Search results for: stochastic volatility model

Authors: Damien Kunjal, Faeezah Peerbhai

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Despite the increasing popularity of exchange-traded funds (ETFs), ETF investment choices may not always be rational. Excess trading volume, misevaluations of securities, and excess return volatility present in financial markets can be attributed to the influence of the overconfidence bias. Whilst previous research has explored the overconfidence bias in stock markets; this study focuses on trading in ETF markets. Therefore, the objective of this study is to investigate the presence of investor overconfidence in the South African ETF market. Using vector autoregressive models, the lead-lag relationship between market turnover and the market return is examined for the market of South African ETFs tracking domestic benchmarks and for the market of South African ETFs tracking international benchmarks over the period November 2000 till August 2019. Consistent with the overconfidence hypothesis, a positive relationship between current market turnover and lagged market return is found for both markets, even after controlling for market volatility and cross-sectional dispersion. This relationship holds for both market and individual ETF turnover suggesting that investors are overconfident when trading in South African ETFs tracking domestic benchmarks and South African ETFs tracking international benchmarks since trading activity depends on past market returns. Additionally, using the global recession as a structural break, this study finds that investor overconfidence is more pronounced after the global recession suggesting that investors perceive ETFs as risk-reducing assets due to their diversification benefits. Overall, the results of this study indicate that the overconfidence bias has a significant influence on ETF investment choices, therefore, suggesting that the South African ETF market is inefficient since investors’ decisions are based on their biases. As a result, the effect of investor overconfidence can account for the difference between the fair value of ETFs and its current market price. This finding has implications for policymakers whose responsibility is to promote the efficiency of the South African ETF market as well as ETF investors and traders who trade in the South African ETF market.

Keywords: exchange-traded fund, market return, market turnover, overconfidence, trading activity

Procedia PDF Downloads 164

Authors: Naragain Phumchusri, Krisada Roekdethawesab, Manoj Lohatepanont

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Overbooking is an approach of selling more goods or services than available capacities because sellers anticipate that some buyers will not show-up or may cancel their bookings. At present, many airlines deploy overbooking strategy in order to deal with the uncertainty of their customers. Particularly, some airlines sell more cargo capacity than what they have available to freight forwarders with beliefs that some of them will cancel later. In this paper, we propose methods to find the optimal overbooking level of volume and weight for air cargo in order to minimize the total cost, containing cost of spoilage and cost of offloaded. Cancellations of volume and weight are jointly random variables with a known joint distribution. Heuristic approaches applying the idea of weight and volume independency is considered to find an appropriate answer to the full problem. Computational experiments are used to explore the performance of approaches presented in this paper, as compared to a naïve method under different scenarios.

Keywords: air cargo overbooking, offloading capacity, optimal overbooking level, revenue management, spoilage capacity

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Authors: Bingxi Huang, Yiqing Li, Marek Morzynski, Bernd R. Noack

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We propose a Kriging-based global optimization method for active flow control with multiple actuation parameters. This method is designed to converge quickly and avoid getting trapped into local minima. We follow the model-free explorative gradient method (EGM) to alternate between explorative and exploitive steps. This facilitates a convergence similar to a gradient-based method and the parallel exploration of potentially better minima. In contrast to EGM, both kinds of steps are performed with Kriging surrogate model from the available data. The explorative step maximizes the expected improvement, i.e., favors regions of large uncertainty. The exploitive step identifies the best location of the cost function from the Kriging surrogate model for a subsequent weight-biased linear-gradient descent search method. To verify the effectiveness and robustness of the improved Kriging-based optimization method, we have examined several comparative test problems of varying dimensions with limited evaluation budgets. The results show that the proposed algorithm significantly outperforms some model-free optimization algorithms like genetic algorithm and differential evolution algorithm with a quicker convergence for a given budget. We have also performed direct numerical simulations of the fluidic pinball (N. Deng et al. 2020 J. Fluid Mech.) on three circular cylinders in equilateral-triangular arrangement immersed in an incoming flow at Re=100. The optimal cylinder rotations lead to 44.0% net drag power saving with 85.8% drag reduction and 41.8% actuation power. The optimal results for active flow control based on this configuration have achieved boat-tailing mechanism by employing Coanda forcing and wake stabilization by delaying separation and minimizing the wake region.

