1,892 research outputs found
Power loss in open cavity diodes and a modified Child Langmuir Law
Diodes used in most high power devices are inherently open. It is shown that
under such circumstances, there is a loss of electromagnetic radiation leading
to a lower critical current as compared to closed diodes. The power loss can be
incorporated in the standard Child-Langmuir framework by introducing an
effective potential. The modified Child-Langmuir law can be used to predict the
maximum power loss for a given plate separation and potential difference as
well as the maximum transmitted current for this power loss. The effectiveness
of the theory is tested numerically.Comment: revtex4, 11 figure
3D performance capture for facial animation
This work describes how a photogrammetry based 3D capture system can be used as an input device for animation. The 3D Dynamic Capture System is used to capture the motion of a human face, which is extracted from a sequence of 3D models captured at TV frame rate. Initially the positions of a set of landmarks on the face are extracted. These landmarks are then used to provide motion data in two different ways. First, a high level description of the movements is extracted, and these can be used as input to a procedural animation package (i.e. CreaToon). Second the landmarks can be used as registration points for a conformation process where the model to be animated is modified to match the captured model. This approach gives a new sequence of models, which have the structure of the drawn model but the movement of the captured sequence
Microscopic Origin of Non-Gaussian Distributions of Financial Returns
In this paper we study the possible microscopic origin of heavy-tailed
probability density distributions for the price variation of financial
instruments. We extend the standard log-normal process to include another
random component in the so-called stochastic volatility models. We study these
models under an assumption, akin to the Born-Oppenheimer approximation, in
which the volatility has already relaxed to its equilibrium distribution and
acts as a background to the evolution of the price process. In this
approximation, we show that all models of stochastic volatility should exhibit
a scaling relation in the time lag of zero-drift modified log-returns. We
verify that the Dow-Jones Industrial Average index indeed follows this scaling.
We then focus on two popular stochastic volatility models, the Heston and
Hull-White models. In particular, we show that in the Hull-White model the
resulting probability distribution of log-returns in this approximation
corresponds to the Tsallis (t-Student) distribution. The Tsallis parameters are
given in terms of the microscopic stochastic volatility model. Finally, we show
that the log-returns for 30 years Dow Jones index data is well fitted by a
Tsallis distribution, obtaining the relevant parameters.Comment: 13 pages, 4 figures. Several clarifying comments, new references and
acknowledgments adde
Geometry of escort distributions
Given an original distribution, its statistical and probabilistic attributs
may be scanned by the associated escort distribution introduced by Beck and
Schlogl and employed in the formulation of nonextensive statistical mechanics.
Here, the geometric structure of the one-parameter family of the escort
distributions is studied based on the Kullback-Leibler divergence and the
relevant Fisher metric. It is shown that the Fisher metric is given in terms of
the generalized bit-variance, which measures fluctuations of the crowding index
of a multifractal. The Cramer-Rao inequality leads to the fundamental limit for
precision of statistical estimate of the order of the escort distribution. It
is also quantitatively discussed how inappropriate it is to use the original
distribution instead of the escort distribution for calculating the expectation
values of physical quantities in nonextensive statistical mechanics.Comment: 12 pages, no figure
Connecting N-representability to Weyl's problem: The one particle density matrix for N = 3 and R = 6
An analytic proof is given of the necessity of the Borland-Dennis conditions
for 3-representability of a one particle density matrix with rank 6. This may
shed some light on Klyachko's recent use of Schubert calculus to find general
conditions for N-representability
Individual and collective stock dynamics: intra-day seasonalities
We establish several new stylised facts concerning the intra-day
seasonalities of stock dynamics. Beyond the well known U-shaped pattern of the
volatility, we find that the average correlation between stocks increases
throughout the day, leading to a smaller relative dispersion between stocks.
Somewhat paradoxically, the kurtosis (a measure of volatility surprises)
reaches a minimum at the open of the market, when the volatility is at its
peak. We confirm that the dispersion kurtosis is a markedly decreasing function
of the index return. This means that during large market swings, the
idiosyncratic component of the stock dynamics becomes sub-dominant. In a
nutshell, early hours of trading are dominated by idiosyncratic or sector
specific effects with little surprises, whereas the influence of the market
factor increases throughout the day, and surprises become more frequent.Comment: 9 pages, 7 figure
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