901 resultados para market microstructure noise, optimal sampling frequency, exchange traded funds, DCC-GARCH, factor modeling, PANIC


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An analysis is carried out, using the prolate spheroidal wave functions, of certain regularized iterative and noniterative methods previously proposed for the achievement of object restoration (or, equivalently, spectral extrapolation) from noisy image data. The ill-posedness inherent in the problem is treated by means of a regularization parameter, and the analysis shows explicitly how the deleterious effects of the noise are then contained. The error in the object estimate is also assessed, and it is shown that the optimal choice for the regularization parameter depends on the signal-to-noise ratio. Numerical examples are used to demonstrate the performance of both unregularized and regularized procedures and also to show how, in the unregularized case, artefacts can be generated from pure noise. Finally, the relative error in the estimate is calculated as a function of the degree of superresolution demanded for reconstruction problems characterized by low space–bandwidth products.

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The phase coherence of supercontinuum generation in microstructure fiber is quantified by performing a Young's type interference experiment between independently generated supercontinua from two separate fiber segments. Analysis of the resulting interferogram yields the wavelength dependence of the magnitude of the mutual degree of coherence, and a comparison of experimental results with numerical simulations suggests that the primary source of coherence degradation is the technical noise-induced fluctuations in the injected peak power. © 2003 Optical Society of America.

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Variable Frequency Microwave (VFM) processing of heterogeneous chip-on-board assemblies is assessed using a multiphysics modelling approach. The Frequency Agile Microwave Oven Bonding System (FAMOBS) is capable of rapidly processing individual packages on a Chip-On-Board (COB) assembly. This enables each package to be processed in an optimal manner, with temperature ramp rate, maximum temperature and process duration tailored to the specific package, a significant benefit in assemblies containing disparate package types. Such heterogeneous assemblies may contain components such as large power modules alongside smaller modules containing low thermal budget materials with highly disparate processing requirements. The analysis of two disparate packages has been assessed numerically to determine the applicability of the dual section microwave system to curing heterogeneous devices and to determine the influence of differing processing requirements of optimal process parameters.

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Pneumatic conveying of powder and granular material involve the mixed flow of solid particles in air. Characterisation of solid/gas flow regimes is important for the design, operation and control of plants involving such two-phase processes. This paper describes preliminary studies directed at identifying flow regimes in solid/gas flows by analysis of the process `noise' signals from a flow transmitter which has a relatively wide frequency response.

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Satellite altimetry has revolutionized our understanding of ocean dynamics thanks to frequent sampling and global coverage. Nevertheless, coastal data have been flagged as unreliable due to land and calm water interference in the altimeter and radiometer footprint and uncertainty in the modelling of high-frequency tidal and atmospheric forcing. Our study addresses the first issue, i.e. altimeter footprint contamination, via retracking, presenting ALES, the Adaptive Leading Edge Subwaveform retracker. ALES is potentially applicable to all the pulse-limited altimetry missions and its aim is to retrack both open ocean and coastal data with the same accuracy using just one algorithm. ALES selects part of each returned echo and models it with a classic ”open ocean” Brown functional form, by means of least square estimation whose convergence is found through the Nelder-Mead nonlinear optimization technique. By avoiding echoes from bright targets along the trailing edge, it is capable of retrieving more coastal waveforms than the standard processing. By adapting the width of the estimation window according to the significant wave height, it aims at maintaining the accuracy of the standard processing in both the open ocean and the coastal strip. This innovative retracker is validated against tide gauges in the Adriatic Sea and in the Greater Agulhas System for three different missions: Envisat, Jason-1 and Jason-2. Considerations of noise and biases provide a further verification of the strategy. The results show that ALES is able to provide more reliable 20-Hz data for all three missions in areas where even 1-Hz averages are flagged as unreliable in standard products. Application of the ALES retracker led to roughly a half of the analysed tracks showing a marked improvement in correlation with the tide gauge records, with the rms difference being reduced by a factor of 1.5 for Jason-1 and Jason-2 and over 4 for Envisat in the Adriatic Sea (at the closest point to the tide gauge).