Keywords: direct numerical simulations, flow control, kriging, stochastic optimization, wake stabilization

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Authors: M. Naderi, N. Iyyer, K. Goel, N. Phan

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A micromechanical analysis of the influence of fiber-matrix interface fracture properties on the transverse tensile response of fiber-reinforced composite is investigated. Augmented finite element method (AFEM) is used to provide high-fidelity damage initiation and propagation along the micromechanical analysis. Effects of fiber volume fraction and fiber shapes are also studies in representative volume elements (RVE) to capture the stochastic behavior of the composite under loading. In addition, defects and voids influence on the composite response are investigated in micromechanical analysis. The results reveal that the response of RVE with constant interface properties overestimates the composite transverse strength. It is also seen that the damage initiation and propagation locations are controlled by the distributions of fracture properties, fibers’ shapes, and defects.

Keywords: cohesive model, fracture, computational mechanics, micromechanics

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Authors: L. Madouni, M. Ould Ouali, N. E. Hannachi

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Two constitutive models for concrete are available in ABAQUS/Explicit, the Brittle Cracking Model and the Concrete Damaged Plasticity Model, and their suitability and limitations are well known. The aim of the present paper is to implement a damage-friction concrete constitutive model and to evaluate the performance of this model by comparing the predicted response with experimental data. The constitutive formulation of this material model is reviewed. In order to have consistent results, the parameter identification and calibration for the model have been performed. Several numerical simulations are presented in this paper, whose results allow for validating the capability of the proposed model for reproducing the typical nonlinear performances of concrete structures under different monotonic and cyclic load conditions. The results of the evaluation will be used for recommendations concerning the application and further improvements of the investigated model.

Keywords: Abaqus, concrete, constitutive model, numerical simulation

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Authors: Rene Hellmuth

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The requirements for the factory planning and the building concerned have changed in the last years. Factory planning has the task of designing products, plants, processes, organization, areas, and the building of a factory. Regular restructuring gains more importance in order to maintain the competitiveness of a factory. Restrictions regarding new areas, shorter life cycles of product and production technology as well as a VUCA (volatility, uncertainty, complexity and ambiguity) world cause more frequently occurring rebuilding measures within a factory. Restructuring of factories is the most common planning case today. Restructuring is more common than new construction, revitalization and dismantling of factories. The increasing importance of restructuring processes shows that the ability to change was and is a promising concept for the reaction of companies to permanently changing conditions. The factory building is the basis for most changes within a factory. If an adaptation of a construction project (factory) is necessary, the inventory documents must be checked and often time-consuming planning of the adaptation must take place to define the relevant components to be adapted, in order to be able to finally evaluate them. The different requirements of the planning participants from the disciplines of factory planning (production planner, logistics planner, automation planner) and industrial construction planning (architect, civil engineer) come together during reconstruction and must be structured. This raises the research question: Which requirements do the disciplines involved in the reconstruction planning place on a digital factory model? A subordinate research question is: How can model-based decision support be provided for a more efficient design of the conversion within a factory? Because of the high adaptation rate of factories and its building described above, a methodology for rescheduling factories based on the requirements engineering method from software development is conceived and designed for practical application in factory restructuring projects. The explorative research procedure according to Kubicek is applied. Explorative research is suitable if the practical usability of the research results has priority. Furthermore, it will be shown how to best use a digital factory model in practice. The focus will be on mobile applications to meet the needs of factory planners on site. An augmented reality (AR) application will be designed and created to provide decision support for planning variants. The aim is to contribute to a shortening of the planning process and model-based decision support for more efficient change management. This requires the application of a methodology that reduces the deficits of the existing approaches. The time and cost expenditure are represented in the AR tablet solution based on a building information model (BIM). Overall, the requirements of those involved in the planning process for a digital factory model in the case of restructuring within a factory are thus first determined in a structured manner. The results are then applied and transferred to a construction site solution based on augmented reality.

