Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications

The interdependence of Greece and other European stock markets and the subsequent portfolio implications are examined in wavelet and variational mode decomposition domain. In applying the decomposition techniques, we analyze the structural properties of data and distinguish between short and long term dynamics of stock market returns. First, the GARCH-type models are fitted to obtain the standardized residuals. Next, different copula functions are evaluated, and based on the conventional information criteria and time varying parameter, Joe-Clayton copula is chosen to model the tail dependence between the stock markets. The short-run lower tail dependence time paths show a sudden increase in comovement during the global financial crises. The results of the long-run dependence suggest that European stock markets have higher interdependence with Greece stock market. Individual country’s Value at Risk (VaR) separates the countries into two distinct groups. Finally, the two-asset portfolio VaR measures provide potential markets for Greece stock market investment diversification.

Conservation law with the flux function discontinuous in the space variable- II - Convex-concave type fluxes and generalized entropy solutions

We deal with a single conservation law with discontinuous convex-concave type fluxes which arise while considering sign changing flux coefficients. The main difficulty is that a weak solution may not exist as the Rankine-Hugoniot condition at the interface may not be satisfied for certain choice of the initial data. We develop the concept of generalized entropy solutions for such equations by replacing the Rankine-Hugoniot condition by a generalized Rankine-Hugoniot condition. The uniqueness of solutions is shown by proving that the generalized entropy solutions form a contractive semi-group in L-1. Existence follows by showing that a Godunov type finite difference scheme converges to the generalized entropy solution. The scheme is based on solutions of the associated Riemann problem and is neither consistent nor conservative. The analysis developed here enables to treat the cases of fluxes having at most one extrema in the domain of definition completely. Numerical results reporting the performance of the scheme are presented. (C) 2006 Elsevier B.V. All rights reserved.

Entropy based Skew correction of document images

The document images that are fed into an Optical Character Recognition system, might be skewed. This could be due to improper feeding of the document into the scanner or may be due to a faulty scanner. In this paper, we propose a skew detection and correction method for document images. We make use of the inherent randomness in the Horizontal Projection profiles of a text block image, as the skew of the image varies. The proposed algorithm has proved to be very robust and time efficient. The entire process takes less than a second on a 2.4 GHz Pentium IV PC.

Role of entropy in the stability of cobalt titanates

The standard molar Gibbs free energy of formation of Co2TiO4, CoTiO3,and CoTi2O5 as a function of temperature over an extended range (900 to 1675) K was measured using solid-state electrochemical cells incorporating yttria-stabilized zirconia as the electrolyte, with CoO as reference electrode and appropriate working electrodes. For the formation of the three compounds from their component oxides CoO with rock-salt and TiO2 with rutile structure, the Gibbs free energy changes are given by:Delta(f)G degrees((ox))(Co2TiO4) +/- 104/(J . mol(-1)) = -18865 - 4.108 (T/K)Delta(f)G degrees((ox))(CoTiO3) +/- 56/(J . mol(-1)) = -19627 + 2.542 (T/K) Delta(f)G degrees((ox))(CoTi2O5) +/- 52/(J . mol(-1)) = -6223 - 6.933 (T/K) Accurate values for enthalpy and entropy of formation were derived. The compounds Co2TiO4 with spinel structure and CoTi2O5 with pseudo-brookite structure were found to be entropy stabilized. The relatively high entropy of these compounds arises from the mixing of cations on specific crystallographic sites. The stoichiometry of CoTiO3 was confirmed by inert gas fusion analysis for oxygen. Because of partial oxidation of cobalt in air, the composition corresponding to the compound Co2TiO4 falls inside a two-phase field containing the spinet solid solution Co2TiO4-Co3O4 and CoTiO3. The spinel solid solution becomes progressively enriched in Co3O4 with decreasing temperature. (c) 2010 Elsevier Ltd. All rights reserved.

