344 research outputs found
Optimal embedding parameters: A modelling paradigm
Reconstruction of a dynamical system from a time series requires the
selection of two parameters, the embedding dimension and the embedding
lag . 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 . We introduce an information theoretic criteria for the
optimal selection of the embedding window . 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 in Polarized Proton-Proton Elastic Scattering at GeV
We report a high precision measurement of the transverse single spin
asymmetry at the center of mass energy GeV in elastic
proton-proton scattering by the STAR experiment at RHIC. The was measured
in the four-momentum transfer squared range \GeVcSq, the region of a significant interference between the
electromagnetic and hadronic scattering amplitudes. The measured values of
and its -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 , 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
- …