When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data

The paper studies the problem of volatility modeling and estimation of high-frequency data undercontinuous record asymptotics. The approach decomposes the observed data into pricediffusion and stationary components. The diffusion component may be identified as the"true" value of the underlying asset. The stationary component, termed as thehigh-frequency "noise" (HFN), accommodates pertinent market microstructure features.A simple condition, characterizing the HFN component on which conventional volatilityestimators on the basis of noisy observations will be consistent for diffusion volatility, is derived, and is applied to Reuters FXFX data. It is shown that conventional volatility estimators lead to substantial spurious volatility in high-frequency returns. The failure of conventional estimators in providing consistent estimates is due to the higher irregularities of the HFN sample path, which is induced, at least in part, by trader heterogeneity. In addition, the optimal sampling frequency is acquired which justifies theappropriateness of the use of the 10- to 15-minute sampling intervals - the benchmark noisefilter used in many recent empirical studies dealing with high-frequency foreign exchangedata.

Linear active disturbance rejection control of waste heat recovery systems with organic Rankine cycles

In this paper, a linear active disturbance rejection controller is proposed for a waste heat recovery system using an organic Rankine cycle process, whose model is obtained by applying the system identification technique. The disturbances imposed on the waste heat recovery system are estimated through an extended linear state observer and then compensated by a linear feedback control strategy. The proposed control strategy is applied to a 100 kW waste heat recovery system to handle the power demand variations of grid and process disturbances. The effectiveness of this controller is verified via a simulation study, and the results demonstrate that the proposed strategy can provide satisfactory tracking performance and disturbance rejection

Chiral phase transition and meson spectrum in improved soft-wall AdS/QCD

We investigate in detail the chiral thermal transition of QCD in an improved soft-wall AdS/QCD model with a simply modified 5D conformal mass of the bulk scalar field. We also present a calculation in this model for the light meson spectra and other low-energy characteristic quantities including the pion form factor, the pi-rho coupling constant and the decay constants of pi, rho, a_1, which are shown to result in a good agreement with experimental data except for the pion decay constant. The thermal behavior of chiral condensate is studied. It is found that such a simply improved soft-wall model incorporates the crossover behavior of chiral thermal transition indicated by lattice simulations. The expected chiral transition temperature can be obtained

Infrared-Improved Soft-wall AdS/QCD Model for Mesons

We construct and investigate an infrared-improved soft-wall AdS/QCD model for mesons. Both linear confinement and chiral symmetry breaking of low energy QCD are well characterized in such an infrared-improved soft-wall AdS/QCD model. The model enables us to obtain a more consistent numerical prediction for the mass spectra of resonance scalar, pseudoscalar, vector and axial-vector mesons. In particular, the predicted mass for the lightest ground state scalar meson shows a good agreement with the experimental data. The model also provides a remarkable check for the Gell-Mann-Oakes-Renner relation and a sensible result for the space-like pion form factor.Comment: 15 pages, 4 figures, 7 tables, published versio

IR-improved Soft-wall AdS/QCD Model for Baryons

We construct an infrared-improved soft-wall AdS/QCD model for baryons by considering the infrared-modified 5D conformal mass and Yukawa coupling of the bulk baryon field. The model is also built by taking into account the parity-doublet pattern for the excited baryons. When taking the bulk vacuum structure of the meson field to be the one obtained consistently in the infrared-improved soft-wall AdS/QCD model for mesons, we arrive at a consistent prediction for the baryon mass spectrum in even and odd parity. The prediction shows a remarkable agreement with the experimental data. We also perform a calculation for the $\rho(a_1)$ meson-nucleon coupling constant and obtain a consistent result in comparison with the experimental data and many other models.Comment: 12 pages, 4 tables, 1 figure, to be published in PL