Modelling nonlinear stochastic dynamics in financial time series

For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.

Approximation of photonic crystal fibres with large air holes by the step index fibre model

An equivalent step index fibre with a silica core and air cladding is used to model photonic crystal fibres with large air holes. We model this fibre for linear polarisation (we focus on the lowest few transverse modes of the electromagnetic field). The equivalent step index radius is obtained by equating the lowest two eigenvalues of the model to those calculated numerically for the photonic crystal fibres. The step index parameters thus obtained can then be used to calculate nonlinear parameters like the nonlinear effective area of a photonic crystal fibre or to model nonlinear few-mode interactions using an existing model.

Random input problem for the nonlinear Schrödinger equation

We consider the random input problem for a nonlinear system modeled by the integrable one-dimensional self-focusing nonlinear Schrödinger equation (NLSE). We concentrate on the properties obtained from the direct scattering problem associated with the NLSE. We discuss some general issues regarding soliton creation from random input. We also study the averaged spectral density of random quasilinear waves generated in the NLSE channel for two models of the disordered input field profile. The first model is symmetric complex Gaussian white noise and the second one is a real dichotomous (telegraph) process. For the former model, the closed-form expression for the averaged spectral density is obtained, while for the dichotomous real input we present the small noise perturbative expansion for the same quantity. In the case of the dichotomous input, we also obtain the distribution of minimal pulse width required for a soliton generation. The obtained results can be applied to a multitude of problems including random nonlinear Fraunhoffer diffraction, transmission properties of randomly apodized long period Fiber Bragg gratings, and the propagation of incoherent pulses in optical fibers.

Dissipative nonlinear structures in optical fiber systems I : dissipative dispersion managed solitons in mode-locked lasers

In this first talk on dissipative structures in fiber applications, we extend theory of dispersion-managed solitons to dissipative systems with a focus on mode-locked fibre lasers. Dissipative structures exist at high map strengths leading to the generation of stable, short pulses with high energy. Two types of intra-map pulse evolutions are observed depending on the net cavity dispersion. These are characterized by a reduced model and semi-analytical solutions are obtained.

Theory and data for area summation of contrast with and without uncertainty:evidence for a noisy energy model

Contrast sensitivity improves with the area of a sine-wave grating, but why? Here we assess this phenomenon against contemporary models involving spatial summation, probability summation, uncertainty, and stochastic noise. Using a two-interval forced-choice procedure we measured contrast sensitivity for circular patches of sine-wave gratings with various diameters that were blocked or interleaved across trials to produce low and high extrinsic uncertainty, respectively. Summation curves were steep initially, becoming shallower thereafter. For the smaller stimuli, sensitivity was slightly worse for the interleaved design than for the blocked design. Neither area nor blocking affected the slope of the psychometric function. We derived model predictions for noisy mechanisms and extrinsic uncertainty that was either low or high. The contrast transducer was either linear (c1.0) or nonlinear (c2.0), and pooling was either linear or a MAX operation. There was either no intrinsic uncertainty, or it was fixed or proportional to stimulus size. Of these 10 canonical models, only the nonlinear transducer with linear pooling (the noisy energy model) described the main forms of the data for both experimental designs. We also show how a cross-correlator can be modified to fit our results and provide a contemporary presentation of the relation between summation and the slope of the psychometric function.

Evolution of optical pulses in fiber lines with lumped nonlinear devices as a mapping problem

We analyze the steady-state propagation of optical pulses in fiber transmission systems with lumped nonlinear optical devices (NODs) placed periodically in the line. For the first time to our knowledge, a theoretical model is developed to describe the transmission regime with a quasilinear pulse evolution along the transmission line and the point action of NODs. We formulate the mapping problem for pulse propagation in a unit cell of the line and show that in the particular application to nonlinear optical loop mirrors, the steady-state pulse characteristics predicted by the theory accurately reproduce the results of direct numerical simulations.

Autosoliton propagation and mapping problem in optical fiber lines with lumped nonlinear devices

A theoretical model is developed to describe the propagation of ultrashort optical pulses in fiber transmission systems in the quasilinear regime, with periodically inserted in-line nonlinear optical devices.

On the theory of autosoliton propagation in optical fibers guided by in-line nonlinear devices

A theoretical model is developed to describe the propagation of ultra-short optical pulses in fiber transmission systems in the quasi-linear regime, with periodically inserted in-line lumped nonlinear optical devices. Stable autosoliton solutions are obtained for a particular application of the general theory.

