Stability of Markovian structure observed in high frequency foreign exchange data

Contrary to the common sense in economics and financial engineering, price fluctuations at very fine level of motion exhibit various evidences against the efficient market hypothesis. We attempt to investigate this issue by studying extensive amount of foreign currency exchange data for over five years at the finest level of resolution. We specifically focus on the proposed stability in binomial conditional probabilities originally found in much smaller examples of financial time series. In order to handle very large data, we have written an efficient program in C that automatically generates those conditional probabilities. It is found that the stability is maintained for extremely large time duration that covers almost the entire period. Based on the length of conditions for which the conditional probabilities are distinguishable each other, we identify the length of memory being less than 3 movements.     

苯对N,N-二甲基甲酰胺化合物1H NMR的影响研究

本文研究了N,N-二甲基甲酰胺(DMF)在四氯化碳和苯混合溶剂中的¹H NMR。观察到N,N-二甲基甲酰胺(DMF)分子中两个甲基和混合溶剂中苯的共振吸收峰的化学位移随苯的摩尔分数增加而逐渐移向高场,而且两个甲基共振吸收峰向高场移动的程度不同,α甲基较β甲基为甚。DMF分子中两个甲基和混合溶剂中苯的化学位移可以用线性方程表示(δ=A+Bx),这里x是混合溶剂中苯的摩尔分数。相关系数R接近于-1。     

热传导对气-液射流界面不稳定性的作用机理研究

研究了平面分层气-液射流在非线性温度分布条件下的界面不稳定性性质.考虑了气体的可压缩性、液体的粘性、以及气体热导率和密度随温度变化等事实.并应用正则模态方法将问题转化为四阶变系数常微分方程,用数值积分和多重打靶法对模型的空间模式进行了计算,研究了不稳定模态随各物理参量的变化趋势.计算表明模型所体现的不稳定性特征与其它模型的计算结果是一致的.同时计算还得出气体和液体的温差越小、雷诺数越大、热导率变大均将有利于液体射流有效雾化的结果.该结论与HJE.Co.Inc(Glens Falls,NY,USA)的实验数据是定性吻合的.     

亚铁磁Heusler合金Mn2CoGa和Mn2CoAl掺杂Cr,Fe和Co的局域铁磁结构

通过实验和计算的方法研究了Mn₂CoM_xGa_1-x 和Mn₂CoM_xAl_1-x (M=Cr, Fe, Co)掺杂系列合金样品. 研究发现, 在共价作用的影响下, Fe和Co原子占A位, 使被取代的MnA (-2.1 μ_B)变成MnD (3.2 μ_B), 在最近邻的强交换作用下亚铁磁基体中形成了MnB-CoC-MnD局域铁磁性结构, 使分子磁矩的增量最高可达6.18 μ_B. Fe, Co 掺杂后建立同样的局域铁磁结构, 居里温度的变化趋势却不同. 实验观察到Mn₂Co_1+xAl_1-x中掺杂容忍度高达x=0.64, 远高于在Mn₂CoGa中(x=0.36)的结果; 以及随着Al的减少, 合金由B2有序向A2混乱转变等现象, 为共价作用对合金结构稳定的影响提供了证据. 磁测量中发现Cr掺杂后磁矩增量高达3.65 μ_B以及居里温度快速上升的反常现象, 意味着对占位规则的违背.     

国内CIDEP研究进展

化学诱导动态电子极化（CIDEP）是检测瞬态顺磁粒子并表征其特征的强有力的手段,对于研究光化学和光物理瞬态过程的微观机理和规律有重要意义. 本文较为详细地总结了4种常见的CIDEP机理,讨论了各种极化谱及相应的极化条件;简要介绍了国内研究小组在CIDEP理论以及在均相溶液和微复相体系中光化学过程的CIDEP研究成果.      