Two-Phase Thermodynamic Model for Efficient and Accurate Absolute Entropy of Water from Molecular Dynamics Simulations

Presented here is the two-phase thermodynamic (2PT) model for the calculation of energy and entropy of molecular fluids from the trajectory of molecular dynamics (MD) simulations. In this method, the density of state (DoS) functions (including the normal modes of translation, rotation, and intramolecular vibration motions) are determined from the Fourier transform of the corresponding velocity autocorrelation functions. A fluidicity parameter (f), extracted from the thermodynamic state of the system derived from the same MD, is used to partition the translation and rotation modes into a diffusive, gas-like component (with 3Nf degrees of freedom) and a nondiffusive, solid-like component. The thermodynamic properties, including the absolute value of entropy, are then obtained by applying quantum statistics to the solid component and applying hard sphere/rigid rotor thermodynamics to the gas component. The 2PT method produces exact thermodynamic properties of the system in two limiting states: the nondiffusive solid state (where the fluidicity is zero) and the ideal gas state (where the fluidicity becomes unity). We examine the 2PT entropy for various water models (F3C, SPC, SPC/E, TIP3P, and TIP4P-Ew) at ambient conditions and find good agreement with literature results obtained based on other simulation techniques. We also validate the entropy of water in the liquid and vapor phases along the vapor-liquid equilibrium curve from the triple point to the critical point. We show that this method produces converged liquid phase entropy in tens of picoseconds, making it an efficient means for extracting thermodynamic properties from MD simulations.

A Wavelet based Teager Energy Operator for Spike Detection in Microelectrode Array Recordings

Spike detection in neural recordings is the initial step in the creation of brain machine interfaces. The Teager energy operator (TEO) treats a spike as an increase in the `local' energy and detects this increase. The performance of TEO in detecting action potential spikes suffers due to its sensitivity to the frequency of spikes in the presence of noise which is present in microelectrode array (MEA) recordings. The multiresolution TEO (mTEO) method overcomes this shortcoming of the TEO by tuning the parameter k to an optimal value m so as to match to frequency of the spike. In this paper, we present an algorithm for the mTEO using the multiresolution structure of wavelets along with inbuilt lowpass filtering of the subband signals. The algorithm is efficient and can be implemented for real-time processing of neural signals for spike detection. The performance of the algorithm is tested on a simulated neural signal with 10 spike templates obtained from [14]. The background noise is modeled as a colored Gaussian random process. Using the noise standard deviation and autocorrelation functions obtained from recorded data, background noise was simulated by an autoregressive (AR(5)) filter. The simulations show a spike detection accuracy of 90%and above with less than 5% false positives at an SNR of 2.35 dB as compared to 80% accuracy and 10% false positives reported [6] on simulated neural signals.

Wavelet transform based error concealment approach for image denoising

Denoising of images in compressed wavelet domain has potential application in transmission technology such as mobile communication. In this paper, we present a new image denoising scheme based on restoration of bit-planes of wavelet coefficients in compressed domain. It exploits the fundamental property of wavelet transform - its ability to analyze the image at different resolution levels and the edge information associated with each band. The proposed scheme relies on the fact that noise commonly manifests itself as a fine-grained structure in image and wavelet transform allows the restoration strategy to adapt itself according to directional features of edges. The proposed approach shows promising results when compared with conventional unrestored scheme, in context of error reduction and has capability to adapt to situations where noise level in the image varies. The applicability of the proposed approach has implications in restoration of images due to noisy channels. This scheme, in addition, to being very flexible, tries to retain all the features, including edges of the image. The proposed scheme is computationally efficient.

Transient signal detection using wigner-ville distribution and wavelet denoising

The problem of detecting an unknown transient signal in noise is considered. The SNR of the observed data is first enhanced using wavelet domain filter The output of the wavelet domain filter is then transformed using a Wigner-Ville transform,which separates the spectrum of the observed signal into narrow frequency bands. Each subband signal at the output of the Wigner-ville block is subjected kto wavelet based level dependent denoising (WBLDD)to supress colored noise A weighted sum of the absolute value of outputs of WBLDD is passed through an energy detector, whose output is used as test statistic to take the final decision. By assigning weights proportional to the energy of the corresponding subband signals, the proposed detector approximates a frequency domain matched filter Simulation results are presented to show that the performance of the proposed detector is better than that of the wavelet packet transform based detector.

