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.     

The Largest Eigenvalue of Rank One Deformation of Large Wigner Matrices

The purpose of this paper is to establish universality of the fluctuations of the largest eigenvalue for some non-necessarily Gaussian complex Deformed Wigner Ensembles. The real model is also considered. Our approach is close to the one used by A. Soshnikov (cf. [11]) in the investigations of classical real or complex Wigner Ensembles. It is based on the computation of moments of traces of high powers of the random matrices under consideration.     

Click chemistry in materials synthesis. III. Metal‐adhesive polymers from Cu(I)‐catalyzed azide–alkyne cycloaddition

1,2,3‐Triazole‐based polymers generated from the Cu(I)‐catalyzed cycloaddition between multivalent azides and acetylenes are effective adhesive materials for metal surfaces. The adhesive capacities of candidate mixtures of azide and alkyne components were measured by a modified peel test, using a customized adhesive tester. A particularly effective tetravalent alkyne and trivalent azide combination was identified, giving exceptional strength that matches or exceeds the best commercial formulations. The addition of Cu catalyst was found to be important for the synthesis of stronger adhesive polymers when cured at room temperature. Heating also accelerated curing rates, but the maximum adhesive strengths achieved at both room temperature and high temperature were the same, suggesting that crosslinking reaches the same advanced point in all cases. Polytriazoles also form adhesives to aluminum, but copper is bound more effectively, presumably because active Cu(I) ions may be leached from the surface to promote crosslinking and adhesion. © 2007 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 45: 5182–5189, 2007     

Reactivity of a Ti–45.9Al–8Nb alloy in air at 700–900°C

A Ti–45.9Al–8Nb (at%) alloy with a lamellar structure (γ+α₂) was oxidised in air at 700, 800, 850 and 900°C in isothermal and thermal cycling conditions. The reaction progress was followed by thermogravimetric measurements. In isothermal conditions the oxidation kinetics followed approximately a parabolic rate law and the rate constants ranged from about 10^–12 kg² m^–4 s^–1 at 700°C to 10^–10 kg² m^–4 s^–1 at 900°C. The oxide scales were built of Al₂O₃ and TiO₂, the former being the main component of the outermost layer. The oxidation behaviour of Ti–45.9Al–8Nb was referred to a commercial titanium alloy, WT4 (Ti–6Al–1Mn), and selected oxidation-resistant alloys.     

False Vacuum Decay with Gravity in a Critical Case

The vacuum decay in a de Sitter universe is studied for the class of effective inflaton potentials that curvature at the top is less than as well as greater than a critical value determined previously. By comparing the actions of the Hawking - Moss instanton and the Coleman - de Luccia instanton(s) the mode of vacuum decay is determined in this critical situation.     

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.     

Thermal behavior of the maleic anhydride modified poly(3-hydroxybutyrate)

Poly(3-hydroxybutyrate), PHB has been structurally modified through reaction with maleic anhydride, MA. Transesterification reaction was carried out fixing the PHB and MA and besides time and temperature the concentration of the triethylamine (used as catalyst) was changed. Glass transition, melting and crystallization temperature obtained from DSC curves and thermal degradation temperatures obtained from TG traces were used to evaluate the influence of the reaction conditions on the modification of PHB according to factorial design. On the base of the results the optimum conditions are to perform the PHB modification reaction with MA reaction at 110°C for 1 h with 5% v/v triethylamine.     

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     

Cost–benefit modelling for reliability growth

Decisions during the reliability growth development process of engineering equipment involve trade-offs between cost and risk. However slight, there exists a chance an item of equipment will not function as planned during its specified life. Consequently the producer can incur a financial penalty. To date, reliability growth research has focussed on the development of models to estimate the rate of failure from test data. Such models are used to support decisions about the effectiveness of options to improve reliability. The extension of reliability growth models to incorporate financial costs associated with ‘unreliability’ is much neglected. In this paper, we extend a Bayesian reliability growth model to include cost analysis. The rationale of the stochastic process underpinning the growth model and the cost structures are described. The ways in which this model can be used to support cost–benefit analysis during product development are discussed and illustrated through a simple case.