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.     

Homothetic self-similar solutions of three-dimensional Brans-Dicke gravity

All homothetic self-similar solutions of the Brans-Dicke scalar field in three-dimensional spacetime with circular symmetry are found in closed form.     

A Quantum-Like Description of the Planetary Systems

The Titius–Bode law for planetary distances is reviewed. A model describing the basic features of this rule in the “quantum-like” language of a wave equation is proposed. Some considerations about the ’t Hooft idea on the quantum behavior of deterministic systems with dissipation are discussed.     

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.     

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     

Phase Measurement Algorithm in Wavelength Scanned Fizeau Interferometer

Wavelength scanned interferometry allows the simultaneous measurement of top surface shape and optical thickness variation of a transparent object consisting of several parallel surfaces. Interference signals from these surfaces can be separated in frequency space, and their phases are detected by discrete Fourier analysis. However, these signal frequencies are shifted from the detection frequency by the refractive index dispersion of the object and a nonlinearity of the wavelength scanning. The Fourier analysis is sensitive to the detuning of the signal frequency and suffers from the multiple-beam interference noise. Conventional error-compensating algorithms cannot be applied to an object consisting of more than three reflecting surfaces. We derive a new 2N-1 sample error-compensating algorithm, which allows the phase detection of any order of harmonic frequency among the interference signals. The new algorithm suppresses the effect of signal frequency detuning as well as the multiple-beam interference noise and can be applied to the measurement of complex objects consisting of more than three reflecting surfaces.     

The 7th Asian Symposium on Visualization

The 7th Asian Symposium on Visualization (7ASV) was successfully held in Singapore from 3^rd to 7^th November 2003. This event was originally scheduled from 26^th to 30^th May 2003, but had to be postponed because of the outbreak of SARS (Severe Acute Respiratory Syndrome) in some parts of the world. A total number of 122 participants attended the Symposium of which, 107 were foreign participants from 16 countries (excluding Singapore) worldwide. There were 104 papers covering broad range of topics presented at the Symposium which were delivered in 2×7 long sessions, and 9 keynote papers.