Optimal embedding parameters: A modelling paradigm

Reconstruction of a dynamical system from a time series requires the selection of two parameters, the embedding dimension $d_e$ and the embedding lag $\tau$. Many competing criteria to select these parameters exist, and all are heuristic. Within the context of modeling the evolution operator of the underlying dynamical system, we show that one only need be concerned with the product $d_e\tau$. We introduce an information theoretic criteria for the optimal selection of the embedding window $d_w=d_e\tau$. For infinitely long time series this method is equivalent to selecting the embedding lag that minimises the nonlinear model prediction error. For short and noisy time series we find that the results of this new algorithm are data dependent and superior to estimation of embedding parameters with the standard techniques

Lattice Boltzmann for Binary Fluids with Suspended Colloids

A new description of the binary fluid problem via the lattice Boltzmann method is presented which highlights the use of the moments in constructing two equilibrium distribution functions. This offers a number of benefits, including better isotropy, and a more natural route to the inclusion of multiple relaxation times for the binary fluid problem. In addition, the implementation of solid colloidal particles suspended in the binary mixture is addressed, which extends the solid-fluid boundary conditions for mass and momentum to include a single conserved compositional order parameter. A number of simple benchmark problems involving a single particle at or near a fluid-fluid interface are undertaken and show good agreement with available theoretical or numerical results.Comment: 10 pages, 4 figures, ICMMES 200

Remarks on self-interaction correction to black hole radiation

In the work [P. Kraus and F. Wilczek, \textit{Self-interaction correction to black hole radiation, Nucl. Phys.} B433 (1995) 403], it has been pointed out that the self-gravitation interaction would modify the black hole radiation so that it is no longer thermal, where it is, however, corrected in an approximate way and therefore is not established its relationship with the underlying unitary theory in quantum theory. In this paper, we revisit the self-gravitation interaction to Hawking radiation of the general spherically symmetric black hole, and find that the precisely derived spectrum is not only deviated from the purely thermal spectrum, but most importantly, is related to the change of the Bekenstein-Hawking entropy and consistent with an underlying unitary theory.Comment: 14 page

Tick size and price diffusion

A tick size is the smallest increment of a security price. It is clear that at the shortest time scale on which individual orders are placed the tick size has a major role which affects where limit orders can be placed, the bid-ask spread, etc. This is the realm of market microstructure and there is a vast literature on the role of tick size on market microstructure. However, tick size can also affect price properties at longer time scales, and relatively less is known about the effect of tick size on the statistical properties of prices. The present paper is divided in two parts. In the first we review the effect of tick size change on the market microstructure and the diffusion properties of prices. The second part presents original results obtained by investigating the tick size changes occurring at the New York Stock Exchange (NYSE). We show that tick size change has three effects on price diffusion. First, as already shown in the literature, tick size affects price return distribution at an aggregate time scale. Second, reducing the tick size typically leads to an increase of volatility clustering. We give a possible mechanistic explanation for this effect, but clearly more investigation is needed to understand the origin of this relation. Third, we explicitly show that the ability of the subordination hypothesis in explaining fat tails of returns and volatility clustering is strongly dependent on tick size. While for large tick sizes the subordination hypothesis has significant explanatory power, for small tick sizes we show that subordination is not the main driver of these two important stylized facts of financial market.Comment: To be published in the "Proceedings of Econophys-Kolkata V International Workshop on "Econophysics of Order-driven Markets" March 9-13, 2010, The New Economic Windows series of Springer-Verlag Italia

Feasibility of GNSS-R Altimetry Using CyGNSS 8-Satellite Constellation Mission Data

Ponencia expuesta en Scientific Assembly of the International Association of Geodesy (2021) celebrado en Beijing del 28 de junio al 2 de juli

CYGNSS Ocean Altimetry: A Status Report

Comunicación expuesta online en el CYGNSS Science Team Summer Meeting celebrado del 27 al 29 de julio de 202

Microwave assisted low temperature synthesis of MnZn ferrite nanoparticles

MnZnFe2O4ferrite nanoparticles were prepared by co-precipitation method using a microwave heating system at temperature of 100 °C. X-ray diffraction reveals the samples as prepared are pure ferrite nanocrystalline phase, transmission electron microscopy image analysis shows particles are in agglomeration state with an average size of about 10 nm, furthermore, crystal size of samples are increased with longer microwave heating

The non-random walk of stock prices: The long-term correlation between signs and sizes

We investigate the random walk of prices by developing a simple model relating the properties of the signs and absolute values of individual price changes to the diffusion rate (volatility) of prices at longer time scales. We show that this benchmark model is unable to reproduce the diffusion properties of real prices. Specifically, we find that for one hour intervals this model consistently over-predicts the volatility of real price series by about 70%, and that this effect becomes stronger as the length of the intervals increases. By selectively shuffling some components of the data while preserving others we are able to show that this discrepancy is caused by a subtle but long-range non-contemporaneous correlation between the signs and sizes of individual returns. We conjecture that this is related to the long-memory of transaction signs and the need to enforce market efficiency.Comment: 9 pages, 5 figures, StatPhys2

Single Spin Asymmetry ANA_N in Polarized Proton-Proton Elastic Scattering at s=200\sqrt{s}=200 GeV

We report a high precision measurement of the transverse single spin asymmetry $A_N$ at the center of mass energy $\sqrt{s}=200$ GeV in elastic proton-proton scattering by the STAR experiment at RHIC. The $A_N$ was measured in the four-momentum transfer squared $t$ range $0.003 \leqslant |t| \leqslant 0.035$ \GeVcSq, the region of a significant interference between the electromagnetic and hadronic scattering amplitudes. The measured values of $A_N$ and its $t$-dependence are consistent with a vanishing hadronic spin-flip amplitude, thus providing strong constraints on the ratio of the single spin-flip to the non-flip amplitudes. Since the hadronic amplitude is dominated by the Pomeron amplitude at this $\sqrt{s}$, we conclude that this measurement addresses the question about the presence of a hadronic spin flip due to the Pomeron exchange in polarized proton-proton elastic scattering.Comment: 12 pages, 6 figure