Wavelet transform based error concealment approach for image denoising

Denoising of images in compressed wavelet domain has potential application in transmission technology such as mobile communication. In this paper, we present a new image denoising scheme based on restoration of bit-planes of wavelet coefficients in compressed domain. It exploits the fundamental property of wavelet transform - its ability to analyze the image at different resolution levels and the edge information associated with each band. The proposed scheme relies on the fact that noise commonly manifests itself as a fine-grained structure in image and wavelet transform allows the restoration strategy to adapt itself according to directional features of edges. The proposed approach shows promising results when compared with conventional unrestored scheme, in context of error reduction and has capability to adapt to situations where noise level in the image varies. The applicability of the proposed approach has implications in restoration of images due to noisy channels. This scheme, in addition, to being very flexible, tries to retain all the features, including edges of the image. The proposed scheme is computationally efficient.

Study of magnetic field effect on the specific heat and entropy in DyBa2Cu3O7-x

The change in the specific heat by the application of magnetic field up to 161 for high temperature superconductor system for DyBa2Cu3O7-x by Revaz et al. [23] is examined through the phenomenological Ginzburg-Landau(G-L) theory of anisotropic Type-II superconductors. The observed specific heat anomaly near T-c with magnetic field is explained qualitatively through the expression <Delta C > = (B-a/T-c) t/(1 - t)(alpha Theta(gamma)lambda(2)(m)(0)), which is the anisotropic formulation of the G-L theory in the London limit developed by Kogan and coworkers; relating to the change in specific heat Delta C for the variation of applied magnetic field for different orientations with c-axis. The analysis of this equation explains satisfactorily the specific heat anomaly near T-c and determines the anisotropic ratio gamma as 5.608, which is close to the experimental value 5.3 +/- 0.5given in the paper of Revaz et al. for this system. (C) 2010 Elsevier B.V. All rights reserved.

Wave propagation analysis in carbon nanotube embedded composite using wavelet based spectral finite elements

In this paper, elastic wave propagation is studied in a nanocomposite reinforced with multiwall carbon nanotubes (CNTs). Analysis is performed on a representative volume element of square cross section. The frequency content of the exciting signal is at the terahertz level. Here, the composite is modeled as a higher order shear deformable beam using layerwise theory, to account for partial shear stress transfer between the CNTs and the matrix. The walls of the multiwall CNTs are considered to be connected throughout their length by distributed springs, whose stiffness is governed by the van der Waals force acting between the walls of nanotubes. The analyses in both the frequency and time domains are done using the wavelet-based spectral finite element method (WSFEM). The method uses the Daubechies wavelet basis approximation in time to reduce the governing PDE to a set of ODEs. These transformed ODEs are solved using a finite element (FE) technique by deriving an exact interpolating function in the transformed domain to obtain the exact dynamic stiffness matrix. Numerical analyses are performed to study the spectrum and dispersion relations for different matrix materials and also for different beam models. The effects of partial shear stress transfer between CNTs and matrix on the frequency response function (FRF) and the time response due to broadband impulse loading are investigated for different matrix materials. The simultaneous existence of four coupled propagating modes in a double-walled CNT-composite is also captured using modulated sinusoidal excitation.

