Long memory in return structures from developed markets

[En]The present study aimed at investigating the existence of long memory properties in ten developed stock markets across the globe. When return series exhibit long memory, the series realizations are not independent over time and past returns can help predict future returns, thus violating the market efficiency hypothesis. It poses a serious challenge to the supporters of random walk behavior of the stock returns indicating a potentially predictable component in the series dynamics. We computed Hurst-Mandelbrot’s Classical R/S statistic, Lo’s statistic and semi parametric GPH statistic using spectral regression. The findings suggest existence of long memory in volatility and random walk for logarithmic return series in general for all the selected stock market indices. Findings are in line with the stylized facts of financial time series.

Programming chemical kinetics: engineering dynamic reaction networks with DNA strand displacement

Over the last century, the silicon revolution has enabled us to build faster, smaller and more sophisticated computers. Today, these computers control phones, cars, satellites, assembly lines, and other electromechanical devices. Just as electrical wiring controls electromechanical devices, living organisms employ "chemical wiring" to make decisions about their environment and control physical processes. Currently, the big difference between these two substrates is that while we have the abstractions, design principles, verification and fabrication techniques in place for programming with silicon, we have no comparable understanding or expertise for programming chemistry.

In this thesis we take a small step towards the goal of learning how to systematically engineer prescribed non-equilibrium dynamical behaviors in chemical systems. We use the formalism of chemical reaction networks (CRNs), combined with mass-action kinetics, as our programming language for specifying dynamical behaviors. Leveraging the tools of nucleic acid nanotechnology (introduced in Chapter 1), we employ synthetic DNA molecules as our molecular architecture and toehold-mediated DNA strand displacement as our reaction primitive.

Abstraction, modular design and systematic fabrication can work only with well-understood and quantitatively characterized tools. Therefore, we embark on a detailed study of the "device physics" of DNA strand displacement (Chapter 2). We present a unified view of strand displacement biophysics and kinetics by studying the process at multiple levels of detail, using an intuitive model of a random walk on a 1-dimensional energy landscape, a secondary structure kinetics model with single base-pair steps, and a coarse-grained molecular model that incorporates three-dimensional geometric and steric effects. Further, we experimentally investigate the thermodynamics of three-way branch migration. Our findings are consistent with previously measured or inferred rates for hybridization, fraying, and branch migration, and provide a biophysical explanation of strand displacement kinetics. Our work paves the way for accurate modeling of strand displacement cascades, which would facilitate the simulation and construction of more complex molecular systems.

In Chapters 3 and 4, we identify and overcome the crucial experimental challenges involved in using our general DNA-based technology for engineering dynamical behaviors in the test tube. In this process, we identify important design rules that inform our choice of molecular motifs and our algorithms for designing and verifying DNA sequences for our molecular implementation. We also develop flexible molecular strategies for "tuning" our reaction rates and stoichiometries in order to compensate for unavoidable non-idealities in the molecular implementation, such as imperfectly synthesized molecules and spurious "leak" pathways that compete with desired pathways.

We successfully implement three distinct autocatalytic reactions, which we then combine into a de novo chemical oscillator. Unlike biological networks, which use sophisticated evolved molecules (like proteins) to realize such behavior, our test tube realization is the first to demonstrate that Watson-Crick base pairing interactions alone suffice for oscillatory dynamics. Since our design pipeline is general and applicable to any CRN, our experimental demonstration of a de novo chemical oscillator could enable the systematic construction of CRNs with other dynamic behaviors.

Removing observational noise from fisheries-independent time series data using ARIMA models

Abundance indices derived from fishery-independent surveys typically exhibit much higher interannual variability than is consistent with the within-survey variance or the life history of a species. This extra variability is essentially observation noise (i.e. measurement error); it probably reflects environmentally driven factors that affect catchability over time. Unfortunately, high observation noise reduces the ability to detect important changes in the underlying population abundance. In our study, a noise-reduction technique for uncorrelated observation noise that is based on autoregressive integrated moving average (ARIMA) time series modeling is investigated. The approach is applied to 18 time series of finfish abundance, which were derived from trawl survey data from the U.S. northeast continental shelf. Although the a priori assumption of a random-walk-plus-uncorrelated-noise model generally yielded a smoothed result that is pleasing to the eye, we recommend that the most appropriate ARIMA model be identified for the observed time series if the smoothed time series will be used for further analysis of the population dynamics of a species.

