An Entropy-Based Approach to Measurement of Stock Market Depth

The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized. The proposed entropy-based market depth indicator is supported by an algorithm inferring the initiator of a trade. This new indicator seems to be a promising liquidity measure. Both market entropy and market liquidity can be directly measured by the new indicator. The findings of empirical experiments for real-data with a time stamp rounded to the nearest second from the Warsaw Stock Exchange (WSE) confirm that the new proxy enables us to effectively compare market depth and liquidity for different equities. Robustness tests and statistical analyses are conducted. Furthermore, an intra-day seasonality assessment is provided. Results indicate that the entropy-based approach can be considered as an auspicious market depth and liquidity proxy with an intuitive base for both theoretical and empirical analyses in financial markets.     

Market efficiency in foreign exchange markets

We investigate the relative market efficiency in financial market data, using the approximate entropy(ApEn) method for a quantification of randomness in time series. We used the global foreign exchange market indices for 17 countries during two periods from 1984 to 1998 and from 1999 to 2004 in order to study the efficiency of various foreign exchange markets around the market crisis. We found that on average, the ApEn values for European and North American foreign exchange markets are larger than those for African and Asian ones except Japan. We also found that the ApEn for Asian markets increased significantly after the Asian currency crisis. Our results suggest that the markets with a larger liquidity such as European and North American foreign exchange markets have a higher market efficiency than those with a smaller liquidity such as the African and Asian markets except Japan.     

Entropy resistance analyses of a two-stream parallel flow heat exchanger with viscous heating

Heat exchangers are widely used in industry, and analyses and optimizations of the performance of heat exchangers are important topics. In this paper, we define the concept of entropy resistance based on the entropy generation analyses of a one-dimensional heat transfer process. With this concept, a two-stream parallel flow heat exchanger with viscous heating is analyzed and discussed. It is found that the minimization of entropy resistance always leads to the maximum heat transfer rate for the discussed two-stream parallel flow heat exchanger, while the minimizations of entropy generation rate, entropy generation numbers, and revised entropy generation number do not always.     

Congestion and cascades in payment systems

We develop a parsimonious model of the interbank payment system. The model incorporates an endogenous instruction arrival process, a scale-free topology of payments between banks, a fixed total liquidity which limits banks’ capacity to process arriving instructions, and a global market that distributes liquidity. We find that at low liquidity the system becomes congested and payment settlement loses correlation with payment instruction arrival, becoming coupled across the network. The onset of congestion is evidently related to the relative values of three characteristic times: the time for banks’ net position to return to 0, the time for a bank to exhaust its liquidity endowment, and the liquidity market relaxation time. In the congested regime settlement takes place in cascades having a characteristic length scale. A global liquidity market substantially attenuates congestion, requiring only a small fraction of the payment-induced liquidity flow to achieve strong beneficial effects.     

层流对流换热中的势容耗散极值与最小熵产

在一定的约束条件下,存在一个最优的速度场,它能够使得温度场和速度场的协同程度最好,从而使得对流换热的整体传热性能达到最优。目前对传热效果的评价存在熵产最小化和势容耗散取得极值两种不同的准测。分别根据这两种优化准则,用变分方法推导了在粘性耗散一定的条件下,稳态无内热源的层流对流换热的场协同方程,并对方腔内对流换热问题进行了优化。数值计算结果表明,势容耗散取得极值时的换热效果优于熵产最小的结果,因此势容耗散极值原理更适合做为对流换热的优化准则。     

A comparison of different entransy flow definitions and entropy generation in thermal radiation optimization

In thermal radiation, taking heat flow as an extensive quantity and defining the potential as temperature T or the black body emissive power U will lead to two different definitions of radiation entransy flow and the corresponding principles for thermal radiation optimization. The two definitions of radiation entransy flow and the corresponding optimization prin ciples are compared in this paper. When the total heat flow is given, the optimization objectives of the extremum entransy dissipation principles （EEDPs） developed based on potentials T and U correspond to the minimum equivalent temperature difference and the minimum equivalent blackbody emissive power difference respectively. The physical meaning of the definition based on potential U is clearer than that based on potential T, but the latter one can be used for the coupled heat transfer optimization problem while the former one cannot. The extremum entropy generation principle （EEGP） for thermal radiation is also derived, which includes the minimum entropy generation principle for thermal radiation. When the radiation heat flow is prescribed, the EEGP reveals that the minimum entropy generation leads to the minimum equivalent thermodynamic potential difference, which is not the expected objective in heat transfer. Therefore, the minimum entropy generation is not always appropriate for thermal radiation optimization. Finally, three thermal radiation optimization examples are discussed, and the results show that the difference in optimization objective between the EEDPs and the EEGP leads to the difference between the optimization results. The EEDP based on potential T is more useful in practical application since its optimization objective is usually consistent with the expected one.     

