Optimal investment horizons

In stochastic finance, one traditionally considers the return as a competitive measure of an asset, i.e., the profit generated by that asset after some fixed time span Δt, say one week or one year. This measures how well (or how bad) the asset performs over that given period of time. It has been established that the distribution of returns exhibits “fat tails” indicating that large returns occur more frequently than what is expected from standard Gaussian stochastic processes [1-3]. Instead of estimating this “fat tail” distribution of returns, we propose here an alternative approach, which is outlined by addressing the following question: What is the smallest time interval needed for an asset to cross a fixed return level of say 10%? For a particular asset, we refer to this time as the investment horizon and the corresponding distribution as the investment horizon distribution. This latter distribution complements that of returns and provides new and possibly crucial information for portfolio design and risk-management, as well as for pricing of more exotic options. By considering historical financial data, exemplified by the Dow Jones Industrial Average, we obtain a novel set of probability distributions for the investment horizons which can be used to estimate the optimal investment horizon for a stock or a future contract. Received 20 February 2002 Published online 25 June 2002     

Electrochemical activation of molecular nitrogen at the Ir/YSZ interface

Nitrogen is often used as an inert background atmosphere in solid state studies of electrode and reaction kinetics, of solid state studies of transport phenomena, and in applications e.g. solid oxide fuel cells (SOFC), sensors and membranes. Thus, chemical and electrochemical reactions of oxides related to or with dinitrogen are not supposed and in general not considered. We demonstrate by a steady state electrochemical polarisation experiments complemented with in situ photoelectron spectroscopy (XPS) that at a temperature of 450 °C dinitrogen can be electrochemically activated at the three phase boundary between N(2), a metal microelectrode and one of the most widely used solid oxide electrolytes--yttria stabilized zirconia (YSZ)--at potentials more negative than E = -1.25 V. The process is neither related to a reduction of the electrolyte nor to an adsorption process or a purely chemical reaction but is electrochemical in nature. Only at potentials more negative than E = -2 V did new components of Zr 3d and Y 3d signals with a lower formal charge appear, thus indicating electrochemical reduction of the electrolyte matrix. Theoretical model calculations suggest the presence of anionic intermediates with delocalized electrons at the electrode/electrolyte reaction interface. The ex situ SIMS analysis confirmed that nitrogen is incorporated and migrates into the electrolyte beneath the electrode.     

The spin density and the optical spectrum of CoCl2- 4

The CoCl^2- ₄ ion has been studied using ab initio methods at various levels of approximation (RHF, UHF, CI and MC SCF). The calculations have been performed both with and without the Madelung field from crystalline surroundings. One of the main purposes has been to investigate the spin density, and determine its dependence on both correlation and external fields. The spin density is found to be fairly dependent on correlation but rather independent of the surrounding crystal. The lower excited quartet states have been calculated using CI expansions based upon ground state RHF and MC SCF wavefunctions. The experimental spectrum is very well reproduced on the MC SCF/CI level, both with and without the Madelung field.     

Berechnung reaktionskinetischer Isotopeeffekte für Wasserstoffübertragungs-reaktionen in Systemen mit Benzolderivaten in Abhängigkeit von Substituenten

Für die Wasserstoffübertragungsreaktionen zwischen Cumol und dem Cumolperoxyradikal sowie zwischen Toluol, Äthylbenzol, Cumol und Brom werden die Verhältnisse der Geschwindigkeitskonstanten k_H/k_D im Rahmen der Eyringschen Theorie unter Verwendung der Methode von Johnston (BEBO) berechnet, in Abhängigkeit von Substituenten am Benzolring. In der genannten Reihenfolge ergeben sich die Verhältnisse k_H/k_D zu: 4,76; 7,40; 6,75; 6,30 (T = 320 °K) und z. B. für die Übertragungsreaktionen zwischen p-Methyl-, p-Methoxy-, p-Nitro-Cumol und den entsprechenden Peroxyradikalen die Werte k_H/k_D; 4,71; 4,51; 4,83. Dabei werden modifizierungen der Methode von Johnston zur Festlegung der im Übergangskomplex realisierten Bindungsordnung vorgenommen, indem die Exponenten p und q (BEBO-Methode) auf eine neue Art bestimmt und die zu den beteiligten Bindungen gehörenden Überlappungsintegrale in die Ermittlung der Struktur des Übergangskomplexes einbezogen werden.     