Keywords: augmented reality, digital factory model, factory planning, restructuring

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Authors: S. Bouhouche, R. Drai, J. Bast

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This paper is concerned with a method for uncertainty evaluation of steel sample content using X-Ray Fluorescence method. The considered method of analysis is a comparative technique based on the X-Ray Fluorescence; the calibration step assumes the adequate chemical composition of metallic analyzed sample. It is proposed in this work a new combined approach using the Kalman Filter and Markov Chain Monte Carlo (MCMC) for uncertainty estimation of steel content analysis. The Kalman filter algorithm is extended to the model identification of the chemical analysis process using the main factors affecting the analysis results; in this case, the estimated states are reduced to the model parameters. The MCMC is a stochastic method that computes the statistical properties of the considered states such as the probability distribution function (PDF) according to the initial state and the target distribution using Monte Carlo simulation algorithm. Conventional approach is based on the linear correlation, the uncertainty budget is established for steel Mn(wt%), Cr(wt%), Ni(wt%) and Mo(wt%) content respectively. A comparative study between the conventional procedure and the proposed method is given. This kind of approaches is applied for constructing an accurate computing procedure of uncertainty measurement.

Keywords: Kalman filter, Markov chain Monte Carlo, x-ray fluorescence calibration and testing, steel content measurement, uncertainty measurement

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Authors: André Luís Brasil Cavalcante, Juan Felix Rodriguez Rebolledo, Lucas Parreira de Faria Borges

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A methodology for the probabilistic analysis of active earth pressure on retaining wall for c-Φ soil backfill is described in this paper. The Rosenblueth point estimate method is used to measure the failure probability of a gravity retaining wall. The basic principle of this methodology is to use two point estimates, i.e., the standard deviation and the mean value, to examine a variable in the safety analysis. The simplicity of this framework assures to its wide application. For the calculation is required 2ⁿ repetitions during the analysis, since the system is governed by n variables. In this study, a probabilistic model based on the Rosenblueth approach for the computation of the overturning probability of failure of a retaining wall is presented. The obtained results have shown the advantages of this kind of models in comparison with the deterministic solution. In a relatively easy way, the uncertainty on the wall and fill parameters are taken into account, and some practical results can be obtained for the retaining structure design.

Keywords: retaining wall, active earth pressure, backfill, probabilistic analysis

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Authors: M. D. D. Chathurangi, M. G. K. Nayanathara, K. M. H. M. M. Gunapala, G. M. R. G. Dayananda, Kavinga Yapa Abeywardena, Deemantha Siriwardana

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Due to the growing popularity of social media platforms at present, there are various concerns, mostly cyberbullying, spam, bot accounts, and the spread of incorrect information. To develop a risk score calculation system as a thorough method for deciphering and exposing unethical social media profiles, this research explores the most suitable algorithms to our best knowledge in detecting the mentioned concerns. Various multiple models, such as Naïve Bayes, CNN, KNN, Stochastic Gradient Descent, Gradient Boosting Classifier, etc., were examined, and the best results were taken into the development of the risk score system. For cyberbullying, the Logistic Regression algorithm achieved an accuracy of 84.9%, while the spam-detecting MLP model gained 98.02% accuracy. The bot accounts identifying the Random Forest algorithm obtained 91.06% accuracy, and 84% accuracy was acquired for fake news detection using SVM.

Keywords: cyberbullying, spam behavior, bot accounts, fake news, machine learning

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Authors: Periklis Brakatsoulas

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Recent empirical research shows a growing interest in investment decision-making under market anomalies that contradict the rational paradigm. Momentum is undoubtedly one of the most robust anomalies in the empirical asset pricing research and remains surprisingly lucrative ever since first documented. Although predominantly phenomena identified across equities, momentum premia are now evident across various asset classes. Yet few many attempts are made so far to provide traders a diversified portfolio of strategies across different assets and markets. Moreover, literature focuses on patterns from past returns rather than mechanisms to signal future price directions prior to momentum runs. The aim of this paper is to develop a diversified portfolio approach to price distortion signals using daily position data on stocks, credit derivatives, and bonds. An algorithm allocates assets periodically, and new investment tactics take over upon price momentum signals and across different ranking groups. We focus on momentum life cycles, trend reversals, and price acceleration signals. The main effort here concentrates on the density, time span and maturity of momentum phenomena to identify consistent patterns over time and measure the predictive power of buy-sell signals generated by these anomalies. To tackle this, we propose a two-stage modelling process. First, we generate forecasts on core macroeconomic drivers. Secondly, satellite models generate market risk forecasts using the core driver projections generated at the first stage as input. Moreover, using a combination of the ARFIMA and FIGARCH models, we examine the dependence of consecutive observations across time and portfolio assets since long memory behavior in volatilities of one market appears to trigger persistent volatility patterns across other markets. We believe that this is the first work that employs evidence of volatility transmissions among derivatives, equities, and bonds to identify momentum life cycle patterns.

