Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimation

This paper presents a heavy-tailed mixture model for describing time-varying conditional distributions in time series of returns on prices. Student-t component distributions are taken to capture the heavy tails typically encountered in such financial data. We design a mixture MT(m)-GARCH(p, q) volatility model for returns, and develop an EM algorithm for maximum likelihood estimation of its parameters. This includes formulation of proper temporal derivatives for the volatility parameters. The experiments with a low order MT(2)-GARCH(1, 1) show that it yields results with improved statistical characteristics and economic performance compared to linear and nonlinear heavy-tail GARCH, as well as normal mixture GARCH. We demonstrate that our model leads to reliable Value-at-Risk performance in short and long trading positions across different confidence levels.     

Schnelle optische Tomographie zum Nachweis von OH*‐Verteilungen in Flammen

A recently developed and patented fast tomographic reconstruction system has been applied to detect two‐dimensional distributions of the OH* chemiluminescence in laminar and turbulent flames. This could be achieved by the arrangement at exposure times down to 100 – 200 μs at a spatial resolution of < 1 – 2 mm, even though the concentration of OH* in flames is in the order of some ppb and, therefore, extremely small. Among other things the results provide important information regarding the determination of the heat release rate in flames to predict unstable operating points of gas turbines.     

Efficient Output Mode Converter for 30 GHz Gyroklystron at IAP

An output mode converter for Ka-band multi-MW gyroklystron in the Institute of Applied Physics (IAP) operating in the TE₅₃ mode is suggested. Two variants of the converter, aimed for different applications, are presented: the TE₅₃ to TE₀₁ mode converter with power output along the device axis and the TE₅₃ mode to Gaussian wavebeam quasi-optical converter with a visor. The suggested designs include the built-in electron beam collector. The converters were designed using a new synthesis algorithm, which implies iterative improvement of the waveguide wall shape in order to achieve high efficiency. The calculation results were proven by HFSS simulation and low-power tests of one version of the converter.     

Semi-Empirical Technique for Computation of Glass Density

We present a semi-empirical technique for computation of glass density based on the enthalpy landscape approach. The technique incorporates thermal history and entropy effects into a scaling factor, which is determined using a computed enthalpy versus volume curve and a single experimental density value. We demonstrate the technique on a series of calcium aluminosilicate glasses.     

Generating vegetation leaf area index earth system data record from multiple sensors. Part 1: Theory

The generation of multi-decade long Earth System Data Records (ESDRs) of Leaf Area Index (LAI) and Fraction of Photosynthetically Active Radiation absorbed by vegetation (FPAR) from remote sensing measurements of multiple sensors is key to monitoring long-term changes in vegetation due to natural and anthropogenic influences. Challenges in developing such ESDRs include problems in remote sensing science (modeling of variability in global vegetation, scaling, atmospheric correction) and sensor hardware (differences in spatial resolution, spectral bands, calibration, and information content). In this paper, we develop a physically based approach for deriving LAI and FPAR products from the Advanced Very High Resolution Radiometer (AVHRR) data that are of comparable quality to the Moderate resolution Imaging Spectroradiometer (MODIS) LAI and FPAR products, thus realizing the objective of producing a long (multi-decadal) time series of these products. The approach is based on the radiative transfer theory of canopy spectral invariants which facilitates parameterization of the canopy spectral bidirectional reflectance factor (BRF). The methodology permits decoupling of the structural and radiometric components and obeys the energy conservation law. The approach is applicable to any optical sensor, however, it requires selection of sensor-specific values of configurable parameters, namely, the single scattering albedo and data uncertainty. According to the theory of spectral invariants, the single scattering albedo is a function of the spatial scale, and thus, accounts for the variation in BRF with sensor spatial resolution. Likewise, the single scattering albedo accounts for the variation in spectral BRF with sensor bandwidths. The second adjustable parameter is data uncertainty, which accounts for varying information content of the remote sensing measurements, i.e., Normalized Difference Vegetation Index (NDVI, low information content), vs. spectral BRF (higher information content). Implementation of this approach indicates good consistency in LAI values retrieved from NDVI (AVHRR-mode) and spectral BRF (MODIS-mode). Specific details of the implementation and evaluation of the derived products are detailed in the second part of this two-paper series.     