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Largely used as a natural biological tag in studies of dispersal/connectivity of fish, otolith elemental fingerprinting is usually analyzed by laser ablation-inductively coupled plasma-mass spectrometry (LA-ICP-MS). LA-ICP-MS produces an elemental fingerprint at a discrete time-point in the life of a fish and can generate data on within-otolith variability of that fingerprint. The presence of within-otolith variability has been previously acknowledged but not incorporated into experimental designs on the presumed, but untested, grounds of both its negligibility compared to among-otolith variability and of spatial autocorrelation among multiple ablations within an otolith. Here, using a hierarchical sampling design of spatial variation at multiple scales in otolith chemical fingerprints for two Mediterranean coastal fishes, we explore: 1) whether multiple ablations within an otolith can be used as independent replicates for significance tests among otoliths, and 2) the implications of incorporating within-otolith variability when assessing spatial variability in otolith chemistry at a hierarchy of spatial scales (different fish, from different sites, at different locations on the Apulian Adriatic coast). We find that multiple ablations along the same daily rings do not necessarily exhibit spatial dependency within the otolith and can be used to estimate residual variability in a hierarchical sampling design. Inclusion of within-otolith measurements reveals that individuals at the same site can show significant variability in elemental uptake. Within-otolith variability examined across the spatial hierarchy identifies differences between the two fish species investigated, and this finding leads to discussion of the potential for within-otolith variability to be used as a marker for fish exposure to stressful conditions. We also demonstrate that a 'cost'-optimal allocation of sampling effort should typically include some level of within-otolith replication in the experimental design. Our findings provide novel evidence to aid the design of future sampling programs and improve our general understanding of the mechanisms regulating elemental fingerprints.

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This paper examines the relation between technical possibilities, liberal logics, and the concrete reconfiguration of markets. It focuses on the enrolling of innovations in communication and information technologies into the markets traditionally dominated by stock exchanges. With the development of capacities to trade on-screen, the power of incumbent market makers has been challenged as a less stable array of competing quasi-public and private marketplaces emerges. Developing a case study of the Toronto Stock Exchange, I argue that narrative emphasis on the performative power of sociotechnical innovations, the deterritorialisation of financial relations, and the erosion of state capacities needs qualification. A case is made for the importance of developing an understanding of: the spaces of encounter between emerging social technologies and property rights, rules of exchange, and structures of governance; and the interplay of orderings of different institutional composition and spatial reach in the reconfiguration of market architectures. Only then can a better grasp be gained of the evolving dynamics between making markets, the regulatory powers of the state, and their delimitations.

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In mixed signal integrated circuits noise from the digital circuitry can upset the sensitive analogue circuitry. The Faraday cage structure reported here is based on the unique ground plane SOI technology developed some of the authors. The suppression of crosstalk achieved is an order of magnitude greater than that previously published for frequencies up to 10 GHz. The significance of the technology will be even greater as the operating frequency is increased. This collaborative EPSRC project was judge as tending to outstanding.

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The two-country monetary model is extended to include a consumption externality with habit persistence. The model is simulated using the artificial economy methodology. The 'puzzles' in the forward market are re-examined. The model is able to account for: (a) the low volatility of the forward discount; (b) the higher volatility of expected forward speculative profit; (c) the even higher volatility of the spot return; (d) the persistence in the forward discount; (e) the martingale behavior of spot exchange rates; and (f) the negative covariance between the expected spot return and expected forward speculative profit. It is unable to account for the forward market bias because the volatility of the expected spot return is too large relative to the volatility of the expected forward speculative profit.

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An efficient method for calculating the electronic structure of systems that need a very fine sampling of the Brillouin zone is presented. The method is based on the variational optimization of a single (i.e., common to all points in the Brillouin zone) basis set for the expansion of the electronic orbitals. Considerations from k.p-approximation theory help to understand the efficiency of the method. The accuracy and the convergence properties of the method as a function of the optimal basis set size are analyzed for a test calculation on a 16-atom Na supercell.

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Se propone un planteamiento teórico/conceptual para determinar si las relaciones interorganizativas e interpersonales de la netchain de las cooperativas agroalimentarias evolucionan hacia una learning netchain. Las propuestas del trabajo muestran que el mayor grado de asociacionismo y la mayor cooperación/colaboración vertical a lo largo de la cadena están positivamente relacionados con la posición horizontal de la empresa focal más cercana del consumidor final. Esto requiere una planificación y una resolución de problemas de manera conjunta, lo que está positivamente relacionado con el mayor flujo y diversidad de la información/conocimiento obtenido y diseminado a lo largo de la netchain. Al mismo tiempo se necesita desarrollar un contexto social en el que fluya la información/conocimiento y las nuevas ideas de manera informal y esto se logra con redes personales y, principalmente, profesionales y con redes internas y, principalmente, externas. Todo esto permitirá una mayor satisfacción de los socios de la cooperativa agroalimentaria y de sus distribuidores y una mayor intensidad en I+D, convirtiéndose la netchain de la cooperativa agroalimentaria, así, en una learning netchain.