Keywords: forecasting, long memory, momentum, returns

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Authors: Arslan Murtaza

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Model Driven Architecture (MDA) is technique presented by OMG (Object Management Group) for software development in which different models are proposed and converted them into code. The main plan is to identify task by using PIM (Platform Independent Model) and transform it into PSM (Platform Specific Model) and then converted into code. In this review paper describes some challenges and issues that are faced in MDA, type and transformation of models (e.g. CIM, PIM and PSM), and evaluation of MDA-based methodologies.

Keywords: OMG, model driven rrchitecture (MDA), computation independent model (CIM), platform independent model (PIM), platform specific model(PSM), MDA-based methodologies

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Authors: Faizul Azly Abd Dzubir, Muhammad F. Othman

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Conventional structural health monitoring approach for mechanical equipment uses inspection data from Non-Destructive Testing (NDT) during plant shut down window and fitness for service evaluation to estimate the integrity of the equipment that is prone to crack damage. Yet, this forecast is fraught with uncertainty because it is often based on assumptions of future operational parameters, and the prediction is not continuous or online. Advanced Diagnostic and Prognostic Technology (ADaPT) uses Acoustic Emission (AE) technology and a stochastic prognostic model to provide real-time monitoring and prediction of mechanical defects or cracks. The forecast can help the plant authority handle their cracked equipment before it ruptures, causing an unscheduled shutdown of the facility. The ADaPT employs process historical data trending, finite element analysis, fitness for service, and probabilistic statistical analysis to develop a prediction model for crack initiation and growth due to mechanical damage. The prediction model is combined with live equipment operating data for real-time prediction of the remaining life span owing to fracture. ADaPT was devised at a hot combined feed exchanger (HCFE) that had suffered creep crack damage. The ADaPT tool predicts the initiation of a crack at the top weldment area by April 2019. During the shutdown window in April 2019, a crack was discovered and repaired. Furthermore, ADaPT successfully advised the plant owner to run at full capacity and improve output by up to 7% by April 2019. ADaPT was also used on a coke drum that had extensive fatigue cracking. The initial cracks are declared safe with ADaPT, with remaining crack lifetimes extended another five (5) months, just in time for another planned facility downtime to execute repair. The prediction model, when combined with plant information data, allows plant operators to continuously monitor crack propagation caused by mechanical damage for improved maintenance planning and to avoid costly shutdowns to repair immediately.

Keywords: mechanical damage, cracks, continuous monitoring tool, remaining life, acoustic emission, prognostic model

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Authors: Michael Ayomoh, Adriaan Roux, Oyindamola Omotuyi

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This paper presents an efficient robot navigation model in a multi-target domain amidst static and dynamic workspace obstacles. The problem is that of developing an optimal algorithm to minimize the total travel time of a robot as it visits all target points within its task domain amidst unknown workspace obstacles and finally return to its initial position. In solving this problem, a classical algorithm was first developed to compute the optimal number of paths to be travelled by the robot amidst the network of paths. The principle of shortest distance between robot and targets was used to compute the target point visitation order amidst workspace obstacles. Algorithm premised on the standard polar coordinate system was developed to determine the length of obstacles encountered by the robot hence giving room for a geometrical estimation of the total surface area occupied by the obstacle especially when classified as a relevant obstacle i.e. obstacle that lies in between a robot and its potential visitation point. A stochastic model was developed and used to estimate the likelihood of a dynamic obstacle bumping into the robot’s navigation path and finally, the navigation/obstacle avoidance algorithm was hinged on the hybrid virtual force field (HVFF) method. Significant modelling constraints herein include the choice of navigation path to selected target points, the possible presence of static obstacles along a desired navigation path and the likelihood of encountering a dynamic obstacle along the robot’s path and the chances of it remaining at this position as a static obstacle hence resulting in a case of re-routing after routing. The proposed algorithm demonstrated a high potential for optimal solution in terms of efficiency and effectiveness.

