Optimal Time Series Momentum

We develop a continuous-time asset price model to capture the timeseries momentum documented recently. The underlying stochastic delay differentialsystem facilitates the analysis of effects of different time horizons used bymomentum trading. By studying an optimal asset allocation problem, we find thatthe performance of time series momentum strategy can be significantly improvedby combining with market fundamentals and timing opportunity with respect tomarket trend and volatility. Furthermore, the results also hold for different timehorizons, the out-of-sample tests and with short-sale constraints. The outperformanceof the optimal strategy is immune to market states, investor sentiment andmarket volatility.

The non-linear response of a gyrostabilized platform: Effects of correction torque time delay and of random inputs

First, the non-linear response of a gyrostabilized platform to a small constant input torque is analyzed in respect to the effect of the time delay (inherent or deliberately introduced) in the correction torque supplied by the servomotor, which itself may be non-linear to a certain extent. The equation of motion of the platform system is a third order nonlinear non-homogeneous differential equation. An approximate analytical method of solution of this equation is utilized. The value of the delay at which the platform response becomes unstable has been calculated by using this approximate analytical method. The procedure is illustrated by means of a numerical example. Second, the non-linear response of the platform to a random input has been obtained. The effects of several types of non-linearity on reducing the level of the mean square response have been investigated, by applying the technique of equivalent linearization and solving the resulting integral equations by using laguerre or Gaussian integration techniques. The mean square responses to white noise and band limited white noise, for various values of the non-linear parameter and for different types of non-linearity function, have been obtained. For positive values of the non-linear parameter the levels of the non-linear mean square responses to both white noise and band-limited white noise are low as compared to the linear mean square response. For negative values of the non-linear parameter the level of the non-linear mean square response at first increases slowly with increasing values of the non-linear parameter and then suddenly jumps to a high level, at a certain value of the non-linearity parameter.

The non-linear response of a gyrostabilized platform: Effects of correction torque time delay and of random inputs

First, the non-linear response of a gyrostabilized platform to a small constant input torque is analyzed in respect to the effect of the time delay (inherent or deliberately introduced) in the correction torque supplied by the servomotor, which itself may be non-linear to a certain extent. The equation of motion of the platform system is a third order nonlinear non-homogeneous differential equation. An approximate analytical method of solution of this equation is utilized. The value of the delay at which the platform response becomes unstable has been calculated by using this approximate analytical method. The procedure is illustrated by means of a numerical example. Second, the non-linear response of the platform to a random input has been obtained. The effects of several types of non-linearity on reducing the level of the mean square response have been investigated, by applying the technique of equivalent linearization and solving the resulting integral equations by using laguerre or Gaussian integration techniques. The mean square responses to white noise and band limited white noise, for various values of the non-linear parameter and for different types of non-linearity function, have been obtained. For positive values of the non-linear parameter the levels of the non-linear mean square responses to both white noise and band-limited white noise are low as compared to the linear mean square response. For negative values of the non-linear parameter the level of the non-linear mean square response at first increases slowly with increasing values of the non-linear parameter and then suddenly jumps to a high level, at a certain value of the non-linearity parameter.

Stability of control systems with time delay

To find the approximate stability limit on the forward gain in control systems with small time delay, this note suggests approximating the exponential in the characteristic equation by the first few terms of its series and using the Routh–Hurwitz criterion. This approximation avoids all the time-consuming graphical work and gives a somewhat pessimistic maximum bound for the gain constant.

Time delay to firing of a triggered vacuum gap with barium titanate in trigger gap

The time delay to the firing of a triggered vacuum gap (t.v.g.) containing barium titanate in the trigger gap is investigated as a function of the main gap voltage, main gap length, trigger pulse duration, trigger current and trigger voltage. The time delay decreases steadily with increasing trigger current and trigger voltage until it reaches saturation. The effect of varying the main gap length and voltage on the time delay is not strong. Before `conditioning�¿ the t.v.g. two groups of time delays, long (>100�¿s) and short (<10�¿s), are simultaneously observed when a large number of trials are conducted. After conditioning, only the group of short time delays are present. This is attributed to the marked reduction of the resistance of the trigger gap across the surface of the solid dielectric resulting directly from the conditioning effect.

Selection of Optimal Time-to-go in Generalized Vector Explicit Guidance

A new method of selection of time-to-go (t(go)) for Generalized Vector Explicit Guidance (GENEX) law have been proposed in this paper. t(go) is known to be an important parameter in the control and cost function of GENEX guidance law. In this paper the formulation has been done to find an optimal value of t(go) that minimizes the performance cost. Mechanization of GENEX with this optimal t(go) reduces the lateral acceleration demand and consequently increases the range of the interceptor. This new formulation of computing t(go) comes in closed form and thus it can be implemented onboard. This new formulation is applied in the terminal phase of an surface-to-air interceptor for an angle constrained engagement. Results generated by simulation justify the use of optimal t(go).

Single sub-100 attosecond pulse generation in a two-colour time-gating laser field

We theoretically propose a method of generating a single sub-100 attosecond (as) pulse with a two-colour time-gating laser field. The field is synthesized by an 8 fs/800 nm (three optical cycles) pulse and a 24 fs/2400 nm (three optical cycles) pulse with an optimal time delay between them. In our simulation, we obtain a supercontinuum with an extremely broad spectrum of 150 eV and generate an isolated attosecond pulse with 96 as pulse duration without any dispersion compensation.