Broadband light generation from a single-mode optical fiber was developed for high-resolution optical coherence tomography (OCT). No noise amplification was observed for light broadened by self-phase modulation. The investigation showed that the intensity noise of light broadened by self-phase modulation in a single-mode optical fiber was much lower than that of continuum light from a microstru...

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified) realized volatility (RV) estimates of the integrated volatility can contain residual microstructure n...

Abstract: High frequency based estimation methods for a pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the two-scale realized variations approach developed by Zhang et al. (2005) for the estimation of a continuous Itô process. The proposed estimators are shown to be robust against the noise and to attain better rates of converge...

We address the problem of robust estimation of tissue microstructure from Diffusion Magnetic Resonance Imaging (dMRI). On one hand, recent hardware improvements enable the acquisition of more detailed images, on the other hand, this comes along with a low Signal to Noise (SNR) ratio. In such a context, the approximation of the Rician acquisition noise as Gaussian is not accurate. We propose to ...

The application of inverse scattering methods to diagnostic ultrasound echo signals has provided us with detailed information about renal microstructure and function. In particular, the average scatterer size has been used to foliow changes in microvascular perfusion that occur early in many renal disease processes. This paper shows that by introducing prior knowledge ofthe tissue state into th...

Partially observed microstructure models, containing stochastic volatility, dynamic trading noise, and short-term inertia, are introduced to address the following questions: (1) Do the observed prices exhibit statistically significant inertia? (2) Is stochastic volatility (SV) still evident in the presence of dynamical trading noise? (3) If stochastic volatility and trading noise are present, w...

In this paper, we investigate the ability of higher order fuzzy systems to handle increased uncertainty, mostly induced by the market microstructure noise inherent in a high frequency trading (HFT) scenario. Whilst many former studies comparing type-1 and type-2 Fuzzy Logic Systems (FLSs) focus on error reduction or market direction accuracy, our interest is predominantly risk-adjusted performa...

We consider the models Yi,n = ∫ i/n 0 σ(s)dWs + τ(i/n) i,n, and Ỹi,n = σ(i/n)Wi/n + τ(i/n) i,n, i = 1, . . . , n, where Wt denotes a standard Brownian motion and i,n are centered i.i.d. random variables with E ( i,n ) = 1 and finite fourth moment. Furthermore, σ and τ are unknown deterministic functions and Wt and ( 1,n, . . . , n,n) are assumed to be independent processes. Based on a spectral ...

Abstract A method of detecting latent factors quadratic variation (QV) Itô semimartingales from a set discrete observations is developed when the market microstructure noise present. We propose new way to determine number co-variations asset prices based on SIML (separating information maximum likelihood) by Kunitomo et al. (Separating likelihood estimation for high frequency financial data. Sp...