Bayesian modeling of financial returns: A relationship between volatility and trading volume

The modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed. Copyright © 2009 John Wiley & Sons, Ltd.     

Quantum Information of the Aharanov–Bohm Ring with Yukawa Interaction in the Presence of Disclination

We investigate quantum information by a theoretical measurement approach of an Aharanov–Bohm (AB) ring with Yukawa interaction in curved space with disclination. We obtained the so-called Shannon entropy through the eigenfunctions of the system. The quantum states considered come from Schrödinger theory with the AB field in the background of curved space. With this entropy, we can explore the quantum information at the position space and reciprocal space. Furthermore, we discussed how the magnetic field, the AB flux, and the topological defect influence the quantum states and the information entropy.     

On the representation of a class of contractive matrix-valued functions

By a decomposition of L₊²(Cⁿ) in two orthogonal subspaces we obtain a representation of a matrix-valued function of the class $\text{J}$Π, defined by Arov (Darlington realization of matrix-valued functions, Izv. Akad. Nauk. SSSR, Ser. Mat. Tom.37 (1973), No. 6); (Math. USSR Izvestija7 (1973), No. 6, 1295–1326). Real matrix-valued functions of this class play an important role in methods of synthesis of scattering matrices of linear passive n-ports.     

Comparison results for the volume of geodesic celestial spheres in Lorentzian manifolds

Volume comparison results are obtained for the volume of geodesic celestial spheres in Lorentzian manifolds and the corresponding objects in Lorentzian space forms. Also, as a rigidity result it is shown that the volume of geodesic celestial spheres is independent of the instantaneous observer if and only if the spacetime has constant curvature.     

Isoparametric submanifolds in two-dimensional complex space forms

We show that an isoparametric submanifold of a complex hyperbolic plane, according to the definition of Heintze, Liu and Olmos’, is an open part of a principal orbit of a polar action. We also show that there exists a non-isoparametric submanifold of the complex hyperbolic plane that is isoparametric according to the definition of Terng’s. Finally, we classify Terng-isoparametric submanifolds of two-dimensional complex space forms.     

The Extended Relativity Theory in Born-Clifford Phase Spaces with a Lower and Upper Length Scales and Clifford Group Geometric Unification

We construct the Extended Relativity Theory in Born-Clifford-Phase spaces with an upper R and lower length λ scales (infrared/ultraviolet cutoff). The invariance symmetry leads naturally to the real Clifford algebra Cl (2, 6, R) and complexified Clifford Cl_C (4) algebra related to Twistors. A unified theory of all Noncommutative branes in Clifford-spaces is developed based on the Moyal-Yang star product deformation quantization whose deformation parameter involves the lower/upper scale . Previous work led us to show from first principles why the observed value of the vacuum energy density (cosmological constant) is given by a geometric mean relationship , and can be obtained when the infrared scale R is set to be of the order of the present value of the Hubble radius. We proceed with an extensive review of Smith’s 8D model based on the Clifford algebra Cl (1, 7) that reproduces at low energies the physics of the Standard Model and Gravity, including the derivation of all the coupling constants, particle masses, mixing angles, ....with high precision. Geometric actions are presented like the Clifford-Space extension of Maxwell’s Electrodynamics, and Brandt’s action related to the 8D spacetime tangent-bundle involving coordinates and velocities (Finsler geometries). Finally we outline the reasons why a Clifford-Space Geometric Unification of all forces is a very reasonable avenue to consider and propose an Einstein-Hilbert type action in Clifford-Phase spaces (associated with the 8D Phase space) as a Unified Field theory action candidate that should reproduce the physics of the Standard Model plus Gravity in the low energy limit.     

Polymer chain dynamics under nanoscopic confinements

It is shown that the confinement of polymer melts in nanopores leads to chain dynamics dramatically different from bulk behavior. This so-called corset effect occurs both above and below the critical molecular mass and induces the dynamic features predicted for reptation. A spinodal demixing technique was employed for the preparation of linear poly(ethylene oxide) (PEO) confined to nanoscopic strands that are in turn embedded in a quasi-solid and impenetrable methacrylate matrix. Both the molecular weight of the PEO and the mean diameter of the strands were varied to a certain degree. The chain dynamics of the PEO in the molten state was examined with the aid of field-gradient NMR diffusometry (time scale, 10(-2)-10(0) s) and field-cycling NMR relaxometry (time scale, 10(-9)-10(-4) s). The dominating mechanism for translational displacements probed in the nanoscopic strands by either technique is shown to be reptation. On the time scale of spin-lattice relaxation time measurements, the frequency dependence signature of reptation (i.e., T1 approximately nu(3/4)) showed up in all samples. A "tube" diameter of only 0.6 nm was concluded to be effective on this time scale even when the strand diameter was larger than the radius of gyration of the PEO random coils. This corset effect is traced back to the lack of the local fluctuation capacity of the free volume in nanoscopic confinements. The confinement dimension is estimated at which the crossover from confined to bulk chain dynamics is expected.     

Modeling of one-dimensional smoldering of polyurethane in microgravity conditions

Results are presented from a model of forward smoldering combustion of polyurethane foam in microgravity. The transient one-dimensional numerical-model is based on that developed at the University of Texas at Austin. The conservation equations of energy, species, and mass in the porous solid and in the gas phases are numerically solved. The solid and the gas phases are not assumed to be in thermal or in chemical equilibrium. The chemical reactions modeled consist of foam oxidation and pyrolysis reactions, as well as char oxidation. The model has been modified to account for new polyurethane kinetics parameters and radial heat losses to the surrounding environment. The kinetics parameters are extracted from thermogravimetric analyses published in the literature and using Genetic Algorithms as the optimization technique. The model results are compared with previous tests of forward smoldering combustion in microgravity conducted aboard the NASA Space Shuttle. The model calculates well the propagation velocities and the overall smoldering characteristics. Direct comparison of the solution with the experimental temperature profiles shows that the model predicts well these profiles at high temperature, but not as well at lower temperatures. The effect of inlet gas velocity is examined, and the minimum airflow for ignition is identified. It is remarkable that this one-dimensional model with simplified kinetics is capable of predicting cases of smolder ignition but with no self-propagation away from the igniter region. The model is used for better understanding of the controlling mechanisms of smolder combustion for the purpose of fire safety, both in microgravity and normal gravity, and to extend the unique microgravity data to wider conditions avoiding the high cost of space-based experiments.     

Exponential stability for laminated beams with a frictional damping

We study a laminated beam which consists of two identical layers of uniform thickness, taking into account that an adhesive of small thickness is bonding the two surfaces thereby producing an interfacial slip. We show that when the frictional damping acts on the effective rotation angle there is no need for any other kind of internal or boundary control to produce exponential stability for the system.     

The trace of totally positive algebraic integers

For all totally positive algebraic numbers except a finite number of explicit exceptions, the following inequality holds:

\max(1.780022,1.66+\alpha_1), \end{displaymath}">

where is the degree of and its conjugates. This improves previous results of Smyth, Flammang and Rhin.