Uma Simulação computacional do passeio aleatório simples

Em 1828 foi observado um fenômeno no microscópio em que se visualizava minúsculos grãos de pólen mergulhados em um líquido em repouso que mexiam-se de forma aleatória, desenhando um movimento desordenado. A questão era compreender este movimento. Após cerca de 80 anos, Einstein (1905) desenvolveu uma formulação matemática para explicar este fenômeno, tratado por movimento Browniano, teoria cada vez mais desenvolvida em muitas das áreas do conhecimento, inclusive recentemente em modelagem computacional. Objetiva-se pontuar os pressupostos básicos inerentes ao passeio aleatório simples considerando experimentos com e sem problema de valor de contorno para melhor compreensão ao no uso de algoritmos aplicados a problemas computacionais. Foram explicitadas as ferramentas necessárias para aplicação de modelos de simulação do passeio aleatório simples nas três primeiras dimensões do espaço. O interesse foi direcionado tanto para o passeio aleatório simples como para possíveis aplicações para o problema da ruína do jogador e a disseminação de vírus em rede de computadores. Foram desenvolvidos algoritmos do passeio aleatório simples unidimensional sem e com o problema do valor de contorno na plataforma R. Similarmente, implementados para os espaços bidimensionais e tridimensionais,possibilitando futuras aplicações para o problema da disseminação de vírus em rede de computadores e como motivação ao estudo da Equação do Calor, embora necessita um maior embasamento em conceitos da Física e Probabilidade para dar continuidade a tal aplicação.

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.

Single camera pose estimation using Bayesian filtering and Kinect motion priors

Traditional approaches to upper body pose estimation using monocular vision rely on complex body models and a large variety of geometric constraints. We argue that this is not ideal and somewhat inelegant as it results in large processing burdens, and instead attempt to incorporate these constraints through priors obtained directly from training data. A prior distribution covering the probability of a human pose occurring is used to incorporate likely human poses. This distribution is obtained offline, by fitting a Gaussian mixture model to a large dataset of recorded human body poses, tracked using a Kinect sensor. We combine this prior information with a random walk transition model to obtain an upper body model, suitable for use within a recursive Bayesian filtering framework. Our model can be viewed as a mixture of discrete Ornstein-Uhlenbeck processes, in that states behave as random walks, but drift towards a set of typically observed poses. This model is combined with measurements of the human head and hand positions, using recursive Bayesian estimation to incorporate temporal information. Measurements are obtained using face detection and a simple skin colour hand detector, trained using the detected face. The suggested model is designed with analytical tractability in mind and we show that the pose tracking can be Rao-Blackwellised using the mixture Kalman filter, allowing for computational efficiency while still incorporating bio-mechanical properties of the upper body. In addition, the use of the proposed upper body model allows reliable three-dimensional pose estimates to be obtained indirectly for a number of joints that are often difficult to detect using traditional object recognition strategies. Comparisons with Kinect sensor results and the state of the art in 2D pose estimation highlight the efficacy of the proposed approach.

A direct digital frequency synthesizer with fourth-order phase domain Delta Sigma noise shaper and 12-bit current-steering DAC

This paper presents a direct digital frequency synthesizer (DDFS) with a 16-bit accumulator, a fourth-order phase domain single-stage Delta Sigma interpolator, and a 300-MS/s 12-bit current-steering DAC based on the Q(2) Random Walk switching scheme. The Delta Sigma interpolator is used to reduce the phase truncation error and the ROM size. The implemented fourth-order single-stage Delta Sigma noise shaper reduces the effective phase bits by four and reduces the ROM size by 16 times. The DDFS prototype is fabricated in a 0.35-mu m CMOS technology with active area of 1.11 mm(2) including a 12-bit DAC. The measured DDFS spurious-free dynamic range (SFDR) is greater than 78 dB using a reduced ROM with 8-bit phase, 12-bit amplitude resolution and a size of 0.09 mm(2). The total power consumption of the DDFS is 200)mW with a 3.3-V power supply.

A 10-bit 2GHz current-steering CMOS D/A converter

This paper presents a 2GS/s 10-bit CMOS digital-to-analog converter (DAC). This DAC consists of a unit current-cell matrix for 6MSBs and another unit current-cell matrix for 4LSBs, trading off between the precision and size of the chip. The Current Mode Logic (CML) is used to ensure high speed, and a double Centro-symmetric current matrix is designed by the Q(2) random walk strategy in order to ensure the linearity of the DAC. The DAC occupies 2.2 x 2.2 mm2 of die area, and consumes 790mw at a single 3.3V power supply.

