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.     

Synthesis of self‐photosensitizing polyesters containing donor–acceptor norbornadiene moieties and benzophenone groups and their photochemical reactions

The ring‐opening copolymerization of a glycidyl ester derivative having a benzophenone group and the donor–acceptor norbornadiene (D‐A NBD) dicarboxylic acid, 5‐(4‐methoxyphenyl)‐1,4,6,7,7‐pentamethyl‐2,5‐norbornadiene‐2,3‐dicarboxylic acid, monoglycidyl ester derivatives with D‐A NBD dicarboxylic anhydride using tetraphenylphosphonium bromide as a catalyst proceeded smoothly to give novel self‐photosensitizing NBD polymers in good yields. The molecular weight of these polyesters was about 4,000, and lower than that of analogous NBD polymers having no benzophenone group. All the synthesized NBD polymers isomerized smoothly to the corresponding quadricyclane (QC) polymers upon UV irradiation in tetrahydrofuran (THF) solution and in the film state. The rate of the photoisomerization of the D‐A NBD moieties in these polymers was higher than that of the D‐A NBD moieties in the polymer having no photosensitizing group. Furthermore, the rate of the photoisomerization of the D‐A NBD moieties in these polymers was also higher than that of the NBD polymer with low molecular weight photosensitizer in dilute solution. The photo‐irradiated polymers having QC moieties released thermal energies of 146–180 J/g. The D‐A NBD moieties contained in these NBD polymers possessed fair to good fatigue resistance. The degradation of the NBD moieties in these polymers was 15–30% after 50 repeated cycles of interconversion. © 2007 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 45: 2978–2988, 2007     

MgO films grown on yttria-stabilized zirconia by molecular beam epitaxy

MgO films were grown on (0 0 1) yttria-stabilized zirconia (YSZ) substrates by molecular beam epitaxy (MBE). The crystalline structures of these films were investigated using X-ray diffraction and transmission electron microscopy. Growth temperature was varied from 350 to 550 °C, with crystalline quality being improved at higher temperatures. The MgO films had a domain structure: (1 1 1)[1 1 2¯]_MgO(0 0 1)[1 0 0]_YSZ with four twin variants related by a 90° in-plane rotation about the [1 1 1]_MgO axis. The observed epitaxial orientation was compared to previous reports of films grown by pulsed laser deposition and sputtering and explained as resulting in the lowest interface energy.     

Interfacial dynamics‐based modelling of turbulent cavitating flows,Part‐2: Time‐dependent computations

The interfacial dynamics‐based cavitation model, developed in Part‐1, is further employed for unsteady flow computations. The pressure‐based operator‐splitting algorithm (PISO) is extended to handle the time‐dependent cavitating flows with particular focus on the coupling of the cavitation and turbulence models, and the large density ratio associated with cavitation. Furthermore, the compressibility effect is important for unsteady cavitating flows because in a water–vapour mixture, depending on the composition, the speed of sound inside the cavity can vary by an order of magnitude. The implications of the issue of the speed of the sound are assessed with alternative modelling approaches. Depending on the geometric confinement of the nozzle, compressibility model and cavitation numbers, either auto‐oscillation or quasi‐steady behaviour is observed. The adverse pressure gradient in the closure region is stronger at the maximum cavity size. One can also observe that the mass transfer process contributes to the cavitation dynamics. Compared to the steady flow computations, the velocity and vapour volume fraction distributions within the cavity are noticeably improved with time‐dependent computations. Copyright © 2004 John Wiley & Sons, Ltd.     

