Two Papers of Financial Engineering Relating to the Risk of the 2007--2008 Financial Crisis

This dissertation studies two financial engineering and econometrics problems relating to two facets of the 2007-2008 financial crisis. In the first part, we construct the Spatial Capital Asset Pricing Model and the Spatial Arbitrage Pricing Theory to characterize the risk premiums of futures contracts on real estate assets. We also provide rigorous econometric analysis of the new models. Empirical study shows there exists significant spatial interaction among the S&P/Case-Shiller Home Price Index futures returns. In the second part, we perform empirical studies on the jump risk in the equity market. We propose a simple affine jump-diffusion model for equity returns, which seems to outperform existing ones (including models with Levy jumps) during the financial crisis and is at least as good during normal times, if model complexity is taken into account. In comparing the models, we made two empirical findings: (i) jump intensity seems to increase significantly during the financial crisis, while on average there appears to be little change of jump sizes; (ii) finite number of large jumps in returns for any finite time horizon seem to fit the data well both before and after the crisis

Study of Peeling of Single Crystal Silicon by Intense Pulsed Ion Beam

The surface peeling process induced by intense pulsed ion beam (IPIB) irradiation was studied. Single crystal silicon specimens were treated by IPIB with accelerating voltage of 350 kV current density of 130 A/cm2. It is observed that under smaller numbers of IPIB shots, the surface may undergo obvious melting and evaporation..

Study of Peeling of Single Crystal Silicon by Intense Pulsed Ion Beam

The surface peeling process induced by intense pulsed ion beam (IPIB) irradiation was studied. Single crystal silicon specimens were treated by IPIB with accelerating voltage of 350 kV current density of 130 A/cm2. It is observed that under smaller numbers of IPIB shots, the surface may undergo obvious melting and evaporation..

Study on Ablation Products of Zinc by Intense Pulsed Ion Beam Irradiation

As a kind of flash heat source, intense pulse ion beam can be used for material surface modification. The ablation effect has important influence on interaction between IPIB and material. Therefore, the understanding of ablation mechanism is of great significance to IPIB application..

Study of the intense pulsed electron beam energy spectrum from BIPPAB-450

Intense pulsed particle beams have been widely used and studied as an effective method for material surface modification in the past several decades. Beihang Intense Pulsed PArticle Beams 450 accelerator (BIPPAB-450) can produce Intense Pulsed Ion Beams (IPIB) and Electron Beams (IPEB) in two modes with different Magnetically Insulated Diodes (MID). For IPEB, the pulse duration, accelerating voltage, total beam current are 100ns, up to 450keV and 3kA, respectively..

Gait Cycle-Inspired Learning Strategy for Continuous Prediction of Knee Joint Trajectory from sEMG

Predicting lower limb motion intent is vital for controlling exoskeleton robots and prosthetic limbs. Surface electromyography (sEMG) attracts increasing attention in recent years as it enables ahead-of-time prediction of motion intentions before actual movement. However, the estimation performance of human joint trajectory remains a challenging problem due to the inter- and intra-subject variations. The former is related to physiological differences (such as height and weight) and preferred walking patterns of individuals, while the latter is mainly caused by irregular and gait-irrelevant muscle activity. This paper proposes a model integrating two gait cycle-inspired learning strategies to mitigate the challenge for predicting human knee joint trajectory. The first strategy is to decouple knee joint angles into motion patterns and amplitudes former exhibit low variability while latter show high variability among individuals. By learning through separate network entities, the model manages to capture both the common and personalized gait features. In the second, muscle principal activation masks are extracted from gait cycles in a prolonged walk. These masks are used to filter out components unrelated to walking from raw sEMG and provide auxiliary guidance to capture more gait-related features. Experimental results indicate that our model could predict knee angles with the average root mean square error (RMSE) of 3.03(0.49) degrees and 50ms ahead of time. To our knowledge this is the best performance in relevant literatures that has been reported, with reduced RMSE by at least 9.5%

Study on Ablation Products of Zinc by Intense Pulsed Ion Beam Irradiation

As a kind of flash heat source, intense pulse ion beam can be used for material surface modification. The ablation effect has important influence on interaction between IPIB and material. Therefore, the understanding of ablation mechanism is of great significance to IPIB application..

pygwb: Python-based library for gravitational-wave background searches

The collection of gravitational waves (GWs) that are either too weak or too numerous to be individually resolved is commonly referred to as the gravitational-wave background (GWB). A confident detection and model-driven characterization of such a signal will provide invaluable information about the evolution of the Universe and the population of GW sources within it. We present a new, user-friendly Python--based package for gravitational-wave data analysis to search for an isotropic GWB in ground--based interferometer data. We employ cross-correlation spectra of GW detector pairs to construct an optimal estimator of the Gaussian and isotropic GWB, and Bayesian parameter estimation to constrain GWB models. The modularity and clarity of the code allow for both a shallow learning curve and flexibility in adjusting the analysis to one's own needs. We describe the individual modules which make up {\tt pygwb}, following the traditional steps of stochastic analyses carried out within the LIGO, Virgo, and KAGRA Collaboration. We then describe the built-in pipeline which combines the different modules and validate it with both mock data and real GW data from the O3 Advanced LIGO and Virgo observing run. We successfully recover all mock data injections and reproduce published results.Comment: 32 pages, 14 figure

Large expert-curated database for benchmarking document similarity detection in biomedical literature search

Document recommendation systems for locating relevant literature have mostly relied on methods developed a decade ago. This is largely due to the lack of a large offline gold-standard benchmark of relevant documents that cover a variety of research fields such that newly developed literature search techniques can be compared, improved and translated into practice. To overcome this bottleneck, we have established the RElevant LIterature SearcH consortium consisting of more than 1500 scientists from 84 countries, who have collectively annotated the relevance of over 180 000 PubMed-listed articles with regard to their respective seed (input) article/s. The majority of annotations were contributed by highly experienced, original authors of the seed articles. The collected data cover 76% of all unique PubMed Medical Subject Headings descriptors. No systematic biases were observed across different experience levels, research fields or time spent on annotations. More importantly, annotations of the same document pairs contributed by different scientists were highly concordant. We further show that the three representative baseline methods used to generate recommended articles for evaluation (Okapi Best Matching 25, Term Frequency-Inverse Document Frequency and PubMed Related Articles) had similar overall performances. Additionally, we found that these methods each tend to produce distinct collections of recommended articles, suggesting that a hybrid method may be required to completely capture all relevant articles. The established database server located at https://relishdb.ict.griffith.edu.au is freely available for the downloading of annotation data and the blind testing of new methods. We expect that this benchmark will be useful for stimulating the development of new powerful techniques for title and title/abstract-based search engines for relevant articles in biomedical research.Peer reviewe