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.     

Upper and lower bounds for the fixed spectrum frequency assignment problem

A survey of the results described in the authors PhD thesis (Montemanni 2001) is presented. The thesis, which was supervised by Prof. Derek H. Smith and Dr. Stuart M. Allen, has been defended in January 2002 at the University of Glamorgan (U.K.). The thesis proposes new heuristic algorithms, based on well-known meta-heuristic paradigms, and new lower bounding techniques, based on linear programming, for the fixed spectrum frequency assignment problem.Received: May 2003, Revised: May 2003, AMS classification: 90C27, 90C59,05C90, 90C05Roberto Montemanni: Present address: Istituto Dalle Molle di Studi sullIntelligenza Artificiale (IDSIA), Galleria 2, 6928 Manno-Lugano, Switzerland (e-mail: roberto@idsia.ch)     

Wavelet subspaces invariant under groups of translation operators

We study the action of translation operators on wavelet subspaces. This action gives rise to an equivalence relation on the set of all wavelets. We show by explicit construction that each of the associated equivalence classes is non-empty.     

Intra- and intersubject variability in acoustic measures of normal voice

Twenty-four normal adult women read part of the Rainbow Passage and sustained vowels three trials each. Utterances were assessed for selected parameters measured by Visi-Pitch (average and SD of fundamental frequency (F₀), average and SD of dBA, perturbation, and percent voiced/unvoiced/pause). Assessment of each parameter included measures of central tendency, dispersion, and distribution characteristics (skewness and kurtosis) of the data and of the ranges of values that would include 95% of the scores (95% fiduciary limits). Generally, differences for the group between the three trials were not significant. Intersubject variability for only a few parameters was less than 20% of the parameter's mean. For vowels, variability of jitter was 30–48% of the mean. Eight subjects provided performances 2 months later to obtain an estimate of intrasubject variability over time. There were desirable intrasubject correlations between performances for mean F₀, jitter in reading and on vowels /i/ and /a/, and percent of voicing. Inter- and intrasubject variability seems restricted and the data appear to resemble a normally distributed function for mean F₀ on reading, jitter on /i/, and percent of voicing. Thus, these parameters may have statistical merit for use in vocal testing.     

高压处理对BiSrCaCu2Oy超导电性的影响

 本文在高T_c超导体BiSrCaCu₂O_y常压制备的基础上，研究了热压烧结和冷压处理对其形成、结构及超导电性的影响，并与常压结果进行了比较。结果表明，高压可以使样品的合成时间缩短，合成温度降低。但同时它也抑制了晶格参数较大的相（高T_c相）的形成，使小晶格参数的杂相含量增多。对于提高样品的超导电性而言，1.5 GPa时一个较好的压力点。     

粘塑性介质中球形孔洞的动态增长

 提出了一个新的粘塑性介质中球形孔洞在高加载率作用下的演化方程。方程中考虑了应变率、局部惯性和介质的硬化效应，并对这些影响进行了数值分析和讨论。数值分析结果表明：孔洞的增长对外加载率和应变率十分敏感，在高加载率条件下局部惯性效应对孔洞增长有着重要影响，随着加载率的增加，这种影响增大。另外，得到了使孔洞增长的临界应力值的表达式。     

非欧椭圆几何的若干度量问题

本文用新方法讨论解决了n维椭圆空间Sⁿ中若干几何问题。给出了关于n维球面单形的余弦定理、高的公式、内切及外接球半径r,R以及内心I与外心Q间的距离公式。同时将著名的欧拉不等式推广到Sⁿ中。     

均匀聚焦磁场中束晕-混沌的孤子控制

采用粒子.束核模型,对均匀聚焦磁场中满足K-V分布的离子束进行模拟研究.观察到束晕.混沌现象,基于束晕.混沌的非线性控制策略,提出控制束晕.混沌的孤子函数控制器,并给出具体的实施方案.模拟研究表明,运用这种方法可以消除束晕及其再生现象,达到对束晕.混沌的有效控制.     

New type of biosensor based on magnetic nanoparticle detection

A new type of biosensor has been developed based on detection of nanosized superparamagnetic particles that serve as labels in bioreactions. The method is based on non-linear magnetic material detection by a magnetic field having components at two frequencies f₁ and f₂. The response is measured at the combinatorial frequencies f_i=mf₁+nf₂, where m and n are integers, e.g., f_i=f₁±2f₂. Several highly sensitive readers of superparamagnetic particles have been designed and used for development of various formats of immunoassays, including those compatible with immunoconcentration and magnetic enrichment of antigens.     

Investigation on improving characteristics of two-cell SBS system with CCl4/C2H5OH liquid mixture

In order to improve the performance of the two-cell stimulated Brillouin scattering （SBS） system, this paper proposes the methods of using mixtures, which require amplifier media to have small absorption rate, and generator media to have high optical breakdown threshold and Brillouin frequency shift equal to that of the amplification media. The characteristics of the two-cell SBS system are studied experimentally by using CCl4 as amplifier medium and CCl4, C2H5OH and CCl4/C2H5OH liquid mixture as generator medium pumped by Nd：YAG Q-switched laser. The obtained results show that liquid mixture in generator cell improves the power load ability, phase conjugation fidelity, energy reflectivity （ER） and ER stability.