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.

High-frequency water quality monitoring in an urban catchment: hydrochemical dynamics, primary production and implications for the Water Framework Directive

This paper describes the hydrochemistry of a lowland, urbanised river-system, The Cut in England, using in situ sub-daily sampling. The Cut receives effluent discharges from four major sewage treatment works serving around 190,000 people. These discharges consist largely of treated water, originally abstracted from the River Thames and returned via the water supply network, substantially increasing the natural flow. The hourly water quality data were supplemented by weekly manual sampling with laboratory analysis to check the hourly data and measure further determinands. Mean phosphorus and nitrate concentrations were very high, breaching standards set by EU legislation. Though 56% of the catchment area is agricultural, the hydrochemical dynamics were significantly impacted by effluent discharges which accounted for approximately 50% of the annual P catchment input loads and, on average, 59% of river flow at the monitoring point. Diurnal dissolved oxygen data demonstrated high in-stream productivity. From a comparison of high frequency and conventional monitoring data, it is inferred that much of the primary production was dominated by benthic algae, largely diatoms. Despite the high productivity and nutrient concentrations, the river water did not become anoxic and major phytoplankton blooms were not observed. The strong diurnal and annual variation observed showed that assessments of water quality made under the Water Framework Directive (WFD) are sensitive to the time and season of sampling. It is recommended that specific sampling time windows be specified for each determinand, and that WFD targets should be applied in combination to help identify periods of greatest ecological risk. This article is protected by copyright. All rights reserved.

Peri-ictal correlation dynamics of high-frequency (80-200 Hz) intracranial EEG

To assess (1) how large-scale correlation of intracranial EEG signals in the high-frequency range (80-200Hz) evolves from the pre-ictal, through the ictal into the postictal state and (2) whether the contribution of local neuronal activity to large-scale EEG correlation differentiates epileptogenic from non-epileptogenic brain tissue.

Linking high-frequency DOC dynamics to the age of connected water sources

Copyright 2016. The Authors. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited.

Modeling nitrous oxide emissions from irrigated agriculture : testing DayCent with high-frequency measurements

A unique high temporal frequency dataset from an irrigated cotton-wheat rotation was used to test the agroecosystem model DayCent to simulate daily N2O emissions from sub-tropical vertisols under different irrigation intensities. DayCent was able to simulate the effect of different irrigation intensities on N2O fluxes and yield, although it tended to overestimate seasonal fluxes during the cotton season. DayCent accurately predicted soil moisture dynamics and the timing and magnitude of high fluxes associated with fertilizer additions and irrigation events. At the daily scale we found a good correlation of predicted vs. measured N2O fluxes (r2 = 0.52), confirming that DayCent can be used to test agricultural practices for mitigating N2O emission from irrigated cropping systems. A 25 year scenario analysis indicated that N2O losses from irrigated cotton-wheat rotations on black vertisols in Australia can be substantially reduced by an optimized fertilizer and irrigation management system (i.e. frequent irrigation, avoidance of excessive fertiliser application), while sustaining maximum yield potentials.

Electron transfer reaction in the marcus inverted region: role of high frequency vibrational modes

A theoretical study of the dynamics of photo-electron transfer reactions in the Marcus inverted regime is presented. This study is motivated partly by the recent proposal of Barbara et al. (J. Phys. Chem. 96, 3728, 1991) that a minimal model of an electron transfer reaction should consist of a polar solvent mode (X), a low frequency vibrational mode (Q) and one high frequency mode (q). Interplay between these modes may be responsible for the crossover observed in the dynamics from a solvent controlled to a vibrational controlled electron transfer. The following results have been obtained. (i) In the case of slowly relaxing solvents, the proximity of the point of excitation to an effective sink on the excited surface is critical in determining the decay of the reactant population. This is because the Franck-Condon overlap between the reactant ground and the product excited states decreases rapidly with increase in the quantum number of the product vibrational state. (ii) Non-exponential solvation dynamics has an important effect in determining the rates of electron transfer. Especially, a biphasic solvation and a large coupling between the reactant and the product states both may be needed to explain the experimental results. ©1996 American Institute of Physics

Adaptive control of combustion instabilities for unknown sign of the high frequency gain

A type of adaptive, closed-loop controllers known as self-tuning regulators present a robust method of eliminating thermoacoustic oscillations in modern gas turbines. These controllers are able to adapt to changes in operating conditions, and require very little pre-characterisation of the system. One piece of information that is required, however, is the sign of the system's high frequency gain (or its 'instantaneous gain'). This poses a problem: combustion systems are infinite-dimensional, and so this information is never known a priori. A possible solution is to use a Nussbaum gain, which guarantees closed-loop stability without knowledge of the sign of the high frequency gain. Despite the theory for such a controller having been developed in the 1980s, it has never, to the authors' knowledge, been demonstrated experimentally. In this paper, a Nussbaum gain is used to stabilise thermoacoustic instability in a Rijke tube. The sign of the high frequency gain of the system is not required, and the controller is robust to large changes in operating conditions - demonstrated by varying the length of the Rijke tube with time. Copyright © 2008 by Simon J. Illingworth & Aimee S. Morgans.