Entropy and dynamics of water in hydration layers of a bilayer

We compute the entropy and transport properties of water in the hydration layer of dipalmitoylphosphatidylcholine bilayer by using a recently developed theoretical scheme two-phase thermodynamic model, termed as 2PT method; S.-T. Lin et al., J. Chem. Phys. 119, 11792 (2003)] based on the translational and rotational velocity autocorrelation functions and their power spectra. The weights of translational and rotational power spectra shift from higher to lower frequency as one goes from the bilayer interface to the bulk. Water molecules near the bilayer head groups have substantially lower entropy (48.36 J/mol/K) than water molecules in the intermediate region (51.36 J/mol/K), which have again lower entropy than the molecules (60.52 J/mol/K) in bulk. Thus, the entropic contribution to the free energy change (T Delta S) of transferring an interface water molecule to the bulk is 3.65 kJ/mol and of transferring intermediate water to the bulk is 2.75 kJ/mol at 300 K, which is to be compared with 6.03 kJ/mol for melting of ice at 273 K. The translational diffusion of water in the vicinity of the head groups is found to be in a subdiffusive regime and the rotational diffusion constant increases going away from the interface. This behavior is supported by the slower reorientational relaxation of the dipole vector and OH bond vector of interfacial water. The ratio of reorientational relaxation time for Legendre polynomials of order 1 and 2 is approximately 2 for interface, intermediate, and bulk water, indicating the presence of jump dynamics in these water molecules. (C) 2010 American Institute of Physics. doi:10.1063/1.3494115]

Maximum-entropy calculation of the electron density at 4 A resolution of Pf1 filamentous bacteriophage

A 4 A electron-density map of Pf1 filamentous bacterial virus has been calculated from x-ray fiber diffraction data by using the maximum-entropy method. This method produces a map that is free of features due to noise in the data and enables incomplete isomorphous-derivative phase information to be supplemented by information about the nature of the solution. The map shows gently curved (banana-shaped) rods of density about 70 A long, oriented roughly parallel to the virion axis but slewing by about 1/6th turn while running from a radius of 28 A to one of 13 A. Within these rods, there is a helical periodicity with a pitch of 5 to 6 A. We interpret these rods to be the helical subunits of the virion. The position of strongly diffracted intensity on the x-ray fiber pattern shows that the basic helix of the virion is right handed and that neighboring nearly parallel protein helices cross one another in an unusual negative sense.

Molecular interpretation of the linear relationship between the entropy and the enthalpy of activation of charge transfer reactions in polar liquids

The well-known linear relationship (T?S# =??H# +?, where 1 >? > 0,? > 0) between the entropy (?S#) and the enthalpy (?H#) of activation for reactions in polar liquids is investigated by using a molecular theory. An explicit derivation of this linear relation from first principles is presented for an outersphere charge transfer reaction. The derivation offers microscopic interpretation for the quantities? and?. It has also been possible to make connection with and justify the arguments of Bell put forward many years ago.

Predictive uncertainty of chaotic daily streamflow using ensemble wavelet networks approach

Perfect or even mediocre weather predictions over a long period are almost impossible because of the ultimate growth of a small initial error into a significant one. Even though the sensitivity of initial conditions limits the predictability in chaotic systems, an ensemble of prediction from different possible initial conditions and also a prediction algorithm capable of resolving the fine structure of the chaotic attractor can reduce the prediction uncertainty to some extent. All of the traditional chaotic prediction methods in hydrology are based on single optimum initial condition local models which can model the sudden divergence of the trajectories with different local functions. Conceptually, global models are ineffective in modeling the highly unstable structure of the chaotic attractor. This paper focuses on an ensemble prediction approach by reconstructing the phase space using different combinations of chaotic parameters, i.e., embedding dimension and delay time to quantify the uncertainty in initial conditions. The ensemble approach is implemented through a local learning wavelet network model with a global feed-forward neural network structure for the phase space prediction of chaotic streamflow series. Quantification of uncertainties in future predictions are done by creating an ensemble of predictions with wavelet network using a range of plausible embedding dimensions and delay times. The ensemble approach is proved to be 50% more efficient than the single prediction for both local approximation and wavelet network approaches. The wavelet network approach has proved to be 30%-50% more superior to the local approximation approach. Compared to the traditional local approximation approach with single initial condition, the total predictive uncertainty in the streamflow is reduced when modeled with ensemble wavelet networks for different lead times. Localization property of wavelets, utilizing different dilation and translation parameters, helps in capturing most of the statistical properties of the observed data. The need for taking into account all plausible initial conditions and also bringing together the characteristics of both local and global approaches to model the unstable yet ordered chaotic attractor of a hydrologic series is clearly demonstrated.