Recurrence interval analysis of high-frequency financial returns and its application to risk estimation

We investigate the probability distributions of the recurrence intervals $\tau$ between consecutive 1-min returns above a positive threshold $q>0$ or below a negative threshold $q<0$ of two indices and 20 individual stocks in China's stock market. The distributions of recurrence intervals for positive and negative thresholds are symmetric, and display power-law tails tested by three goodness-of-fit measures including the Kolmogorov-Smirnov (KS) statistic, the weighted KS statistic and the Cram\'er-von Mises criterion. Both long-term and shot-term memory effects are observed in the recurrence intervals for positive and negative thresholds $q$. We further apply the recurrence interval analysis to the risk estimation for the Chinese stock markets based on the probability $W_q(\Delta{t},t)$, Value-at-Risk (VaR) analysis and VaR analysis conditioned on preceding recurrence intervals.Comment: 17 pages, 10 figures, 1 tabl

The branch processes of vortex filaments and Hopf Invariant Constraint on Scroll Wave

In this paper, by making use of Duan's topological current theory, the evolution of the vortex filaments in excitable media is discussed in detail. The vortex filaments are found generating or annihilating at the limit points and encountering, splitting, or merging at the bifurcation points of a complex function $Z(\vec{x},t)$. It is also shown that the Hopf invariant of knotted scroll wave filaments is preserved in the branch processes (splitting, merging, or encountering) during the evolution of these knotted scroll wave filaments. Furthermore, it also revealed that the "exclusion principle" in some chemical media is just the special case of the Hopf invariant constraint, and during the branch processes the "exclusion principle" is also protected by topology.Comment: 9 pages, 5 figure

Oxidation Behavior of a Pd_(43)Cu_(27)Ni_(10)P_(20) Bulk Metallic Glass and Foam in Dry Air

The oxidation behavior of both Pd_(43)Cu_(27)Ni_(10)P_(20) bulk metallic glass (Pd4-BMG) and its amorphous foam containing 45 pct porosity (Pd4-AF) was investigated over the temperature range of 343 K (70 °C) to 623 K (350 °C) in dry air. The results showed that virtually no oxidation occurred in the Pd4-BMG at T < 523 K (250 °C), revealing the alloy’s favorable oxidation resistance in this temperature range. In addition, the oxidation kinetics at T ≥ 523 K (250 °C) followed a parabolic-rate law, and the parabolic-rate constants (k_p values) generally increased with temperature. It was found that the oxidation k_p values of the Pd4-AF are slightly lower than those of the Pd4-BMG, indicating that the porous structure contributes to improving the overall oxidation resistance. The scale formed on the alloys was composed exclusively of CuO at T ≥ 548 K (275 °C), whose thickness gradually increased with increasing temperature. In addition, the amorphous structure remained unchanged at T ≤ 548 K (275 °C), while a triplex-phase structure developed after the oxidation at higher temperatures, consisting of Pd_2Ni_2P, Cu_3P, and Pd_3P

Angular-dependent oscillations of the magnetoresistance in Bi_2Se_3 due to the three-dimensional bulk Fermi surface

We observed pronounced angular-dependent magnetoresistance (MR) oscillations in a high-quality Bi2Se3 single crystal with the carrier density of 5x10^18 cm^-3, which is a topological insulator with residual bulk carriers. We show that the observed angular-dependent oscillations can be well simulated by using the parameters obtained from the Shubnikov-de Haas oscillations, which clarifies that the oscillations are solely due to the bulk Fermi surface. By completely elucidating the bulk oscillations, this result paves the way for distinguishing the two-dimensional surface state in angular-dependent MR studies in Bi2Se3 with much lower carrier density. Besides, the present result provides a compelling demonstration of how the Landau quantization of an anisotropic three-dimensional Fermi surface can give rise to pronounced angular-dependent MR oscillations.Comment: 5 pages, 5 figure

Electronic Structure of ZnCNi3

According to a recent report by Park et al, ZnCNi3 is isostructural and isovalent to the superconducting (Tc = 8 K) anti-perovskite, MgCNi3, but shows no indication of a superconducting transition down to 2K. A comparison of calculated electronic structures shows that the main features of MgCNi3, particularly the van Hove singularity near the Fermi energy, are preserved in ZnCNi3. Thus the reported lack of superconductivity in ZnCNi3 is not explainable in terms of Tc being driven to a very low value by a small Fermi level density of states. We propose that the lack of superconductivity, the small value of the linear specific heat coefficient, gamma, and the discrepancy between theoretical and experimental lattice constants can all be explained if the material is assumed to be a C-deficient alpha-ZnCNi3 similar to the analogous non-superconducting phase of MgCNi3

Distributed Adaptive Attitude Synchronization of Multiple Spacecraft

This paper addresses the distributed attitude synchronization problem of multiple spacecraft with unknown inertia matrices. Two distributed adaptive controllers are proposed for the cases with and without a virtual leader to which a time-varying reference attitude is assigned. The first controller achieves attitude synchronization for a group of spacecraft with a leaderless communication topology having a directed spanning tree. The second controller guarantees that all spacecraft track the reference attitude if the virtual leader has a directed path to all other spacecraft. Simulation examples are presented to illustrate the effectiveness of the results.Comment: 13 pages, 11 figures. To appear in SCIENCE CHINA Technological Science