Forecasting high-frequency futures returns using online langevin dynamics

Forecasting the returns of assets at high frequency is the key challenge for high-frequency algorithmic trading strategies. In this paper, we propose a jump-diffusion model for asset price movements that models price and its trend and allows a momentum strategy to be developed. Conditional on jump times, we derive closed-form transition densities for this model. We show how this allows us to extract a trend from high-frequency finance data by using a Rao-Blackwellized variable rate particle filter to filter incoming price data. Our results show that even in the presence of transaction costs our algorithm can achieve a Sharpe ratio above 1 when applied across a portfolio of 75 futures contracts at high frequency. © 2011 IEEE.

Microfabrication of electrode patterns for high-frequency ultrasound transducer arrays.

High-frequency ultrasound is needed for medical imaging with high spatial resolution. A key issue in the development of ultrasound imaging arrays to operate at high frequencies (≥30 MHz) is the need for photolithographic patterning of array electrodes. To achieve this directly on 1-3 piezocomposite, the material requires not only planar, parallel, and smooth surfaces, but also an epoxy composite filler that is resistant to chemicals, heat, and vacuum. This paper reports, first, on the surface finishing of 1-3 piezocomposite materials by lapping and polishing. Excellent surface flatness has been obtained, with an average surface roughness of materials as low as 3 nm and step heights between ceramic/polymer of ∼80 nm. Subsequently, high-frequency array elements were patterned directly on top of these surfaces using a photolithography process. A 30-MHz linear array electrode pattern with 50-μm element pitch has been patterned on the lapped and polished surface of a high-frequency 1-3 piezocomposite. Excellent electrode edge definition and electrical contact to the composite were obtained. The composite has been lapped to a final thickness of ∼55 μm. Good adhesion of electrodes on the piezocomposite has been achieved and electrical impedance measurements have demonstrated their basic functionality. The array was then packaged, and acoustic pulse-echo measurements were performed. These results demonstrate that direct patterning of electrodes by photolithography on 1-3 piezocomposite is feasible for fabrication of high-frequency ultrasound arrays. Furthermore, this method is more conducive to mass production than other reported array fabrication techniques.

Control of meiotic recombination frequency in plant genomes.

Sexual eukaryotes reproduce via the meiotic cell division, where ploidy is halved and homologous chromosomes undergo reciprocal genetic exchange, termed crossover (CO). CO frequency has a profound effect on patterns of genetic variation and species evolution. Relative CO rates vary extensively both within and between plant genomes. Plant genome size varies by over 1000-fold, largely due to differential expansion of repetitive sequences, and increased genome size is associated with reduced CO frequency. Gene versus repeat sequences associate with distinct chromatin modifications, and evidence from plant genomes indicates that this epigenetic information influences CO patterns. This is consistent with data from diverse eukaryotes that demonstrate the importance of chromatin structure for control of meiotic recombination. In this review I will discuss CO frequency patterns in plant genomes and recent advances in understanding recombination distributions.

Decomposing signals into a sum of amplitude and frequency modulated sinusoids using probabilistic inference

There are many methods for decomposing signals into a sum of amplitude and frequency modulated sinusoids. In this paper we take a new estimation based approach. Identifying the problem as ill-posed, we show how to regularize the solution by imposing soft constraints on the amplitude and phase variables of the sinusoids. Estimation proceeds using a version of Kalman smoothing. We evaluate the method on synthetic and natural, clean and noisy signals, showing that it outperforms previous decompositions, but at a higher computational cost. © 2012 IEEE.

Application of gel-casting to the fabrication of 1-3 piezoelectric ceramic-polymer composites for high-frequency ultrasound devices

A modified gel-casting technique was used to fabricate a 1-3 piezoelectric ceramic/polymer composite substrate formed by irregular-shaped pillar arrays of small dimensions and kerfs. This technique involves the polymerization of aqueous piezoelectric (PZT) suspensions with added water-soluble epoxy resin and polyamine-based hardener that lead to high strength, high density and resilient ceramic bodies. Soft micromoulding was used to shape the ceramic segments, and micropillars with lateral features down to 4 m and height-to-width aspect ratios of ∼10 were achieved. The composite exhibited a clear thickness resonance mode at approximately 70 MHz and a k eff ∼ 0.51, demonstrating that the ceramic micropillars possess good electrical properties. Furthermore, gel-casting allows the fabrication of ceramic structures with non-conventional shapes; hence, device design is not limited by the standard fabrication methods. This is of particular benefit for high-frequency transducers where the critical design dimensions are reduced. © 2012 IOP Publishing Ltd.

Wide Area Passive UHF RFID System using Antenna Diversity Combined with Phase and Frequency Hopping

This paper presents a long range and effectively error-free ultra high frequency (UHF) radio frequency identification (RFID) interrogation system. The system is based on a novel technique whereby two or more spatially separated transmit and receive antennas are used to enable greatly enhanced tag detection performance over longer distances using antenna diversity combined with frequency and phase hopping. The novel technique is first theoretically modelled using a Rician fading channel. It is shown that conventional RFID systems suffer from multi-path fading resulting in nulls in radio environments. We, for the first time, demonstrate that the nulls can be moved around by varying the phase and frequency of the interrogation signals in a multi-antenna system. As a result, much enhanced coverage can be achieved. A proof of principle prototype RFID system is built based on an Impinj R2000 transceiver. The demonstrator system shows that the new approach improves the tag detection accuracy from <50% to 100% and the tag backscatter signal strength by 10dB over a 20 m x 9 m area, compared with a conventional switched multi-antenna RFID system.

