283 research outputs found
On the distribution of high-frequency stock market traded volume: a dynamical scenario
This manuscript reports a stochastic dynamical scenario whose associated
stationary probability density function is exactly a previously proposed one to
adjust high-frequency traded volume distributions. This dynamical conjecture,
physically connected to superstatiscs, which is intimately related with the
current nonextensive statistical mechanics framework, is based on the idea of
local fluctuations in the mean traded volume associated to financial markets
agents herding behaviour. The corroboration of this mesoscopic model is done by
modelising NASDAQ 1 and 2 minute stock market traded volume
Thermoelectrical regulation of microinjection moulds
Microinjection is one of the major replication
techniques for producing low cost micro parts.
The small scale of the microinjection
processes presents different challenges from
those usually encountered in conventional injection
moulding. One particular aspect, very important for
part quality, is mould temperature control.
In conventional injection moulding, the
temperature control system is set to a fixed value
during the injection cycle. In microinjection
moulding such behaviour is not acceptable, which
as lead to the development of “active” control
temperature of the mould named “variotherm”
systems.
In the present paper a study will be presented
for the implementation of thermo electric elements
in dynamic temperature control of microinjection
moulds and its impact on the process cycle time
and part quality
Superstatistical fluctuations in time series: Applications to share-price dynamics and turbulence
We report a general technique to study a given experimental time series with
superstatistics. Crucial for the applicability of the superstatistics concept
is the existence of a parameter that fluctuates on a large time scale
as compared to the other time scales of the complex system under consideration.
The proposed method extracts the main superstatistical parameters out of a
given data set and examines the validity of the superstatistical model
assumptions. We test the method thoroughly with surrogate data sets. Then the
applicability of the superstatistical approach is illustrated using real
experimental data. We study two examples, velocity time series measured in
turbulent Taylor-Couette flows and time series of log returns of the closing
prices of some stock market indices
Statistical mixing and aggregation in Feller diffusion
We consider Feller mean-reverting square-root diffusion, which has been
applied to model a wide variety of processes with linearly state-dependent
diffusion, such as stochastic volatility and interest rates in finance, and
neuronal and populations dynamics in natural sciences. We focus on the
statistical mixing (or superstatistical) process in which the parameter related
to the mean value can fluctuate - a plausible mechanism for the emergence of
heavy-tailed distributions. We obtain analytical results for the associated
probability density function (both stationary and time dependent), its
correlation structure and aggregation properties. Our results are applied to
explain the statistics of stock traded volume at different aggregation scales.Comment: 16 pages, 3 figures. To be published in Journal of Statistical
Mechanics: Theory and Experimen
Liquidity and the multiscaling properties of the volume traded on the stock market
We investigate the correlation properties of transaction data from the New
York Stock Exchange. The trading activity f(t) of each stock displays a
crossover from weaker to stronger correlations at time scales 60-390 minutes.
In both regimes, the Hurst exponent H depends logarithmically on the liquidity
of the stock, measured by the mean traded value per minute. All multiscaling
exponents tau(q) display a similar liquidity dependence, which clearly
indicates the lack of a universal form assumed by other studies. The origin of
this behavior is both the long memory in the frequency and the size of
consecutive transactions.Comment: 7 pages, 3 figures, submitted to Europhysics Letter
Accuracy of a teleported trapped field state inside a single bimodal cavity
We propose a simplified scheme to teleport a superposition of coherent states
from one mode to another of the same bimodal lossy cavity. Based on current
experimental capabilities, we present a calculation of the fidelity that can be
achieved, demonstrating accurate teleportation if the mean photon number of
each mode is at most 1.5. Our scheme applies as well for teleportation of
coherent states from one mode of a cavity to another mode of a second cavity,
both cavities embedded in a common reservoir.Comment: 4 pages, 2 figures, in appreciation for publication in Physical
Review
On low-sampling-rate Kramers-Moyal coefficients
We analyze the impact of the sampling interval on the estimation of
Kramers-Moyal coefficients. We obtain the finite-time expressions of these
coefficients for several standard processes. We also analyze extreme situations
such as the independence and no-fluctuation limits that constitute useful
references. Our results aim at aiding the proper extraction of information in
data-driven analysis.Comment: 9 pages, 4 figure
Analysis of return distributions in the coherent noise model
The return distributions of the coherent noise model are studied for the
system size independent case. It is shown that, in this case, these
distributions are in the shape of q-Gaussians, which are the standard
distributions obtained in nonextensive statistical mechanics. Moreover, an
exact relation connecting the exponent of avalanche size distribution
and the q value of appropriate q-Gaussian has been obtained as q=(tau+2)/tau.
Making use of this relation one can easily determine the q parameter values of
the appropriate q-Gaussians a priori from one of the well-known exponents of
the system. Since the coherent noise model has the advantage of producing
different tau values by varying a model parameter \sigma, clear numerical
evidences on the validity of the proposed relation have been achieved for
different cases. Finally, the effect of the system size has also been analysed
and an analytical expression has been proposed, which is corroborated by the
numerical results.Comment: 14 pages, 3 fig
On a generalised model for time-dependent variance with long-term memory
The ARCH process (R. F. Engle, 1982) constitutes a paradigmatic generator of
stochastic time series with time-dependent variance like it appears on a wide
broad of systems besides economics in which ARCH was born. Although the ARCH
process captures the so-called "volatility clustering" and the asymptotic
power-law probability density distribution of the random variable, it is not
capable to reproduce further statistical properties of many of these time
series such as: the strong persistence of the instantaneous variance
characterised by large values of the Hurst exponent (H > 0.8), and asymptotic
power-law decay of the absolute values self-correlation function. By means of
considering an effective return obtained from a correlation of past returns
that has a q-exponential form we are able to fix the limitations of the
original model. Moreover, this improvement can be obtained through the correct
choice of a sole additional parameter, . The assessment of its validity
and usefulness is made by mimicking daily fluctuations of SP500 financial
index.Comment: 6 pages, 4 figure
Label-free Detection of Microcystin-LR in Waters Using Real-Time Potentiometric Biosensors Based on Single-Walled Carbon Nanotubes Imprinted Polymers
Microcystin-LR (MC-LR) is a dangerous toxin found in environmental waters, quantified by high performance liquid chromatography and/or enzyme-linked immunosorbent assays. Quick, low cost and on-site analysis is thus required to ensure human safety and wide screening programs. This work proposes label-free potentiometric sensors made of solid-contact electrodes coated with a surface imprinted polymer on the surface of Multi-Walled Carbon NanoTubes (CNTs) incorporated in a polyvinyl chloride membrane. The imprinting effect was checked by using non-imprinted materials. The MC-LR sensitive sensors were evaluated, characterized and applied successfully in spiked environmental waters. The presented method offered the advantages of low cost, portability, easy operation and suitability for adaptation to flow methods
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