Dynamic evolution of cross-correlations in the Chinese stock market

We study the dynamic evolution of cross-correlations in the Chinese stock market mainly based on the random matrix theory (RMT). The correlation matrices constructed from the return series of 367 A-share stocks traded on the Shanghai Stock Exchange from January 4, 1999 to December 30, 2011 are calculated over a moving window with a size of 400 days. The evolutions of the statistical properties of the correlation coefficients, eigenvalues, and eigenvectors of the correlation matrices are carefully analyzed. We find that the stock correlations are significantly increased in the periods of two market crashes in 2001 and 2008, during which only five eigenvalues significantly deviate from the random correlation matrix, and the systemic risk is higher in these volatile periods than calm periods. By investigating the significant contributors of the deviating eigenvectors in different moving windows, we observe a dynamic evolution behavior in business sectors such as IT, electronics, and real estate, which lead the rise (drop) before (after) the crashes

Plant cell wall modification during tomato processing and its effects on the physical and rheological properties of end products

Understanding the relationship between structure and functional properties in plant-cell-wall-derived foods has become a growing interest to both academia and industry. Tomato is one of the most cultivated vegetable crops and mostly is consumed as processed products in the form of suspensions. Rheological properties of tomato product, a key functional attribute, depends on both the serum and particle phases of these products. Although recent studies have suggested that the particle phase is the dominant factor, the relationship between fundamental particle properties and the bulk rheology of the suspension is still unclear. This research systematically evaluated the contributions of soluble pectin and particle phase on the rheology of tomato suspensions, and identified that the particle structure and its physical properties are crucial in determining the rheology of such systems. Alteration of these properties either by processing conditions or by internal enzymatic activity could cause a significant change in the rheology of tomato products. The serum phase of the suspensions displayed a Newtonian behavior with a low viscosity (~0.1 mPa.s). The contribution of soluble pectin to the overall viscosity of the suspensions was found to have a little influence despite that reconstituted suspensions were prepared either with large pectin concentrations or with pectin having a high degree of methylation. However, the presence of pectin was important because its role on stabilization of the suspension systems by increasing the interaction between particles. When pectin concentration was low, wall slippage during measurements was observed due to phase separation by using cone-plate geometry. A vane geometry was able to alleviate the slippage artifact and a good correlation (R2=0.91) was found between the empirical Bostwick consistometer method and fundamental measurements performed employing the vane geometry. Hence, the vane geometry was recommended in the viscosity measurements of cell-wall-derived suspensions. The particle structure and its physical properties, and the associated particle interaction controlled the rheological properties of the cell-wall-derived suspensions. Changes in the particle phase were achieved in this study by two means: external processing with various conditions and molecular biological modification by reduced pectin methylesterase (PME) activity. The effects of thermal breaking, and physical treatments such as ultrasound and high shear were employed at the laboratory scale. The concentration process to produce tomato paste from tomato juice at an industrial scale was also investigated. The focus was on effects that this process has on the properties of the particles and the rheology of the suspensions when they are reconstituted from the paste to juices. These diverse processing and modification conditions produced particles with various structures and strengths, and as a result caused significantly changes on the rheological properties of suspensions. Although both the ultrasound and high shear treatments reduced significantly the particle size of the treated tomato suspensions, the former led to an increase in their rheological properties whereas the latter caused a significant decrease. It could be explained by formation of particles with structural differences provoked by these two treatments. Ultrasound treated suspensions contained more intact particles, and with large strength, which was evaluated by a compression test on a limited number of particles. Conversely, high shear treated suspensions resulted in mostly ruptured particles that lost mechanical strength. The water-soluble pectin (WSP) fraction increased after ultrasound and shear treatments. However, soluble pectin is not the direct cause for the changes in the suspension rheology; it is an indicator or consequence of the changes in particle properties. This research also explained the viscosity loss during the industrial tomato juice concentration process from the perspective of particle alterations. The particle phase was extensively modified as the concentration process reduced the particle volume and concentrated its mass into a smaller size. The original tomato juice had a relatively higher volume fraction and viscoelasticity than those of reconstituted juices from dilution of pastes to achieve the same soluble solids (oBrix). This resulted in original juices with higher consistency and viscosity. During dilution, paste particles cannot re-expand to the original shape and volume than those present in the original juice. Due to the fact that the concentrated solute present in pastes cannot be fully solubilized, more paste is necessary to achieve the viscosity of the original juice. In addition, tissue structure modification using molecular biology and via suppression of pectin methylesterase (PME) activity resulted in a closely packed cellular structure with smaller pore size when compared to the tissue of the original wild type tomato (OWT). An 85-90% reduction in PME activity significantly strengthened the microstructures of cell wall particles, and reduced serum separation, which improved tomato suspension rheological properties. The last part of this research investigated the flow behaviors of industrially processed hot-break (HB) and cold-break (CB) tomato suspensions under steady-state and dynamic oscillatory shear conditions. The HB suspensions exhibited considerably higher viscosity and viscoelastic properties than CB suspensions because their particles had a structure that was able to retain better water and higher mechanical strength. Both industrially processed samples exhibited temperature-dependent and time-dependent rheological behaviors. The consistency coefficient (k) as a function of temperature could be modeled by an Arrhenius-like equation. The activation energy of the HB sample was higher than that of the CB sample, indicating a more integral structure resisting changes in temperatures. The thixotropic behavior of HB and CB suspensions was described by the Stretch Exponential equation. A characteristic time ( s ) used in the Stretch Exponential equation increased with temperature for the HB sample whereas it showed the opposite trend for the CB sample. These differences could be explained by differences in the particle structure and initial viscosity. Particle interactions showed great impact on the rheological properties. When particle concentration was low (solid % \u3c 1.0%), both HB and CB samples almost had the same apparent viscosity due to a limited contact between particles. However, when the particle phase was high, the particle-particle contact significantly increased, and the HB sample demonstrated a considerably higher viscosity and viscoelasticity. Results indicated that the HB system has larger particle elasticity and stronger particle interaction than the CB system. Furthermore, the local Young’s modulus distributions of individual HB and CB particles investigated by Atomic Force Microscopy (AFM) were in good agreement with the bulk rheology data. It can be concluded that the differences in rheological properties of tomato products are originated from differences in their particle phases

