Linear and non-linear transmission of equity return volatility: evidence from the US, Japan and Australia

This paper models the transmission of shocks between the US, Japanese and Australian equity markets. Tests for the existence of linear and non-linear transmission of volatility across the markets are performed using parametric and non-parametric techniques. In particular the size and sign of return innovations are important factors in determining the degree of spillovers in volatility. It is found that a multivariate asymmetric GARCH formulation can explain almost all of the non-linear causality between markets. These results have important implications for the construction of models and forecasts of international equity returns.

Linear and non-linear (non-)forecastability of high-frequency exchange rates

This paper forecasts Daily Sterling exchange rate returns using various naive, linear and non-linear univariate time-series models. The accuracy of the forecasts is evaluated using mean squared error and sign prediction criteria. These show only a very modest improvement over forecasts generated by a random walk model. The Pesaran–Timmerman test and a comparison with forecasts generated artificially shows that even the best models have no evidence of market timing ability.

A new adaptive multiple modelling approach for non-linear and non-stationary systems

This paper proposes a novel adaptive multiple modelling algorithm for non-linear and non-stationary systems. This simple modelling paradigm comprises K candidate sub-models which are all linear. With data available in an online fashion, the performance of all candidate sub-models are monitored based on the most recent data window, and M best sub-models are selected from the K candidates. The weight coefficients of the selected sub-model are adapted via the recursive least square (RLS) algorithm, while the coefficients of the remaining sub-models are unchanged. These M model predictions are then optimally combined to produce the multi-model output. We propose to minimise the mean square error based on a recent data window, and apply the sum to one constraint to the combination parameters, leading to a closed-form solution, so that maximal computational efficiency can be achieved. In addition, at each time step, the model prediction is chosen from either the resultant multiple model or the best sub-model, whichever is the best. Simulation results are given in comparison with some typical alternatives, including the linear RLS algorithm and a number of online non-linear approaches, in terms of modelling performance and time consumption.

Low cost BIST techniques for linear and non-linear analog circuits

With the ever increasing demands for high complexity consumer electronic products, market pressures demand faster product development and lower cost. SoCbased design can provide the required design flexibility and speed by allowing the use of IP cores. However, testing costs in the SoC environment can reach a substantial percent of the total production cost. Analog testing costs may dominate the total test cost, as testing of analog circuits usually require functional verification of the circuit and special testing procedures. For RF analog circuits commonly used in wireless applications, testing is further complicated because of the high frequencies involved. In summary, reducing analog test cost is of major importance in the electronic industry today. BIST techniques for analog circuits, though potentially able to solve the analog test cost problem, have some limitations. Some techniques are circuit dependent, requiring reconfiguration of the circuit being tested, and are generally not usable in RF circuits. In the SoC environment, as processing and memory resources are available, they could be used in the test. However, the overhead for adding additional AD and DA converters may be too costly for most systems, and analog routing of signals may not be feasible and may introduce signal distortion. In this work a simple and low cost digitizer is used instead of an ADC in order to enable analog testing strategies to be implemented in a SoC environment. Thanks to the low analog area overhead of the converter, multiple analog test points can be observed and specific analog test strategies can be enabled. As the digitizer is always connected to the analog test point, it is not necessary to include muxes and switches that would degrade the signal path. For RF analog circuits, this is specially useful, as the circuit impedance is fixed and the influence of the digitizer can be accounted for in the design phase. Thanks to the simplicity of the converter, it is able to reach higher frequencies, and enables the implementation of low cost RF test strategies. The digitizer has been applied successfully in the testing of both low frequency and RF analog circuits. Also, as testing is based on frequency-domain characteristics, nonlinear characteristics like intermodulation products can also be evaluated. Specifically, practical results were obtained for prototyped base band filters and a 100MHz mixer. The application of the converter for noise figure evaluation was also addressed, and experimental results for low frequency amplifiers using conventional opamps were obtained. The proposed method is able to enhance the testability of current mixed-signal designs, being suitable for the SoC environment used in many industrial products nowadays.