Dispersion-dominated nonlinear fiber-optic channel

We propose to apply a large predispersion (having the same sign as the transmission fiber) to an optical signal before the uncompensated fiber transmission in coherent communication systems. This technique is aimed at simplifica- tion of the following digital signal processing of nonlinear impairments. We derive a model describing pulse propagation in the dispersion-dominated nonlinear fiber channel. In the limit of very strong initial predispersion, the nonlinear propagation equations for each Fourier mode become local and decoupled. This paves the way for new techniques to manage fiber nonlinearity.

Bistable attractors in a model of convection-driven spherical dynamos

The range of existence and the properties of two essentially different chaotic attractors found in a model of nonlinear convection-driven dynamos in rotating spherical shells are investigated. A hysteretic transition between these attractors is established as a function of the rotation parameter t. The width of the basins of attraction is also estimated. © 2012 The Royal Swedish Academy of Sciences.

Dissipative nonlinear structures in optical fiber systems I:dissipative dispersion managed solitons in mode-locked lasers

In this first talk on dissipative structures in fiber applications, we extend theory of dispersion-managed solitons to dissipative systems with a focus on mode-locked fibre lasers. Dissipative structures exist at high map strengths leading to the generation of stable, short pulses with high energy. Two types of intra-map pulse evolutions are observed depending on the net cavity dispersion. These are characterized by a reduced model and semi-analytical solutions are obtained.

Autosoliton propagation and mapping problem in optical fiber lines with lumped nonlinear devices

A theoretical model is developed to describe the propagation of ultrashort optical pulses in fiber transmission systems in the quasilinear regime, with periodically inserted in-line nonlinear optical devices. © 2005 The American Physical Society.

Evolution of optical pulses in fiber lines with lumped nonlinear devices as a mapping problem

We analyze the steady-state propagation of optical pulses in fiber transmission systems with lumped nonlinear optical devices (NODs) placed periodically in the line. For the first time to our knowledge, a theoretical model is developed to describe the transmission regime with a quasilinear pulse evolution along the transmission line and the point action of NODs. We formulate the mapping problem for pulse propagation in a unit cell of the line and show that in the particular application to nonlinear optical loop mirrors, the steady-state pulse characteristics predicted by the theory accurately reproduce the results of direct numerical simulations. © 2005 Springer Science+Business Media, Inc.

Nonlinear inverse synthesis and eigenvalue division multiplexing in optical fiber channels

We scrutinize the concept of integrable nonlinear communication channels, resurrecting and extending the idea of eigenvalue communications in a novel context of nonsoliton coherent optical communications. Using the integrable nonlinear Schrödinger equation as a channel model, we introduce a new approach - the nonlinear inverse synthesis method - for digital signal processing based on encoding the information directly onto the nonlinear signal spectrum. The latter evolves trivially and linearly along the transmission line, thus, providing an effective eigenvalue division multiplexing with no nonlinear channel cross talk. The general approach is illustrated with a coherent optical orthogonal frequency division multiplexing transmission format. We show how the strategy based upon the inverse scattering transform method can be geared for the creation of new efficient coding and modulation standards for the nonlinear channel. © Published by the American Physical Society.

Nonlinear spectral management:linearization of the lossless fiber channel

Using the integrable nonlinear Schrodinger equation (NLSE) as a channel model, we describe the application of nonlinear spectral management for effective mitigation of all nonlinear distortions induced by the fiber Kerr effect. Our approach is a modification and substantial development of the so-called eigenvalue communication idea first presented in A. Hasegawa, T. Nyu, J. Lightwave Technol. 11, 395 (1993). The key feature of the nonlinear Fourier transform (inverse scattering transform) method is that for the NLSE, any input signal can be decomposed into the so-called scattering data (nonlinear spectrum), which evolve in a trivial manner, similar to the evolution of Fourier components in linear equations. We consider here a practically important weakly nonlinear transmission regime and propose a general method of the effective encoding/modulation of the nonlinear spectrum: The machinery of our approach is based on the recursive Fourier-type integration of the input profile and, thus, can be considered for electronic or all-optical implementations. We also present a novel concept of nonlinear spectral pre-compensation, or in other terms, an effective nonlinear spectral pre-equalization. The proposed general technique is then illustrated through particular analytical results available for the transmission of a segment of the orthogonal frequency division multiplexing (OFDM) formatted pattern, and through WDM input based on Gaussian pulses. Finally, the robustness of the method against the amplifier spontaneous emission is demonstrated, and the general numerical complexity of the nonlinear spectrum usage is discussed. © 2013 Optical Society of America.