Time-dependent scaling patterns in high frequency financial data

We measure the influence of different time-scales on the intraday dynamics of financial markets. This is obtained by decomposing financial time series into simple oscillations associated with distinct time-scales. We propose two new time-varying measures of complexity: 1) an amplitude scaling exponent and 2) an entropy-like measure. We apply these measures to intraday, 30-second sampled prices of various stock market indices. Our results reveal intraday trends where different time-horizons contribute with variable relative amplitudes over the course of the trading day. Our findings indicate that the time series we analysed have a non-stationary multifractal nature with predominantly persistent behaviour at the middle of the trading session and anti-persistent behaviour at the opening and at the closing of the session. We demonstrate that these patterns are statistically significant, robust, reproducible and characteristic of each stock market. We argue that any modelling, analytics or trading strategy must take into account these non-stationary intraday scaling patterns.     

A Bibliometric Evaluation of the Top 100 Cited Dimethyl Fumarate Articles

Dimethyl fumarate is a cytoprotective and immunomodulatory drug used in the treatment of multiple sclerosis. We performed a bibliometric study examining the characteristics and trends of the top 100 cited articles that include dimethyl fumarate in the title. On 21 September 2020 we carried out an electronic search in the Web of Science (WOS), seeking articles that include the following terms within the title: dimethyl fumarate, BG-12, or Tecfidera. To focus our investigation on original research, we refined the search to include only articles, early access, others, case report, and clinical trials. We obtained a total of 1115 items, which were cited 7169 times, had a citation density of 6.43 citations/item, and an h-index of 40. Around 2010, there was a jump in the number of published articles per year, rising from 5 articles/year up to 12 articles/year. We sorted all the items by the number of citations and selected the top 100 most cited (T100). The T100 had 4164 citations, with a density of 37 citations/year and contained 16 classic research articles. They were published between 1961 and 2018; the years 2010–2018 amassed nearly 80% of the T100. We noted 17 research areas with articles in the T100. Of these, the number one ranking went to neurosciences/neurology with 39 articles, and chemistry ranked second on the T100 list with 14 items. We noticed that the percentage of articles belonging to different journals changed depending on the time period. Chemistry held the highest number of papers during 1961–2000, while pharmacology andneurosciences/neurology led the 2001–2018 interval. A total of 478 authors from 145 institutions and 25 countries were included in the T100 ranking. The paper by Gold R et al. was the most successful with 14 articles, 1.823 citations and a density of 140.23 citations/year. The biotechnological company Biogen led the T100 list with 20 articles. With 59 published articles, the USA was the leading country in publications. We concluded that this study analyzed the use of and research on dimethyl fumarate from a different perspective, which will allow the readership (expert or not) to understand the relevance of classic and recent literature on this topic.     

Experimental and Theoretical Studies on the Magnetic Anisotropy in Lanthanide(III)‐Centered Fe3Ln Propellers

Compounds [Fe₃Ln(tea)₂(dpm)₆] ( Fe₃Ln ; Ln= Tb–Yb, H₃tea=triethanolamine, Hdpm=dipivaloylmethane) were synthesized as lanthanide(III)‐centered variants of tetrairon(III) single‐molecule magnets (Fe₄) and isolated in crystalline form. Compounds with Ln=Tb–Tm are isomorphous and show crystallographic threefold symmetry. The coordination environment of the rare earth, given by two tea^3? ligands, can be described as a bicapped distorted trigonal prism with D₃ symmetry. Magnetic measurements showed the presence of weak ferromagnetic Fe ??? Ln interactions for derivatives with Tb, Dy, Ho, and Er, and of weak antiferromagnetic or negligible coupling in complexes with Tm and Yb. Alternating current susceptibility measurements showed simple paramagnetic behavior down to 1.8 K and for frequencies reaching 10000 Hz, despite the easy‐axis magnetic anisotropy found in Fe₃Dy , Fe₃Er , and Fe₃Tm by single‐crystal angle‐resolved magnetometry. Relativistic quantum chemistry calculations were performed on Fe₃Ln (Ln=Tb–Tm): the ground J multiplet of Ln³⁺ ion is split by the crystal field to give a ground singlet state for Tb and Tm, and a doublet for Dy, Ho, and Er with a large admixture of m_J states. Gyromagnetic factors result in no predominance of g_z component along the threefold axis, with comparable g_x and g_y values in all compounds. It follows that the environment provided by the tea^3? ligands, though uniaxial, is unsuitable to promote slow magnetic relaxation in Fe₃Ln species.     