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We investigated the sensitivity of low-frequency electrical measurements to microbe-induced metal sulfide precipitation. Three identical sand-packed monitoring columns were used; a geochemical column, an electrical column and a control column. In the first experiment, continuous upward flow of nutrients and metals in solution was established in each column. Cells of Desulfovibrio vulgaris (D. vulgaris) were injected into the center of the geochemical and electrical columns. Geochemical sampling and post-experiment destructive analysis showed that microbial induced sulfate reduction led to metal precipitation on bacteria cells, forming motile biominerals. Precipitation initially occurred in the injection zone, followed by chemotactic migration of D. vulgaris and ultimate accumulation around the nutrient source at the column base. Results from this experiment conducted with metals show (1) polarization anomalies, up to 14 mrad, develop at the bacteria injection and final accumulation areas, (2) the onset of polarization increase occurs concurrently with the onset of lactate consumption, (3) polarization profiles are similar to calculated profiles of the rate of lactate consumption, and (4) temporal changes in polarization and conduction correlate with a geometrical rearrangement of metal-coated bacterial cells. In a second experiment, the same biogeochemical conditions were established except that no metals were added to the flow solution. Polarization anomalies were absent when the experiment was replicated without metals in solution. We therefore attribute the polarization increase observed in the first experiment to a metal-fluid interfacial mechanism that develops as metal sulfides precipitate onto microbial cells and form biominerals. Temporal changes in polarization and conductivity reflect changes in (1) the amount of metal-fluid interfacial area, and (2) the amount of electronic conduction resulting from microbial growth, chemotactic movement and final coagulation. This polarization is correlated with the rate of microbial activity inferred from the lactate concentration gradient, probably via a common total metal surface area effect.

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The ocean is a hub of noise. Bioacoustic noise, noise from precipitation and wind, and noise from oceanic shelf slides and other geologic processes have occurred consistently as marine species have evolved over time. However, with the discovery of oceanic oil and gas reserves, submarine systems, ship propulsion and the emergence of global trade, anthropogenic sources of sound have added significant quantities of sound to the oceanic system. Shipping has been found to be the largest input of low-frequency anthropogenic noise and Humpback Whales (Megaptera novaengliae), known to be the most vocal marine species, have an auditory sensitivity that falls within the range of frequencies emitted by shipping vessels. As Humpback Whales are heavily dependent on vocalizations, for reasons relatively unconfirmed, a better understanding of why they sing and how their communication is being impacted by vessel noise is critical. Evaluating existing literature both on Humpback behavior and communication, the mechanics of their communication, sound emissions from modern ships, oceanic sound transmission, and studies regarding Humpback's exposure to other sources of low-frequency anthropogenic noise, it is clear that more research is needed to draw any causational conclusions between vessel noise and detrimental impacts on Humpback Whales. With a projected increase in global consumption and vessel traffic, there is an urgent need for further research exploring shipping noise impacts and behavioural alterations of Humpbacks. Existing research has shown changes in Humpback communication when exposed to low-frequency sonar noise, however few studies have been conducted on their communication when in close proximity to shipping vessels. In order for the impacts to be properly assessed, preliminary understanding of humpback communication, their auditory thresholds and more studies between vessel noise exposure and Humpback Whale behavior must be conducted.

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The problem of recognising targets in non-overlapping clutter using nonlinear N-ary phase filters is addressed. Using mathematical analysis, expressions were derived for an N-ary phase filter and the intensity variance of an optical correlator output. The N-ary phase filter was shown to consist of an infinite sum of harmonic terms whose periodicity was determined by N. For the intensity variance, it was found that under certain conditions the variance was minimised due to a hitherto undiscovered phase quadrature effect. Comparison showed that optimal real filters produced greater SNR values than the continuous phase versions as a consequence of this effect.

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We examine the dynamic optimization problem for not-for-profit financial institutions (NFPs) that maximize consumer surplus, not profits. We characterize the optimal dynamic policy and find that it involves credit rationing. Interest rates set by mature NFPs will typically be more favorable to customers than market rates, as any surplus is distributed in the form of interest rate subsidies, with credit rationing being required to prevent these subsidies from distorting loan volumes from their optimal levels. Rationing overcomes a fundamental problem in NFPs; it allows them to distribute the surplus without distorting the volume of activity from the efficient level.