. All nodes have multi-antenna capability. Pairs of nodes want to exchange messages via a relay having multi-antenna and encoding/decoding capability. Nodes transmit their messages to the relay in the first (MAC) phase. The relay decodes all the messages and XORs them and broadcasts the XORed message in the second (BC) phase. We develop a generalized framework for bidirectional multi-pair multi-antenna wireless network coding, which models different MIMO transmission schemes including spatial multiplexing (V-BLAST), orthogonal STBC (OSTBC), and non-orthogonal STBC (NO-STBC) in a unified way. Enhanced throughputs are achieved by allowing all nodes to simultaneously transmit at their full rate. High diversity orders are achieved through the use of NO-STBCs, characterized by full rate and full transmit diversity. We evaluate and compare the performance of VBLAST, OSTBC, and NO-STBC schemes in one-dimensional 1-pair linear network (one pair of nodes and a relay) and two-dimensional 2-pair `cross' network (two pairs of nodes and a relay).

Generalized Partial Response Equalization and Data-Dependent Noise Predictive Signal Detection Over Media Models for TDMR

Two-dimensional magnetic recording (2-D TDMR) is an emerging technology that aims to achieve areal densities as high as 10 Tb/in(2) using sophisticated 2-D signal-processing algorithms. High areal densities are achieved by reducing the size of a bit to the order of the size of magnetic grains, resulting in severe 2-D intersymbol interference (ISI). Jitter noise due to irregular grain positions on the magnetic medium is more pronounced at these areal densities. Therefore, a viable read-channel architecture for TDMR requires 2-D signal-detection algorithms that can mitigate 2-D ISI and combat noise comprising jitter and electronic components. Partial response maximum likelihood (PRML) detection scheme allows controlled ISI as seen by the detector. With the controlled and reduced span of 2-D ISI, the PRML scheme overcomes practical difficulties such as Nyquist rate signaling required for full response 2-D equalization. As in the case of 1-D magnetic recording, jitter noise can be handled using a data-dependent noise-prediction (DDNP) filter bank within a 2-D signal-detection engine. The contributions of this paper are threefold: 1) we empirically study the jitter noise characteristics in TDMR as a function of grain density using a Voronoi-based granular media model; 2) we develop a 2-D DDNP algorithm to handle the media noise seen in TDMR; and 3) we also develop techniques to design 2-D separable and nonseparable targets for generalized partial response equalization for TDMR. This can be used along with a 2-D signal-detection algorithm. The DDNP algorithm is observed to give a 2.5 dB gain in SNR over uncoded data compared with the noise predictive maximum likelihood detection for the same choice of channel model parameters to achieve a channel bit density of 1.3 Tb/in(2) with media grain center-to-center distance of 10 nm. The DDNP algorithm is observed to give similar to 10% gain in areal density near 5 grains/bit. The proposed signal-processing framework can broadly scale to various TDMR realizations and areal density points.