Isotopieeffekte in Ladungsübertragungsreaktionen

Für Ladungsübertragungsreaktionen im. Bereich niedriger kinetischer Energien zwischen Edelgasionen (He⁺, Ar⁺) und zweiatomigen Molekülen (¹⁴N₂, ¹⁵N₂) werden Wirkungsquerschnitte und Isotopieeffekte im Rahmen der statistischen phasenraumtheorie berechnet. Bei niedrlgen kinetischen Energien zeigt das statistische Modell wesentliche Isotopieeffekte und inverse Isotopieeffekte in speziellen Reaktionskanälen.     

Microfabricated ion traps

Ion traps offer the opportunity to study fundamental quantum systems with a high level of accuracy highly decoupled from the environment. Individual atomic ions can be controlled and manipulated with electric fields, cooled to the ground state of motion with laser cooling and coherently manipulated using optical and microwave radiation. Microfabricated ion traps hold the advantage of allowing for smaller trap dimensions and better scalability towards large ion trap arrays also making them a vital ingredient for next generation quantum technologies. Here we provide an introduction into the principles and operation of microfabricated ion traps. We show an overview of material and electrical considerations which are vital for the design of such trap structures. We provide guidance on how to choose the appropriate fabrication design, consider different methods for the fabrication of microfabricated ion traps and discuss previously realised structures. We also discuss the phenomenon of anomalous heating of ions within ion traps, which becomes an important factor in the miniaturisation of ion traps.     

Modeling and Simulation of Rate-Dependent Magneto-Active Polymers

In the present work, the magneto-viscoelastic behavior of MAPs is studied by a thermodynamically consistent constitutive model. A finite deformation based framework of nonlinear magneto-viscoelastic coupling is introduced with a multiplicative decomposition of the deformation gradient. The viscosity is captured by evolution equations of the internal variables introduced. We propose energy functions for pure magnetic and magneto-mechanical coupling such that saturation behavior of the magnetostriction and magnetization is captured. After having established the general framework, the model is studied for homogeneous deformations for the purpose of a least-square-based parameter identification from experimental data. The model predictions of non-linear magneto-mechanical responses with strong rate and field dependency are presented. (© 2014 Wiley-VCH Verlag GmbH & Co. KGaA, Weinheim)     

Transition in the propagation mechanism during flame acceleration in porous media

The combustion of stoichiometric hydrogen-air at various initial pressures was investigated in a 7.62 cm square cross-section channel filled with 1.27 cm diameter beads. The flame time-of-arrival and pressure time history along the channel were obtained by ionization probes and piezoelectric pressure transducers. Flame acceleration was found to be very rapid, e.g. at an initial pressure of 45 kPa the flame achieves a velocity of over 600 m/s in roughly 0.3 m. It was determined that at this high speed a well defined planar shock wave precedes a thick reaction zone. It was also shown that there is a transition in the flame propagation mechanism, similar to that observed in an obstacle laden channel [G. Ciccarelli and C. Johansen, The role of shock-flame interactions on flame acceleration in an obstacle laden channel, Proc. 22nd International Colloquium on the Dynamics of Explosions and Reactive Systems, Minsk, 2009]. By varying the initial pressure of the mixture, changes in the axial location of the transition between combustion propagation regimes was also observed. A soot foil technique was used to identify the transition in the propagation mechanism, as well as to provide information concerning the local flow field around the beads and the overall average flow direction.