Long Time Asymptotics of Ornstein-Uhlenbeck Processes in Poisson Random Media

The Models of Random Motions in Random Media (RMRM) have been shown to have fruitful applications in various scientific areas such as polymer physics, statistical mechanics, oceanography, etc. In this dissertation, we consider a special model of RMRM: the Ornstein-Uhlenbeck process in a Poisson random medium and investigate the long time evolution of its random energy. We give complete answers to the long time asymptotics of the exponential moments of the random energy with both positive and negative coefficients, under both quenched and annealed regimes. Through these results, we find out a dramatic difference between the long time behavior of the Brownian motion dynamics and the Ornstein-Uhlenbeck dynamics in the Poisson random medium

How to Understand LMMSE Transceiver Design for MIMO Systems From Quadratic Matrix Programming

In this paper, a unified linear minimum mean-square-error (LMMSE) transceiver design framework is investigated, which is suitable for a wide range of wireless systems. The unified design is based on an elegant and powerful mathematical programming technology termed as quadratic matrix programming (QMP). Based on QMP it can be observed that for different wireless systems, there are certain common characteristics which can be exploited to design LMMSE transceivers e.g., the quadratic forms. It is also discovered that evolving from a point-to-point MIMO system to various advanced wireless systems such as multi-cell coordinated systems, multi-user MIMO systems, MIMO cognitive radio systems, amplify-and-forward MIMO relaying systems and so on, the quadratic nature is always kept and the LMMSE transceiver designs can always be carried out via iteratively solving a number of QMP problems. A comprehensive framework on how to solve QMP problems is also given. The work presented in this paper is likely to be the first shoot for the transceiver design for the future ever-changing wireless systems.Comment: 31 pages, 4 figures, Accepted by IET Communication

Adaptive Multi-objective Optimization for Energy Efficient Interference Coordination in Multi-Cell Networks

In this paper, we investigate the distributed power allocation for multi-cell OFDMA networks taking both energy efficiency and inter-cell interference (ICI) mitigation into account. A performance metric termed as throughput contribution is exploited to measure how ICI is effectively coordinated. To achieve a distributed power allocation scheme for each base station (BS), the throughput contribution of each BS to the network is first given based on a pricing mechanism. Different from existing works, a biobjective problem is formulated based on multi-objective optimization theory, which aims at maximizing the throughput contribution of the BS to the network and minimizing its total power consumption at the same time. Using the method of Pascoletti and Serafini scalarization, the relationship between the varying parameters and minimal solutions is revealed. Furthermore, to exploit the relationship an algorithm is proposed based on which all the solutions on the boundary of the efficient set can be achieved by adaptively adjusting the involved parameters. With the obtained solution set, the decision maker has more choices on power allocation schemes in terms of both energy consumption and throughput. Finally, the performance of the algorithm is assessed by the simulation results.Comment: 29 page