Pseudopotential-fragment spectroscopy for organic molecules and carbon allotropes

Following on from a previous work (Punter et al., IJQC 2019, 119, 23), pseudopotential sets are developed and tested for a variety of sp² and sp³ carbon fragments. These fragments contain only one or two explicit protons and electrons, and make use of non-atom-centered potentials. They are tested with density functional theory calculations in a selection of chemical environments in which several physical characteristics, including orbital and first ionization energies, are found to be well reproduced. They are then employed in the reproduction of molecular absorption spectra for large organic molecules and carbon allotropes, and are found to recreate both absorption and electronic circular dichroism spectra to a high accuracy. They are also found significantly to increase the computational efficiency of time dependent density functional theory (TDDFT) calculations in which they are used.     

Setting targets for surrogate-based optimization

In the context of surrogate-based optimization (SBO), most designers have still very little guidance on when to stop and how to use infill measures with target requirements (e.g., one-stage approach for goal seeking and optimization); the reason: optimum estimates independent of the surrogate and optimization strategy are seldom available. Hence, optimization cycles are typically stopped when resources run out (e.g., number of objective function evaluations/time) or convergence is perceived, and targets are empirically set which may affect the effectiveness and efficiency of the SBO approach. This work presents an approach for estimating the minimum (target) of the objective function using concepts from extreme order statistics which relies only on the training data (sample) outputs. It is assumed that the sample inputs are randomly distributed so the outputs can be considered a random variable, whose density function is bounded (a, b), with the minimum (a) as its lower bound. Specifically, an estimate of the minimum (a) is obtained by: (i) computing the bounds (using training data and the moment matching method) of a selected set of analytical density functions (catalog), and (ii) identifying the density function in the catalog with the best match to the sample outputs distribution and corresponding minimum estimate (a). The proposed approach makes no assumption about the nature of the objective functions, and can be used with any surrogate, and optimization strategy even with high dimensional problems. The effectiveness of the proposed approach was evaluated using a compact catalog of Generalized Beta density functions and well-known analytical optimization test functions, i.e., F2, Hartmann 6D, and Griewangk 10D and in the optimization of a field scale alkali-surfactant-polymer enhanced oil recovery process. The results revealed that: (a) the density function (from a catalog) with the best match to a function outputs distribution, was the same for both large and reduced samples, (b) the true optimum value was always within a 95% confidence interval of the estimated minimum distribution, and (c) the estimated minimum represents a significant improvement over the present best solution and an excellent approximation of the true optimum value.     

Atomic pseudopotentials for reproducing π-orbital electron behavior in sp2 carbon atoms

A pseudopotential system for an sp² carbon atom is built and tested as a building block for various pseudohydrocarbon polyenes and polycyclic aromatic hydrocarbons. This pseudosystem has a central charge of Z = 1; it contains only one electron. It is employed in ab-initio calculations in which several physical characteristics including the orbital energies and first ionization energy, as well as first excitation energy and UV spectra, are found to be well-reproduced by the pseudosystem. Remarkably, not only are the π excitation energies in good agreement with the reference calculations, but also transition densities and intensities, confirming that the virtual space obtained with the pseudopotentials is of excellent quality. Finally, this approach is capable of reproducing the π electron systems of small or large, planar or nonplanar hydrocarbons at low computational cost.     

Mathematical modeling and simulation of the reaction environment in electrochemical reactors

An electrochemical reactor, enabling controlled flow and capable of including a varied range of forms of electrodes, is important in the studies of electrochemical processes, such as energy production and storage, electrosynthesis of chemicals, electrowinning of metals, purification of water, wastewater treatment, remediation of soils, and so on, before the process development and scale-up. Here, we reviewed recent advances in modeling and simulation of the reaction environment in many electrochemical reactors used in multiple applications. The importance of computational fluid dynamics simulations to study existing reactors and to design novel reactor geometries and some components of existing cells is discussed. Aspects include the effect of electrolyte velocity on the flow dispersion, mass transport rates, and current distribution.