Multivariate dynamic kernels for financial time series forecasting

The final publication is available at http://link.springer.com/chapter/10.1007/978-3-319-44781-0_40We propose a forecasting procedure based on multivariate dynamic kernels, with the capability of integrating information measured at different frequencies and at irregular time intervals in financial markets. A data compression process redefines the original financial time series into temporal data blocks, analyzing the temporal information of multiple time intervals. The analysis is done through multivariate dynamic kernels within support vector regression. We also propose two kernels for financial time series that are computationally efficient without a sacrifice on accuracy. The efficacy of the methodology is demonstrated by empirical experiments on forecasting the challenging S&P500 market.Peer ReviewedPostprint (author's final draft

New generation methods for spur, helical, and spiral-bevel gears

New methods for generating spur, helical, and spiral-bevel gears are proposed. These methods provide the gears with conjugate gear tooth surfaces, localized bearing contact, and reduced sensitivity to gear misalignment. Computer programs have been developed for simulating gear meshing and bearing contact

Spiral bevel and circular arc helical gears: Tooth contact analysis and the effect of misalignment on circular arc helical gears

A computer aided method for tooth contact analysis was developed and applied. Optimal machine-tool settings for spiral bevel gears are proposed and when applied indicated that kinematic errors can be minimized while maintaining a desirable bearing contact. The effect of misalignment for circular arc helical gears was investigated and the results indicted that directed pinion refinishing can compensate the kinematic errors due to misalignment

A Novel Non-Intrusive Method to Resolve the Thermal-Dome-Effect of Pyranometers: Radiometric Calibration and Implications

Traditionally the calibration equation for pyranometers assumes that the measured solar irradiance is solely proportional to the thermopile's output voltage; therefore only a single calibration factor is derived. This causes additional measurement uncertainties because it does not capture sufficient information to correctly account for a pyranometer's thermal effect. In our updated calibration equation, temperatures from the pyranometer's dome and case are incorporated to describe the instrument's thermal behavior, and a new set of calibration constants are determined, thereby reducing measurement uncertainties. In this paper, we demonstrate why a pyranometer's uncertainty using the traditional calibration equation is always larger than a-few-percent, but with the new approach can become much less than 1% after the thermal issue is resolved. The highlighted calibration results are based on NIST-traceable light sources under controlled laboratory conditions. The significance of the new approach lends itself to not only avoiding the uncertainty caused by a pyranometer's thermal effect but also the opportunity to better isolate and characterize other instrumental artifacts, such as angular response and non-linearity of the thermopile, to further reduce additional uncertainties. We also discuss some of the implications, including an example of how the thermal issue can potentially impact climate studies by evaluating aerosol's direct-radiative effect using field measurements with and without considering the pyranometer's thermal effect. The results of radiative transfer model simulation show that a pyranometer's thermal effect on solar irradiance measurements at the surface can be translated into a significant alteration of the calculated distribution of solar energy inside the column atmosphere

Don't bleach chaotic data

A common first step in time series signal analysis involves digitally filtering the data to remove linear correlations. The residual data is spectrally white (it is ``bleached''), but in principle retains the nonlinear structure of the original time series. It is well known that simple linear autocorrelation can give rise to spurious results in algorithms for estimating nonlinear invariants, such as fractal dimension and Lyapunov exponents. In theory, bleached data avoids these pitfalls. But in practice, bleaching obscures the underlying deterministic structure of a low-dimensional chaotic process. This appears to be a property of the chaos itself, since nonchaotic data are not similarly affected. The adverse effects of bleaching are demonstrated in a series of numerical experiments on known chaotic data. Some theoretical aspects are also discussed.Comment: 12 dense pages (82K) of ordinary LaTeX; uses macro psfig.tex for inclusion of figures in text; figures are uufile'd into a single file of size 306K; the final dvips'd postscript file is about 1.3mb Replaced 9/30/93 to incorporate final changes in the proofs and to make the LaTeX more portable; the paper will appear in CHAOS 4 (Dec, 1993

Optical Property Measurements in Turbid Media Using Frequency Domain Photon Migration