Calculation of impulsively started incompressible viscous flows

The paper's focus is the calculation of unsteady incompressible 2D flows past airfoils. In the framework of the primitive variable Navier–Stokes equations, the initial and boundary conditions must be assigned so as to be compatible, to assure the correct prediction of the flow evolution. This requirement, typical of all incompressible flows, viscous or inviscid, is often violated when modelling the flow past immersed bodies impulsively started from rest. Its fulfillment can however be restored by means of a procedure enforcing compatibility, consisting in a pre‐processing of the initial velocity field, here described in detail. Numerical solutions for an impulsively started multiple airfoil have been obtained using a finite element incremental projection method. The spatial discretization chosen for the velocity and pressure are of different order to satisfy the inf–sup condition and obtain a smooth pressure field. Results are provided to illustrate the effect of employing or not the compatibility procedure, and are found in good agreement with those obtained with a non‐primitive variable solver. In addition, we introduce a post‐processing procedure to evaluate an alternative pressure field which is found to be more accurate than the one resulting from the projection method. This is achieved by considering an appropriate ‘unsplit’ version of the momentum equation, where the velocity solution of the projection method is substituted. Copyright © 2004 John Wiley & Sons, Ltd.     

Working group report: Neutrino and astroparticle physics

This is the report of neutrino and astroparticle physics working group at WHEPP-7. Discussions and work on CP violation in long baseline neutrino experiments, ultra high energy neutrinos, supernova neutrinos and water Cerenkov detectors are discussed.     

Efficient discretization of pressure‐correction equations on non‐orthogonal grids

An alternative discretization of pressure‐correction equations within pressure‐correction schemes for the solution of the incompressible Navier–Stokes equations is introduced, which improves the convergence and robustness properties of such schemes for non‐orthogonal grids. As against standard approaches, where the non‐orthogonal terms usually are just neglected, the approach allows for a simplification of the pressure‐correction equation to correspond to 5‐point or 7‐point computational molecules in two or three dimensions, respectively, but still incorporates the effects of non‐orthogonality. As a result a wide range (including rather high values) of underrelaxation factors can be used, resulting in an increased overall performance of the underlying pressure‐correction schemes. Within this context, a second issue of the paper is the investigation of the accuracy to which the pressure‐correction equation should be solved in each pressure‐correction iteration. The scheme is investigated for standard test cases and, in order to show its applicability to practical flow problems, for a more complex configuration of a micro heat exchanger. Copyright © 2003 John Wiley & Sons, Ltd.     

Pressure-induced polymorphism in enstatite (MgSiO3) at room temperature: clinoenstatite and orthoenstatite

The phase transition of a synthetic clinoenstatite in a diamond-anvil cell has been studied by using Raman spectroscopy at various pressures and room temperature. The phenomena observed in clinoenstatite have been compared with that observed in orthoenstatite. It is found that the pressure-induced phase transitions in the two enstatites are reversible, but with different transition pressures and transition behavior. An analysis of Raman spectra has revealed that the two enstatites have different high-pressure polymorphs. This result suggests that the space group of the high-pressure polymorph of orthoenstatite is not of C2/c, and that orthoenstatite and orthoferrosilite have different transition routes at room temperature and high pressure. The compressional behavior of the high-PC2/c enstatite is also discussed according to the pressure dependences of Raman frequencies.     

A new cytotoxic limonoid from Odontadenia macrantha from the Suriname rainforest

Bioassay‐guided fractionation of the methanol extract of Odontadenia macrantha afforded a new limonoid, odontadenin A (1) and two known triterpenoids, lupeol (2) and α‐amyrin (3). The structure of 1 was established on the basis of 1D and 2D NMR and high‐resolution fast atom bombardment mass spectrometric data. The new compound was found to possess moderate cytotoxicity against A2780, the ovarian cancer cell line. Copyright © 2003 John Wiley & Sons, Ltd.     

静压下半导体微腔内激子与光子行为的研究

由于腔模与激子对压力的依赖关系不同,所以可以选择不同的压力使激子和光场处于不同的耦合状态,从而实现对耦合的调谐。利用这种办法,我们观测到了代表激子与光场强耦合作用的Rabi分裂。由于在我们现有样品结构中压力对激子本征行为的影响很小,与以前报道的温度、电场等调谐方式相比,这种调谐方法不仅可以有效地调谐半导体微腔内激子与腔模的耦合程度,而且能够保持激子的本征性质在整个调谐过程中基本不变。这有助于研究在强耦合过程中激子极化激元的本征性质。将实验结果与压力下激子与腔模耦合理论进行拟合,得出了正确的Rabi分裂值。