10 research outputs found

    Nonlinear Behaviors of Tail Dependence and Cross-Correlation of Financial Time Series Model

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    Nonlinear behaviors of tail dependence and cross-correlation of financial time series are reproduced and investigated by stochastic voter dynamic system. The voter process is a continuous-time Markov process and is one of the interacting dynamic systems. The tail dependence of return time series for pairs of Chinese stock markets and the proposed financial models is studied by copula analysis, in an attempt to detect and illustrate the existence of relevant correlation relationships. Further, the multifractality of cross-correlations for return series is studied by multifractal detrended cross-correlation analysis, which indicates the analogous cross-correlations and some fractal characters for both actual data and simulative data and provides an intuitive evidence for market inefficiency

    Stretching the limits of dynamic range, shielding effectiveness, and multiband frequency response

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    In this dissertation, an RF MEMS variable capacitor suitable for applications requiring ultrawide capacitive tuning ranges is reported. The device uses an electrostatically tunable liquid dielectric interface to continuously vary the capacitance without the use of any moving parts. As compared to existing MEMS varactors in literature, this device has an extremely simple design that can be implemented using simple fabrication methods that do not necessitate the use of clean room equipment. In addition, this varactor is particularly suited for incorporating a wide range of liquid dielectric materials for specific tuning ratio requirements. Additionally, the shielding effectiveness performance of graphene-doped ABS thin films is investigated. The use of graphene as a replacement for metal fillers in composite EMI shielding materials is quickly becoming a widely-investigated field in the electromagnetic compatibility community. By replacing conventional metal-based shielding methods with graphene-doped polymers, low-weight, field-use temporary shielding enclosures can be implemented that do not suffer from mechanical unreliability and corrosion/oxidation like a traditional metal enclosure. While the performance of composite EMI shielding materials has not yet surpassed metals, the advantages of polymer-based shielding methods could find usage in a variety of applications. Finally, mutliband pre-fractal antennas fabricated via 3D printing are reported. These devices are the first to incorporate the advantages of 3D printing (rapid prototyping, fabrication of complex geometries otherwise unobtainable) with the advantages of self-similar antennas (increased gain and multiband performance) in a single device. The Sierpinski tetrahedron-based antenna design was both computationally modeled and physically realized to illustrate its potential as a solution to enable true multiband communication platforms

    Field theories for stochastic processes

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    This thesis is a collection of collaborative research work which uses field-theoretic techniques to approach three different areas of stochastic dynamics: Branching Processes, First-passage times of processes with are subject to both white and coloured noise, and numerical and analytical aspects of first-passage times in fractional Brownian Motion. Chapter 1 (joint work with Rosalba Garcia Millan, Johannes Pausch, and Gunnar Pruessner, appeared in Phys. Rev. E 98 (6):062107) contains an analysis of non-spatial branching processes with arbitrary offspring distribution. Here our focus lies on the statistics of the number of particles in the system at any given time. We calculate a host of observables using Doi-Peliti field theory and find that close to criticality these observables no longer depend on the details of the offspring distribution, and are thus universal. In Chapter 2 (joint work with Ignacio Bordeu, Saoirse Amarteifio, Rosalba Garcia Millan, Nanxin Wei, and Gunnar Pruessner, appeared in Sci. Rep. 9:15590) we study the number of sites visited by a branching random walk on general graphs. To do so, we introduce a fieldtheoretic tracing mechanism which keeps track of all already visited sites. We find the scaling laws of the moments of the distribution near the critical point. Chapter 3 (joint work with Gunnar Pruessner and Guillaume Salbreux, submitted, arXiv: 2006.00116) provides an analysis of the first-passage time problem for stochastic processes subject to white and coloured noise. By way of a perturbation theory, I give a systematic and controlled expansion of the moment generating function of first-passage times. In Chapter 4, we revise the tracing mechanism found earlier and use it to characterise three different extreme values, first-passage times, running maxima, and mean volume explored. By formulating these in field-theoretic language, we are able to derive new results for a class of non-Markovian stochastic processes. Chapter 5 and 6 are concerned with the first-passage time distribution of fractional Brownian Motion. Chapter 5 (joint work with Kay Wiese, appeared in Phys. Rev. E 101 (4):043312) introduces a new algorithm to sample them efficiently. Chapter 6 (joint work with Maxence Arutkin and Kay Wiese, submitted, arXiv:1908.10801) gives a field-theoretically obtained perturbative result of the first-passage time distribution in the presence of linear and non-linear drift.Open Acces

    Safety and Reliability - Safe Societies in a Changing World

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    The contributions cover a wide range of methodologies and application areas for safety and reliability that contribute to safe societies in a changing world. These methodologies and applications include: - foundations of risk and reliability assessment and management - mathematical methods in reliability and safety - risk assessment - risk management - system reliability - uncertainty analysis - digitalization and big data - prognostics and system health management - occupational safety - accident and incident modeling - maintenance modeling and applications - simulation for safety and reliability analysis - dynamic risk and barrier management - organizational factors and safety culture - human factors and human reliability - resilience engineering - structural reliability - natural hazards - security - economic analysis in risk managemen

    A complex systems approach to education in Switzerland

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    The insights gained from the study of complex systems in biological, social, and engineered systems enables us not only to observe and understand, but also to actively design systems which will be capable of successfully coping with complex and dynamically changing situations. The methods and mindset required for this approach have been applied to educational systems with their diverse levels of scale and complexity. Based on the general case made by Yaneer Bar-Yam, this paper applies the complex systems approach to the educational system in Switzerland. It confirms that the complex systems approach is valid. Indeed, many recommendations made for the general case have already been implemented in the Swiss education system. To address existing problems and difficulties, further steps are recommended. This paper contributes to the further establishment complex systems approach by shedding light on an area which concerns us all, which is a frequent topic of discussion and dispute among politicians and the public, where billions of dollars have been spent without achieving the desired results, and where it is difficult to directly derive consequences from actions taken. The analysis of the education system's different levels, their complexity and scale will clarify how such a dynamic system should be approached, and how it can be guided towards the desired performance
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