Can we predict crashes? The case of the Brazilian stock market

In this study we analyze Brazilian stock prices to detect the development of bubbles and crashes in individual stocks using a log-periodic equation. We implement a genetic algorithm to calibrate the parameters of the model and we test the methodology for the most liquid stocks traded on the Brazilian Stock Market (Bovespa). In order to evaluate whether this approach is useful we employ nonparametric statistics and test whether returns after the predicted crash are negative and lower than returns before the crash. Empirical results are consistent with the prediction hypothesis, e.g., the method applied can be used to forecast the end of asset bubbles or large corrections in stock prices.     

Characterizing bid–ask prices in the Brazilian equity market

This paper presents evidence of long-range dependence in bid–ask prices for individual equity prices in the Brazilian stock market. Moreover, using the Hurst exponent calculated by the Local Whittle method as a measure of long-range dependence, we find evidence supporting that bid–ask prices shows a stronger long-range dependence than the one usually found in closing and opening prices. Finally, we show that bid–ask prices may be characterized by a distribution that decays as a power law reinforcing the results of Plerou et al. [Quantifying fluctuations in market liquidity: analysis of the bid–ask spread, Phys. Rev. E 71 (2005) 046131].     

The impact of GARCH on asymmetric unit root tests

Using Monte Carlo simulation, threshold autoregressive (TAR) and momentum-threshold autoregressive (MTAR) asymmetric unit root tests are examined in the presence of generalised autoregressive conditional heteroskedasticity (GARCH). It is shown that TAR and MTAR unit root tests exhibit greater size distortion than the original (implicitly symmetric) Dickey–Fuller unit root test when applied to series exhibiting GARCH. Importantly, it is found that the use of consistent-threshold estimation increases the oversizing of the resulting asymmetric unit root test whether based upon the TAR or the MTAR model. The extent of oversizing of all tests considered is shown to be positively dependent upon the size of the volatility parameter of the GARCH model. The relevance of the simulation analysis conducted is supported by GARCH modelling of the term structure of US interest rates. The results of the current analysis indicate that if GARCH behaviour is suspected in economic or financial data, practitioners should interpret the results of asymmetric unit root tests with care to avoid drawing a spurious inference of stationarity. The paper concludes by suggesting future areas of research prompted by the present findings.     

Holography: an interpretation from the phase-space point of view

The formation of holograms is interpreted as the consequence of the bilinearity of the ambiguity function. Reconstruction can then be regarded as the manipulation of the ambiguity function. Specifically, we show that in the case of in-line holography, the reconstruction can be regarded as phase tomography. In this way we provide a unified picture for the formulation of both noninterferometric and interferometric phase-retrieval techniques.     

Mean reversion in the current account of forty-eight african countries: Evidence from the Panel SURADF test

Here, the Panel seemingly unrelated regressions augmented Dickey-Fuller test (SURADF) test, first introduced and advanced by Breuer et al. [Misleading inferences from panel unit-root tests with an illustration from purchasing power parity, Rev. Int. Econ. 9(3) (2001) 482-493], is used to investigate the mean-reverting behavior of the current account of 48 African countries during the 1980-2004 periods. The empirical results from numerous panel-based unit root tests, conducted earlier, indicated that the current account of each of these countries is stationary; however, when Breuer et al.'s (2001) Panel SURADF test is conducted, it is found that a unit root exists in the current account of 11 of the countries studied. These results have one extremely important policy implication for the 48 African countries studied: the current account deficit of most is sustainable, and thus signifying that those nations should have no incentive to default on their international debt.     

Lattice fermions in euclidean space-time

A very short proof of a no-go theorem for putting fermions on a lattice is given using the Poincaré-Hopf theorem. The no-go theorem forbids the lattice formulation of theories with handed fermions without species doubling. Examples of such theories are chiral invariant QCD and the Weinberg-Salam-Glashow model. We give arguments why it could be possible to circumvent the no-go theorem by relaxing one of the assumptions, viz. bilinearity of the action in the fermion fields.     

Quantifying price fluctuations in the Brazilian stock market

This paper investigates price fluctuations in the Brazilian stock market. We employ a recently developed methodology to test whether the Brazilian stock price returns present a power law distribution and find that we cannot reject such behavior. Empirical results for sub-partitions of the time series suggests that for most of the time the power law is not rejected, but that in some cases the data set does not conform with a power law distribution.     

