On the gradually vanishing bandgaps of periodic locally resonant metamaterial Timoshenko beams in the high frequency limit

2021 ◽  
pp. 127757
Author(s):  
Shao-Feng Xu ◽  
Kuo-Chih Chuang
Keyword(s):  
High Frequency ◽  
Timoshenko Beams ◽  
Frequency Limit ◽  
High Frequency Limit

scholarly journals Quantifying the dispersion quality of partially aggregated colloidal dispersions by high frequency rheology

Soft Matter ◽  
2017 ◽  
Vol 13 (43) ◽  
pp. 7897-7906 ◽  
Author(s):  
Bram Schroyen ◽  
James W. Swan ◽  
Peter Van Puyvelde ◽  
Jan Vermant
Keyword(s):  
High Frequency ◽  
Colloidal Dispersions ◽  
Frequency Limit ◽  
Hydrodynamic Stress ◽  
High Frequency Limit ◽  
Dispersion Quality

The dispersion quality of colloidal dispersions is quantified by analysing the hydrodynamic stress contributions in the high frequency limit.

scholarly journals High-frequency trading with fractional Brownian motion

2020 ◽  
Author(s):  
Paolo Guasoni ◽  
Yuliya Mishura ◽  
Miklós Rásonyi
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
High Frequency ◽  
Asset Price ◽  
Optimal Strategies ◽  
Trading Costs ◽  
Frequency Limit ◽  
Dynamic Optimisation ◽  
High Frequency Limit ◽  
Mean Variance

Abstract In the high-frequency limit, conditionally expected increments of fractional Brownian motion converge to a white noise, shedding their dependence on the path history and the forecasting horizon and making dynamic optimisation problems tractable. We find an explicit formula for locally mean–variance optimal strategies and their performance for an asset price that follows fractional Brownian motion. Without trading costs, risk-adjusted profits are linear in the trading horizon and rise asymmetrically as the Hurst exponent departs from Brownian motion, remaining finite as the exponent reaches zero while diverging as it approaches one. Trading costs penalise numerous portfolio updates from short-lived signals, leading to a finite trading frequency, which can be chosen so that the effect of trading costs is arbitrarily small, depending on the required speed of convergence to the high-frequency limit.

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