Previous work, mostly published, developed two-shell recursive trading systems. An inner-shell of Canonical Momenta Indicators (CMI) is adaptively fit to incoming market data. A parameterized trading-rule outer-shell uses the global optimization code Adaptive Simulated Annealing (ASA) to fit the trading system to historical data. A simple fitting algorithm, usually not requiring ASA, is used for the inner-shell fit. An additional risk-management middle-shell has been added to create a three-shell recursive optimization/sampling/fitting algorithm. Portfolio-level distributions of copula-transformed multivariate distributions (with constituent markets possessing different marginal distributions in returns space) are generated by Monte Carlo samplings. ASA is used to importance-sample weightings of these markets. The core code, Trading in Risk Dimensions (TRD), processes Training and Testing trading systems on historical data, and consistently interacts with RealTime trading platforms at minute resolutions, but this scale can be modified. This approach transforms constituent probability distributions into a common space where it makes sense to develop correlations to further develop probability distributions and risk/uncertainty analyses of the full portfolio. ASA is used for importance-sampling these distributions and for optimizing system parameters.

This paper has been withdrawn by the authors

This paper has been divided into three papers. arXiv:0809.3232, arXiv:0808.4134, arXiv:cs/0607105

This paper was witdrawn by the authors.

This paper has been withdrawn by the authors. There was an erroneous estimate of the degree of a transformed polynomial, making the method appear more effective than it really is. We thank an anonymous referee for pointing out this error.

We report the conjectures on the three-dimensional (3D) Ising model on simple orthorhombic lattices, together with the details of calculations for a putative exact solution. Two conjectures, an additional rotation in the fourth curled-up dimension and the weight factors on the eigenvectors, are proposed to serve as a boundary condition to deal with the topologic problem of the 3D Ising model. The partition function of the 3D simple orthorhombic Ising model is evaluated by spinor analysis, by employing these conjectures. Based on the validity of the conjectures, the critical temperature of the simple orthorhombic Ising lattices could be determined by the relation of KK* = KK' + KK'' + K'K'' or sinh 2K sinh 2(K' + K'' + K'K''/K) = 1. For a simple cubic Ising lattice, the critical point is putatively determined to locate exactly at the golden ratio xc = exp(-2Kc) = (sq(5) - 1)/2, as derived from K* = 3K or sinh 2K sinh 6K = 1. If the conjectures would be true, the specific heat of the simple orthorhombic Ising system would show a logarithmic singularity at the critical point of the phase transition. The spontaneous magnetization and the spin correlation functions of the simple orthorhombic Ising ferromagnet are derived explicitly. The putative critical exponents derived explicitly for the simple orthorhombic Ising lattices are alpha = 0, beta = 3/8, gamma = 5/4, delta = 13/3, eta = 1/8 and nu = 2/3, showing the universality behavior and satisfying the scaling laws. The cooperative phenomena near the critical point are studied and the results obtained based on the conjectures are compared with those of the approximation methods and the experimental findings. The 3D to 2D crossover phenomenon differs with the 2D to 1D crossover phenomenon and there is a gradual crossover of the exponents from the 3D values to the 2D ones.

A general procedure to construct a class of simple and efficient high resolution Total Variation Diminishing (TVD) schemes for non-linear hyperbolic conservation laws by introducing anti-diffusive terms with the flux limiters is presented. In the present work the numerical flux function for space discretization is constructed as a combination of numerical flux function of any entropy satisfying first order accurate scheme and second order accurate upstream scheme using the flux limiter function. The obtained high resolution schemes are shown to be TVD for 1-D scalar case. Bounds for the limiter function are given. Numerical experiments for various test problems clearly show that the resulting schemes give entropy consistent solution with higher resolution as compared to their corresponding first order schemes.

We demonstrate that a small modification of the multiplicative, additive and restricted additive Schwarz preconditioner at the algebraic level, motivated by optimized Schwarz methods defined at the continuous level, leads to a significant reduction in the iteration count of the iterative solver. Numerical experiments using finite difference and spectral element discretizations of the positive definite Helmholtz problem and an idealized climate simulation illustrate the effectiveness of the new approach.

This paper was withdrawn by arXiv administrators. It is an erroneous duplicate submission of math.NA/0405095.