Accelerated Genetic Programming of Polynomials

An accelerated polynomial construction technique for genetic programming is proposed. This is a horizontal technique for gradual expansion of a partial polynomial during traversal of its tree-structured representation. The coefficients of the partial polynomial and the coefficient of the new term are calculated by a rapid recurrent least squares (RLS) fitting method. When used for genetic programming (GP) of polynomials this technique enables us not only to achieve fast estimation of the coefficients, but also leads to power series models that differ from those of traditional Koza-style GP and from those of the previous GP with polynomials STROGANOFF. We demonstrate that the accelerated GP is sucessful in that it evolves solutions with greater generalization capacity than STROGANOFF and traditional GP on symbolic regression, pattern recognition, and financial time-series prediction tasks.     

INDOLE-3-ACETIC ACID PRODUCTION BY GEL-ENTRAPPED BACILLUS THURINGIENSIS IN THE PRESENCE OF ROCK PHOSPHATE ORE

Bacillus thuringiensis in entrapped in k-carrageenan was capable of producing indole-3-acetic acid (IAA) in the presence of rock phosphate ore (RPO). After five repeated batch fermentation experiments, an average of 6.9 mg/L IAA was recorded in the presence of 1.5 g/L RPO and 4.7 mg/L IAA in the RPO-free control. The bacterium simultaneously solubilized phosphates with a maximum soluble P of 115 mg/L and 150 mg/L after the fourth batch cycle in 1.5 and 3.0 g/L RPO amendment, respectively. Addition of tryptophan to the media increased IAA production to 13.9 and 20.7 mg/L per batch on RPO-free and 1.5 g/L RPO-supplemented media with poor bacterial growth and RPO solubilization.     

Revisiting tetranitrophenolsulfonephthalein

Among the vast series of phenolsulfonephthalein dyes, the nitro derivatives and especially 3,3′,5,5′‐tetranitrophenolsulfonephthalein (nitrophenol crimson) remain practically unexplored, whereas the halogen and alkyl derivatives have been studied comprehensively. This striking difference is probably due to the enormous influence of the four NO₂ groups on the properties of the dye. As a result, the protolytic behaviour is unlike even that of tetrabromo phenolsulfonephthalein, and the recognised scheme of acid–base and tautomeric equilibrium of the sulfonephthaleins is unable to explain it. The molecular form H₂R was isolated as a sultonic tautomer, and an X‐ray crystal structure analysis was carried out. Our studies of the UV‐vis absorption spectra in water, methanol, dimethyl sulfoxide, acetonitrile, acetone, and dichloromethane, as well as in aqueous micellar solutions of surfactants, allowed us to evaluate the true molar absorptivity of the dianion R^2?, and to elucidate the enormous tendency to form yellow trianionic carbinol ROH^3?, even in the presence of traces of H₂O. Nuclear magnetic resonance and electrospray data confirm the proposed scheme of ionisation and tautomerism of nitrophenol crimson.     

“In‐field” cell temperature evaluation in solar modules through time‐dependent open circuit voltage measurements

A method for the evaluation of p–n junction cell temperature in PV modules operating in the maximum power point (MPP) mode has been proposed. The method does not require specialized equipment and (for the concentrator modules) the data on the open circuit (OC) voltage temperature coefficients measured under pulse illumination. It consists of measuring several open circuit voltage magnitudes together with temperature measurements on the external module surface near one of the cells. In this procedure, a fast transition from MPP to OC operational mode is carried out, during which a time‐dependent voltage measurement is carried out with the help of a memory oscilloscope. A “reference” OC voltage magnitude in a “cold” module (a condition, as if the cells are kept at ambient temperature) is obtained by calculations, so that there is no necessity in a fast mechanical shuttering of the module aperture area. In the case of the concentrator modules, the module OC voltage temperature coefficient can be measured, if heat sinking process is artificially modified during outdoor measurements. Copyright © 2015 John Wiley & Sons, Ltd.