Information transition in trading and its effect on market efficiency: an entropy approach

The Efficient Market Hypothesis has been well explored in terms of daily responses to market movements and financial reports. However, there is lack of evidence about information efficiency after the popularization of intraday trading. We investigate the time series properties of information adopted in the intraday market, in particular the causality effects. We use 30-min market price and news data to represent the past market data and the public information respectively, so that our analysis is in line with the EMH framework. Traders’ responses to such information are associated with the financial crisis. There was strong overreaction to market data right before the 2008 crisis and traders tend to rely more on news data during the crisis. We confirm that, in terms of the intraday information efficiency, it is worthwhile to adopt both types of information. Furthermore, there is still room for improving the price discovery process to reveal such information more effectively

Computer-assisted polyp matching between optical colonoscopy and CT colonography: a phantom study

Potentially precancerous polyps detected with CT colonography (CTC) need to be removed subsequently, using an optical colonoscope (OC). Due to large colonic deformations induced by the colonoscope, even very experienced colonoscopists find it difficult to pinpoint the exact location of the colonoscope tip in relation to polyps reported on CTC. This can cause unduly prolonged OC examinations that are stressful for the patient, colonoscopist and supporting staff. We developed a method, based on monocular 3D reconstruction from OC images, that automatically matches polyps observed in OC with polyps reported on prior CTC. A matching cost is computed, using rigid point-based registration between surface point clouds extracted from both modalities. A 3D printed and painted phantom of a 25 cm long transverse colon segment was used to validate the method on two medium sized polyps. Results indicate that the matching cost is smaller at the correct corresponding polyp between OC and CTC: the value is 3.9 times higher at the incorrect polyp, comparing the correct match between polyps to the incorrect match. Furthermore, we evaluate the matching of the reconstructed polyp from OC with other colonic endoluminal surface structures such as haustral folds and show that there is a minimum at the correct polyp from CTC. Automated matching between polyps observed at OC and prior CTC would facilitate the biopsy or removal of true-positive pathology or exclusion of false-positive CTC findings, and would reduce colonoscopy false-negative (missed) polyps. Ultimately, such a method might reduce healthcare costs, patient inconvenience and discomfort.Comment: This paper was presented at the SPIE Medical Imaging 2014 conferenc

The flow of information in trading: an entropy approach to market regimes

In this study, we use entropy-based measures to identify different types of trading behaviors.1We detect the return-driven trading using the conditional block entropy that dynamically reflects the “self-causality' of market return flows. Then we use the transfer entropy to identify the news-driven3trading activity that is revealed by the information flows from news sentiment to market returns. We argue that when certain trading behaviour becomes dominant or jointly dominant, the market will form a specific regime, namely return-, news- or mixed regime. Based on 11 years of news and market data, we find that the evolution of financial market regimes in terms of adaptive trading activities over the 2008 liquidity and euro-zone debt crises can be explicitly explained by the information flows. The proposed method can be expanded to make “causal' inferences on other types of economic phenomena

HT2005-72565 THERMAL AND ELECTROCHEMICAL THREE DIMENSIONAL CFD MODEL OF A PLANAR SOLID OXIDE ELECTROLYSIS CELL

ABSTRACT A three-dimensional computational fluid dynamics (CFD) model has been created to model high-temperature steam electrolysis in a planar solid oxide electrolysis cell (SOEC). The model represents a single cell, as it would exist in an electrolysis stack. Details of the model geometry are specific to a stack that was fabricated by Ceramatec 1 , Inc. and tested at the Idaho National Laboratory. Mass, momentum, energy, and species conservation and transport are provided via the core features of the commercial CFD code FLUENT 2 . A solid-oxide fuel cell (SOFC) model adds the electrochemical reactions and loss mechanisms and computation of the electric field throughout the cell. The FLUENT SOFC user-defined subroutine was modified for this work to allow for operation in the SOEC mode. Model results provide detailed profiles of temperature, Nernst potential, operating potential, anode-side gas composition, cathode-side gas composition, current density and hydrogen production over a range of stack operating conditions. Mean model results are shown to compare favorably with experimental results obtained from an actual ten-cell stack tested at INL

Applications of multi-variate Hawkes process to joint modelling of sentiment and market return events

To investigate the complex interactions between market events and investor sentiment, we employ a multivariate Hawkes process to evaluate dynamic effects among four types of distinct events: positive returns, negative returns, positive sentiment and negative sentiment. Using both intraday S&P 500 return data and Thomson Reuters News sentiment data from 2008 to 2014, we find: a) self-excitation is strong for all four types of events at 15 minutes time scale; b) there is a significant mutual-excitation between positive returns and positive sentiment, and negative returns and negative sentiment; c) decay of return events is almost twice as fast as sentiment events, which means market prices move faster than investor sentiment changes; d) positive sentiment shocks tend to generate negative price jumps; and e) the cross- excitation between positive and negative sentiments is stronger than their self-excitation. These findings provide further understanding of investor sentiment and its intricate interactions with market returns

