Statistical inference and modelling of momentum in stock prices

The following results are obtained, (i) It is possible to obtain a time series of market data {y(t)} in which the fluctuations in fundamental value have been compensated for. An objective test of the efficient market hypothesis (EMH), which would predict random correlations about a constant value, is thereby possible, (ii) A time series procedure can be used to determine the extent to which the differences in the data and the moving averages are significant. This provides a model of the form y(t)-y(t-l)=0.5{y(t- l)-y(t-2)}+ε(t)+0.8ε(r-1) where ε(t) is the error at time t, and the coefficients 0.5 and 0.8 are determined from the data. One concludes that today's price is not a random perturbation from yesterday's; rather, yesterday's rate of change is a significant predictor of today's rate of change. This confirms the concept of momentum that is crucial to market participants. (iii) The model provides out-of-sample predictions that can be tested statistically. (iv) The model and coefficients obtained in this way can be used to make predictions on laboratory experiments to establish an objective and quantitative link between the experiments and the market data. These methods circumvent the central difficulty in testing market data, namely, that changes in fundamentals obscure intrinsic trends and autocorrelations. This procedure is implemented by considering the ratio of two similar funds (Germany and Future Germany) with the same manager and performing a set of statistical tests that have excluded fluctuations in fundamental factors. For the entire data of the first 1149 days beginning with the introduction of the latter fund, a standard runs test indicates that the data is 29 standard deviations away from that which would be expected under a hypothesis of random fluctuations about the fundamental value. This and other tests provide strong evidence against the efficient market hypothesis and in favour of autocorrelations in the data. An ARIMA time series finds strong evidence (9.6 and 21.6 standard deviations in the two coefficients) that the data is described by a model that involves the first difference, indicating that momentum is the significant factor. The first quarter's data is used to make out-of-sample predictions for the second quarter with results that are significant to 3 standard deviations. Finally, the ARIMA model and coefficients are used to make predictions on laboratory experiments of Porter and Smith in which the intrinsic value is clear. The model's forecasts are decidedly more accurate than that of the null hypothesis of random fluctuations about the fundamental value.     

Accurate mass determination,quantification and determination of detection limits in liquid chromatography–high-resolution time-of-flight mass spectrometry: Challenges and practical solutions

Uniform guidelines for the data processing and validation of qualitative and quantitative multi-residue analysis using full-spectrum high-resolution mass spectrometry are scarce.     

Ideal optomechanically induced transparency generation in a cavity optoelectromechanical system

The ideal optomechanically induced transparency effects of an output probe field are investigated in a cavity optoelectromechanical system, which is composed of an optical cavity, a charged mechanical resonator, and a charged object.Although the charged mechanical resonator damping rate is nonzero, the ideal optomechanically induced transparency can still appear due to the non-rotating wave approximation effect in the system. The location of optomechanically induced transparency dip can be controlled via the Coulomb coupling strength. In addition, we find that both the transparency window width and the maximum dispersion curve slope are closely related to the optical cavity decay rate.     

Accuracy of high‐order density‐based compressible methods in low Mach vortical flows

At low Mach numbers, Godunov‐type approaches, based on the method of lines, suffer from an accuracy problem. This paper shows the importance of using the low Mach number correction in Godunov‐type methods for simulations involving low Mach numbers by utilising a new, well‐posed, two‐dimensional, two‐mode Kelvin–Helmholtz test case. Four independent codes have been used, enabling the examination of several numerical schemes. The second‐order and fifth‐order accurate Godunov‐type methods show that the vortex‐pairing process can be captured on a low resolution with the low Mach number correction applied down to 0.002. The results are compared without the low Mach number correction and also three other methods, a Lagrange‐remap method, a fifth‐order accurate in space and time finite difference type method based on the wave propagation algorithm, and fifth‐order spatial and third‐order temporal accurate finite volume Monotone Upwind Scheme for Conservation Laws (MUSCL) approach based on the Godunov method and Simple Low Dissipation Advection Upstream Splitting Method (SLAU) numerical flux with low Mach capture property. The ability of the compressible flow solver of the commercial software, ANSYS FLUENT , in solving low Mach flows is also demonstrated for the two time‐stepping methods provided in the compressible flow solver, implicit and explicit. Results demonstrate clearly that a low Mach correction is required for all algorithms except the Lagrange‐remap approach, where dissipation is independent of Mach number. © 2013 Crown copyright. International Journal for Numerical Methods in Fluids. © 2013 John Wiley & Sons, Ltd.     

Effects of multi-Schell beams on orbital angular momentum of entangled signal photons in low-order turbulence aberration channels

We model the detection and crosstalk probability of orbital angular momentum (OAM) states of the entangled signal photon in the Kolmogorov channels of the low-order turbulence aberrations and by the Rytov approximation. The results show that lower OAM mode number of signal photons and larger sub-beam number of multi-Gaussian Schell-model pump beam, the less susceptible of the detection probability of the signal photon to spatial coherence of source and turbulence aberrations is achieved. The maximum crosstalk probability is decrease as the decreasing of the sub-beam number of multi-Gaussian Schell-model. Enlarging OAM difference value or decreasing sub-beam number of multi-Gaussian Schell-model pump beam results in a lower crosstalk probability of the OAM of entangled signal photons.     

Projectile fragment emission in the fragmentation of 56Fe on C,Al and CH2 targets at 471 A MeV

The emission angle and the transverse momentum distributions of projectile fragments produced in the fragmentation of 56Fe on CHs, C and A1 targets at 471 A MeV are measured. It is found that for the same target, the average value and width of the angular distribution decrease with an increase of the projectile fragment charge; for the same projectile fragment, the average value of the distribution increases and the width of the distribution decreases with increasing the target charge number. The transverse momentum distribution of a projectile fragment can be explained by a single Gaussian distribution and the averaged transverse momentum per nucleon decreases with the increase of the charge of projectile fragment. The cumulated squared transverse momentum distribution of a projectile fragment can be explained well by a single Rayleigh distribution. The temperature parameter of the emission source of the projectile fragment, calculated from the cumulated squared transverse momentum distribution, decreases with the increase of the size of the projectile fragment.     

Quantitative assessment of motion correction for high angular resolution diffusion imaging

Several methods have been proposed for motion correction of high angular resolution diffusion imaging (HARDI) data. There have been few comparisons of these methods, partly due to a lack of quantitative metrics of performance. We compare two motion correction strategies using two figures of merit: displacement introduced by the motion correction and the 95% confidence interval of the cone of uncertainty of voxels with prolate tensors. What follows is a general approach for assessing motion correction of HARDI data that may have broad application for quality assurance and optimization of postprocessing protocols. Our analysis demonstrates two important issues related to motion correction of HARDI data: (1) although neither method we tested was dramatically superior in performance, both were dramatically better than performing no motion correction, and (2) iteration of motion correction can improve the final results. Based on the results demonstrated here, iterative motion correction is strongly recommended for HARDI acquisitions.     

A model of nonlinear electrodynamics

A new model of nonlinear electrodynamics with two parameters is investigated. We also consider a model with one dimensional parameter. It was shown that the electric field of a point-like charge is not singular at the origin and there is the finiteness of the static electric energy of point-like charged particle. We obtain the canonical and symmetrical Belinfante energy–momentum tensors and dilatation currents. It is demonstrated that the dilatation symmetry and dual symmetry are broken in the models suggested. We have calculated the static electric energy of point-like particles.