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.     

On the Metrical Theory of Continued Fraction Mixing Fibred Systems and Its Application to Jacobi-Perron Algorithm

 We study the metrical theory of fibred systems, in particular, in the case of continued fraction mixing systems. We get the limit distribution of the largest value of a continued fraction mixing stationary stochastic process with infinite expectation and some related results. These are analogous to J. Galambos, W. Philipp, and H. G. Diamond–J. D. Vaaler theorems for the regular continued fractions. As an application, we see that these theorems hold for Jacobi-Perron algorithm. Received September 30, 2001; in revised form January 8, 2002     

Atomistic phenomena in dense fluid shock waves

The shock structure problem is one of the classical problems of fluid mechanics and at least for non-reacting dilute gases it has been considered essentially solved. Here we present a few recent findings, to show that this is not the case. There are still new physical effects to be discovered provided that the numerical technique is general enough to not rule them out a priori. While the results have been obtained for dense fluids, some of the effects might also be observable for shocks in dilute gases.     

Approximation of transient temperatures in complex geometries using fractional derivatives

It is shown that time-dependent temperatures in a transient, conductive system can be approximately modeled by a fractional-order differential equation, the order of which depends on the Biot number. This approximation is particularly suitable for complex shapes for which a first-principles approach is too difficult or computationally time-consuming. Analytical solutions of these equations can be written in terms of the Mittag-Leffler function. The approximation is especially useful if a suitable fractional-order controller is to be designed for the system.     

Grid‐free surface vorticity method applied to flow induced vibration of flexible cylinders

In order to study cross flow induced vibration of heat exchanger tube bundles, a new fluid–structure interaction model based on surface vorticity method is proposed. With this model, the vibration of a flexible cylinder is simulated at Re=2.67 × 10⁴, the computational results of the cylinder response, the fluid force, the vibration frequency, and the vorticity map are presented. The numerical results reproduce the amplitude‐limiting and non‐linear (lock‐in) characteristics of flow‐induced vibration. The maximum vibration amplitude as well as its corresponding lock‐in frequency is in good agreement with experimental results. The amplitude of vibration can be as high as 0.88D for the case investigated. As vibration amplitude increases, the amplitude of the lift force also increases. With enhancement of vibration amplitude, the vortex pattern in the near wake changes significantly. This fluid–structure interaction model is further applied to simulate flow‐induced vibration of two tandem cylinders and two side‐by‐side cylinders at similar Reynolds number. Promising and reasonable results and predictions are obtained. It is hopeful that with this relatively simple and computer time saving method, flow induced vibration of a large number of flexible tube bundles can be successfully simulated. Copyright © 2004 John Wiley & Sons, Ltd.     

Damage and fracture evaluation of granular composite materials by digital image correlation method

This paper presents the applications of digital image correlation technique to the mesoscopic damage and fracture study of some granular based composite materials including steelfiber reinforced concrete, sandstone and crystal-polymer composite. The deformation fields of the composite materials resulted from stress localization were obtained by the correlation computation of the surface images with loading steps and thus the related damage prediction and fracture parameters were evaluated. The correlation searching could be performed either directly based on the gray levels of the digital images or from the wavelet transform (WT) coefficients of the transform spectrum. The latter was developed by the authors and showed higher resolution and sensitivity to the singularity detection. Because the displacement components came from the rough surfaces of the composite materials without any coats of gratings or fringes of optical interferometry, both surface profiles and the deformation fields of the composites were visualized which was helpful to compare each other to analyze the damage of those heterogeneous materials. The project supported by the National Natural Science Foundation of China (10125211 and 10072002), the Scientific Committee of Yunnan Province for the Program of Steel Fiber Reinforced Concrete, and the Institute of Chemical Materials, CAEP at Mianyang     

<Emphasis FontCategory="NonProportional">L</Emphasis>-Matrices and solvability of linear complementarity problems by a linear program-Matrices and solvability of linear complementarity problems by a linear program

The classes ofL ₁-matrices,L ₂-matrices,L ₃-matrices andW-matrices are introduced to study solvability of a linear complementarity problem via solving a linear program. Three sufficient conditions are presented to guarantee that a linear complementarity problem is solvable via a linear program. The new sufficient conditions are weaker than the ones introduced by Mangasarian. This fact is also illustrated by an example. Partially supported by NSFC. This author is also with College of Business Administration of Human University as a Lotus chair professor.     

Synchronization in supply chains: implications for design and management

Supply chain management literature calls for coordination between the different members of the chain. Materials should be moved from one supplier to the next according to a just-in-time schedule. In this paper, we show that for many supply chain configurations, complete synchronization will result in some members of the chain being ‘losers’ in terms of cost. We develop an algorithm for optimal synchronization of supply chains and provide some guidelines for incentive alignment along the supply chain. In developing the model, we use the economic delivery and scheduling problem model and analyze supply chains dealing with single and multiple components. For single-component supply chains, we derive a closed-form expression for the optimal synchronized cycle time. For multi-component supply chains, we develop an algorithm for finding the optimal synchronized cycle time. We test the performance of the algorithm and show that it provides optimal solutions for a wide range of problems. We illustrate the models with numerical examples.     

<Emphasis Type="Italic">L</Emphasis><Subscript>1</Subscript> linear interpolator for missing values in time series

We propose a minimum mean absolute error linear interpolator (MMAELI), based on theL ₁ approach. A linear functional of the observed time series due to non-normal innovations is derived. The solution equation for the coefficients of this linear functional is established in terms of the innovation series. It is found that information implied in the innovation series is useful for the interpolation of missing values. The MMAELIs of the AR(1) model with innovations following mixed normal andt distributions are studied in detail. The MMAELI also approximates the minimum mean squared error linear interpolator (MMSELI) well in mean squared error but outperforms the MMSELI in mean absolute error. An application to a real series is presented. Extensions to the general ARMA model and other time series models are discussed. This research was supported by a CityU Research Grant and Natural Science Foundation of China.