吸收式制冷循环系统的热力学分析

从热力学观点讨论了工作温度对于制冷循环系统性能的影响。分析了与循环时间有关的温度效率和熵产数。对于一个相对较短的循环时间,吸收/解吸收热量转换器的温度效率在200秒后可以达到92%。熵产数Ns由在一个循环系统内生成的不可逆性参数和热量转换器流体有效性参数之间的比率决定。结果显示,在使用一个30℃冷源的情况下高级吸收式循环系统的熵产数Ns在热水温度是45℃至55℃之间时是相对较小的,而对于传统循环,在使用相同冷源温度的情况下,热水温度在65℃到75℃之间时,Ns是相对较小的。     

Analyses of the endoreversible Carnot cycle with entropy theory and entransy theory

The endoreversible Carnot cycle is analyzed based on the concepts of entropy generation, entropy generation number, entransy loss, and entransy loss coefficient. The relationships of the cycle output power and heat-work conversion efficiency with these parameters are discussed. For the numerical examples discussed, the preconditions of the application for these concepts are derived. When the inlet temperatures and heat capacity flow rates of hot streams and environment temperature are prescribed, the results show that the concepts of entropy generation and entransy loss are applicable. However, in the presence of various inlet temperatures of streams, larger entransy loss rate still leads to larger output power, while smaller entropy generation rate does not. When the heat capacity flow rates of hot streams are various, neither larger entransy loss rate nor smaller entropy generation rate always leads to larger output power. Larger entransy loss coefficient always leads to larger heat-work conversion efficiency for the cases discussed, while smaller entropy generation number does not always.     

Electro-osmotic nanofluid flow in a curved microchannel

Biological mechanisms offer significant improvement in the efficiency of next generation energy systems. Motivated by new developments in distensible pumping systems, ionic electro-kinetic manipulation and nanoscale liquids (”nanofluids”), in the present study a mathematical model is developed to simulate the entropy generation and electro-osmotic transport of nanofluids in a curved deformable microchannel driven by peristaltic transport. Both thermal and species (nano-particle) buoyancy effects are included and Soret and Dufour cross-diffusion effects. The appropriate conservation equations are normalized with scaled variables and the resulting dimensionless nonlinear boundary value problem is solved in a transformed coordinate system. Simplification of the mathematics is achieved via lubrication approximations and low zeta potential (Debye Hückel linearization). The effects of various parameters, i.e. electro-osmotic velocity, EDL (electrical double layer) thickness and zeta potential ratio on velocity profile and temperature profiles are computed. The effects of Brinkman number (viscous heating parameter) and Joule (electrical field heating) parameter on nano-particle concentration profiles are also simulated. The micro-channel curvature effects on the nanofluid flow characteristics and thermal characteristics are also computed. Furthermore, streamline patterns, temperature contours, nano-particles concentration contours and entropy generation rate contours are plotted for various curvature parameters. Results indicate that the curvature of the channel and electro-osmotic body force influence strongly the sources of entropy generation rate. The study finds applications in bio-inspired electro-osmotic nanofluid pumping in microscale energy applications.     

(火积)理论在热功转换过程中的应用探讨

分析和讨论了(火积)理论在热功转换过程的应用及其局限性.对Carnot循环的分析表明,Carnot循环中系统的(火积)是平衡的,但(火积)和熵之间不存在dG=T2dS这样的联系.对于一般热力学过程,分析表明,在热量传递到内可逆循环中间接对外做功时,现有的(火积)理论可用于系统的分析.讨论了热功转换过程分析中(火积)理论与熵理论的不同.分析表明,两个理论的分析角度及优化输出功的前提条件是不同的.熵产从可用能损失的角度分析热功转换过程,而(火积)理论则从热量势能消耗的角度.当输入系统的可用能给定或者输入系统的热量及热量进、出系统的热力学力给定时,熵产最小化对应于输出功最大;对于(火积)理论,则当输入系统的热量及热量进、出系统的温度给定时,最大(火积)损失对应于最大输出功.同时,它们各自均有局限性.当相应的前提条件不满足时,最大(火积)损失或最小熵产可能不与最大输出功相对应.     

