Optimal Investment Under Transaction Costs: A Threshold Rebalanced Portfolio Approach

We study optimal investment in a financial market having a finite number of assets from a signal processing perspective. We investigate how an investor should distribute capital over these assets and when he should reallocate the distribution of the funds over these assets to maximize the cumulative wealth over any investment period. In particular, we introduce a portfolio selection algorithm that maximizes the expected cumulative wealth in i.i.d. two-asset discrete-time markets where the market levies proportional transaction costs in buying and selling stocks. We achieve this using "threshold rebalanced portfolios", where trading occurs only if the portfolio breaches certain thresholds. Under the assumption that the relative price sequences have log-normal distribution from the Black-Scholes model, we evaluate the expected wealth under proportional transaction costs and find the threshold rebalanced portfolio that achieves the maximal expected cumulative wealth over any investment period. Our derivations can be readily extended to markets having more than two stocks, where these extensions are pointed out in the paper. As predicted from our derivations, we significantly improve the achieved wealth over portfolio selection algorithms from the literature on historical data sets.Comment: Submitted to IEEE Transactions on Signal Processin

Quasi Periodic Oscillations (QPOs) and frequencies in an accretion disk and comparison with the numerical results from non-rotating black hole computed by the GRH code

The shocked wave created on the accretion disk after different physical phenomena (accretion flows with pressure gradients, star-disk interaction etc.) may be responsible observed Quasi Periodic Oscillations (QPOs) in $X-$ray binaries. We present the set of characteristics frequencies associated with accretion disk around the rotating and non-rotating black holes for one particle case. These persistent frequencies are results of the rotating pattern in an accretion disk. We compare the frequency's from two different numerical results for fluid flow around the non-rotating black hole with one particle case. The numerical results are taken from our papers Refs.\refcite{Donmez2} and \refcite{Donmez3} using fully general relativistic hydrodynamical code with non-selfgravitating disk. While the first numerical result has a relativistic tori around the black hole, the second one includes one-armed spiral shock wave produced from star-disk interaction. Some physical modes presented in the QPOs can be excited in numerical simulation of relativistic tori and spiral waves on the accretion disk. The results of these different dynamical structures on the accretion disk responsible for QPOs are discussed in detail.Comment: 13 figures, added reference, accepted for publication in Modern Physics Letters

Temporal and Periodic Variations of Sunspot Counts in Flaring and Non-flaring Active Regions

We analyzed temporal and periodic behavior of sunspot counts (SSCs) in flaring (C, M, or X class flares), and non-flaring active regions (ARs) for the almost two solar cycles (1996 through 2016). Our main findings are as follows: i) The temporal variation of monthly means of daily total SSCs in flaring and non-flaring ARs are different and these differences are also varying from cycle to cycle; temporal profile of non-flaring ARs are wider than the flaring ones during the solar cycle 23, while they are almost the same during the current cycle 24. The second peak (second maximum) of flaring ARs are strongly dominate during current cycle 24, while this difference is not such a remarkable during cycle 23. The amplitude of SSCs in the non-flaring ARs are comparable during the first and second peaks (maxima) of the current solar cycle, while the first peak is almost not existent in case of the flaring ARs. ii) Periodic variations observed in SSCs of flaring and non-flaring ARs are quite different in both MTM spectrum and wavelet scalograms and these variations are also different from one cycle to another; the largest detected period in the flaring ARs is 113 days, while there are much higher periodicities (327, 312, and 256 days) in non-flaring ARs. There are no meaningful periodicities in MTM spectrum of flaring ARs exceeding 45 days during solar cycle 24, while a 113 days periodicity detected from flaring ARs of solar cycle 23. For the non-flaring ARs the largest period is 72 days during solar cycle 24, while the largest period is 327 days during current cycle.Comment: Submitted to Solar Physics, 17 pages, 5 figure

Improved thermal isolation of silicon suspended platforms for an all-silicon thermoelectric microgenerator based on large scale integration of Si nanowires as thermoelectric material

Special suspended micro-platforms have been designed as a part of silicon compatible planar thermoelectric microgenerators. Bottom-up grown silicon nanowires are going to bridge in the future such platforms to the surrounding silicon bulk rim. They will act as thermoelectric material thus configuring an all-silicon thermoelectric device. In the new platform design other additional bridging elements (usually auxiliary support silicon beams) are substituted by low conductance thin film dielectric membranes in order to maximize the temperature difference developed between both areas. These membranes follow a sieve-like design that allows fabricating them with a short additional wet anisotropic etch step. © Published under licence by IOP Publishing Ltd.Peer ReviewedPostprint (published version

Evaluation of biological activity of Turkish plants. Rapid screening for the antimicrobial, antioxidant, and acetylcholinesterase inhibitory potential by TLC bioautographic methods

Using thin-layer chromatography (TLC) bioautography, a total of 58 extracts from various organs (aerial parts, leaves, flowers, fruits, roots) of 16 Turkish plants were tested for their antibacterial, antifungal, acetylcholinesterase inhibitory, antioxidant, and radical scavenging activities. The hexane, CHCl3/CH2Cl2, water, and total MeOH extracts were used. No activity was observed against two Gram-negative bacteria (Escherichia coli and Pseudomonas aureginosa) and the yeast Candida albicans. However, 23 plant extracts, mostly the CHCl3/CH2Cl2 and H2O-solubles, inhibited the growth of all five Gram-positive bacteria tested, Micrococcus luteus, Bacillus subtilis, Bacillus cereus, Staphylococcus aureus, and Staphylococcus epidermidis. Of the active extracts, the CHCl3-soluble of the roots of Putoria calabrica (L. fil) DC (Rubiaceae) displayed the highest antibacterial potential. The majority of the CHCl3/CH2Cl2 crude extracts also appeared to inhibit acetylcholinesterase on TLC plates at 100 µg/spot concentration. Particularly active samples were the middle polarity extracts (CHCl3/CH2Cl2) of the leaves of Rhododendron smirnovii Trautv., R. ponticum L., and R. ungernii Trautv. (Ericaceae). β-Carotene, β-carotene/linoleic acid mixture, and 2,2-diphenyl-l-pieryhydrazyl (DPPH) solutions sprayed onto TLC plates were used for detecting antioxidant and radical scavenging properties of the crude extracts. Antioxidant and radical scavenging activities were found to be predominant in highly polar extracts. The water-solubles of all Rhododendron (Ericaceae) and Phlomis (Lamiaceae) species presented the most significant activity