Markovian approximation in foreign exchange markets

In this paper, using the exit-time statistic, we study the structure of the price variations for the high-frequency data set of the bid–ask Deutschemark/US dollar exchange rate quotes registered by the inter-bank Reuters network over the period October 1, 1992 to September 30, 1993. Having rejected random-walk models for the returns, we propose a Markovian model which reproduce the available information of the financial series. Besides the usual correlation analysis we have verified the validity of this model by means of other tools all inspired by information theory. These techniques are not only severe tests of the approximation but also evidence of some aspects of the data series which have a clear financial relevance.     

State-specific reactions and autoionization dynamics of Ar produced by synchrotron radiation

The long-lived excited states of doubly charged rare gases can markedly affect their reactivity. In this paper we demonstrate the presence of strong state-specific effects in the charge exchange of Ar²⁺ (³P, ¹D and ¹S) with several neutral targets (He, Ne, Kr, Xe, D₂, and CH₄). State sensitive measurements have been performed by producing the different Ar²⁺ electronic states via tunable synchrotron radiation (Elettra-Trieste, Italy and SuperACO-Orsay, France). From the product ion yield data of charge transfer, state-selected total cross-sections have been deduced. Using the state-specific reactivity of Ar²⁺ towards different neutral targets, it has been possible to extract the photon-energy-dependent production branching of the three doubly charged states and to investigate the autoionization dynamics of neutral or singly charged Ar in the vicinity of the double ionization threshold.     

Yield criteria for quasibrittle and frictional materials: A generalization to surfaces with corners

Convexity of a yield function (or phase-transformation function) and its relations to convexity of the corresponding yield surface (or phase-transformation surface) is essential to the invention, definition and comparison with experiments of new yield (or phase-transformation) criteria. This issue was previously addressed only under the hypothesis of smoothness of the surface, but yield surfaces with corners (for instance, the Hill, Tresca or Coulomb–Mohr yield criteria) are known to be of fundamental importance in plasticity theory. The generalization of a proposition relating convexity of the function and the corresponding surface to nonsmooth yield and phase-transformation surfaces is provided in this paper, together with the (necessary to the proof) extension of a theorem on nonsmooth elastic potential functions. While the former of these generalizations is crucial for yield and phase-transformation functions, the latter may find applications for potential energy functions describing phase-transforming materials, or materials with discontinuous locking in tension, or contact of a body with a discrete elastic/frictional support.     

Rationality in families of threefolds

We prove that in a family of projective threefolds defined over an algebraically closed field, the locus of rational fibers is a countable union of closed subsets of the locus of separably rationally connected fibers. When the ground field has characteristic zero, this implies that the locus of rational fibers in a smooth family of projective threefolds is the union of at most countably many closed subfamilies.     

CAESAR models for developmental toxicity

Background

The new REACH legislation requires assessment of a large number of chemicals in the European market for several endpoints. Developmental toxicity is one of the most difficult endpoints to assess, on account of the complexity, length and costs of experiments. Following the encouragement of QSAR (in silico) methods provided in the REACH itself, the CAESAR project has developed several models.

Results

Two QSAR models for developmental toxicity have been developed, using different statistical/mathematical methods. Both models performed well. The first makes a classification based on a random forest algorithm, while the second is based on an adaptive fuzzy partition algorithm. The first model has been implemented and inserted into the CAESAR on-line application, which is java-based software that allows everyone to freely use the models.

Conclusions

The CAESAR QSAR models have been developed with the aim to minimize false negatives in order to make them more usable for REACH. The CAESAR on-line application ensures that both industry and regulators can easily access and use the developmental toxicity model (as well as the models for the other four endpoints).

     

A new on-line solid phase extraction high performance liquid chromatography tandem mass spectrometry method to study the sun light photodegradation of mono-chloroanilines in river water

The study investigates the natural photodegradation pathway of mono-chloroanilines in river waters, with the aim to identify the predominant photoproducts formed. At this purpose a new sensitive on-line SPE HPLC–MS/MS method has been developed with LOQ values equal or lower than the legal threshold concentration levels allowed for mono-chloroanilines in waters. The degradation processes of o-, m- and p-chloroaniline have been investigated subjecting their solutions, prepared both in ultrapure and in river water, to sun light irradiation simulated by a solar box system. The SPE HPLC–MS/MS methodology allowed to evaluate the degradation kinetics, to identify the predominant photodegradation products and to propose the chemical structures. Two photoproducts (aniline and 3-aminophenol), for which standards are available, have also been quantified.     

Triggering rogue waves in opposing currents

We show that rogue waves can be triggered naturally when a stable wave train enters a region of an opposing current flow. We demonstrate that the maximum amplitude of the rogue wave depends on the ratio between the current velocity U(0) and the wave group velocity c(g). We also reveal that an opposing current can force the development of rogue waves in random wave fields, resulting in a substantial change of the statistical properties of the surface elevation. The present results can be directly adopted in any field of physics in which the focusing nonlinear Schr?dinger equation with nonconstant coefficient is applicable. In particular, nonlinear optics laboratory experiments are natural candidates for verifying experimentally our results.     

Proposed search for a fourth neutrino with a PBq antineutrino source

Several observed anomalies in neutrino oscillation data can be explained by a hypothetical fourth neutrino separated from the three standard neutrinos by a squared mass difference of a few eV(2). We show that this hypothesis can be tested with a PBq (ten kilocurie scale) (144)Ce or (106)Ru antineutrino beta source deployed at the center of a large low background liquid scintillator detector. In particular, the compact size of such a source could yield an energy-dependent oscillating pattern in event spatial distribution that would unambiguously determine neutrino mass differences and mixing angles.     

Tricritical point in heterogeneous k-core percolation

k-core percolation is an extension of the concept of classical percolation and is particularly relevant to understanding the resilience of complex networks under random damage. A new analytical formalism has been recently proposed to deal with heterogeneous k-cores, where each vertex is assigned a local threshold k(i). In this Letter we identify a binary mixture of heterogeneous k-cores which exhibits a tricritical point. We investigate the new scaling scenario and calculate the relevant critical exponents, by analytical and computational methods, for Erd?s-Rényi networks and 2D square lattices.