Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model

On the basis of the market microstructure theory, a continuous time microstructure model is proposed for describing the dynamics of financial markets with stochastic volatility property. From the microstructure model, one may obtain the estimates of two state variables, which represent the market excess demand and liquidity respectively but cannot be directly observed. Based on the indirectly obtained excess demand information instead of the prediction of price, a simple asset dynamic allocation approach is investigated. The local linearization method, nonlinear Kalman filter and maximum likelihood method-based estimation approach for the microstructure model proposed is presented. Case studies on the financial markets modelling and the estimated model-based asset dynamic allocation control for the JPY/USD (Japanese Yen/US Dollar) exchange rate and Japan TOPIX (Tokyo stock Price IndeX) show a satisfactory modelling precision and dynamic allocation performance.     

PZT capacitor with Ir/IrO2/Ir electrode fabricated by RTA

Abstract

PZT capacitor with direct contact between Si substrate and bottom electrode of the capacitor was obtained with Ir/IrO₂/Ir/Ti electrode, by crystallizing sol-gel PZT thin film using RTA (650°CC 30 sec.). Contact resistance for hole diameter of 0.72 μm was 19 Ω. It was observed by cross-sectional TEM that Ti silicide was formed at the interface, but there was not oxygen diffusion from PZT thin film. Fatigue property of the PZT thin film was improved by RTA compared with furnace annealed film (600°CC 60 min.). The absolute value of the remnant polarization was 13 μC/cm² for both films, but it did not degrade until 10⁸ cycles of switching for the film by RTA, while it degraded before 10⁵ cycles for furnace annealed film.     

Noninvasive blood glucose assay using a newly developed near-infrared system

This paper reports in vivo near-infrared (NIR) noninvasive blood glucose assay using dermis tissue spectra. We assume that the glucose content in dermis tissue traces the variations in blood glucose. For dermis spectra measurements, epidermis, especially stratum corneum, acts as an interference in skin tissue. Thus, we have developed a method for the selective measurement of dermis tissue spectra, enabling us to obtain better quality spectra for an accurate blood glucose assay. The selective measurement of the dermis spectra realized by using a newly developed fiber-optic probe that consists of source and detector optical fibers separated by 0.65 mm on a skin surface. The light path in the skin tissue for this geometry has been simulated by a Monte Carlo method. The simulation results show that detected light mainly interrogates dermis tissue. As the absorbance signal of glucose in human tissue is extremely small, the quality of the measured spectra is critical for the reliable assay. The present method for blood glucose assay has been applied to one Type 1 diabetic. The correlation coefficient between the blood glucose content predicted by NIR spectra and those measured by finger-prick was 0.928 and the standard error of prediction was 32.2 mg/dL. These results demonstrate the potential of our methodology for noninvasive NIR blood glucose assay.     

Minimization of shaft oscillations by fuzzy controlled SMES considering time delay

This paper analyzes the effect of fuzzy logic-controlled superconductive magnetic energy storage (SMES) on minimizing shaft torsional oscillations of synchronous generators in a multi-machine power system. The proposed fuzzy logic controller has been designed in a very simple way considering only one input variable and one output variable. The time derivative of the total kinetic energy deviation (TKED) of the synchronous generators is used as the global input to the fuzzy controller for SMES switching. The influence of time delay associated with the global input calculation of the fuzzy controller on minimizing shaft torsional oscillations is investigated. Global positioning system (GPS) is proposed for the practical implementation of the calculation of the global input to the fuzzy controller. Simulation results of a balanced fault at different points in a multi-machine power system show that the proposed SMES can minimize the shaft torsional oscillations of synchronous generators well. Moreover, the time delay has an influence on the performance of fuzzy controlled SMES to minimize shaft torsional oscillations. However, even though the performance of fuzzy controlled SMES is somewhat effected by the communication delay, it is clear from the simulation responses that the fuzzy logic-controlled SMES considering typical communication delays can minimize the shaft torsional oscillations of synchronous generators well.     

Microprocessors in electric power systems

The present status of microprocessor applications in various fields of electric power systems is summarized. Special attention is directed towards development trends in the protection field where microprocessor applications are expected to cope with the increasingly stringent requirements for electric power supply reliability. Also discussed are the history, roles, design philosophy and basic schemes of microprocessor-based protective relaying systems. Only recently has their application reached a practical stage after long-term study and repeated field tests.     

Regenerating-mode low-speed operation of sensorless induction motor drive with adaptive observer

Speed estimation methods for sensorless induction motor drives can be divided into two groups. One is based on information about fundamental components of stator currents and voltages. The other is based on high-frequency components injection in stator voltages or currents. The latter may operate stably under zero frequency, which occurs in regenerating mode at low speeds. It, however, causes loss increasing and torque ripple. The former is difficult to operate under zero frequency. The authors propose a stable method categorized in the former group even in regenerating mode at low speeds. The proposed method is based on an adaptive flux observer. First, a new observer gain design is shown. Next, a method avoiding zero-frequency operation with controlling a rotor flux level is proposed.     

Infrared sensors using poly‐Si thin‐film transistors for proximity sensors integrated in smartphone displays

We have developed infrared sensors using poly‐Si thin‐film transistors (TFTs) for proximity sensors integrated in smartphone displays. Initially, we evaluate the infrared sensitivities of the poly‐Si TFTs, and it is found that a pin‐type TFT is suitable for the infrared sensors. Next, we propose three types of the infrared sensors. First, an analog current detection‐type sensor has a simple structure, and it is found that it can detect presence of a hand. Second, a lock‐in detection‐type sensor has tolerance against ambient light, and it is found that it can detect a target signal under noise signals. Third, a frequency detection‐type sensor has an advantage that only a digital circuit is necessary for detection, and it is found that it can detect the infrared intensity because the oscillation frequency increases monotonically with the intensity. We can utilize these infrared sensors on demand.     

Metadata requirements for digital museum environments

We describe a system which addresses all the processes involved in digitally acquiring, modelling, storing, manipulating and creating virtual exhibitions from 3D museum artefacts. More specifically, we examine the significance of metadata in enabling and supporting all of these processes and describe the extensive facilities provided for authoring, maintaining and managing metadata. The development of the system has been heavily influenced by factors relating to interoperability, standards, museum best practice and feedback from two museum pilot sites. Finally, we briefly consider the system in the wider context of applications such as virtual learning environments and distributed repositories of archives.