Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

Self-organised transients in a neural mass model of epileptogenic tissue dynamics

Stimulation of human epileptic tissue can induce rhythmic, self-terminating responses on the EEG or ECoG. These responses play a potentially important role in localising tissue involved in the generation of seizure activity, yet the underlying mechanisms are unknown. However, in vitro evidence suggests that self-terminating oscillations in nervous tissue are underpinned by non-trivial spatio-temporal dynamics in an excitable medium. In this study, we investigate this hypothesis in spatial extensions to a neural mass model for epileptiform dynamics. We demonstrate that spatial extensions to this model in one and two dimensions display propagating travelling waves but also more complex transient dynamics in response to local perturbations. The neural mass formulation with local excitatory and inhibitory circuits, allows the direct incorporation of spatially distributed, functional heterogeneities into the model. We show that such heterogeneities can lead to prolonged reverberating responses to a single pulse perturbation, depending upon the location at which the stimulus is delivered. This leads to the hypothesis that prolonged rhythmic responses to local stimulation in epileptogenic tissue result from repeated self-excitation of regions of tissue with diminished inhibitory capabilities. Combined with previous models of the dynamics of focal seizures this macroscopic framework is a first step towards an explicit spatial formulation of the concept of the epileptogenic zone. Ultimately, an improved understanding of the pathophysiologic mechanisms of the epileptogenic zone will help to improve diagnostic and therapeutic measures for treating epilepsy.

Modeling and analysis of a novel variable-speed cage induction generator

This paper introduces a novel cage induction generator and presents a mathematical model, through which its behavior can be accurately predicted. The proposed generator system employs a three-phase cage induction machine and generates single-phase and constant-frequency electricity at varying rotor speeds without an intermediate inverter stage. The technique uses any one of the three stator phases of the machine as the excitation winding and the remaining two phases, which are connected in series, as the power winding. The two-series-connected-and-one-isolated (TSCAOI) phase winding configuration magnetically decouples the two sets of windings, enabling independent control. Electricity is generated through the power winding at both sub- and super-synchronous speeds with appropriate excitation to the isolated single winding at any frequency of generation. A dynamic mathematical model, which accurately predicts the behavior of the proposed generator, is also presented and implemented in MATLAB/Simulink. Experimental results of a 2-kW prototype generator under various operating conditions are presented, together with theoretical results, to demonstrate the viability of the TSCAOI power generation. The proposed generator is simple and capable of both storage and retrieval of energy through its excitation winding and is expected to be suitable for applications, such as small wind turbines and microhydro systems.

Analysis of grid connected induction generators driven by hydro/wind turbines under realistic system constraints

Results of an investigation dealing with the behaviour of grid-connected induction generators (GCIGs) driven by typical prime movers such as mini-hydro/wind turbines are presented. Certain practical operational problems of such systems are identified. Analytical techniques are developed to study the behavior of such systems. The system consists of the induction generator (IG) feeding a 11 kV grid through a step-up transformer and a transmission line. Terminal capacitors to compensate for the lagging VAr are included in the study. Computer simulation was carried out to predict the system performance at the given input power from the turbine. Effects of variations in grid voltage, frequency, input power, and terminal capacitance on the machine and system performance are studied. An analysis of self-excitation conditions on disconnection of supply was carried out. The behavior of a 220 kW hydel system and 55/11 kW and 22 kW wind driven system corresponding to actual field conditions is discussed

AFM cantilever with integrated piezoelectric thin film for micro-actuation

This work presents micro-actuation of atomic force microscopy (AFM) cantilevers using piezoelectric Zinc Oxide (ZnO) thin film. In tapping mode AFM, the cantilever is driven near its resonant frequency by an external oscillator such as piezotube or stack of piezoelectric material. Use of integrated piezoelectric thin film for AFM cantilever eliminates the problems like inaccurate tuning and unwanted vibration modes. In this work, silicon AFM cantilevers were sputter deposited with ZnO piezoelectric film along with top and bottom metallic electrodes. The self-excitation of the ZnO coated AFM cantilever was studied using Laser Doppler Vibrometer (LDV). At its resonant frequency (227.11 kHz), the cantilever displacement varies linearly with applied excitation voltage. We observed an increase in the actuation response (131nm/V) due to improved quality of ZnO films deposited at 200 degrees C.

PMMA with Long-Persistent Phosphors and Its Behavior of Luminescence

A new kind of rare earth material with high efficient long-persistent phosphors, such as SrAl2O4: Eu, Dy, has been developed in recent years. The PMMA with long-persistent phosphors is typical one of applications for the phosphors. In this work, we try to probe into the affection of the manufacture process on the PMMA with long-persistent phosphors, to analyze its performance, and its luminescence behavior, especially to study the self-excitation of the PMMA with long-persistent phosphors.

