Nuclear reactor descriptions for space power systems analysis

For the small, high performance reactors required for space electric applications, adequate neutronic analysis is of crucial importance, but in terms of computational time consumed, nuclear calculations probably yield the least amount of detail for mission analysis study. It has been found possible, after generation of only a few designs of a reactor family in elaborate thermomechanical and nuclear detail to use simple curve fitting techniques to assure desired neutronic performance while still performing the thermomechanical analysis in explicit detail. The resulting speed-up in computation time permits a broad detailed examination of constraints by the mission analyst

POTENTIAL ECONOMIC CONSEQUENCES OF AFRICAN SWINE FEVER AND ITS CONTROL IN THE UNITED STATES

Livestock Production/Industries,

Martingale Option Pricing

We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the case of the Gaussian logarithmic returns model by Harrison and Kreps, but we prove it for much a much larger class of returns models where the diffusion coefficient depends on both returns x and time t. That option prices blow up if fat tails in logarithmic returns x are included in the market dynamics is also explained

Martingales, the efficient market hypothesis, and spurious stylized facts

The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are nonstationary, as they are in FX markets. The nonstationarity arises from systematic uneveness in noise traders’ behavior. Spurious results arise mathematically from using a log increment with a ‘sliding window’. We explain why a hard to beat market demands martingale dynamics , and martingales with nonlinear variance generate nonstationary increments. The nonstationarity is exhibited directly for Euro/Dollar FX data. We observe that the Hurst exponent Hs generated by the using the sliding window technique on a time series plays the same role as does Mandelbrot’s Joseph exponent. Finally, Mandelbrot originally assumed that the ‘badly behaved second moment of cotton returns is due to fat tails, but that nonconvergent behavior is instead direct evidence for nonstationary increments. Summarizing, the evidence for scaling and fat tails as the basis for econophysics and financial economics is provided neither by FX markets nor by cotton price data.Nonstationary increments; martingales; fat tails; Hurst exponent scaling

Martingales, the efficient market hypothesis, and spurious stylized facts

The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are nonstationary, as they are in FX markets. The nonstationarity arises from systematic uneveness in noise traders’ behavior. Spurious results arise mathematically from using a log increment with a ‘sliding window’. We explain why a hard to beat market demands martingale dynamics , and martingales with nonlinear variance generate nonstationary increments. The nonstationarity is exhibited directly for Euro/Dollar FX data. We observe that the Hurst exponent Hs generated by the using the sliding window technique on a time series plays the same role as does Mandelbrot’s Joseph exponent. Finally, Mandelbrot originally assumed that the ‘badly behaved second moment of cotton returns is due to fat tails, but that nonconvergent behavior is instead direct evidence for nonstationary increments. Summarizing, the evidence for scaling and fat tails as the basis for econophysics and financial economics is provided neither by FX markets nor by cotton price data

Markov Processes, Hurst Exponents, and Nonlinear Diffusion Equations with application to finance

We show by explicit closed form calculations that a Hurst exponent H that is not 1/2 does not necessarily imply long time correlations like those found in fractional Brownian motion. We construct a large set of scaling solutions of Fokker-Planck partial differential equations where H is not 1/2. Thus Markov processes, which by construction have no long time correlations, can have H not equal to 1/2. If a Markov process scales with Hurst exponent H then it simply means that the process has nonstationary increments. For the scaling solutions, we show how to reduce the calculation of the probability density to a single integration once the diffusion coefficient D(x,t) is specified. As an example, we generate a class of student-t-like densities from the class of quadratic diffusion coefficients. Notably, the Tsallis density is one member of that large class. The Tsallis density is usually thought to result from a nonlinear diffusion equation, but instead we explicitly show that it follows from a Markov process generated by a linear Fokker-Planck equation, and therefore from a corresponding Langevin equation. Having a Tsallis density with H not equal to 1/2 therefore does not imply dynamics with correlated signals, e.g., like those of fractional Brownian motion. A short review of the requirements for fractional Brownian motion is given for clarity, and we explain why the usual simple argument that H unequal to 1/2 implies correlations fails for Markov processes with scaling solutions. Finally, we discuss the question of scaling of the full Green function g(x,t;x',t') of the Fokker-Planck pde.Comment: to appear in Physica

Autonomic physiological data associated with simulator discomfort

The development of a physiological monitoring capability for the Army's advanced helicopter simulator facility is reported. Additionally, preliminary physiological data is presented. Our objective was to demonstrate the sensitivity of physiological measures in this simulator to self-reported simulator sickness. The data suggested that heart period, hypergastria, and skin conductance level were more sensitive to simulator sickness than were vagal tone and normal electrogastric activity

Nonstationary Increments, Scaling Distributions, and Variable Diffusion Processes in Financial Markets

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies conducted over the last decade have reported that they arenon-Gaussian, scale in time, and have power-law(or fat) tails. However, because they use sliding interval methods of analysis, these studies implicitly assume that the underlying process has stationary increments. We explicitly show that this assumption is not valid for the Euro-Dollar exchange rate between 1999-2004. In addition, we find that fluctuations in returns of the exchange rate are uncorrelated and scale as power-laws for certain time intervals during each day. This behavior is consistent with a diffusive process with a diffusion coefficient that depends both on the time and the price change. Within scaling regions, we find that sliding interval methods can generate fat-tailed distributions as an artifact, and that the type of scaling reported in many previous studies does not exist.Comment: 12 pages, 4 figure

Nonstationary increments, scaling distributions, and variable diffusion processes in financial markets

Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the distribution of fluctuations in returns. Empirical studies conducted over the last decade have reported that they are non-Gaussian, scale in time, and have power-law (or fat) tails [1–5]. However, because they use sliding interval methods of analysis, these studies implicitly assume that the underlying process has stationary increments. We explicitly show that this assumption is not valid for the Euro-Dollar exchange rate between 1999-2004. In addition, we find that fluctuations in returns of the exchange rate are uncorrelated and scale as power laws for certain time intervals during each day. This behavior is consistent with a diffusive process with a diffusion coefficient that depends both on the time and the price change. Within scaling regions, we find that sliding interval methods can generate fat-tailed distributions as an artifact, and that the type of scaling reported in many previous studies does not exist.Nonstationary increments; autocorrelations; scaling; Hurst exponents; Markov process