The effect of turbulence-radiation interaction on radiative entropy generation and heat transfer

The analysis under the second law of thermodynamics is the gateway for optimisation in thermal equipments and systems. Through entropy minimisation techniques it is possible to increase the efficiency and overall performance of all kinds of thermal systems. Radiation, being the dominant mechanism of heat transfer in high-temperature systems, plays a determinant role in entropy generation within such equipments. Turbulence is also known to be a major player in the phenomenon of entropy generation. Therefore, turbulence-radiation interaction is expected to have a determinant effect on entropy generation. However, this is a subject that has not been dealt with so far, at least to the extent of the authors’ knowledge. The present work attempts to fill that void, by studying the effect of turbulence-radiation interaction on entropy generation. All calculations are approached in such a way as to make them totally compatible with standard engineering methods for radiative heat transfer, namely the discrete ordinates method. It was found that turbulence-radiation interaction does not significantly change the spatial pattern of entropy generation, or heat transfer, but does change significantly their magnitude, in a way approximately proportional to the square of the intensity of turbulence.     

On the efficiency of sovereign bond markets

The existence of memory in financial time series has been extensively studied for several stock markets around the world by means of different approaches. However, fixed income markets, i.e. those where corporate and sovereign bonds are traded, have been much less studied. We believe that, given the relevance of these markets, not only from the investors’, but also from the issuers’ point of view (government and firms), it is necessary to fill this gap in the literature. In this paper, we study the sovereign market efficiency of thirty bond indices of both developed and emerging countries, using an innovative statistical tool in the financial literature: the complexity-entropy causality plane. This representation space allows us to establish an efficiency ranking of different markets and distinguish different bond market dynamics. We conclude that the classification derived from the complexity-entropy causality plane is consistent with the qualifications assigned by major rating companies to the sovereign instruments. Additionally, we find a correlation between permutation entropy, economic development and market size that could be of interest for policy makers and investors.     

进口畸变条件下改善压气机性能的数值研究

依据"非定常两代流型"理论,验证了二维叶栅在均匀进气条件下,施加激励对其性能所起的改善作用,尔后重点研究了进口具有总压的周向畸变时,施加激励对其气动性能的影响。计算结果表明,在有无进口畸变时,施加一定的激励都会改善流场结构,气动参数有积极变化,压升和效率增加,特别是在流量比较小时,变化尤为明显.对于进口畸变和施加激励影响压气机性能的内在原因,从流场结构的变化方面进行了初步分析。     

基于离散伴随方法的透平叶栅气动优化设计

本文研究并给出了基于离散伴随理论和自动微分技术构建离散伴随系统的方法、伴随系统的求解策略以及基于离散伴随方法的透平叶栅气动优化设计流程,建立了相应的优化设计系统。利用该优化系统在无黏环境下,以叶栅通道进出口的熵增率为目标函数、以叶栅通道内的质量流量为约束,对某二维跨音速透平叶栅进行了气动优化设计。与优化前相比,优化后透平叶栅进出口熵增率减少8.82%,质量流量变化幅度小于0.003%。优化结果表明,本文提出的优化系统能够有效改善透平叶栅的气动优化性能,验证了本文提出的基于离散伴随方法的透平叶栅气动优化设计方法的正确性与有效性。     

Role of entropy generation minimization in thermal optimization

Thermal optimization is very important for improving the performances of thermal systems. In engineering, the entropy generation minimization(EGM) has been widely used to optimize and evaluate the performances of thermal systems.However, the consistency between the EGM and the optimization objective should be specified when the EGM is used.In this paper, we discuss the view angle of irreversibility of entropy generation, and show that entropy generation directly reflects the exergy destruction or the ability loss of doing work. As the design objective in a thermal system is not often consistent with the view angle of irreversibility of entropy generation, the EGM may not lead to the optimal value of the design objective. In heat transfer and heat-work conversion, the inconsistence between the design objectives and the EGM is shown with some examples, and the applicability of the EGM is found to be conditional. The "entropy generation paradox" in heat exchanger analyses is also discussed, and it is shown that there is no direct monotonic relation between the minimum entropy generation rate and the best heat transfer performance of heat exchangers.     