A 12-bit 300 MHz CMOS DAC for high-speed system applications

This paper describes a 12-bit 300 MHz CMOS DAC for high-speed system applications. The proposed DAC consists of a unit current-cell matrix for 8 MSBs and a binary-weighted array for 4 LSBs. In order to ensure the linearity of DAC, a double Centro symmetric current matrix is designed by using the Q(2) random walk strategy. To minimize the feedthrough and improve the dynamic performance, the drain of the switching transistors is isolated from the output lines by adding two cascoded transistors.

A direct digital frequency synthesizer with single-stage delta-sigma interpolator and current-steering DAC

This paper presents a direct digital frequency synthesizer (DDFS) with a 16-bit accumulator, a 4th-order single-stage pipelined delta-sigma interpolator and a 300MS/s 12-bit current-steering DAC based on Q(2) Random Walk switching scheme. The delta-sigma interpolator is used to reduce the phase truncation error and the ROM size. The measured spurious-free dynamic range (SFDR) is greater than 80 dB for 8-bit phase value and 12-bit sine-amplitude output. The DDFS prototype is fabricated in a 0.35um CMOS technology with core area of 1.11mm(2).

A direct digital frequency synthesizer with fourth-order phase domain Delta Sigma noise shaper and 12-bit current-steering DAC

This paper presents a direct digital frequency synthesizer (DDFS) with a 16-bit accumulator, a fourth-order phase domain single-stage Delta Sigma interpolator, and a 300-MS/s 12-bit current-steering DAC based on the Q(2) Random Walk switching scheme. The Delta Sigma interpolator is used to reduce the phase truncation error and the ROM size. The implemented fourth-order single-stage Delta Sigma noise shaper reduces the effective phase bits by four and reduces the ROM size by 16 times. The DDFS prototype is fabricated in a 0.35-mu m CMOS technology with active area of 1.11 mm(2) including a 12-bit DAC. The measured DDFS spurious-free dynamic range (SFDR) is greater than 78 dB using a reduced ROM with 8-bit phase, 12-bit amplitude resolution and a size of 0.09 mm(2). The total power consumption of the DDFS is 200)mW with a 3.3-V power supply.

面向高速应用的10位2GHz数模转换器

提出了一个刷新率达2GHz的10位电流驱动型数模转换器.在综合了精度与芯片面积等因素之后,该数模转换器使用6+4结构.采用电流型逻辑以提高转换器的速度,并采用Q~2 random walk方法设计了一个双中心对称的电流矩阵,确保数模转换器的线性度.该数模转换器核心版图面积为2.2mm×2.2mm,在3.3V单电压供电的情况下,该芯片功耗为790mW.

A 12bit 300MHz Current-Steering CMOS D/A Converter

The proposed DAC consists of a unit current-cell matrix for 8MSBs and a binary-weighted array for 4LSBs, trading-off between the precision, speed, and size of the chip. In order to ensure the linearity of the DAC, a double Centro symmetric current matrix is designed by the Q2 random walk strategy. To achieve better dynamic performance, a latch is added in front of the current switch to change the input signal, such as its optimal cross-point and voltage level. For a 12bit resolution,the converter reaches an update rate of 300MHz.

The electrochemical behavior of a system with a limited number of molecules

In this paper, based on Einstein relationship between diffusion and random walk, the electrochemical behavior of a system with a limited number of molecules was simulated and explored theoretically. The transition of the current vs time responses from discrete to continuous was clearly obtained as the number of redox molecules increased from 10 to 10(6).

The time delay in electrochemical measurements of a finite-volume system

For a sphere electrode enclosed in finite-volume electrolyte, the measured current will deviate from the result predicted by the semi-infinite diffusion theory after some time. By random-walk simulation, we compared this time to the one needed for diffusion layer to reach electrolyte boundary, and revealed a clear signal delay of electrochemical current. Further we presented a quantitative description of this delay time. The simulation results suggested that the semi-infinite diffusion theory can even be applied when the theoretical diffusion layer grows to 1.28 electrolyte thicknesses, with an accuracy better than 0.5%. We attributed this time delay to the molecules' finite propagation velocity. Finally, we discussed how this delay can influence and facilitate the following electrochemical detection towards the nanometer and single-cell scale.