Search results for "Microstructure"
showing 10 items of 707 documents
Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
2004
We use the Autoregressive Conditional Duration (ACD) framework of Engle and Russell (1998) to study the effect of trading volume on price duration (ie the time lapse between consecutive price changes) of a stock listed both in the domestic and the foreign market. As a case study we use the example of Nokia's share, which is actively traded both in the Helsinki Stock Exchange and the New York Stock Exchange (NYSE). We find asymmetry in the volume-price duration relationship between the two markets. In the NYSE the negative relationship is much stronger and exists both during and outside common trading hours. Outside common trading hours no such relationship is significant in Helsinki. Based …
A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies
2015
Despite the enormous current interest in market timing and a series of publications in academic journals, there is still lack of comprehensive research on the evaluation of the profitability of trading rules using methods that are free from the data-snooping bias. In this paper we utilize the longest historical dataset that spans 155 years and extend previous studies on the performance of moving average trading rules in a number of important ways. Among other things, we investigate whether overweighting the recent prices improves the performance of timing rules; whether there is a single optimal lookback period in each trading rule; and how accurately the trading rules identify the bullish …
Simulation of mid-IR amplification in Er3+-doped chalcogenide microstructured optical fiber
2009
International audience; This paper deals with the design of an erbium doped microstructured optical fiber (MOF) amplifier operating in the mid-infrared (mid-IR) wavelength range, more precisely around 4.5 µm wavelength. A homemade numerical code which solves the rate equations and the power propagation equations has been ad hoc developed to theoretically investigate the feasibility of mid-IR MOF amplifier. On the basis of the measured energy level transition parameters of a Er3+-doped Ga5Ge20Sb10S65 chalcogenide glass, the amplifier feasibility is demonstrated exhibiting high gain and low noise figure.
Why Is Equity Order Flow so Persistent?
2014
Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the behavior of different investors, or order splitting, corresponding to positive autocorrelation in the behavior of single investors. We investigate this using order flow data from the London Stock Exchange for which we have membership identifiers. By formulating models for herding and order splitting, as well as models for brokerage choice, we are able to overcome the distortion introduced by brokerage. O…
Influence of Twinning Microstructure of Crystals with Low Tetragonality on a X-Ray Diffraction
2001
The intensity distributions of the X-rays scattered in the tetragonal single crystal, which represent a complex of the twin domains separated by the coherent parallel boundaries, are simulated. The calculations are performed by using the Monte Carlo method within the framework of a kinematical approach. The thickness distributions of the twin domains are defined according to the geometrical, Gaussian and log normal functions. ‘Critical’ effects of the X-ray scattering are found, namely there is transformation of the tetragonal doublet into singlet or multiplet. As demonstrated, each of characteristics of the tetragonal doublet profile depends on a few parameters of the twin microstructure o…
Microstructure of Ag2BI4(B = Ag, Cd) superionics studied by SEM, impedance spectroscopy and fractal dimension analysis
2008
Two silver ion conducting solid electrolytes, Ag2HgI4 and Ag2CdI4, representing a wide class of AgI-based halogenide superionics have been the subjects of study by means of electrical impedance spectroscopy, SEM, porosity measurements and fractal dimension analysis. Even though both materials have been obtained by the same method under strictly identical conditions they were found to exhibit certain differences at the microstructural level. Thus, by the direct measurements of porosity and density it was found that the grain boundaries are better developed in silver mercuric iodide. On the assumption that pore geometry in the materials under study displays fractal character it was shown that…
Friction Stir Processing: thermo-mechanical loads and consequent effects on the local material characteristics
2008
The present article is focused on the correlation between the applied thermal and mechanical loads and the consequent effects on the material in friction stir processing (FSP) operations. On one hand, the actions exerted in FSP are split compared to the results obtained with a tool without the pin at its end to a traditional one with a cylindrical pin. In this way, the thermal flux determined by the frictional forces at the tool—shoulder—workpiece interface is secluded from the mechanical stirring action made by the tool pin. On the other hand, the processed specimens are analysed in terms of residual stress state, microhardness, and average grain size values. An in-process heat treatment …
3 Probing and Modelling of Galvanic Coupling Phenomena in Localized Corrosion
2011
The basic driving force of localized corrosion or corrosion protection in numerous cases is the galvanic coupling of which the dimensional aspect is fixed by a combination of scales regarding interfacial processes or properties. At the electrolyte–metal interface, it is necessary to consider the microstructure (including all real-time modification induced for example by applied stresses), the possible chemical changes at the surface of the material, and the electrolyte conductivity contribution, among others factors.
Low-cost approximate reconstructing of heterogeneous microstructures
2016
We propose an approximate reconstruction of random heterogeneous microstructures using the two-exponent power-law (TEPL). This rule originates from the entropic descriptor (ED) that is a multi-scale measure of spatial inhomogeneity for a given microstructure. A digitized target sample is a cube of linear size L in voxels. Then, a number of trial configurations can be generated by a model of overlapping spheres of a fixed radius, which are randomly distributed on a regular lattice. The TEPL describes the averaged maximum of the ED as a function of the phase concentration and the radius. Thus, it can be used to determine the radius. The suggested approach is tested on surrogate samples of cer…