CFD investigation of turbulent premixed flame response to transverse forcing

Screech is a high frequency oscillation that is usually characterized by instabilities caused by large-scale coherent flow structures in the wake of bluff-body flameholders and shear layers. Such oscillations can lead to changes in flame surface area which can cause the flame to burn unsteadily, but also couple with the acoustic modes and inherent fluid-mechanical instabilities that are present in the system. In this study, the flame response to hydrodynamic oscillations is analyzed in a controlled manner using high-fidelity Computational Fluid Dynamics (CFD) with an unsteady Reynolds-averaged Navier-Stokes approach. The response of a premixed flame with and without transverse velocity forcing is analyzed. When unforced, the flame is shown to exhibit a self-excitation that is attributed to the anti-symmetric shedding of vortices in the wake of the flameholder. The flame is also forced using two different kinds of low-amplitude out-of-phase inlet velocity forcing signals. The first forcing method is harmonic forcing with a single characteristic frequency, while the second forcing method involves a broadband forcing signal with frequencies in the range of 500 - 1000 Hz. For the harmonic forcing method, the flame is perturbed only lightly about its mean position and exhibits a limit cycle oscillation that is characteristic of the forcing frequency. For the broadband forcing method, larger changes in the flame surface area and detachment of the flame sheet can be seen. Transition to a complicated trajectory in the phase space is observed. When analyzed systematically with system identification methods, the CFD results, expressed in the form of the Flame Transfer Function (FTF) are capable of elucidating the flame response to the imposed perturbation. The FTF also serves to identify, both spatially and temporally, regions where the flame responds linearly and nonlinearly. Locking-in between the flame's natural self-excited frequency and the subharmonic frequencies of the broadband forcing signal is found to alter the dynamical behaviour of the flame. Copyright © 2013 by ASME.

基于循环抑制CPG模型的蛇形机器人控制器

依据生物利用中央模式发生器(Central pattern generator,CPG)的自激行为产生有节律的协调运动适应多种环境,基于循环抑制CPG建模理论设计了蛇形机器人CPG控制器模型,分析了单个神经元、循环抑制CPG以及该控制器模型的稳定性,并把该控制器应用到一个结合蛇形机器人“勘查者-Ⅰ”动力学特性的仿真模型,得到了实现蜿蜒运动的CPG控制器参数,进而研究了调节S波个数、身体构形曲率、蜿蜒运动速度以及运动轨迹曲率的CPG控制器参数设定策略。此外,“勘查者-Ⅰ”应用该CPG控制器的输出成功实现了蜿蜒运动。该研究结果为设计人工CPG控制器提供了一个可行的方法。

The influence of the relative phase between the driving voltages on electron heating in asymmetric dual frequency capacitive discharges

The influence of the relative phase between the driving voltages on electron heating in asymmetric phase-locked dual frequency capacitively coupled radio frequency plasmas operated at 2 and 14 MHz is investigated. The basis of the analysis is a nonlinear global model with the option to implement a relative phase between the two driving voltages. In recent publications it has been reported that nonlinear electron resonance heating can drastically enhance the power dissipation to electrons at moments of sheath collapse due to the self-excitation of nonlinear plasma series resonance (PSR) oscillations of the radio frequency current. This work shows that depending on the relative phase of the driving voltages, the total number and exact moments of sheath collapse can be influenced. In the case of two consecutive sheath collapses a substantial increase in dissipated power compared with the known increase due to a single PSR excitation event per period is observed. Phase resolved optical emission spectroscopy (PROES) provides access to the excitation dynamics in front of the driven electrode. Via PROES the propagation of beam-like energetic electrons immediately after the sheath collapse is observed. In this work we demonstrate that there is a close relation between moments of sheath collapse, and thus excitation of the PSR, and beam-like electron propagation. A comparison of simulation results to experiments in a single and dual frequency discharge shows good agreement. In particular the observed influence of the relative phase on the dynamics of a dual frequency discharge is described by means of the presented model. Additionally, the analysis demonstrates that the observed gain in dissipation is not accompanied by an increase in the electrode’s dc-bias voltage which directly addresses the issue of separate control of ion flux and ion energy in dual frequency capacitively coupled radio frequency plasmas.

