Athermal two-dimensional granular systems are exposed to external mechanical noise leading to Brownian-like motion. Using tunable repulsive interparticle interaction, it is shown that the same microstructure as that observed in colloidal suspensions can be quantitatively recovered at a macroscopic scale. To that end, experiments on granular and colloidal systems made up of magnetized particles ...

We propose a new procedure to detect jumps in prices in the presence of microstructure noise. The procedure averages the results from existing tests across sampling frequencies. This approach overcomes the sub-sampling and low-power problems that plague existing tests for jumps. We use a modified version of Fisher’s method to combine p-values for the Barndorff-Nielsen and Shephard (2006) test a...

in this research, graphitization transformation of a commercial hypereutectoid steel called ck100 was studied by the dilatometric experiments at the range of 600 – 700 °c from prior martensitic structure. also the effect of quenching media on the initial graphitization time and completion of transformation has been discussed. also, graphitization transition from the different prior microstructu...

Ultrasonic Ndt data are time series data decomposed in signal plus noise obtained from traveling ultrasonic waves inside a material and captured by piezoelectric sensors. The natural inhomogeneous and anisotropy character of steel made material causes high acoustic attenuation and scattering effect. This makes data interpretation highly complex for most of qualified Ndt operators. In this paper...

We study the parametric problem of estimating the drift coefficient in a stochastic volatility model Yt = ∫ t 0 √ Vs dWs , where Y is a log price process and V the volatility process. Assuming that one can recover the volatility, precisely enough, from the observation of the price process, we construct an efficient estimator for the drift parameter of the diffusion V . As an application we pres...

This work presents a CMOS (complementary metal oxide semiconductor) micromachined capacitive differential flow sensor for respiratory monitoring. Airflow induces a pressure change on the suspended sensing plate and causes a capacitance change with respect to the electrodes. The microstructure fabricated by post-CMOS metal etch occupies an area of 320 × 230 m and has differential sensing capaci...

This paper presents new methods for comparing the accuracy of estimators of the quadratic variation of a price process. I provide conditions under which the relative accuracy of competing estimators can be consistently estimated (as T → ∞), and show that forecast evaluation tests may be adapted to the problem of ranking these estimators. The proposed methods avoid making specific assumptions ab...

This lecture surveys the recent literature on estimating continuous-time models using discrete observations. I start with the simplest possible framework and review different possible approaches as I progressively relax the assumptions made, to include different data generating processes (such as multivariate diffusions or jump processes), different observation schemes (such as incorporating ma...