In frequency domain photon migration (FDPM), amplitude-modulated light is launched into a turbid medium, e.g. tissue, which results in the propagation of density waves of diffuse photons. Variations in the optical properties of the medium perturb the phase velocity and amplitude of the diffusing waves. These parameters can be determined by measuring the phase delay and demodulation amplitude of the waves with respect to the source. More specifically, the damped spherical wave solutions to the homogeneous form of the diffusion equation yield expressions for phase (φ) and demodulation (m) as a function of source distance, modulation frequency, absorption coefficient (β), and effective scattering coefficient (Бeff). In this work,we present analytical expressions for the variable dependence of φ and m on modulation frequency. A simple method for extracting absorption coefficients from φ and m vs. frequency plots is applied to the measurement of tissue phantoms. Using modulation frequencies between 5 MHz and 250 MHz, absorption coefficients as low as 0.024cm -l are measured in the presence of effective scattering coefficients as high as 144cm -1. Our results underscore the importance of employing multiple modulation frequencies for the quantitative determination of optical properties

Tissue Characterization and Imaging Using Photon Density Waves

The optical properties of brain tissues have been evaluated by measuring the phase velocity and attenuation of harmonically modulated light. The phase velocity for photon density waves at 650-nm wavelength has been found to be in the range of 5 to 12% of the corresponding velocity in a nonscattering medium, and the optical penetration depth was in the range 2.9 to 5.2 mm. These results are used to predict the resolution of optical imaging of deep tissue structures by diffusely propagating incoherent photons. The results indicate that structures of a few millimeters in linear dimension can be identified at 10 mm depth provided that proper wavelength and time resolution are selected. This depth can possibly be enlarged to 30 mm in the case of tissues with very low scattering such as in the case of the neonatal human brain

Wurtzite Effects on Spin Splitting of GaN/AlN Quantum Wells

A new mechanism (DeltaC1-DeltaC3 coupling) is accounted for the spin splitting of wurtzite GaN, which is originated from the intrinsic wurtzite effects (band folding and structure inversion asymmetry). The band-folding effect generates two conduction bands (DeltaC1 and DeltaC3), in which p-wave probability has tremendous change when kz approaches anti-crossing zone. The spin-splitting energy induced by the DeltaC1-DeltaC3 coupling and wurtzite structure inversion asymmetry is much larger than that evaluated by traditional Rashba or Dresselhaus effects. When we apply the coupling to GaN/AlN quantum wells, we find that the spin-splitting energy is sensitively controllable by an electric field. Based on the mechanism, we proposed a p-wave-enhanced spin-polarized field effect transistor, made of InxGa1-xN/InyAl1-yN, for spintronics application.Comment: 12 pages, 4 figures (total 16 pages

Silicon Pad Detectors for the PHOBOS Experiment at RHIC

The PHOBOS experiment is well positioned to obtain crucial information about relativistic heavy ion collisions at RHIC, combining a multiplicity counter with a multi-particle spectrometer. The multiplicity arrays will measure the charged particle multiplicity over the full solid angle. The spectrometer will be able to identify particles at mid-rapidity. The experiment is constructed almost exclusively of silicon pad detectors. Detectors of nine different types are configured in the multiplicity and vertex detector (22,000 channels) and two multi-particle spectrometers (120,000 channels). The overall layout of the experiment, testing of the silicon sensors and the performance of the detectors during the engineering run at RHIC in 1999 are discussed.Comment: 7 pages, 7 figures, 1 table, Late

The Distance To The Hyades Cluster Based On Hubble Space Telescope Fine Guidance Sensor Parallaxes

Trigonometric parallax observations made with the Hubble Space Telescope (HST) Fine Guidance Sensor (FGS) 3 of seven Hyades members in six fields of view have been analyzed along with their proper motions to determine the distance to the cluster. Knowledge of the convergent point and mean proper motion of the Hyades is critical to the derivation of the distance to the center of the cluster. Depending on the choice of the proper-motion system, the derived cluster center distance varies by 9%. Adopting a reference distance of 46.1 pc or m - M = 3.32, which is derived from the ground-based parallaxes in the General Catalogue of Trigonometric Stellar Parallaxes (1995 edition), the FK5/PPM proper-motion system yields a distance 4% larger, while the Hanson system yields a distance 2% smaller. The HST FGS parallaxes reported here yield either a 14% or 5% larger distance, depending on the choice of the proper-motion system. Orbital parallaxes (Torres et al.) yield an average distance 4% larger than the reference distance. The variation in the distance derived from the HST data illustrates the importance of the proper-motion system and the individual proper motions to the derivation of the distance to the Hyades center; therefore, a full utilization of the HST FGS parallaxes awaits the establishment of an accurate and consistent proper-motion system.NASA HST GTO, HF-1042.01-93A, HF-1046.01-93A, NAS526555Astronom