Market timing is an investment technique that tries to continuously switch investment into assets forecast to have better returns. What is the likelihood of having a successful market timing ...strategy? With an emphasis on modeling simplicity, I calculate the feasible set of market timing portfolios using index mutual fund data for perfectly timed (by hindsight) all or nothing quarterly switching between two asset classes, US stocks and bonds over the time period 1993-2017. The historical optimal timing path of switches is shown to be indistinguishable from a random sequence. The key result is that the probability distribution function of market timing returns is asymmetric, that the highest probability outcome for market timing is a below median return. Put another way, simple math says market timing is more likely to lose than to win-even before accounting for costs. The median of the market timing return probability distribution can be directly calculated as a weighted average of the returns of the model assets with the weights given by the fraction of time each asset has a higher return than the other. For the time period of the data the median return was close to, but not identical with, the return of a static 60:40 stock:bond portfolio. These results are illustrated through Monte Carlo sampling of timing paths within the feasible set and by the observed return paths of several market timing mutual funds.
Celotno besedilo
Dostopno za:
DOBA, IZUM, KILJ, NUK, PILJ, PNG, SAZU, SIK, UILJ, UKNU, UL, UM, UPUK
We report on new methods and results for the trajectory visualization and tracking of large inertial particles in a laminar (chaotic) mixing tank. Using specially designed light-emitting capsules, ...particle orbits were visualized using streak photography to reveal pathlines of capsules moving in the laminar fluid flow. We present visualization results on unexpected trapping of particles whereby finite-sized particles/capsules can spontaneously localize into the vortex tubes in the laminar stirred system. Once into tubes, large inertial particles move in helical orbits as do passive particles. Mixing tanks have been in use over a number of centuries but this trapping phenomenon has been consistently ignored. We also measure the three-dimensional position of large inertial particles over time using an externally positioned camera and planar mirror in a calibrated setup. As the light capsules used in this study give very high contrast even when the fluid is murky, the work provides a sound basis for further research development of measurement techniques for large (industrial) scale flows.
•New techniques applied to measuring particle trajectories in a stirred flow.•Evidence of particles clustering into specific regions in laminar and chaotic flow.•3D position of an inertial particle in a tank obtained using a camera and mirror.•Techniques allow recovery of particle trajectories in opaque/murky industrial fluids.
Recent experiments in a laminar flow stirred tank found that particles, initially moving throughout the fluid domain, undergo an instability and cluster into subdomains of the fluid when the flow ...Reynolds number exceeds a critical value that depends on particle and fluid inertia. As the dynamical system for inertial particles in fluid flow has both attracting and repelling regions, I show how the interplay of these regions can localize particles and derive an expression for the instability boundary that is suitable for comparison to data. Moreover, I model a master curve for the particle clustering rate in terms of excess inertia past the instability.
A robust separation strategy using novel particle-flow-instability physics is successfully developed for a difficult-to-separate suspensionin which there is some combination of a small density ...difference between solid and liquid, high viscosity, and small-sized particles. The method we propose here requires no dilution for medium, high or extremely high viscosity slurries and can produce effective solid-liquid separation with low capital and operational inputs. The results have relevance for many biotechnological and/or chemical processes. We anticipate that further optimizations could lead to a more effective separation process with even lower energy input.
Historically, the dominant conceptual paradigm of porous media flow, solute mixing and transport was based on steady two-dimensional flows in heterogeneous porous media. Although it is now well ...recognised that novel transport phenomena can arise in unsteady and/or three-dimensional flows at both the pore or Darcy scales, appropriate methods for analysis and understanding of these more complex flows have not been widely employed. In this primer, we advocate for methods borrowed from dynamical systems (chaos) theory, which aim to uncover the
Lagrangian kinematics
of these flows: namely how fluid particle trajectories (which form a dynamical system) are organised and interact and the associated impacts on solute transport and mixing. This dynamical systems approach to transport is inherently Lagrangian, and the Lagrangian kinematics form Lagrangian coherent structures (LCSs), special sets of trajectories that divide the Lagrangian frame into chaotic mixing regions, poorly mixing hold-up regions (and in some cases non-mixing “islands”) and the transport barriers that organise these regions. Hence, the dynamical systems approach provides insights into flows that may exhibit chaotic, regular (non-chaotic) or mixed Lagrangian kinematics, and also into how LCSs organise solute transport and mixing. Novel experimental methods are only recently permitting visualisation of LCSs in porous media flows. In this primer, we review the dynamical systems approach to porous media flow and transport and connect the associated tools and techniques with the latest research findings from pore to Darcy scales. This primer provides an introduction to the methods and tools of dynamical systems theory. Once familiar with these approaches, porous media researchers will be better positioned to know when to expect complex Lagrangian kinematics, how to uncover and understand LCSs and their impacts on solute transport, and how to exploit these dynamics to control solute transport in porous media flows.