On the control of a non-ideal engineering system: A friction-driven oscillating system with limited power supply

In this work a switching feedback controller for stick-slip compensation of a 2-DOF mass-spring-belt system which interacts with an energy source of limited power supply (non-ideal case) is developed. The system presents an oscillatory behavior due to the stick-slip friction. As the system equilibrium for a conventional feedback controller is not the origin, a switching control law combining a state feedback term and a discontinuous term is proposed to regulate the position of the mass. The problem of tracking a desired periodic trajectory is also considered. The feedback system is robust with respect to the friction force that is assumed to be within known upper and lower bounds.

Dynamic analysis of the motorcycle chattering behaviour by means of symbolic multibody modelling

Aim of this research is the development and validation of a comprehensive multibody motorcycle model featuring rigid-ring tires, taking into account both slope and roughness of road surfaces. A novel parametrization for the general kinematics of the motorcycle is proposed, using a mixed reference-point and relative-coordinates approach. The resulting description, developed in terms of dependent coordinates, makes it possible to efficiently include rigid-ring kinematics as well as road elevation and slope. The equations of motion for the multibody system are derived symbolically and the constraint equations arising from the dependent-coordinate formulation are handled using a projection technique. Therefore the resulting system of equations can be integrated in time domain using a standard ODE algorithm. The model is validated with respect to maneuvers experimentally measured on the race track, showing consistent results and excellent computational efficiency. More in detail, it is also capable of reproducing the chatter vibration of racing motorcycles. The chatter phenomenon, appearing during high speed cornering maneuvers, consists of a self-excited vertical oscillation of both the front and rear unsprung masses in the range of frequency between 17 and 22 Hz. A critical maneuver is numerically simulated, and a self-excited vibration appears, consistent with the experimentally measured chatter vibration. Finally, the driving mechanism for the self-excitation is highlighted and a physical interpretation is proposed.

Wind plant interaction with series-compensated power systems

Wind power based generation has been rapidly growing world-wide during the recent past. In order to transmit large amounts of wind power over long distances, system planners may often add series compensation to existing transmission lines owing to several benefits such as improved steady-state power transfer limit, improved transient stability, and efficient utilization of transmission infrastructure. Application of series capacitors has posed resonant interaction concerns such as through subsynchronous resonance (SSR) with conventional turbine-generators. Wind turbine-generators may also be susceptible to such resonant interactions. However, not much information is available in literature and even engineering standards are yet to address these issues. The motivation problem for this research is based on an actual system switching event that resulted in undamped oscillations in a 345-kV series-compensated, typical ring-bus power system configuration. Based on time-domain ATP (Alternative Transients Program) modeling, simulations and analysis of system event records, the occurrence of subsynchronous interactions within the existing 345-kV series-compensated power system has been investigated. Effects of various small-signal and large-signal power system disturbances with both identical and non-identical wind turbine parameters (such as with a statistical-spread) has been evaluated. Effect of parameter variations on subsynchronous oscillations has been quantified using 3D-DFT plots and the oscillations have been identified as due to electrical self-excitation effects, rather than torsional interaction. Further, the generator no-load reactance and the rotor-side converter inner-loop controller gains have been identified as bearing maximum sensitivity to either damping or exacerbating the self-excited oscillations. A higher-order spectral analysis method based on modified Prony estimation has been successfully applied to the field records identifying dominant 9.79 Hz subsynchronous oscillations. Recommendations have been made for exploring countermeasures.

Capacitance-voltage spectroscopy of In0.5Ga0.5As self-assembled quantum dots in double quantum wells under selective photo-excitation

Selectively photo-excited C-V spectroscopy has been measured in an In0.5Ga0.5As quantum dots (QDs)-embedded, three barrier-two well heterostructure. By comparing with a theoretical capacitance model, the pure capacitive contribution from In0.5Ga0.5As QDs, due to tunnelling coupling between In0.5Ga0.5As QDs and In0.18Ga0.82As quantum well, has been used to obtain the density of charges from photo-excited In0.5Ga0.5As QDs in a very straightforward manner.

Unusual temperature-dependent optical properties of self-organized InAs/GaAs quantum dots at high excitation power

The temperature-dependent photoluminescence (PL) properties of InAs/GaAs self-organized quantum dots (QDs) have been investigated at high excitation power. The fast redshift of the ground-state and the first excited-state PL energy with increasing temperature was observed. The temperature-dependent linewidth of the QD ground state with high carrier density is different from that with low carrier density. Furthermore, we observed an increasing PL intensity of the first excited state of QDs with respect to that of the ground state and demonstrate a local equilibrium distribution of carriers between the ground state and the first excited state for the QD ensemble at high temperature (T > 80 K). These results provide evidence for the slowdown of carrier relaxation from the first excited state to the ground state in InAs/GaAs quantum dots.