外应力场下铁磁/反铁磁双层膜系统的铁磁共振性质

从系统能量出发，采用Smith和Beljers理论方法研究了铁磁/反铁磁双层膜系统在外应力场下的铁磁共振现象.本模型中铁磁薄层具有单轴磁晶各向异性和立方磁晶各向异性，而反铁磁层非常薄因而其能量可忽略.推导出了该系统的铁磁共振频率和频谱宽度的解析式.结果表明：外应力场仅在低磁场下对具有立方磁晶各向异性系统的铁磁共振有影响，且区分弱磁场和强磁场的临界场依赖于外应力场的方向. 关键词： 铁磁/反铁磁双层膜 交换偏置 铁磁共振 应力场     

Determination of the rate of rapid lipid transfer induced by poly(ethylene glycol) using the SLM Fourier transform phase and modulation spectrofluorometer

Rate constants were determined for the transfer of the fluorescent lipid probe 1-palmitoyl-2-[[2-[4-(6-phenyl-trans-1,3,5-hexatrienyl)phenyl]ethyl] oxy]carbonyl]-3-sn-phosphatidylcholine (DPHpPC) between large, unilamellar extrusion vesicles composed either of dipalmitoyl phosphatidylcholine (DPPC) or of DPPC mixed with a small amount (0.5 mol%) of lyso phosphatidylcholine (Lyso PC). Transfer of the lipid probe in the presence of varying concentrations of poly(ethylene glycol) (PEG) was monitored using the SLM 48000-MHF Multi-Harmonic Fourier Transform phase and modulation spectrofluorometer to collect multifrequency phase and modulation fluorescence data sets on a subsecond time scale. The unique ability of this instrument to yield accurate fluorescence lifetime data on this time scale allowed transfer to be detected in terms of a time-dependent change in the fluorescent lifetime distribution associated with the lipid-like DPHpPC probe. This probe demonstrates two short fluoresence decay times (ca. 1.1–1.4 and 4.3–4.8 ns) in a probe-rich environment but a single long lifetime (ca. 7 ns) in a probe-poor environment. A simple two-state model for initial lipid transfer was used to analyze the multifrequency data sets collected over a 4-s time frame to obtain the time rate of change of the concentrations of donor and acceptor probe populations following rapid mixing of vesicles with PEG. The ability to measure fluorescence lifetimes on this time scale has allowed us to show that the of rate of lipid transfer increased dramatically at 35% PEG in both fusing and nonfusing vesicle systems. These results are interpreted in terms of a distinct interbilayer structure associated with intimate bilayer contact induced by high and potentially fusogenic concentrations of PEG.     

苯对N,N-二甲基甲酰胺化合物~1H NMR的影响研究

本文研究了N,N-二甲基甲酰胺(DMF)在四氯化碳和苯混合溶剂中的~1H NMR。观察到N,N-二甲基甲酰胺(DMF)分子中两个甲基和混合溶剂中苯的共振吸收峰的化学位移随苯的摩尔分数增加而逐渐移向高场,而且两个甲基共振吸收峰向高场移动的程度不同,α甲基较β甲基为甚。DMF分子中两个甲基和混合溶剂中苯的化学位移可以用线性方程表示(δ=A+Bx),这里x是混合溶剂中苯的摩尔分数。相关系数R接近于-1。     

Clustering of financial time series

This paper addresses the topic of classifying financial time series in a fuzzy framework proposing two fuzzy clustering models both based on GARCH models. In general clustering of financial time series, due to their peculiar features, needs the definition of suitable distance measures. At this aim, the first fuzzy clustering model exploits the autoregressive representation of GARCH models and employs, in the framework of a partitioning around medoids algorithm, the classical autoregressive metric. The second fuzzy clustering model, also based on partitioning around medoids algorithm, uses the Caiado distance, a Mahalanobis-like distance, based on estimated GARCH parameters and covariances that takes into account the information about the volatility structure of time series. In order to illustrate the merits of the proposed fuzzy approaches an application to the problem of classifying 29 time series of Euro exchange rates against international currencies is presented and discussed, also comparing the fuzzy models with their crisp version.