It is critical to reliably and rapidly detect multiple disease biomarkers in tiny liquid samples with high sensitivity to meet the growing demand for point-of-care diagnostics. This paper reports a ...microfluidic platform integrating magnetic-based single bead trapping in conjunction with acoustic micromixing for simultaneous detection of multiple cancer biomarkers within minutes. Individual beads retained by permalloy (NiFe81/19) microarray were used to capture biomarkers and facilitate the fluorescence identification. A numerical study indicates that the magnetic force keeping a bead in the trap is proportional to the thickness of the permalloy array and the external magnetic field strength, while inversely proportional to the size of the trap. The acoustic microstreaming activated by a piezo transducer was applied to generate fast-switching flow patterns to minimize the diffusion length scales. The flow at various driving frequencies was experimentally tested to achieve the optimal mixing effect. The flow field of the microstreaming was subsequently described by a mathematical model to understand the flow further. Finally, the prostate-specific antigen (PSA) and carcinoembryonic antigen (CEA) were employed as model analytes to demonstrate the capability of the platform for rapid biomarker detection. With the aid of acoustic micromixing, the detection can be finished in 20 minutes. The respective limit of detection of PSA and CEA is 0.028 ng mL-1 (0.8 pM) and 3.1 ng mL-1 (17 pM), which is respectively 1/142 and 1/3 of the cutoff value of PSA and CEA. Our results indicate this platform has great potential for the rapid detection of multiple biomarkers in future point-of-care diagnostics.
We discuss the Rotated Arc Mixer (RAM) for continuous mixing and heat exchange of highly viscous foods. Principal advantages of the RAM are the simplicity of construction/disassembly and the ...attendant large energy savings due to the absence of internal elements. The absence of internal obstructions benefits the performance of the RAM in several ways. The geometry is amenable to in-depth analysis and is easier to scale up and optimize for specific applications. The absence of internals also has the benefit of making the RAM less susceptible to clogging and fouling, which can reduce downtime and maintenance cost. The RAM exploits chaotic advection to mix and transport heat in viscously dominated (low Reynolds number) flows. Among other things the RAM can effect good in-line mixing of viscous materials with a pressure drop that is the same as that of an open pipe; moreover, the RAM has several control parameters to tune the chaotic advection, making it flexible for applications. Examples are presented from confectionary and diary processing.
Although steady, isotropic Darcy flows are inherently laminar and nonmixing in the absence of diffusion, it is well understood that transient forcing via engineered pumping schemes can induce rapid, ...chaotic mixing flows in groundwater. In this study we explore the propensity for such mixing to arise in natural groundwater systems subject to cyclical forcings, for example, tidal or seasonal influences. Using a conventional linear groundwater flow model subject to tidal forcing, we show that under certain conditions these flows generate Lagrangian transport and mixing phenomena (chaotic advection) near the tidal boundary. We show that aquifer heterogeneity, storativity, and forcing magnitude cause reversals in flow direction over the forcing cycle which, in turn, generate coherent Lagrangian structures and chaos. These features significantly augment fluid mixing and transport, leading to anomalous residence time distributions, flow segregation, and the potential for profoundly altered reaction kinetics. We define the dimensionless parameter groups which govern this phenomenon and explore these groups in connection with a set of well‐characterized tidal systems. The potential for Lagrangian chaos to be present near discharge boundaries must be recognized and assessed in field studies.
Key Points
Time periodic Darcy flows in heterogeneous compressible aquifers can generate chaotic Lagrangian dynamics
Widespread occurrence of coherent Lagrangian structures is controlled by key parameter groups and results from common physical processes
Such structures fundamentally change our view of flow, transport, mixing, and reaction in groundwater discharge systems
•We uncover the connection between heat and mass transfer and residence time in laminar duct flows.•This allows scalar transport optimisation in chaotic flows, and is applied to the twisted pipe ...flow.•Heat and mass transfer is accelerated 47- and 237-fold, and RTD variance growth is slowed 2000-fold.
Suitably designed laminar duct flows admit chaotic advection which, in concert with diffusion, can lead to rapid heat and mass transport and sharpening of the residence time distribution (RTD). Whilst evolution of these distinct scalar fields are strongly related, the exact relationships between these distinct fields is unknown, nor to what extent they can be simultaneously optimised. In this paper we present a unified framework for the simultaneous optimisation of the three scalar fields; RTD, temperature, and mass concentration. This optimisation is performed in terms of the eigenmodes of the advection-diffusion operator, which generalize classical Taylor-Aris axial dispersion. We apply this optimisation framework to a twisted pipe flow (TPF) at Péclet number Pe=105, and find 47- and 237-fold increases in transverse heat and mass transfer respectively over straight tube flow, along with a 2,000-fold suppression of RTD variance growth. We show that generality of the eigenmode decomposition suggests this framework is universal to all duct flows.
Frontiers of chaotic advection Aref, Hassan; Blake, John R.; Budišić, Marko ...
Reviews of modern physics,
06/2017, Letnik:
89, Številka:
2
Journal Article
Recenzirano
Odprti dostop
This work reviews the present position of and surveys future perspectives in the physics of chaotic advection: the field that emerged three decades ago at the intersection of fluid mechanics and ...nonlinear dynamics, which encompasses a range of applications with length scales ranging from micrometers to hundreds of kilometers, including systems as diverse as mixing and thermal processing of viscous fluids, microfluidics, biological flows, and oceanographic and atmospheric flows.
PDF