Keywords: multi-target, mobile robot, optimal path, static obstacles, dynamic obstacles

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Authors: Farnaz Farhangi

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Many people in New Zealand believe that the access to water is inexhaustible, and it comes from a history of virtually unrestricted access to it. For the region like Hamilton which is one of New Zealand’s fastest growing cities, it is crucial for policy makers to know about the future water consumption and implementation of rules and regulation such as universal water metering. Hamilton residents use water freely and they do not have any idea about how much water they use. Hence, one of proposed objectives of this research is focusing on forecasting water consumption using different methods. Residential water consumption time series exhibits seasonal and trend variations. Seasonality is the pattern caused by repeating events such as weather conditions in summer and winter, public holidays, etc. The problem with this seasonal fluctuation is that, it dominates other time series components and makes difficulties in determining other variations (such as educational campaign’s effect, regulation, etc.) in time series. Apart from seasonality, a stochastic trend is also combined with seasonality and makes different effects on results of forecasting. According to the forecasting literature, preprocessing (de-trending and de-seasonalization) is essential to have more performed forecasting results, while some other researchers mention that seasonally non-adjusted data should be used. Hence, I answer the question that is pre-processing essential? A wide range of forecasting methods exists with different pros and cons. In this research, I apply double seasonal ARIMA and Artificial Neural Network (ANN), considering diverse elements such as seasonality and calendar effects (public and school holidays) and combine their results to find the best predicted values. My hypothesis is the examination the results of combined method (hybrid model) and individual methods and comparing the accuracy and robustness. In order to use ARIMA, the data should be stationary. Also, ANN has successful forecasting applications in terms of forecasting seasonal and trend time series. Using a hybrid model is a way to improve the accuracy of the methods. Due to the fact that water demand is dominated by different seasonality, in order to find their sensitivity to weather conditions or calendar effects or other seasonal patterns, I combine different methods. The advantage of this combination is reduction of errors by averaging of each individual model. It is also useful when we are not sure about the accuracy of each forecasting model and it can ease the problem of model selection. Using daily residential water consumption data from January 2000 to July 2015 in Hamilton, I indicate how prediction by different methods varies. ANN has more accurate forecasting results than other method and preprocessing is essential when we use seasonal time series. Using hybrid model reduces forecasting average errors and increases the performance.

Keywords: artificial neural network (ANN), double seasonal ARIMA, forecasting, hybrid model

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Authors: Mohamed Rabhi, Kouider Halim Benrahou

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The rheological properties of the carbonyl-methylcellulose (CMC), of different concentrations (25000, 50000, 60000, 80000 and 100000 ppm) and different temperatures were studied. We found that the rheological behavior of all CMC solutions presents a pseudo-plastic behavior, it follows the model of Ostwald-de Waele. The objective of this work is the modeling of flow by the CMC Cross model. The Cross model gives us the variation of the viscosity according to the shear rate. This model allowed us to adjust more clearly the rheological characteristics of CMC solutions. A comparison between the Cross model and the model of Ostwald was made. Cross the model fitting parameters were determined by a numerical simulation to make an approach between the experimental curve and those given by the two models. Our study has shown that the model of Cross, describes well the flow of "CMC" for low concentrations.

Keywords: CMC, rheological modeling, Ostwald model, cross model, viscosity

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Authors: Mia Françoise

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This report aims to develop a strategy for assisting short-term investors to benefit from the current economic climate in South Africa by utilizing technical analysis techniques and predictive analytics. As part of this research, value investing and technical analysis principles will be combined to maximize returns for South African investors while optimizing volatility. As an emerging market, South Africa offers many opportunities for high growth in sectors where other developed countries cannot grow at the same rate. Investing in South African companies with significant growth potential can be extremely rewarding. Although the risk involved is more significant in countries with less developed markets and infrastructure, there is more room for growth in these countries. According to recent research, the offshore market is expected to outperform the local market over the long term; however, short-term investments in the local market will likely be more profitable, as the Johannesburg Stock Exchange is predicted to outperform the S&P500 over the short term. The instabilities in the economy contribute to increased market volatility, which can benefit investors if appropriately utilized. Price prediction and portfolio optimization comprise the two primary components of this methodology. As part of this process, statistics and other predictive modeling techniques will be used to predict the future performance of stocks listed on the Johannesburg Stock Exchange. Following predictive data analysis, Modern Portfolio Theory, based on Markowitz's Mean-Variance Theorem, will be applied to optimize the allocation of assets within an investment portfolio. By combining different assets within an investment portfolio, this optimization method produces a portfolio with an optimal ratio of expected risk to expected return. This methodology aims to provide a short-term investment with a stock portfolio that offers the best risk-to-return profile for stocks listed on the JSE by combining price prediction and portfolio optimization.

