The phase coherence of supercontinuum generation in microstructure fiber is quantified by performing a Young's type interference experiment between independently generated supercontinua from two separate fiber segments. Analysis of the resulting interferogram yields the wavelength dependence of the magnitude of the mutual degree of coherence, and a comparison of experimental results with numeri...

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower variation is proven. Under further assumptions we prove stable convergence of our estimates with the o...

Materials that consist of a random microstructure can affect ultrasonic measurements--reducing signal strength, increasing noise, and reducing measurement accuracy--through scattering and aberration of the acoustic field. To account for these adverse effects a phase screen model, alongside the stochastic wave equation, has been developed. This approach allows the field and study aberrations to ...

Motivated by the need of a positive-semidefinite estimator of multivariate realized covariance matrices, we model noisy and asynchronous ultra-high-frequency asset prices in a state-space framework with missing data. We then estimate the covariance matrix of the latent states through a Kalman smoother and Expectation Maximization (KEM) algorithm. Iterating between the two EM steps, we obtain a ...

Brain slices provide a useful nervous tissue model to investigate the relationships between magnetic resonance imaging (MRI) contrast mechanisms and tissue microstructure; yet, these acutely isolated tissues remain viable for only 10-12 h. To study slower biological processes, this work describes the first MRI microscopy characterization of organotypic rat hippocampal slice cultures that can be...

Using a new high frequency quality data set we provide a precise empirical study of the interdealer spot market. We check that the main stylized facts of financial time series are valid for the FX market: fat-tailed distribution of returns, aggregational normality and volatility clustering. We report two standard microstructure phenomena: microstructure noise effects in the signature plot and t...

The observed transaction prices on a stock market at discrete time points are assumed to be a sample from a continuous time-value process. The theory of an efficient market is used as motivation for a random-walk type model. The fact that bid-ask spread and other microstructure phenomena exist is accounted for by adding a noise term to the model. Models for elementary detrending based on stocha...

We report on the recording performances and signal-to-noise ratio analyses of perpendicular magnetic bit-patterned media. Two different types of magnetic samples are investigated. They differ by the way that they were patterned (nano-imprint versus e-beam lithography) as well as their magnetic properties (Co/Pt multilayers and CoCrPt alloy are the recording layers). By using a contact read/writ...