Asymptotic Properties of Estimators for Seasonally Cointegrated State Space Models Obtained Using the CVA Subspace Method

This paper investigates the asymptotic properties of estimators obtained from the so called CVA (canonical variate analysis) subspace algorithm proposed by Larimore (1983) in the case when the data is generated using a minimal state space system containing unit roots at the seasonal frequencies such that the yearly difference is a stationary vector autoregressive moving average (VARMA) process. The empirically most important special cases of such data generating processes are the I(1) case as well as the case of seasonally integrated quarterly or monthly data. However, increasingly also datasets with a higher sampling rate such as hourly, daily or weekly observations are available, for example for electricity consumption. In these cases the vector error correction representation (VECM) of the vector autoregressive (VAR) model is not very helpful as it demands the parameterization of one matrix per seasonal unit root. Even for weekly series this amounts to 52 matrices using yearly periodicity, for hourly data this is prohibitive. For such processes estimation using quasi-maximum likelihood maximization is extremely hard since the Gaussian likelihood typically has many local maxima while the parameter space often is high-dimensional. Additionally estimating a large number of models to test hypotheses on the cointegrating rank at the various unit roots becomes practically impossible for weekly data, for example. This paper shows that in this setting CVA provides consistent estimators of the transfer function generating the data, making it a valuable initial estimator for subsequent quasi-likelihood maximization. Furthermore, the paper proposes new tests for the cointegrating rank at the seasonal frequencies, which are easy to compute and numerically robust, making the method suitable for automatic modeling. A simulation study demonstrates by example that for processes of moderate to large dimension the new tests may outperform traditional tests based on long VAR approximations in sample sizes typically found in quarterly macroeconomic data. Further simulations show that the unit root tests are robust with respect to different distributions for the innovations as well as with respect to GARCH-type conditional heteroskedasticity. Moreover, an application to Kaggle data on hourly electricity consumption by different American providers demonstrates the usefulness of the method for applications. Therefore the CVA algorithm provides a very useful initial guess for subsequent quasi maximum likelihood estimation and also delivers relevant information on the cointegrating ranks at the different unit root frequencies. It is thus a useful tool for example in (but not limited to) automatic modeling applications where a large number of time series involving a substantial number of variables need to be modelled in parallel.     

Will the leading firm continue to dominate the market in the Taiwan notebook industry?

This study investigates whether the market share leader in the notebook industry in Taiwan is likely to maintain its dominant position. Market share data are used to investigate the intensity of competitiveness in the industry, and data on the gap in market shares are employed to elucidate the dominance of the leading firm in Taiwan's notebook industry during the 1998-2004 period. The newly developed Panel SURADF tests advanced by Breuer et al. [Misleading inferences from panel unit root tests with an illustration from purchasing power parity, Rev. Int. Econ. 9 (3) (2001) 482-493] are employed to determine whether the market share gap is stationary or not. Unlike other panel-based unit root tests which are joint tests of a unit root for all members of a panel and are incapable of determining the mix of I(0) and I(1) series in a panel setting, the Panel SURADF tests have the advantage of being able to investigate a separate unit root null hypothesis for each individual panel member and are, therefore, able to identify how many and which series in a panel are stationary processes. The empirical results from several panel-based unit root tests substantiate that the market shares of the firms studied here are non-stationary, indicating that Taiwan's notebook industry is highly competitive; however, Breuer et al.'s [12] Panel SURADF tests unequivocally show that only Compal is stationary with respect to market share gap. In terms of sales volume, Compal is the second largest firm in the notebook industry in Taiwan, and the results indicate that it alone has the opportunity to become the market share leader in the notebook industry.     

A simple discrete-element-model of Brazilian test

We present a statistical model which is able to capture some interesting featuresexhibited in the Brazilian test of rock samples. The model is based on elements whichbreak irreversibly when the force experienced by the elements exceed their own loadcapacity. If an element breaks the load capacity of the neighboring elements are decreasedby a certain amount, assuming weakening effect around the defected zone. From the model wenumerically investigate the stress-strain behavior, the strength of the system, how itscales with the system size and also its fluctuation for both uniform and Weibulldistribution of breaking thresholds in the system. To check the validity of ourstatistical model we perform few Brazilian tests on Sandstone and Chalk samples. Thestress-strain curve from model results agree qualitatively well with the lab-test data.Also, the damage profile right at the point when the stress-strain curve reaches itsmaximum is seen to mimic the crack patterns observed in our Brazilian testexperiments.     

红外光谱技术的三文鱼肉假冒鉴别

国内三文鱼市场鱼龙混杂,假冒问题严重,但鉴别方法有限。采用红外光谱技术结合偏最小二乘判别分析法(PLS-DA)研究了黑龙江大马哈鱼、淡水虹鳟、智利太平洋鲑三种鱼肉对挪威三文鱼的冒充问题。采用FITR光谱仪和KBr压片法采集四种肉类的原始光谱,并对原始光谱分别进行多元散射校正(MSC)、Savitzky-Golay平滑、一阶导数(first derivative)、标准正则变换(SNV)、峰面积归一化(peak area normalization)五种预处理来消除噪声等干扰因素并确定最佳预处理方法。为建立PLS-DA鉴别模型,将四种鱼肉的光谱分别赋予-3,-1,1和3四个参考分值,建模后通过预测检测集鱼肉得分来检验模型准确性。结果表明：采用峰面积归一化法时,PLS-DA检测模型的效果最好,校正集和交叉验证集的决定系数分别为0.97和0.95。RMSEC和RMSECV分别为0.37和0.52。该模型能显著区分四种鱼肉、检测集的预测分值分别聚集在各自的参考分值附近,在阈值为±1的判别条件下预测准确度为96%。同时采用马氏距离法进一步对四种鱼肉的光谱进行分析,发现相互之间差异明显,其中挪威三文鱼与其品种差别最大的淡水虹鳟距离最大,与其比较接近的智利太平洋鲑的距离最小,红外光谱信息能够反映不同鱼肉的品种、生活环境等差异。因此,采用红外光谱技术结合PLS-DA法能够准确的鉴别出其他鱼肉对挪威三文鱼的冒充问题,同时对其他肉类检测有一定借鉴意义。     