Keywords: financial stocks, optimized asset allocation, prediction modelling, South Africa

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Authors: Viet-Hung Truong, Seung-Eock Kim

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Rain–wind induced vibration of inclined cable is a special aerodynamic phenomenon because it is easily influenced by many factors, especially the distribution of rivulet and wind velocity. This paper proposes a new 3D model of inclined cable, based on single degree-of-freedom model. Aerodynamic forces are firstly established and verified with the existing results from a 2D model. The 3D model of inclined cable is developed. The 3D model is then applied to assess the effects of wind velocity distribution and the continuity of rivulets on the cable. Finally, an inclined cable model with small sag is investigated.

Keywords: 3D model, rain - wind induced vibration, rivulet, analytical model

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Authors: Emery A. Coppola Jr., Suna Cinar, Ferenc Szidarovszky

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Over-pumping of groundwater resources is a serious problem world-wide. In addition to depleting this valuable resource, hydraulically connected sensitive ecological resources like wetlands and surface water bodies are often impacted and even destroyed by over-pumping. Effectively managing groundwater in a way that satisfy human demand while preserving natural resources is a daunting challenge that will only worsen with growing human populations and climate change. As presented in this paper, a numerical flow model developed for a hypothetical but realistic groundwater/surface water system was combined with formal optimization. Response coefficients were used in an optimization management model to maximize groundwater pumping in a complex, multi-layered aquifer system while protecting against groundwater over-draft, streamflow depletion, and wetland impacts. Pumping optimization was performed for different constraint sets that reflect different resource protection preferences, yielding significantly different optimal pumping solutions. A sensitivity analysis on the optimal solutions was performed on select response coefficients to identify differences between wet and dry periods. Stochastic optimization was also performed, where uncertainty associated with changing irrigation demand due to changing weather conditions are accounted for. One of the strengths of this optimization approach is that it can efficiently and accurately identify superior management strategies that minimize risk and adverse environmental impacts associated with groundwater pumping under different hydrologic conditions.

Keywords: numerical groundwater flow modeling, water management optimization, groundwater overdraft, streamflow depletion

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Authors: Benjamin Castillo, Luis Pastenes, Fernando Cerdova

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The contamination of food by microbial agents is a common problem in the industry, especially regarding the elaboration of animal source products. Incorrect manipulation of the machinery or on the raw materials can cause a decrease in production or an epidemiological outbreak due to intoxication. In order to improve food product quality, different methods have been used to reduce or, at least, to slow down the growth of the pathogens, especially deteriorated, infectious or toxigenic bacteria. These methods are usually carried out under low temperatures and short processing time (abiotic agents), along with the application of antibacterial substances, such as bacteriocins (biotic agents). This, in a controlled and efficient way that fulfills the purpose of bacterial control without damaging the final product. Therefore, the objective of the present study is to design a secondary mathematical model that allows the prediction of both the biotic and abiotic factor impact associated with animal source food processing. In order to accomplish this objective, the authors propose a three-dimensional differential equation model, whose components are: bacterial growth, release, production and artificial incorporation of bacteriocins and changes in pH levels of the medium. These three dimensions are constantly being influenced by the temperature of the medium. Secondly, this model adapts to an idealized situation of cross-contamination animal source food processing, with the study agents being both the animal product and the contact surface. Thirdly, the stochastic simulations and the parametric sensibility analysis are compared with referential data. The main results obtained from the analysis and simulations of the mathematical model were to discover that, although bacterial growth can be stopped in lower temperatures, even lower ones are needed to eradicate it. However, this can be not only expensive, but counterproductive as well in terms of the quality of the raw materials and, on the other hand, higher temperatures accelerate bacterial growth. In other aspects, the use and efficiency of bacteriocins are an effective alternative in the short and medium terms. Moreover, an indicator of bacterial growth is a low-level pH, since lots of deteriorating bacteria are lactic acids. Lastly, the processing times are a secondary agent of concern when the rest of the aforementioned agents are under control. Our main conclusion is that when acclimating a mathematical model within the context of the industrial process, it can generate new tools that predict bacterial contamination, the impact of bacterial inhibition, and processing method times. In addition, the mathematical modeling proposed logistic input of broad application, which can be replicated on non-meat food products, other pathogens or even on contamination by crossed contact of allergen foods.