Natural frequency and damping ratio of a vertically vibrated surface foundation

It is possible and common to obtain equivalent natural frequency and damping for a soil-foundation system from results of experimental or numerical analysis assuming the system has a single degree of freedom. Three approaches to extract natural frequency and damping were applied to the vertically vibrated soil-foundation system. The sensitivity of the computed natural frequency and damping to the soil properties was evaluated through parametric studies. About 10-20% of discrepancy in values of natural frequency was observed due to different approaches. The results help to assess the reliability of equivalent soil properties determined from the reported natural frequency of the system. Finally the results obtained using theoretical predictions with linear soil properties measured in situ were compared to those calculated from experimental data. The prediction and experimental results showed good agreements if the embedment of the foundation is neglected with stepped sine test but considered with impulse test. © 2010 Elsevier Ltd.

Active control of high frequency vibration in uncertain structures

The active suppression of structural vibration is normally achieved by either feedforward or feedback control. In the absence of a suitable reference signal feedforward control cannot be employed and feedback control is the only viable approach. Conventional feedback control algorithms (e.g. LQR and LQG) are designed on the basis of a mathematical model of the system and ideally the performance of the system should be robust against uncertainties in this model. The aim of this paper is to numerically investigate the robustness of LQR and LQG algorithms by designing the controller for a nominal system, and then assessing (via Monte Carlo simulation) the effects of uncertainties in the system. The ultimate concern is with the control of high frequency vibrations, where the short wavelength of the structural deformation induces a high sensitivity to imperfection. It is found that standard algorithms such as LQR and LQG are generally unfeasible for this case. This leads to a consideration of design strategies for the robust active control of high frequency vibrations. The system chosen for the numerical simulation concerns two coupled plates, which are randomized by the addition of point masses at random locations.

Observation of locked phase dynamics and enhanced frequency stability in synchronized micromechanical oscillators

Even though synchronization in autonomous systems has been observed for over three centuries, reports of systematic experimental studies on synchronized oscillators are limited. Here, we report on observations of internal synchronization in coupled silicon micromechanical oscillators associated with a reduction in the relative phase random walk that is modulated by the magnitude of the reactive coupling force between the oscillators. Additionally, for the first time, a significant improvement in the frequency stability of synchronized micromechanical oscillators is reported. The concept presented here is scalable and could be suitably engineered to establish the basis for a new class of highly precise miniaturized clocks and frequency references. © 2013 American Physical Society.

An analytical study of the low frequency structural responses of a submerged hull

This paper studies the low frequency vibrational behaviour of a submerged hull. The submerged hull is modelled as a finite fluid-loaded cylindrical shell closed at each end by circular plates. The external pressure acting on the hull due to the fluid loading is analytically calculated using an infinite model. Three excitation cases of the hull are considered. In the first model, an axial point force is applied at the centre of one end plate, giving rise to an axisymmetric case in which only the zeroth circumferential shell modes are excited. In the second model, an axial point force is applied at the edge of the end plate. In the third model, a radial point force is applied also at the edge of the end plate. In the second and third load cases, all cylindrical shell circumferential modes are excited. The effects of fluid loading and different excitation locations are studied. A more complex hull model including stiffeners and bulkheads is then examined. A smeared approach is used to analytically model the ring stiffeners. All load cases are again considered and the effects of the various influencing factors on the low frequency responses are described.

Generation of picosecond pulses with a repetition frequency of 100 GHz by a multicomponent injection laser

A mode for generating a sequence of spectrally limited pulses with a duration of 2 nsec and a repetition frequency of approximately 100 GHz in AlGaAs/GaAs by an injection heterolaser, which has amplifying and absorbing parts combined in a common resonator, is discussed.

On high-frequency noise scattering by aerofoils in flow

Abstract A theoretical model is developed for the sound scattered when a sound wave is incident on a cambered aerofoil at non-zero angle of attack. The model is based on the linearization of the Euler equations about a steady subsonic flow, and is an adaptation of previous work which considered incident vortical disturbances. Only high-frequency sound waves are considered. The aerofoil thickness, camber and angle of attack are restricted such that the steady flow past the aerofoil is a small perturbation to a uniform flow. The singular perturbation analysis identifies asymptotic regions around the aerofoil; local 'inner' regions, which scale on the incident wavelength, at the leading and trailing edges of the aerofoil; Fresnel regions emanating from the leading and trailing edges of the aerofoil due to the coalescence of singularities and points of stationary phase; a wake transition region downstream of the aerofoil leading and trailing edge; and an outer region far from the aerofoil and wake. An acoustic boundary layer on the aerofoil surface and within the transition region accounts for the effects of curvature. The final result is a uniformly-valid solution for the far-field sound; the effects of angle of attack, camber and thickness are investigated. © 2013 Cambridge University Press.

Instantaneous frequency and bandwidth estimation using filterbank arrays

Accurate estimation of the instantaneous frequency of speech resonances is a hard problem mainly due to phase discontinuities in the speech signal associated with excitation instants. We review a variety of approaches for enhanced frequency and bandwidth estimation in the time-domain and propose a new cognitively motivated approach using filterbank arrays. We show that by filtering speech resonances using filters of different center frequency, bandwidth and shape, the ambiguity in instantaneous frequency estimation associated with amplitude envelope minima and phase discontinuities can be significantly reduced. The novel estimators are shown to perform well on synthetic speech signals with frequency and bandwidth micro-modulations (i.e., modulations within a pitch period), as well as on real speech signals. Filterbank arrays, when applied to frequency and bandwidth modulation index estimation, are shown to reduce the estimation error variance by 85% and 70% respectively. © 2013 IEEE.