Development and calibration of a currency trading strategy using global optimization

We have developed a new financial indicator—called the Interest Rate Differentials Adjusted for Volatility (IRDAV) measure—to assist investors in currency markets. On a monthly basis, we rank currency pairs according to this measure and then select a basket of pairs with the highest IRDAV values. Under positive market conditions, an IRDAV based investment strategy (buying a currency with high interest rate and simultaneously selling a currency with low interest rate, after adjusting for volatility of the currency pairs in question) can generate significant returns. However, when the markets turn for the worse and crisis situations evolve, investors exit such money-making strategies suddenly, and—as a result—significant losses can occur. In an effort to minimize these potential losses, we also propose an aggregated Risk Metric that estimates the total risk by looking at various financial indicators across different markets. These risk indicators are used to get timely signals of evolving crises and to flip the strategy from long to short in a timely fashion, to prevent losses and make further gains even during crisis periods. Since our proprietary model is implemented in Excel as a highly nonlinear “black box” computational procedure, we use suitable global optimization methodology and software—the Lipschitz Global Optimizer solver suite linked to Excel—to maximize the performance of the currency basket, based on our selection of key decision variables. After the introduction of the new currency trading model and its implementation, we present numerical results based on actual market data. Our results clearly show the advantages of using global optimization based parameter settings, compared to the typically used “expert estimates” of the key model parameters.post-prin

Classifying GRB 170817A/GW170817 in a Fermi duration–hardness plane

GRB 170817A, associated with the LIGO-Virgo GW170817 neutron-star merger event, lacks the short duration and hard spectrum of a Short gamma-ray burst (GRB) expected from long-standing classification models. Correctly identifying the class to which this burst belongs requires comparison with other GRBs detected by the Fermi GBM. The aim of our analysis is to classify Fermi GRBs and to test whether or not GRB 170817A belongs—as suggested—to the Short GRB class. The Fermi GBM catalog provides a large database with many measured variables that can be used to explore gamma-ray burst classification. We use statistical techniques to look for clustering in a sample of 1298 gamma-ray bursts described by duration and spectral hardness. Classification of the detected bursts shows that GRB 170817A most likely belongs to the Intermediate, rather than the Short GRB class. We discuss this result in light of theoretical neutron-star merger models and existing GRB classification schemes. It appears that GRB classification schemes may not yet be linked to appropriate theoretical models, and that theoretical models may not yet adequately account for known GRB class properties. We conclude that GRB 170817A may not fit into a simple phenomenological classification scheme. © 2018, Springer Science+Business Media B.V., part of Springer Nature

Transverse kink oscillations of expanding coronal loops

We investigate the nature of transverse kink oscillations of loops expanding through the solar corona and how can oscillations be used to diagnose the plasma parameters and the magnetic field. In particular, we aim to analyse how the temporal dependence of the loop length (here modelling the expansion) will affect the P1 /P2 period ratio of transverse loop oscillations. Due to the uncertainty of the loop's shape through its expansion, we discuss separately the case of the loop that maintains its initial semi-circular shape and the case of the loop that from a semi-circular shape evolve into an elliptical shape loop. The equations that describe the oscillations in expanding flux tube are complicated due to the spatial and temporal dependence of coefficients. Using the WKB approximation we find approximative values for periods and their evolution, as well as the period ratio. For small values of time (near the start of the expansion) we can employ a regular perturbation method to find approximative relations for eigenfunctions and eigenfrequencies. Using simple analytical and numerical methods we show that the period of oscillations are affected by the rising of the coronal loop. The change in the period due to the increase in the loop's length is more pronounced for those loops that expand into a more structured (or cooler corona). The deviation of periods will have significant implications in determining the degree of stratification in the solar corona. The effect of expansion on the periods of oscillations is considerable only in the process of expansion of the loop but not when it reached its final stage

CODEX-B4C Experiment: Cored Degradation Test With Boron Carbide Control Rod KFKI-2003-01/G (2003)

The CODEX-B4C bundle test has been successfully performed on 25th May 2001 in the framework of the COLOSS project of the EU 5th FWP. The high temperature degradation of a VVER-1000 type bundle with B4C control rod was investigated with electrically heated fuel rods. The experiment was carried out according to a scenario selected in favour of methane formation. Degradation of control rod and fuel bundle took place at temperatures ~2000 oC, cooling down of the bundle was performed in steam atmosphere. The gas composition measurement indicated no methane production during the experiment. High release of aerosols was detected in the high temperature oxidation phase. The on-line measured data are collected into a database and are available for code validation and development