THERMAL AND ELECTROCHEMICAL THREE DIMENSIONAL CFD MODEL OF A PLANAR SOLID OXIDE ELECTROLYSIS CELL

A three-dimensional computational fluid dynamics (CFD) model has been created to model high-temperature steam electrolysis in a planar solid oxide electrolysis cell (SOEC). The model represents a single cell, as it would exist in an electrolysis stack. Details of the model geometry are specific to a stack that was fabricated by Ceramatec , Inc. and tested at the Idaho National Laboratory. Mass, momentum, energy, and species conservation and transport are provided via the core features of the commercial CFD code FLUENT2. A solid-oxide fuel cell (SOFC) model adds the electrochemical reactions and loss mechanisms and computation of the electric field throughout the cell. The FLUENT SOFC user-defined subroutine was modified for this work to allow for operation in the SOEC mode. Model results provide detailed profiles of temperature, Nernst potential, operating potential, anode-side gas composition, cathode-side gas composition, current density and hydrogen production over a range of stack operating conditions. Mean model results are shown to compare favorably with experimental results obtained from an actual ten-cell stack tested at INL

Mid- to long-term capacity planning for a reliable power system in Kenya

Over the coming decades, Kenya is likely to see a large increase in electricity demand driven by economic growth and wider electrification of different sectors. At the same time, Kenya remains committed to maintain its high share of renewable generation. This study proposes a novel framework to soft link OSeMOSYS, a capacity expansion model (CEM), and FlexTool, a production cost model (PCM), to address the limitations of CEMs in the representation of variable renewable energy sources. Results show the effectiveness of the methodology in identifying critical grid issues that would have been missed by the capacity expansion model alone, especially in the case of a higher penetration of non-dispatchable sources. They also confirm that based on robust planning approaches, Kenya is well placed to maintain its very low carbon generation system under different demand growth projections, leveraging on firm generation from geothermal and high wind potential

CT colonography: external clinical validation of an algorithm for computer-assisted prone and supine registration

Purpose To perform external validation of a computer-assisted registration algorithm for prone and supine computed tomographic (CT) colonography and to compare the results with those of an existing centerline method. Materials and Methods All contributing centers had institutional review board approval; participants provided informed consent. A validation sample of CT colonographic examinations of 51 patients with 68 polyps (6–55 mm) was selected from a publicly available, HIPAA compliant, anonymized archive. No patients were excluded because of poor preparation or inadequate distension. Corresponding prone and supine polyp coordinates were recorded, and endoluminal surfaces were registered automatically by using a computer algorithm. Two observers independently scored three-dimensional endoluminal polyp registration success. Results were compared with those obtained by using the normalized distance along the colonic centerline (NDACC) method. Pairwise Wilcoxon signed rank tests were used to compare gross registration error and McNemar tests were used to compare polyp conspicuity. Results Registration was possible in all 51 patients, and 136 paired polyp coordinates were generated (68 polyps) to test the algorithm. Overall mean three-dimensional polyp registration error (mean ± standard deviation, 19.9 mm ± 20.4) was significantly less than that for the NDACC method (mean, 27.4 mm ± 15.1; P = .001). Accuracy was unaffected by colonic segment (P = .76) or luminal collapse (P = .066). During endoluminal review by two observers (272 matching tasks, 68 polyps, prone to supine and supine to prone coordinates), 223 (82%) polyp matches were visible (120° field of view) compared with just 129 (47%) when the NDACC method was used (P < .001). By using multiplanar visualization, 48 (70%) polyps were visible after scrolling ± 15 mm in any multiplanar axis compared with 16 (24%) for NDACC (P < .001). Conclusion Computer-assisted registration is more accurate than the NDACC method for mapping the endoluminal surface and matching the location of polyps in corresponding prone and supine CT colonographic acquisitions

Radiation pressure-driven plasma surface dynamics in ultra-intense laser pulse interactions with ultra-thin foils

The dynamics of the plasma critical density surface in an ultra-thin foil target irradiated by an ultra-intense ( ∼ 6 × 1020 Wcm−2 ) laser pulse is investigated experimentally and via 2D particle-in- cell simulations. Changes to the surface motion are diagnosed as a function of foil thickness. The experimental and numerical results are compared with hole-boring and light-sail models of radi- ation pressure acceleration, to identify the foil thickness range for which each model accounts for the measured surface motion. Both the experimental and numerical results show that the onset of relativistic self-induced transparency, in the thinnest targets investigated, limits the velocity of the critical surface, and thus the e ff ectiveness of radiation pressure acceleration