Numerical treatment of an asset price model with non-stochastic uncertainty

In contrast to stochastic differential equation models used for the calculation of the term structure of interest rates, we develop an approach based on linear dynamical systems under non-stochastic uncertainty with perturbations. The uncertainty is described in terms of known feasible sets of varying parameters. Observations are used in order to estimate these parameters by minimizing the maximum of the absolute value of measurement errors, which leads to a linear or nonlinear semi-infinite programming problem. A regularized logarithmic barrier method for solving (ill-posed) convex semi-infinite programming problems is suggested. In this method a multi-step proximal regularization is coupled with an adaptive discretization strategy in the framework of an interior point approach. A special deleting rule permits one to use only a part of the constraints of the discretized problems. Convergence of the method and its stability with respect to data perturbations in the cone of convexC ¹-functions are studied. On the basis of the solutions of the semi-infinite programming problems a technical trading system for future contracts of the German DAX is suggested and developed. Supported by the Stiftung Rheinland/Pfalz für Innovation, No. 8312-386261/307.     

Analysis of the structure of an amorphous sediment obtained upon decomposition of potassium oxofluroniobate in water

An amorphous sediment was prepared by the decomposition of potassium oxofluoroniobate K_{2 ? x} Nb₄O₃(O, F)₃F in water. For this sediment, the atomic radial distribution function was analyzed with the use of a fragment model, which allows one to interpret expanded coordination spheres as being formed by first several strongest diffusion maxima. These spheres carry the most reliable information on the structure. It is shown that the amorphous sediment consists of the randomly packed Nb(O,F)₆-octahedra with interatomic distances close to those observed in the ordered region in the N-Nb₂O₅ structure. During decomposition in water, the initial K_{2 ? x} Nb₄O₃(O, F)₃F phase loses KF-layers, whereas Nb₆ clusters with metal bonds are destroyed.     

On the possibility of a radical decrease in the strength of many-body interactions in the organic metal α-(BETS)<Subscript>2</Subscript> KHg(SCN)<Subscript>4</Subscript>

Behavior of the de Haas-van Alphen (dHvA) oscillations depending on the angle between the magnetic field direction and the perpendicular to conducting layers in the quasi-two-dimensional organic metal α-(BETS)₂ KHg(SCN)₄ was studied in detail. The angular dependence of the dHvA oscillation amplitude exhibits a series of minima (at ±43.2°, ±64.6°, and ±72.0°) related to the “zero spin” effect, through which it is possible to estimate the splitting factor. An analysis of this value suggests that many-body interactions in the compound studied are either absent or at least radically weakened.     

LIDAR mapping of ozone-episode dynamics in Paris and intercomparison with spot analyzers Supplementary material available at http://link.springer.de/journals/apb

Continuous mapping of an ozone episode in Paris in June 1999 has been performed using a differential absorption lidar system. The 2D ozone concentration vertical maps recorded over 33 h at the Champ de Mars are compiled in a video clip that gives access to local photochemical dynamics with unprecedented precision. The lidar data are compared over the whole period with point monitors located at 0-, 50-, and 300-m altitudes on the Eiffel Tower. Very good agreement is found when spatial resolution, acquisition time, and required concentration accuracy are optimized. Sensitivity to these parameters for successful intercomparison in urban areas is discussed. Received: 11 February 2002 / Published online: 14 March 2002     

Application of hydroacoustic radiators for the generation of seismic waves

To excite seismic waves with a high coherence, powerful hydroacoustic radiators placed in a natural reservoir were used. Theoretical estimates and the test data demonstrate a high efficiency of the proposed method of seismic wave excitation. The calculations are in good agreement with the results of measurements. The results of phasing the radiation with the use of two monopole sources separated by a quarter-wave distance are presented. It is shown that the use of the proposed scheme of excitation makes it possible to control the radiation pattern while obtaining a high coherence of seismic waves.     

Analysing the information flow between financial time series

Following the recently introduced concept of transfer entropy, we attempt to measure the information flow between two financial time series, the Dow Jones and DAX stock index. Being based on Shannon entropies, this model-free approach in principle allows us to detect statistical dependencies of all types, i.e. linear and nonlinear temporal correlations. However, when available data is limited and the expected effect is rather small, a straightforward implementation suffers badly from misestimation due to finite sample effects, making it basically impossible to assess the significance of the obtained values. We therefore introduce a modified estimator, called effective transfer entropy, which leads to improved results in such conditions. In the application, we then manage to confirm an information transfer on a time scale of one minute between the two financial time series. The different economic impact of the two indices is also recovered from the data. Numerical results are then interpreted on one hand as capability of one index to explain future observations of the other, and on the other hand within terms of coupling strengths in the framework of a bivariate autoregressive stochastic model. Evidence is given for a nonlinear character of the coupling between Dow Jones and DAX.     

Evolution of stress and strain relaxation of Ge and SiGe alloy films on Si(0 0 1)

The growth of Ge and SiGe alloy films on Si substrates has attracted considerable interest in the last years because of their importance for optoelectronic devices as well as Si-based high speed transistors. Here we give a short overview on our recent real time stress measurements of Ge and SiGe alloy films on Si(0 0 1) performed with a sensitive cantilever beam technique and accompanied by structural investigations with atomic force microscopy. Characteristic features in the stress curves provide detailed insight into the development and relief of the misfit strain. For the Stranski–Krastanow system Ge/Si(0 0 1) as well as for SiGe films with Si contents below 20%, the strain relaxation proceeds mainly into two steps: (i) by the formation of 3D islands on top of the Ge wetting layer; (ii) via misfit dislocations in larger 3D islands and upon their percolation.     

Modification of magnetic anisotropy in metallic glasses using high-energy ion beam irradiation

Heavy ion irradiation in the electronic stopping power region induces macroscopic dimensional change in metallic glasses and introduces magnetic anisotropy in some magnetic materials. The present work is on the irradiation study of ferromagnetic metallic glasses, where both dimensional change and modification of magnetic anisotropy are expected. Magnetic anisotropy was measured using Mössbauer spectroscopy of virgin and irradiated Fe₄₀Ni₄₀B₂₀ and Fe₄₀Ni₃₈Mo₄B₁₈ metallic glass ribbons. 90 MeV ¹²⁷I beam was used for the irradiations. Irradiation doses were 5×10¹³ and 7.5×10¹³ ions/cm². The relative intensity ratios D ₂₃ of the second and third lines of the Mössbauer spectra were measured to determine the magnetic anisotropy. The virgin samples of both the materials display in-plane magnetic anisotropy, i.e., the spins are oriented parallel to the ribbon plane. Irradiation is found to cause reduction in magnetic anisotropy. Near-complete randomization of magnetic moments is observed at high irradiation doses. Correlation is found between the residual stresses introduced by ion irradiation and the change in magnetic anisotropy.