基于ZedBoard的超分辨率视频复原系统

为了实现超分辨率视频图像的实时复原,设计了以ZedBoard可编程片上系统为基础的超分辨率视频复原系统。系统包括基于V4L2(Video for Linux 2)的USB摄像头视频采集、基于小波变换的超分辨率复原算法处理和基于Qt的图形用户界面制作以及视频输出。采用双线性、双立方和小波变换算法分别对Lena图像进行复原处理,峰值信噪比PSNR值分别为29.516、29.843、31.368。实验结果表明,提出的基于小波的超分辨率复原算法优于传统的插值算法,基于ZedBoard的超分辨视频复原系统复原效果良好。     

Testing for persistent deviations of stock prices to dividends in the Nasdaq index

In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998 for all model specifications and data periodicity. Furthermore, we do not find evidence of asymmetric adjustment of prices to dividends when using M-TAR and TAR models. The evidence of bubbles varies depending on the data periodicity and model specification used in the analysis. Finally, the results show persistent deviations of stock prices to dividends in all cases considered, though we only find evidence of bubbles in the Nasdaq index when using weekly data for the time period after June 1998.     

Searching threshold effects in the interest rate: An application to Turkey case

This paper investigates the behaviour of interest rates in Turkey using a two-regime TAR model with an autoregressive unit root. This method recently developed by Caner and Hansen [Threshold autoregression with a unit roots, Econometrica 69 (6) (2001) 1555–1596] allows to simultaneously consider non-stationarity and non-linearity. Our finding indicates that the interest rate is a non-linear series and is characterized by a unit root process over the period 1990:1–2006:5.     

Testing the neo-classical and the Newtonian theory of production

We search for regularities observed in the production of goods by studying Finnish data. Despite the heterogeneity of sectoral growth rates in Finland, unit root is observed in annual productions in all main sectors and all manufacturing industries. Thus a linear time trend exists in annual flows of production. This is inconsistent with the static neo-classical theory that assumes firms to produce at their equilibrium flow of production. A different framework is thus needed for modeling the behavior of firms. We test a Newtonian type of model for production against the neo-classical one, and our observation is that the former works better with annual data at every manufacturing industry in Finland.     

The role of banks in the Brazilian interbank market: Does bank type matter?

This paper analyzes the Brazilian interbank network structure using a complex network-based approach. Results suggest a weak evidence of community structure, high heterogeneity of the network and that this market is characterized by money centers having exposures to many banks. Furthermore, we go beyond the structure of the network using information about the characteristics of the nodes and a non-parametric test in order to understand the role of the banks in the interbanking market.     

PBX炸药动态Brazilian试验及数值模拟研究

 开展了PBX炸药的动态Brazilian试验,获得了不同加载应变率条件下的拉伸强度;通过高速摄影,获得了PBX炸药试样表面裂纹的产生发展过程;采用数字散斑相关方法,获得了试样出现裂纹前的应变场分布。利用离散元方法,开展了考虑PBX炸药细观结构的动态Brazilian数值模拟,获得了损伤演化发展、并形成裂纹的全过程,模拟结果能初步再现PBX炸药的损伤破坏过程。     

Cogeneration: One way to use biomass efficiently

Cogeneration in district heating systems is the most energy-efficient way to convert biomass into heat and electricity with current or nearly commercial technologies. Methanol produced from biomass and used in vehicles instead of petrol or diesel could reduce carbon dioxide emissions nearly as much per unit of biomass as if the biomass were used to replace natural gas for cogeneration, but at some higher cost per unit of carbon dioxide reduction. The most energy-efficient way to use biomass for cogeneration appears to be combined cycle technology, and the world's first demonstration plant is now being built. Potentially, this technology can be used for electricity production in Swedish district heating systems to provide nearly 20% of current Swedish electricity production, while simultaneously reducing carbon dioxide emissions from the district heating systems by some 55%. The heat costs from cogeneration with biomass are higher than the heat costs from fossil fuel plants at current fuel prices. Biomass can only compete with fossil fuels if other advantages, for example a lower environmental impact, are considered.     

数字微镜器件(DMD)杂散光特性测试方法及装置

为了获得数字微镜器件(DMD)的真实光学特性,提出了微镜单元杂散光分布测试方法,并搭建实验装置对2×2阵列区域微镜单元的杂散光分布情况进行测试.提出了一种杂散光测试方法,并针对微镜单元尺寸小、配置方式灵活的特点,设计了汇聚光斑大小连续可调的照明系统以及可以对微镜单元清晰成像的成像系统.通过实验得到了2×2阵列区域微镜单...