On the optimality of the Friedman Rule with heterogeneous agents and non-linear income taxation

We study the optimal “inflation tax” in an environment with heterogeneous agents and non-linear income taxes. We first derive the general conditions needed for the optimality of the Friedman rule in this setup. These general conditions are distinct in nature and more easily interpretable than those obtained in the literature with a representative agent and linear taxation. We then study two standard monetary specifications and derive their implications for the optimality of the Friedman rule. For the shopping-time model the Friedman rule is optimal with essentially no restrictions on preferences or transaction technologies. For the cash-credit model the Friedman rule is optimal if preferences are separable between the consumption goods and leisure, or if leisure shifts consumption towards the credit good. We also study a generalized model which nests both models as special cases.

Thermodynamic analysis of a non linear lattice

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Lorentz symmetry breaking and planar effects from non-linear electrodynamics

We propose a modification of standard linear electrodynamics in four dimensions, where effective non-trivial interactions of the electromagnetic field with itself and with matter fields induce Lorentz violating Chern-Simons terms. This yields two consequences: it provides a more realistic and general scenario for the breakdown of Lorentz symmetry in electromagnetism and it may explain the effective behavior of the electromagnetic field in certain planar phenomena (for instance, Hall effect). A number of proposals for non-linear electrodynamics is discussed along the paper. Important physical implications of the breaking of Lorentz symmetry, such as optical birefringence and the possibility of having conductance in the vacuum are commented on.

Right-to-left shunt determination in dog lungs under inhalation anesthesia with rebreathing and non-rebreathing system

OBJETIVO: Comparar a formação de shunt venoso-arterial em pulmões de cães submetidos a anestesia geral inalatória utilizando-se sistemas de anestesia com e sem reinalação, com fração inspirada de oxigênio de 0,4 e 0,9, respectivamente. MÉTODOS: Empregaram-se 20 cães induzidos com tiopental sódico (30mg/kg) e mantidos com sevoflurano (3%) e alocados em dois grupos (n=10); os animais de GI foram ventilados com modalidade controlada em sistema semifechado, sem reinalação, F I O2 = 0,9, e os de GII, com modalidade controlada, sistema semifechado, com reinalação e F I O2 = 0,4. Os atributos analisados durante o experimento foram: freqüência cardíaca, pressão arterial média, shunt pulmonar venoso-arterial, hematócrito, hemoglobina, pressão parcial de oxigênio arterial, pressão parcial de oxigênio no sangue venoso misto, saturação de oxigênio no sangue venoso misto, pressão parcial de dióxido de carbono arterial e pressão de vapor de água nos alvéolos (P VA). RESULTADOS: A P VA foi significativamente maior em GII. A análise estatística dos valores encontrados de shunt mostrou que GI e GII apresentaram diferenças significativas, sendo que os resultados de GI são maiores que os de GII em todos os momentos avaliados. Já a análise de momentos dentro de um mesmo grupo não demonstrou diferenças. CONCLUSÃO: O sistema de anestesia sem reinalação com F I O2 = 0,9 desenvolveu maior grau de shunt pulmonar venoso-arterial que o sistema de anestesia com reinalação e F I O2 = 0,4. A umidificação dos gases em GII contribuiu para diminuir o shunt.

On non-linear dynamics and a periodic control design applied to the potential of membrane action

The Fitzhugh-Nagumo (fn) mathematical model characterizes the action potential of the membrane. The dynamics of the Fitzhugh-Nagumo model have been extensively studied both with a view to their biological implications and as a test bed for numerical methods, which can be applied to more complex models. This paper deals with the dynamics in the (FH) model. Here, the dynamics are analyzed, qualitatively, through the stability diagrams to the action potential of the membrane. Furthermore, we also analyze quantitatively the problem through the evaluation of Floquet multipliers. Finally, the nonlinear periodic problem is controlled, based on the Chebyshev polynomial expansion, the Picard iterative method and on Lyapunov-Floquet transformation (L-F transformation).