Relationship between efficiency and predictability in stock price change

In this study, we evaluate the relationship between efficiency and predictability in the stock market. The efficiency, which is the issue addressed by the weak-form efficient market hypothesis, is calculated using the Hurst exponent and the approximate entropy (ApEn). The predictability corresponds to the hit-rate; this is the rate of consistency between the direction of the actual price change and that of the predicted price change, as calculated via the nearest neighbor prediction method. We determine that the Hurst exponent and the ApEn value are negatively correlated. However, predictability is positively correlated with the Hurst exponent.     

Applicability of minimum entropy generation methodto optimizing thermodynamic cycles

Entropy generation is often used as a figure of merit in thermodynamic cycle optimizations. In this paper, it is shown that the applicability of the minimum entropy generation method to optimizing output power is conditional. The minimum entropy generation rate and the minimum entropy generation number do not correspond to the maximum output power when the total heat into the system of interest is not prescribed. For the cycles whose working medium is heated or cooled by streams with prescribed inlet temperatures and prescribed heat capacity flow rates, it is theoretically proved that both the minimum entropy generation rate and the minimum entropy generation number correspond to the maximum output power when the virtual entropy generation induced by dumping the used streams into the environment is considered. However, the minimum principle of entropy generation is not tenable in the case that the virtual entropy generation is not included, because the total heat into the system of interest is not fixed. An irreversible Carnot cycle and an irreversible Brayton cycle are analysed. The minimum entropy generation rate and the minimum entropy generation number do not correspond to the maximum output power if the heat into the system of interest is not prescribed.     

Applicability of the minimum entropy generation method for optimizing thermodynamic cycles

Entropy generation is often used as a figure of merit in thermodynamic cycle optimizations. In this paper, it is shown that the applicability of the minimum entropy generation method to optimizing output power is conditional. The minimum entropy generation rate and the minimum entropy generation number do not correspond to the maximum output power when the total heat into the system of interest is not prescribed. For the cycles whose working medium is heated or cooled by streams with prescribed inlet temperatures and prescribed heat capacity flow rates, it is theoretically proved that both the minimum entropy generation rate and the minimum entropy generation number correspond to the maximum output power when the virtual entropy generation induced by dumping the used streams into the environment is considered. However, the minimum principle of entropy generation is not tenable in the case that the virtual entropy generation is not included, because the total heat into the system of interest is not fixed. An irreversible Carnot cycle and an irreversible Brayton cycle are analysed. The minimum entropy generation rate and the minimum entropy generation number do not correspond to the maximum output power if the heat into the system of interest is not prescribed.     

机器学习在热电材料领域的应用

在追求可持续发展的未来,热电材料是不可或缺的.它在全固态发电和制冷方面具有十分广泛的应用前景.在过去的几十年间,人们一直致力于寻找新型高性能热电材料.然而,传统的实验试错法效率较低,限制了新材料的研究步伐.机器学习作为一种具有强大数据分析能力的方法,近年来已越来越多地应用于热电材料的研究.这篇综述总结了热电材料研究领域常用的机器学习方法,系统地介绍了它们在材料结构、电子和热电输运等性质上的应用案例和相关研究进展,并对该领域的发展前景进行了展望.     

Analyses of an air conditioning system with entropy generation minimization and entransy theory

In this paper,based on the generalized heat transfer law,an air conditioning system is analyzed with the entropy generation minimization and the entransy theory.Taking the coefficient of performance(denoted as COP) and heat flow rate Q~(out) which is released into the room as the optimization objectives,we discuss the applicabilities of the entropy generation minimization and entransy theory to the optimizations.Five numerical cases are presented.Combining the numerical results and theoretical analyses,we can conclude that the optimization applicabilities of the two theories are conditional.If Q~(out) is the optimization objective,larger entransy increase rate always leads to larger Q~(out),while smaller entropy generation rate does not.If we take COP as the optimization objective,neither the entropy generation minimization nor the concept of entransy increase is always applicable.Furthermore,we find that the concept of entransy dissipation is not applicable for the discussed cases.