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.     

Analysis of transient wave scattering from an inclusion with an unilateral smoothly contact interface by BEM

Summary A 2D time-domain Boundary Element Method (BEM) is applied to solve the problem of transient scattering of plane waves by an inclusion with a unilateral smooth contact interface. The incident wave is assumed strong enough so that localized separations take place along the interface. The present problem is indeed a nonlinear boundary value problem since the mixed boundary conditions involve unknown intervals (separation and contact regions). In order to determine the unknown intervals, an iterative technique is developed. As an example, we consider the scattering of plane waves by the cross section of a circular cylinder embedded in an infinite solid. Numerical results for the near field solutions are presented. The distortion of the response waves and the variation of the interface states are discussed. The financial support by the China National Natural Science Foundation under Grant No. 19872001 and No. 59878004 is gratefully acknowledged. The second author is also grateful to the support of the National Science Fund for Distinguished Young Scholars under Grant No. 10025211.     

The influence of hard‐segments on two‐phase structure and shape memory properties of PCL‐based segmented polyurethanes

Poly(ε‐caprolactone)‐based segmented polyurethanes (PCLUs) were prepared from poly(ε‐caprolactone) diol, diisocyanates (DI), and 1,4‐butanediol. The DIs used were 4,4′‐diphenylmethane diisocyanate (MDI), 2,4‐toluenediisocyanate (TDI), isophorone diisocyanate (IPDI), and hexamethylene diisocyanate (HDI). Differential scanning calorimetry, small‐angle X‐ray scattering, and dynamic mechanical analysis were employed to characterize the two‐phase structures of all PCLUs. It was found that HDI‐ and MDI‐based PCLUs had higher degree of microphase separation than did IPDI‐ and TDI‐based PCLUs, which was primarily due to the crystallization of HDI‐ and MDI‐based hard‐segments. As a result, the HDI‐based PCLU exhibited the highest recovery force up to 6 MPa and slowest stress relaxation with increasing temperature. Besides, it was found that the partial damage in hard‐segment domains during the sample deformation was responsible for the incomplete shape‐recovery of PCLUs after the first deformation, but the damage did not develop during the subsequent deformation. © 2007 Wiley Periodicals, Inc. J Polym Sci Part B: Polym Phys 45: 557–570, 2007     

Synthesis of graft copolymers with “V‐shaped” and “Y‐shaped” side chains via controlled radical and anionic polymerizations

A combination of nitroxide‐mediated radical polymerization and living anionic polymerization was used to synthesize a series of well‐defined graft (co)polymers with “V‐shaped” and “Y‐shaped” branches. The polymer main chain is a copolymer of styrene and p‐chloromethylstyrene (PS‐co‐PCMS) prepared via nitroxide‐mediated radical polymerization. The V‐shaped branches were prepared through coupling reaction of polystyrene macromonomer, carrying 1,1‐diphenylethylene terminus, with polystyryllithium or polyisoprenyllithium. The Y‐shaped branches were prepared throughfurther polymerization initiated by the V‐shaped anions. The obtained branches, carrying a living anion at the middle (V‐shaped) or at the end of the third segment (Y‐shaped), were coupled in situ with pendent benzyl chloride of PS‐co‐PCMS to form the target graft (co)polymers. The purified graft (co)polymers were analyzed by size exclusion chromatography equipped with a multiangle light scattering detector and a viscometer. The result shows that the viscosities and radii of gyration of the branched polymers are remarkably smaller than those of linear polystyrene. In addition, V‐shaped product adopts a more compact conformation in dilute solution than the Y‐shaped analogy. © 2007 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 45: 4013–4025, 2007     

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.     

Metallothionein as a biomarker for mercury in tissues of rat fed orally with cinnabar

Cinnabar, as one of the most widely used mineral drugs in traditional Chinese medicines, has been proven to have prominent curative effects in clinical use for more than 2000 years. But the safety and toxicity of the drug has been under constant debate in clinic usage. Metallothionein (MT) contains about 30% of cysteine in the molecule, and plays an important detoxification role against heavy metals. In this study, it was used as a biomarker to assess mercurial accumulation in rats fed orally with cinnabar. After feeding rats with cinnabar by gastric gavage at different dosages and at different times, the distribution of heavy metals (including mercury, copper and zinc) and MT was investigated among rat tissues, including liver, kidney, heart, brain, testis and blood. Metals and MT determinations were carried out using inductively coupled plasma mass spectrometry (ICP‐MS) and a modified mercury saturation assay technique respectively. The results indicated that mercury was easily accumulated in the tissues of rats exposed to cinnabar, especially in kidney. For example: at a feeding dosage of 5 g kg^?1 (bw) for 4 weeks, the mercury concentrations in kidney were 13, 8.7, 21.6 and 26 times those in liver, testis, brain and heart respectively; and at 2.5 g kg^?1 (bw) for 2 weeks, the mercury concentrations in kidney were 21, 2.1, 3 and 21 times those in liver, testis, brain and heart respectively. In addition, mercury in kidney and liver of all cinnabar groups was significantly higher than that of the control group (P < 0.01). A high positive correlation observed between MT concentrations and mercury levels in both liver and kidney (R² = 0.9299, P < 0.02 for liver; R² = 0.9923, P < 0.0008 for kidney) indicated that MT could be used as a biomarker for mercury in tissues. Copyright © 2004 John Wiley & Sons, Ltd.     

Numerical analysis of the rotating viscous flow approaching a solid sphere

A numerical simulation is performed to investigate the flow induced by a sphere moving along the axis of a rotating cylindrical container filled with the viscous fluid. Three‐dimensional incompressible Navier–Stokes equations are solved using a finite element method. The objective of this study is to examine the feature of waves generated by the Coriolis force at moderate Rossby numbers and that to what extent the Taylor–Proudman theorem is valid for the viscous rotating flow at small Rossby number and large Reynolds number. Calculations have been undertaken at the Rossby numbers (R_o) of 1 and 0.02 and the Reynolds numbers (R_e) of 200 and 500. When R_o=O(1), inertia waves are exhibited in the rotating flow past a sphere. The effects of the Reynolds number and the ratio of the radius of the sphere and that of the rotating cylinder on the flow structure are examined. When R_o ? 1, as predicted by the Taylor–Proudman theorem for inviscid flow, the so‐called ‘Taylor column’ is also generated in the viscous fluid flow after an evolutionary course of vortical flow structures. The initial evolution and final formation of the ‘Taylor column’ are exhibited. According to the present calculation, it has been verified that major theoretical statement about the rotating flow of the inviscid fluid may still approximately predict the rotating flow structure of the viscous fluid in a certain regime of the Reynolds number. 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