Realized volatility and absolute return volatility: a comparison indicating market risk

Measuring volatility in financial markets is a primary challenge in the theory and practice of risk management and is essential when developing investment strategies. Although the vast literature on the topic describes many different models, two nonparametric measurements have emerged and received wide use over the past decade: realized volatility and absolute return volatility. The former is strongly favored in the financial sector and the latter by econophysicists. We examine the memory and clustering features of these two methods and find that both enable strong predictions. We compare the two in detail and find that although realized volatility has a better short-term effect that allows predictions of near-future market behavior, absolute return volatility is easier to calculate and, as a risk indicator, has approximately the same sensitivity as realized volatility. Our detailed empirical analysis yields valuable guidelines for both researchers and market participants because it provides a significantly clearer comparison of the strengths and weaknesses of the two methods.ZZ, ZQ, BL thank "Econophysics and Complex Networks" fund number R-144-000-313-133 from National University of Singapore (www.nus.sg). TT thanks Japan Society for the Promotion of Science Grant (www.jsps.go.jp/english/e-grants/) Number 25330047. HES thanks Defense Threat Reduction Agency (www.dtra.mil) (Grant HDTRA-1-10-1-0014, Grant HDTRA-1-09-1-0035) and National Science Foundation (www.nsf.gov) (Grant CMMI 1125290). ZZ thanks Chinese Academy of Sciences (english.cas.cn) Grant Number Y4FA030A01. The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript. (R-144-000-313-133 - National University of Singapore; 25330047 - Japan Society for the Promotion of Science Grant; HDTRA-1-10-1-0014 - Defense Threat Reduction Agency; HDTRA-1-09-1-0035 - Defense Threat Reduction Agency; CMMI 1125290 - National Science Foundation; Y4FA030A01 - Chinese Academy of Sciences)Published versio

Total Variation Regularized Tensor RPCA for Background Subtraction from Compressive Measurements

Background subtraction has been a fundamental and widely studied task in video analysis, with a wide range of applications in video surveillance, teleconferencing and 3D modeling. Recently, motivated by compressive imaging, background subtraction from compressive measurements (BSCM) is becoming an active research task in video surveillance. In this paper, we propose a novel tensor-based robust PCA (TenRPCA) approach for BSCM by decomposing video frames into backgrounds with spatial-temporal correlations and foregrounds with spatio-temporal continuity in a tensor framework. In this approach, we use 3D total variation (TV) to enhance the spatio-temporal continuity of foregrounds, and Tucker decomposition to model the spatio-temporal correlations of video background. Based on this idea, we design a basic tensor RPCA model over the video frames, dubbed as the holistic TenRPCA model (H-TenRPCA). To characterize the correlations among the groups of similar 3D patches of video background, we further design a patch-group-based tensor RPCA model (PG-TenRPCA) by joint tensor Tucker decompositions of 3D patch groups for modeling the video background. Efficient algorithms using alternating direction method of multipliers (ADMM) are developed to solve the proposed models. Extensive experiments on simulated and real-world videos demonstrate the superiority of the proposed approaches over the existing state-of-the-art approaches.Comment: To appear in IEEE TI

Feedback-induced nonlinearity and superconducting on-chip quantum optics

Quantum coherent feedback has been proven to be an efficient way to tune the dynamics of quantum optical systems and, recently, those of solid-state quantum circuits. Here, inspired by the recent progress of quantum feedback experiments, especially those in mesoscopic circuits, we prove that superconducting circuit QED systems, shunted with a coherent feedback loop, can change the dynamics of a superconducting transmission line resonator, i.e., a linear quantum cavity, and lead to strong on-chip nonlinear optical phenomena. We find that bistability can occur under the semiclassical approximation, and photon anti-bunching can be shown in the quantum regime. Our study presents new perspectives for engineering nonlinear quantum dynamics on a chip.Comment: 10 pages, 9 figure

A Model of Two-Way Selection System for Human Behavior

We propose a model of two-way selection system. It appears in the processes like choosing a mate between men and women, making contracts between job hunters and recruiters, and trading between buyers and sellers. In this paper, we propose a model of two-way selection system, and present its analytic solution for the expectation of successful matching total and the regular pattern that the matching rate trends toward an inverse proportion to either the ratio between the two sides or the ratio of the state total to the smaller people number. The proposed model is verified by empirical data of the matchmaking fairs. Results indicate that the model well predicts this typical real-world two- way selection behavior to the bounded error extent, thus it is helpful for understanding the dynamics mechanism of the real-world two-way selection system.Comment: 8 pages, 4 figure

Noise suppression of on-chip mechanical resonators by chaotic coherent feedback

We propose a method to decouple the nanomechanical resonator in optomechanical systems from the environmental noise by introducing a chaotic coherent feedback loop. We find that the chaotic controller in the feedback loop can modulate the dynamics of the controlled optomechanical system and induce a broadband response of the mechanical mode. This broadband response of the mechanical mode will cut off the coupling between the mechanical mode and the environment and thus suppress the environmental noise of the mechanical modes. As an application, we use the protected optomechanical system to act as a quantum memory. It's shown that the noise-decoupled optomechanical quantum memory is efficient for storing information transferred from coherent or squeezed light

