Nonlinear Mean Reversion and Arbitrage in the Gold Futures Market

Previous literatures take transaction costs as being negligible when analyzing the futures basis behavior in linear dynamic framework. However, we argue that the relationship between the futures and spot prices with the conventional linear cointegration approach may not be appropriate after taking transaction costs into account. In this paper, an incorporation of transaction costs presented by Dumas (1992) and Michael (1997) into the exponential smooth transition autoregressive (ESTAR) model developed by Granger and Terasvita (1993) is motivated to examine the dynamic relationship between daily gold futures and spot prices and the nonlinear behavior of the gold futures basis. Transaction costs may lead to the existence of neutral band for futures market speculation within which profitable trading opportunities are impossible. Further, our results indicate that the ESTAR model provides higher forecasting power than the linear AR(1) model.

The Ophthalmology Management Of Primary School Children Among Chinese Ethnic Group In Penang, Malaysia

Selama ini, kesilapan pembiasan mata ialah satu isu sosial di semua negara terutama dalam masyarakat Cina. All the while, refractive error is a social issue in all countries especially in Chinese community

Purification and characterization of tritium labeled starch

Call number: LD2668 .T4 1969 L52Master of Scienc

Optimal Beamforming for Two-Way Multi-Antenna Relay Channel with Analogue Network Coding

This paper studies the wireless two-way relay channel (TWRC), where two source nodes, S1 and S2, exchange information through an assisting relay node, R. It is assumed that R receives the sum signal from S1 and S2 in one time-slot, and then amplifies and forwards the received signal to both S1 and S2 in the next time-slot. By applying the principle of analogue network (ANC), each of S1 and S2 cancels the so-called "self-interference" in the received signal from R and then decodes the desired message. Assuming that S1 and S2 are each equipped with a single antenna and R with multi-antennas, this paper analyzes the capacity region of an ANC-based TWRC with linear processing (beamforming) at R. The capacity region contains all the achievable bidirectional rate-pairs of S1 and S2 under the given transmit power constraints at S1, S2, and R. We present the optimal relay beamforming structure as well as an efficient algorithm to compute the optimal beamforming matrix based on convex optimization techniques. Low-complexity suboptimal relay beamforming schemes are also presented, and their achievable rates are compared against the capacity with the optimal scheme.Comment: to appear in JSAC, 200

Dynamic Resource Allocation for Multiple-Antenna Wireless Power Transfer

We consider a point-to-point multiple-input-single-output (MISO) system where a receiver harvests energy from a wireless power transmitter to power itself for various applications. The transmitter performs energy beamforming by using an instantaneous channel state information (CSI). The CSI is estimated at the receiver by training via a preamble, and fed back to the transmitter. The channel estimate is more accurate when longer preamble is used, but less time is left for wireless power transfer before the channel changes. To maximize the harvested energy, in this paper, we address the key challenge of balancing the time resource used for channel estimation and wireless power transfer (WPT), and also investigate the allocation of energy resource used for wireless power transfer. First, we consider the general scenario where the preamble length is allowed to vary dynamically. Taking into account the effects of imperfect CSI, the optimal preamble length is obtained online by solving a dynamic programming (DP) problem. The solution is shown to be a threshold-type policy that depends only on the channel estimate power. Next, we consider the scenario in which the preamble length is fixed. The optimal preamble length is optimized offline. Furthermore, we derive the optimal power allocation schemes for both scenarios. For the scenario of dynamic-length preamble, the power is allocated according to both the optimal preamble length and the channel estimate power; while for the scenario of fixed-length preamble, the power is allocated according to only the channel estimate power. The analysis results are validated by numerical simulations. Encouragingly, with optimal power allocation, the harvested energy by using optimized fixed-length preamble is almost the same as the harvested energy by employing dynamic-length preamble, hence allowing a low-complexity WPT system to be implemented in practice.Comment: 30 pages, 6 figures, Submitted to the IEEE Transactions on Signal Processin

A DHT-Based Multicarrier Modulation System with Pairwise ML Detection

This paper presents a complex-valued discrete multicarrier modulation (MCM) system based on the real-valued discrete Hartley transform (DHT) and its inverse (IDHT). Unlike the conventional discrete Fourier transform (DFT), the DHT cannot diagonalize multipath fading channels due to its inherent properties, and this results in mutual interference between subcarriers of the same mirror-symmetrical pair. We explore this interference pattern in order to seek an optimal solution to utilize channel diversity for enhancing the bit error rate (BER) performance of the system. It is shown that the optimal channel diversity gain can be achieved via pairwise maximum likelihood (ML) detection, taking into account not only the subcarrier's own channel quality but also the channel state information of its mirror-symmetrical peer. Performance analysis indicates that DHT-based MCM can mitigate fast fading effects by averaging channel power gains of each mirror-symmetrical pair of subcarriers. Simulation results show that the proposed scheme has a substantial improvement in BER over the conventional DFT-based MCM system