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

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

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 $\beta$ 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

Why do Hurst exponents of traded value increase as the logarithm of company size?

The common assumption of universal behavior in stock market data can sometimes lead to false conclusions. In statistical physics, the Hurst exponents characterizing long-range correlations are often closely related to universal exponents. We show, that in the case of time series of the traded value, these Hurst exponents increase logarithmically with company size, and thus are non-universal. Moreover, the average transaction size shows scaling with the mean transaction frequency for large enough companies. We present a phenomenological scaling framework that properly accounts for such dependencies.Comment: 10 pages, 4 figures, to appear in the Proceedings of the International Workshop on Econophysics of Stock Markets and Minority Games, Calcutta, 200

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

Hybrid moulds : the use of combined techniques for the rapid manufacturing of injection moulds

"Virtual modeling and rapid manufacturing : advanced research in virtual and rapid prototyping : proceedings of the 2nd International Conference on Advanced Research and Rapid Prototyping, Leiria, Portugal, 28 September - 1 October, 2005 (VR@P 2005)". ISBN 0-415-39062-1Injection moulding is the major polymer processing technique. The mould is a key element of this process and its characteristics have a key importance on the parts produced. The fabrication of products with higher added value, especially in terms of production time and costs, is essential for the success of the mouldmaking industry within a global competitive environment. This paper presents the concept of hybrid mould, a recent concept for injection moulding of prototype and short series. Direct and indirect rapid tooling technologies can be used for the fabrication of these moulds. Hence, new design guidelines need to be defined to produce these moulds as well to assess its performance. Epoxy tooling and selective laser sintering are the two rapid tooling technologies explored to produce inserts for hybrid-moulds. This work studies the fabrication of hybrid-moulds through these rapid tooling technologies, as well its mechanical and thermal behaviour.(undefined

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 $\tau$ 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

T-Life: um programa de treino da capacidade de reconhecimento emocional em pessoas com perturbações do espectro autista

Os indivíduos com défices de relacionamento interpessoal, especificamente com Perturbação do Espectro Autista (PEA), apresentam dificuldades em reconhecer emoções em si e nos outros, evidenciando claro prejuízo no funcionamento social e tarefas interpessoais do quotidiano. O Reconhecimento das Expressões Faciais (REF) tem sido estudado na tentativa de compreensão dos défices no reconhecimento emocional. Inúmeros trabalhos tentam promover o reconhecimento emocional facial em indivíduos com PEA, mas não através da síntese da face em tempo real. As novas tecnologias, nomeadamente a Realidade Virtual, parecem ser muito promissoras no trabalho com as PEA (Eynon, 1997, cit. in Beardon et al., 2001; Strickland et al., 1996), pois vão ao encontro das necessidades/características destes indivíduos ao permitirem: o controlo na apresentação dos estímulos; a introdução de modificações graduais para permitir a generalização; a garantia de situações seguras de aprendizagem, a intervenção individualizada e customizada e a interacção com computadores, factor motivador que permite a aprendizagem de forma não ansiogénica (Strickland, 1997). A abordagem que estamos a desenvolver e a testar reflecte todos estes pressupostos e enquadra-se numa tipologia de jogo. What a feeling é um videojogo que apresenta como finalidade melhorar a capacidade de indivíduos, social e emocionalmente diminuídos, no reconhecimento de emoções através da expressão facial. O jogo desenvolvido permite, através de um conjunto de exercícios, que qualquer pessoa de qualquer idade possa interagir com modelos 3D e aprender sobre as expressões da face. O jogo é baseado em síntese facial em tempo real. Nesta comunicação descreveremos a mecânica da nossa metodologia de aprendizagem e apresentaremos algumas linhas de orientação para trabalho futuro, resultante dos estudos desenvolvidos com os protótipos testados