The limits of statistical significance of Hawkes processes fitted to financial data

Many fits of Hawkes processes to financial data look rather good but most of them are not statistically significant. This raises the question of what part of market dynamics this model is able to account for exactly. We document the accuracy of such processes as one varies the time interval of calibration and compare the performance of various types of kernels made up of sums of exponentials. Because of their around-the-clock opening times, FX markets are ideally suited to our aim as they allow us to avoid the complications of the long daily overnight closures of equity markets. One can achieve statistical significance according to three simultaneous tests provided that one uses kernels with two exponentials for fitting an hour at a time, and two or three exponentials for full days, while longer periods could not be fitted within statistical satisfaction because of the non-stationarity of the endogenous process. Fitted timescales are relatively short and endogeneity factor is high but sub-critical at about 0.8

The sound motion controller: a distributed system for interactive music performance

We developed an interactive system for music performance, able to control sound parameters in a responsive way with respect to the user’s movements. This system is conceived as a mobile application, provided with beat tracking and an expressive parameter modulation, interacting with motion sensors and effector units, which are connected to a music output, such as synthesizers or sound effects. We describe the various types of usage of our system and our achievements, aimed to increase the expression of music performance and provide an aid to music interaction. The results obtained outline a first level of integration and foresee future cognitive and technological research related to it

Priming effects on labile and stable soil organic carbon decomposition: Pulse dynamics over two years.

Soil organic carbon (SOC) is a major component in the global carbon cycle. Yet how input of plant litter may influence the loss of SOC through a phenomenon called priming effect remains highly uncertain. Most published results about the priming effect came from short-term investigations for a few weeks or at the most for a few months in duration. The priming effect has not been studied at the annual time scale. In this study for 815 days, we investigated the priming effect of added maize leaves on SOC decomposition of two soil types and two treatments (bare fallow for 23 years, and adjacent old-field, represent stable and relatively labile SOC, respectively) of SOC stabilities within each soil type, using a natural 13C-isotope method. Results showed that the variation of the priming effect through time had three distinctive phases for all soils: (1) a strong negative priming phase during the first period (≈0-90 days); (2) a pulse of positive priming phase in the middle (≈70-160 and 140-350 days for soils from Hailun and Shenyang stations, respectively); and (3) a relatively stabilized phase of priming during the last stage of the incubation (>160 days and >350 days for soils from Hailun and Shenyang stations, respectively). Because of major differences in soil properties, the two soil types produced different cumulative priming effects at the end of the experiment, a positive priming effect of 3-7% for the Mollisol and a negative priming effect of 4-8% for the Alfisol. Although soil types and measurement times modulated most of the variability of the priming effect, relative SOC stabilities also influenced the priming effect for a particular soil type and at a particular dynamic phase. The stable SOC from the bare fallow treatment tended to produce a narrower variability during the first phase of negative priming and also during the second phase of positive priming. Averaged over the entire experiment, the stable SOC (i.e., the bare fallow) was at least as responsive to priming as the relatively labile SOC (i.e., the old-field) if not more responsive. The annual time scale of our experiment allowed us to demonstrate the three distinctive phases of the priming effect. Our results highlight the importance of studying the priming effect by investigating the temporal dynamics over longer time scales

On the Pulse Intensity Modulation of PSR B0823+26

We investigate the radio emission behaviour of PSR B0823+26, a pulsar which is known to undergo pulse nulling, using an 153-d intensive sequence of observations. The pulsar is found to exhibit both short (~min) and unusually long-term (~hours or more) nulls, which not only suggest that the source possesses a distribution of nulling timescales, but that it may also provide a link between conventional nulling pulsars and longer-term intermittent pulsars. Despite seeing evidence for periodicities in the pulsar radio emission, we are uncertain whether they are intrinsic to the source, due to the influence of observation sampling on the periodicity analysis performed. Remarkably, we find evidence to suggest that the pulsar may undergo pre-ignition periods of 'emission flickering', that is rapid changes between radio-on (active) and -off (null) emission states, before transitioning to a steady radio-emitting phase. We find no direct evidence to indicate that the object exhibits any change in spin-down rate between its radio-on and -off emission modes. We do, however, place an upper limit on this variation to be <= 6 % from simulations. This indicates that emission cessation in pulsars does not necessarily lead to large changes in spin-down rate. Moreover, we show that such changes in spin-down rate will not be discernible in the majority of objects which exhibit short-term (<= 1 d) emission cessation. In light of this, we predict that many pulsars could exhibit similar magnetospheric and emission properties to PSR B0823+26, but which have not yet been observed.Comment: 13 pages, 11 figures, accepted for publication in MNRAS; 1 reference correcte

Universality of rain event size distributions

We compare rain event size distributions derived from measurements in climatically different regions, which we find to be well approximated by power laws of similar exponents over broad ranges. Differences can be seen in the large-scale cutoffs of the distributions. Event duration distributions suggest that the scale-free aspects are related to the absence of characteristic scales in the meteorological mesoscale.Comment: 16 pages, 10 figure

Architecture of Kepler's Multi-transiting Systems: II. New investigations with twice as many candidates

We report on the orbital architectures of Kepler systems having multiple planet candidates identified in the analysis of data from the first six quarters of Kepler data and reported by Batalha et al. (2013). These data show 899 transiting planet candidates in 365 multiple-planet systems and provide a powerful means to study the statistical properties of planetary systems. Using a generic mass-radius relationship, we find that only two pairs of planets in these candidate systems (out of 761 pairs total) appear to be on Hill-unstable orbits, indicating ~96% of the candidate planetary systems are correctly interpreted as true systems. We find that planet pairs show little statistical preference to be near mean-motion resonances. We identify an asymmetry in the distribution of period ratios near first-order resonances (e.g., 2:1, 3:2), with an excess of planet pairs lying wide of resonance and relatively few lying narrow of resonance. Finally, based upon the transit duration ratios of adjacent planets in each system, we find that the interior planet tends to have a smaller transit impact parameter than the exterior planet does. This finding suggests that the mode of the mutual inclinations of planetary orbital planes is in the range 1.0-2.2 degrees, for the packed systems of small planets probed by these observations.Comment: Accepted to Ap