Fractal Markets Hypothesis and the Global Financial Crisis: Scaling, Investment Horizons and Liquidity

We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, fractal markets hypothesis considers financial markets as com- plex systems consisting of many heterogenous agents, which are distinguishable mainly with respect to their investment horizon. In the paper, several novel measures of trading activity at different investment horizons are introduced through scaling of variance of the underlying processes. On the three most liquid US indices - DJI, NASDAQ and S&P500 - we show that predictions of fractal markets hypothesis actually fit the observed behavior quite well.Comment: 11 pages, 3 figure

Generalized (m,k)-Zipf law for fractional Brownian motion-like time series with or without effect of an additional linear trend

We have translated fractional Brownian motion (FBM) signals into a text based on two ''letters'', as if the signal fluctuations correspond to a constant stepsize random walk. We have applied the Zipf method to extract the $\zeta '$ exponent relating the word frequency and its rank on a log-log plot. We have studied the variation of the Zipf exponent(s) giving the relationship between the frequency of occurrence of words of length $m<8$ made of such two letters: $\zeta '$ is varying as a power law in terms of $m$. We have also searched how the $\zeta '$ exponent of the Zipf law is influenced by a linear trend and the resulting effect of its slope. We can distinguish finite size effects, and results depending whether the starting FBM is persistent or not, i.e. depending on the FBM Hurst exponent $H$. It seems then numerically proven that the Zipf exponent of a persistent signal is more influenced by the trend than that of an antipersistent signal. It appears that the conjectured law $\zeta ' = |2H-1|$ only holds near $H=0.5$. We have also introduced considerations based on the notion of a {\it time dependent Zipf law} along the signal.Comment: 24 pages, 12 figures; to appear in Int. J. Modern Phys

Space acceleration measurement system triaxial sensor head error budget

The objective of the Space Acceleration Measurement System (SAMS) is to measure and record the microgravity environment for a given experiment aboard the Space Shuttle. To accomplish this, SAMS uses remote triaxial sensor heads (TSH) that can be mounted directly on or near an experiment. The errors of the TSH are reduced by calibrating it before and after each flight. The associated error budget for the calibration procedure is discussed here

An electrical probe of the phonon mean-free path spectrum

Most studies of the mean-free path accumulation function (MFPAF) rely on optical techniques to probe heat transfer at length scales on the order of the phonon mean-free path. In this paper, we propose and implement a purely electrical probe of the MFPAF that relies on photo-lithographically defined heater-thermometer separation to set the length scale. An important advantage of the proposed technique is its insensitivity to the thermal interfacial impedance and its compatibility with a large array of temperature-controlled chambers that lack optical ports. Detailed analysis of the experimental data based on the enhanced Fourier law (EFL) demonstrates that heat-carrying phonons in gallium arsenide have a much wider mean-free path spectrum than originally thought

Design of helicopter rotor blades for optimum dynamic characteristics

The possibilities and limitations of tailoring blade mass and stiffness distributions to give an optimum blade design in terms of weight, inertia, and dynamic characteristics are discussed. The extent that changes in mass of stiffness distribution can be used to place rotor frequencies at desired locations is determined. Theoretical limits to the amount of frequency shift are established. Realistic constraints on blade properties based on weight, mass, moment of inertia, size, strength, and stability are formulated. The extent that the hub loads can be minimized by proper choice of E1 distribution, and the minimum hub loads which can be approximated by a design for a given set of natural frequencies are determined. Aerodynamic couplings that might affect the optimum blade design, and the relative effectiveness of mass and stiffness distribution on the optimization procedure are investigated

The calibration of photographic and spectroscopic films: Reciprocity failure and thermal responses of IIaO film at liquid nitrogen temperatures

Reciprocity failure was examined for IIaO spectroscopic film. The results indicate reciprocity failure occurs at three distinct minimum points in time; 15 min, 30 min and 90 min. The results are unique because theory suggests only one minimum reciprocity failure point should occur. When incubating 70mm IIaO film for 15 and 30 min at temperatures of 30, 40, 50, and 60 C and then placing in a liquid nitrogen bath at a temperature of -190 C the film demonstrated an increase of the optical density when developed at a warm-up time of 30 min. Longer warm-up periods of 1, 2 and 3 hrs yield a decrease in optical density of the darker wedge patterns; whereas, shorter warm-up times yield an overall increase in the optical densities

Non-locality and Medium Effects in the Exclusive Photoproduction of Eta Mesons on Nuclei

A relativistic model for the quasifree exclusive photoproduction of $\eta$ mesons on nuclei is extended to include both non-local and medium effects. The reaction is assumed to proceed via the dominant contribution of the S$_{11}$(1535) resonance. The complicated integrals resulting from the non-locality are simplified using a modified version of a method given by Cooper and Maxwell. The non-locality effects are found to affect the magnitude of the cross section. Some possibilities reflecting the effects of the medium on the propagation and properties of the intermediate S$_{11}$ resonance are studied. The effects of allowing the S$_{11}$ to interact with the medium via mean field scalar and vector potentials are considered. Both broadening of width and reduction in mass of the resonance lead to a suppression of the calculated cross sections.Comment: 19 pages, 7 figure

Investigation and study of a multi-aperture antenna system final report, 1 jan. - 1 apr. 1964

Multiple aperture adaptive antenna system for telemetry reception from remote space vehicle

Dexamethasone, prostaglandin A, and retinoic acid modulation of murine and human melanoma cells grown in soft agar.

The cloning efficiencies of a murine melanoma cell line (S91 CCL 53.1) and a human melanoma cell strain (C8146c) were inhibited by dexamethasone (DEX), prostaglandin A1 (PGA1), and beta-all-trans-retinoic acid (RA) in a dose-dependent manner. Murine melanoma tumor colony-forming units (MTCFU) were inhibited more than 99% by DEX (1 X 10(-7) M) and RA (1 X 10(-7) M) with a concentration needed to produce a 50% reduction in colony formation for both hormones of 5 X 10(-9) M. Combinations of DEX and RA effected a synergistic inhibition on colony formation, which was reflected by a 11/2 log reduction in the hormone concentration needed to produce a greater than 99% inhibition of colony formation. When PGA1 was added to DEX and RA, a greater than additive reduction in colony formation was observed. Human MTCFU from cell strain C8146c were inhibited more than 85% at an RA concentration of 1 X 10(-7) M, but they were reduced only to 40% of control at a DEX concentration of 1 X 10(-6) M. DEX-RA produced an additive inhibition of colony formation. Addition of submaximal amounts of PGA1 to DEX-RA combinations or to either hormone alone resulted in synergistic reduction of human MTCFU. These results demonstrated that the proliferative potential of human and murine melanomas can be simultaneously regulated by DEX, PGA1, and RA