Structure characterization of molecular complexes for non-linear optical materials. II. 1 : 1 complexes of 4-methyl-morpholine-N-oxide (1) and 3-picoline-N-oxide (2) with 2,4,6-trinitrophenol, studied by X-ray, AM1 and DFT calculations

(1) C6H2N3O7- center dot C5H12NO2+, Mr = 346.26, P2(1)/c, a = 7.2356(6), b = 10.5765(9), c = 19.593(2) angstrom, 3 beta=95.101(6)degrees, V = 1493.5(2) angstrom(3), Z = 4, R-1 = 0.0414; (2) C6H2N3O7- center dot C6H8NO+, Mr = 38.24, P2(1)/n, a = 7.8713(5), b = 6.1979(7), c = 28.697(3) angstrom, beta = 90.028(7)degrees, V = 1400.0(2) angstrom(3), Z = 4, R-1 = 0.0416. The packing units in both compounds consist of hydrogen bonded cation-anion pairs. The (hyper)polarizabilities have been calculated for the crystallographic and optimized molecules, by AM1 and at the DFT/B3LYP(6-31G**) level.

Non-linear analysis of reinforced concrete plates by the boundary element method and continuum damage mechanics

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

On non-linear W-infinity symmetry of generalized Liouville and conformal Toda models

Invariance under non-linear Ŵ∞ algebra is shown for the two-boson Liouville type of model and its algebraic generalizations, the extended conformal Toda models. The realization of the corresponding generators in terms of two boson currents within KP hierarchy is presented.

Design of SPR systems with dynamic compensators and output variable structure control

This paper presents necessary and sufficient conditions for the following problem: given a linear time invariant plant G(s) = N(s)D(s)-1 = C(sI - A]-1B, with m inputs, p outputs, p > m, rank(C) = p, rank(B) = rank(CB) = m, £nd a tandem dynamic controller Gc(s) = D c(s)-1Nc(s) = Cc(sI - A c)-1Bc + Dc, with p inputs and m outputs and a constant output feedback matrix Ko ε ℝm×p such that the feedback system is Strictly Positive Real (SPR). It is shown that this problem has solution if and only if all transmission zeros of the plant have negative real parts. When there exists solution, the proposed method firstly obtains Gc(s) in order to all transmission zeros of Gc(s)G(s) present negative real parts and then Ko is found as the solution of some Linear Matrix Inequalities (LMIs). Then, taking into account this result, a new LMI based design for output Variable Structure Control (VSC) of uncertain dynamic plants is presented. The method can consider the following design specifications: matched disturbances or nonlinearities of the plant, output constraints, decay rate and matched and nonmatched plant uncertainties. © 2006 IEEE.

A note on non-linear phenomena in a non-ideal oscillator, with a snap-through truss absorber, including parameter uncertainties

This work considers the vibrating system that consists of a snap-through truss absorber coupled to an oscillator under excitation of an electric motor with an eccentricity and limited power, characterizing a non-ideal oscillator. It is aimed to use the non-linearity and quasi-zero stiffness of absorber (snap-through truss absorber) to obtain a significantly attenuation the jump phenomenon. There is also an interest to exhibit the reduction of Sommerfeld effect, to confirm the saturation phenomenon occurrence and show the power transfer in a non-linear structure, evidencing the pumping energy. As shown by simulations in this work, this absorber allows the energy pumping before and during the jump phenomenon, decreasing the higher amplitudes of considered system. Additionally, the occurrence of saturation phenomenon due use of snap-through truss absorber is verified. The analysis of parameter uncertainties was introduced. Sensitivity of system with parametric errors demonstrated a trustable system. © IMechE 2012.

Control design applied to a non-ideal structural system with behavior chaotic

In this paper we study the behavior of a structure vulnerable to excessive vibrations caused by an non-ideal power source. To perform this study, the mathematical model is proposed, derive the equations of motion for a simple plane frame excited by an unbalanced rotating machine with limited power (non-ideal motor). The non-linear and non-ideal dynamics in system is demonstrated with a chaotic behavior. We use a State-Dependent Riccati Equation Control technique for regulate the chaotic behavior, in order to obtain a periodic orbit small and to decrease its amplitude. The simulation results show the identification by State-Dependent Riccati Equation Control is very effective. © 2013 Academic Publications, Ltd.