Suppressing nano-scale stick-slip motion by feedback

When a micro cantilever with a nano-scale tip is manipulated on a substrate with atomic-scale roughness, the periodic lateral frictional force and stochastic fluctuations may induce stick-slip motion of the cantilever tip, which greatly decreases the precision of the nano manipulation. This unwanted motion cannot be reduced by open-loop control especially when there exist parameter uncertainties in the system model, and thus needs to introduce feedback control. However, real-time feedback cannot be realized by the existing virtual reality virtual feedback techniques based on the position sensing capacity of the atomic force microscopy (AFM). To solve this problem, we propose a new method to design real-time feedback control based on the force sensing approach to compensate for the disturbances and thus reduce the stick-slip motion of the cantilever tip. Theoretical analysis and numerical simulations show that the controlled motion of the cantilever tip tracks the desired trajectory with much higher precision. Further investigation shows that our proposal is robust under various parameter uncertainties. Our study opens up new perspectives of real-time nano manipulation.Comment: 8 pages, 10 figure

Experimental study of contact transition control incorporating joint acceleration feedback

Joint acceleration and velocity feedbacks are incorporated into a classical internal force control of a robot in contact with the environment. This is intended to achieve a robust contact transition and force tracking performance for varying unknown environments, without any need of adjusting the controller parameters, A unified control structure is proposed for free motion, contact transition, and constrained motion in view of the consumption of the initial kinetic energy generated by a nonzero impact velocity. The influence of the velocity and acceleration feedbacks, which are introduced especially for suppressing the transition oscillation, on the postcontact tracking performance is discussed. Extensive experiments are conducted on the third joint of a three-link direct-drive robot to verify the proposed scheme for environments of various stiffnesses, including elastic (sponge), less elastic (cardboard), and hard (steel plate) surfaces. Results are compared with those obtained by the transition control scheme without the acceleration feedback. The ability of the proposed control scheme in resisting the force disturbance during the postcontact period is also experimentally investigated

Optimization of Protein-Protein Interaction Measurements for Drug Discovery Using AFM Force Spectroscopy

Increasingly targeted in drug discovery, protein-protein interactions challenge current high throughput screening technologies in the pharmaceutical industry. Developing an effective and efficient method for screening small molecules or compounds is critical to accelerate the discovery of ligands for enzymes, receptors and other pharmaceutical targets. Here, we report developments of methods to increase the signal-to-noise ratio (SNR) for screening protein-protein interactions using atomic force microscopy (AFM) force spectroscopy. We have demonstrated the effectiveness of these developments on detecting the binding process between focal adhesion kinases (FAK) with protein kinase B (Akt1), which is a target for potential cancer drugs. These developments include optimized probe and substrate functionalization processes and redesigned probe-substrate contact regimes. Furthermore, a statistical-based data processing method was developed to enhance the contrast of the experimental data. Collectively, these results demonstrate the potential of the AFM force spectroscopy in automating drug screening with high throughput

Hyperspectral Image Restoration via Total Variation Regularized Low-rank Tensor Decomposition

Hyperspectral images (HSIs) are often corrupted by a mixture of several types of noise during the acquisition process, e.g., Gaussian noise, impulse noise, dead lines, stripes, and many others. Such complex noise could degrade the quality of the acquired HSIs, limiting the precision of the subsequent processing. In this paper, we present a novel tensor-based HSI restoration approach by fully identifying the intrinsic structures of the clean HSI part and the mixed noise part respectively. Specifically, for the clean HSI part, we use tensor Tucker decomposition to describe the global correlation among all bands, and an anisotropic spatial-spectral total variation (SSTV) regularization to characterize the piecewise smooth structure in both spatial and spectral domains. For the mixed noise part, we adopt the $\ell_1$ norm regularization to detect the sparse noise, including stripes, impulse noise, and dead pixels. Despite that TV regulariztion has the ability of removing Gaussian noise, the Frobenius norm term is further used to model heavy Gaussian noise for some real-world scenarios. Then, we develop an efficient algorithm for solving the resulting optimization problem by using the augmented Lagrange multiplier (ALM) method. Finally, extensive experiments on simulated and real-world noise HSIs are carried out to demonstrate the superiority of the proposed method over the existing state-of-the-art ones.Comment: 15 pages, 20 figure

Iso-level tool path planning for free-form surfaces

The aim of tool path planning is to maximize the efficiency against some given precision criteria. In practice, scallop height should be kept constant to avoid unnecessary cutting, while the tool path should be smooth enough to maintain a high feed rate. However, iso-scallop and smoothness often conflict with each other. Existing methods smooth iso-scallop paths one-by-one, which make the final tool path far from being globally optimal. This paper proposes a new framework for tool path optimization. It views a family of iso-level curves of a scalar function defined over the surface as tool path so that desired tool path can be generated by finding the function that minimizes certain energy functional and different objectives can be considered simultaneously. We use the framework to plan globally optimal tool path with respect to iso-scallop and smoothness. The energy functionals for planning iso-scallop, smoothness, and optimal tool path are respectively derived, and the path topology is studied too. Experimental results are given to show effectiveness of the proposed methods