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.

Adhesive properties of gecko-inspired mimetic via micropatterned carbon nanotube forests

The adhesive properties of the gecko foot have inspired designs of advanced micropatterned surfaces with increased contact areas. We have fabricated micropatterned pillars of vertically aligned carbon nanotube forests with a range of pillar diameters, heights, and spacings (or pitch). We used nanoindentation to measure their elastic and orthogonal adhesion properties and derive their scaling behavior. The patterning of nanotube forests into pillar arrays allows a reduction of the effective modulus from 10 to 15 MPa to 0.1-1 MPa which is useful for developing maximum conformal adhesion. © 2012 American Chemical Society.

The parameter space of graphene chemical vapor deposition on polycrystalline Cu

A systematic study of the parameter space of graphene chemical vapor deposition (CVD) on polycrystalline Cu foils is presented, aiming at a more fundamental process rationale in particular regarding the choice of carbon precursor and mitigation of Cu sublimation. CH 4 as precursor requires H 2 dilution and temperatures ≥1000 °C to keep the Cu surface reduced and yield a high-quality, complete monolayer graphene coverage. The H 2 atmosphere etches as-grown graphene; hence, maintaining a balanced CH 4/H 2 ratio is critical. Such balance is more easily achieved at low-pressure conditions, at which however Cu sublimation reaches deleterious levels. In contrast, C 6H 6 as precursor requires no reactive diluent and consistently gives similar graphene quality at 100-150 °C lower temperatures. The lower process temperature and more robust processing conditions allow the problem of Cu sublimation to be effectively addressed. Graphene formation is not inherently self-limited to a monolayer for any of the precursors. Rather, the higher the supplied carbon chemical potential, the higher the likelihood of film inhomogeneity and primary and secondary multilayer graphene nucleation. For the latter, domain boundaries of the inherently polycrystalline CVD graphene offer pathways for a continued carbon supply to the catalyst. Graphene formation is significantly affected by the Cu crystallography; i.e., the evolution of microstructure and texture of the catalyst template form an integral part of the CVD process. © 2012 American Chemical Society.

人类活动在武汉东湖沉积物中的记录

研究了武汉东湖Ⅰ站90cm和Ⅱ站150cm沉积物柱芯TOC、TN、TP和硅藻的垂向分布,探讨了在东湖的发展演化中尤其是富营养化的过程中人类活动的影响.在350aBP(清朝康熙雍正年间)和20世纪60年代,由于人口增长、农业耕作发展和湖泊富营养化使区域内TOC、TN等营养物质向湖内大量输入.东湖I站沉积物中TP在0~5cm的高值区主要与建国以来东湖周围的人类活动作用加强有关,是湖泊营养程度逐步提高的结果.随着湖泊富营养化的加剧,湖泊藻类大量繁衍,沉积物中保存的硅藻也相应大量增加.

Elastic properties of crystalline-amorphous core-shell silicon nanowires

The pressure behavior of Raman frequencies and line widths of crystalline core-amorphous shell silicon nanowires (SiNWs) with two different core-to-shell ratio thicknesses was studied at pressures up to 8 GPa. The obtained isothermal compressibility (bulk modulus) of SiNWs with a core-to-shell ratio of about 1.8 is ∼20% higher (lower) than reported values for bulk Si. For SiNWs with smaller core-to-shell ratios, a plastic deformation of the shell was observed together with a strain relaxation. A significant increase in the full width at half-maximum of the Raman LTO-peak due to phonon decay was used to determine the critical pressure at which LTO-phonons decay into LO + TA phonons. Our results reveal that this critical pressure in strained core-shell SiNWs (∼4 GPa) is different from the reported value for bulk Si (∼7 GPa), whereas no change is observed for relaxed core-shell SiNWs. © 2013 American Chemical Society.

Self-assembled multilayer graphene oxide membrane and carbon nanotubes synthesized using a rare form of natural graphite

The fabrication of flexible multilayer graphene oxide (GO) membrane and carbon nanotubes (CNTs) using a rare form of high-purity natural graphite, vein graphite, is reported for the first time. Graphite oxide is synthesized using vein graphite following Hummer's method. By facilitating functionalized graphene sheets in graphite oxide to self-assemble, a multilayer GO membrane is fabricated. Electric arc discharge is used to synthesis CNTs from vein graphite. Both multilayer GO membrane and CNTs are investigated using microscopy and spectroscopy experiments, i.e., scanning electron microscopy (SEM), atomic force microscopy (AFM), high-resolution transmission electron microscopy (HRTEM), Fourier transform infrared spectroscopy (FTIR), X-ray diffraction (XRD), thermogravimetric analysis (TGA), core level photoelectron spectroscopy, and C K-edge X-ray absorption spectroscopy (NEXAFS), to characterize their structural and topographical properties. Characterization of vein graphite using different techniques reveals that it has a large number of crystallites, hence the large number of graphene sheets per crystallite, preferentially oriented along the (002) plane. NEXAFS and core level spectra confirm that vein graphite is highly crystalline and pure. Fourier transform infrared (FT-IR) and C 1s core level spectra show that oxygen functionalities (-C-OH, -CO,-C-O-C-) are introduced into the basal plane of graphite following chemical oxidation. Carbon nanotubes are produced from vein graphite through arc discharge without the use of any catalyst. HRTEM confirm that multiwalled carbon nanotube (MWNTs) are produced with the presence of some structure in the central pipe. A small percentage of single-walled nanotubes (SWNTs) are also produced simultaneously with MWNTs. Spectroscopic and microscopic data are further discussed here with a view to using vein graphite as the source material for the synthesis of carbon nanomaterials. © 2013 American Chemical Society.

Collective motion: Bistability and trajectory tracking

This paper presents analysis and application of steering control laws for a network of self-propelled, planar particles. We explore together the two stably controlled group motions, parallel motion and circular motion, for modeling and design purposes. We show that a previously considered control law simultaneously stabilizes both parallel and circular group motion, leading to Instability and hysteresis. We also present behavior primitives that enable piecewise-linear network trajectory tracking.