Keywords: bacteriocins, cross-contamination, mathematical model, temperature

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Authors: Go Bong Choi, Shin Je Lee, Sung Jin Yoo, Gibaek Lee, Jong Min Lee

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In South Korea, it is difficult to obtain data for statistical pipe assessment. In this paper, to address these issues, we find that various statistical model presented before is how data mixed with noise and are whether apply in South Korea. Three major type of model is studied and if data is presented in the paper, we add noise to data, which affects how model response changes. Moreover, we generate data from model in paper and analyse effect of noise. From this we can find robustness and applicability in Korea of each model.

Keywords: proportional hazard model, survival model, water main deterioration, ecological sciences

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Authors: Natnael Debalklie Teshome

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The purpose of the study was to empirically investigate the impacts of export performance and its volatility on economic growth in the Ethiopian economy. To do so, time-series data of the sample period from 1974/75 – 2017/18 were collected from databases and annual reports of IMF, WB, NBE, MoFED, UNCTD, and EEA. The extended Cobb-Douglas production function of the neoclassical growth model framed under the endogenous growth theory was used to consider both the performance and instability aspects of export. First, the unit root test was conducted using ADF and PP tests, and data were found in stationery with a mix of I(0) and I(1). Then, the bound test and Wald test were employed, and results showed that there exists long-run co-integration among study variables. All the diagnostic test results also reveal that the model fulfills the criteria of the best-fitted model. Therefore, the ARDL model and VECM were applied to estimate the long-run and short-run parameters, while the Granger causality test was used to test the causality between study variables. The empirical findings of the study reveal that only export and coefficient of variation had significant positive and negative impacts on RGDP in the long run, respectively, while other variables were found to have an insignificant impact on the economic growth of Ethiopia. In the short run, except for gross capital formation and coefficients of variation, which have a highly significant positive impact, all other variables have a strongly significant negative impact on RGDP. This shows exports had a strong, significant impact in both the short-run and long-run periods. However, its positive and statistically significant impact is observed only in the long run. Similarly, there was a highly significant export fluctuation in both periods, while significant commodity concentration (CCI) was observed only in the short run. Moreover, the Granger causality test reveals that unidirectional causality running from export performance to RGDP exists in the long run and from both export and RGDP to CCI in the short run. Therefore, the export-led growth strategy should be sustained and strengthened. In addition, boosting the industrial sector is vital to bring structural transformation. Hence, the government has to give different incentive schemes and supportive measures to exporters to extract the spillover effects of exports. Greater emphasis on price-oriented diversification and specialization on major primary products that the country has a comparative advantage should also be given to reduce value-based instability in the export earnings of the country. The government should also strive to increase capital formation and human capital development via enhancing investments in technology and quality of education to accelerate the economic growth of the country.

Keywords: export, economic growth, export diversification, instability, co-integration, granger causality, Ethiopian economy

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Authors: S. Rozhkova, O. Rozhkova, A. Harlova, V. Lasukov

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For optimal unbiased filter as mean-square and in the case of functioning anomalous noises in the observation memory channel, we have proved insensitivity of filter to inaccurate knowledge of the anomalous noise intensity matrix and its equivalence to truncated filter plotted only by non anomalous components of an observation vector.

Keywords: mathematical expectation, filtration, anomalous noise, memory

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Authors: Alhaji M. H. Conteh, Xiangbin Yan, Alfred V. Gborie

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The goal of this study was to increase the awareness of the description and assessments of rice acreage response and to offer mechanisms for agricultural policy scrutiny. The Ordinary Least Square (OLS) technique was utilized to determine the coefficients of acreage response models for the rice varieties. The magnitudes of the coefficients (λ) of both the ROK lagged and NERICA lagged acreages were found positive and highly significant, which indicates that farmers’ adjustment rate was very low. Regarding lagged actual price for both the ROK and NERICE rice varieties, the short-run price elasticities were lower than long-run, which is suggesting a long-term adjustment of the acreage, is under the crop. However, the apparent recommendations for policy transformation are to open farm gate prices and to decrease government’s involvement in agricultural sector especially in the acquisition of agricultural inputs. Impending research have to be centred on how this might be better realized. Necessary conditions should be made available to the private sector by means of minimizing price volatility. In accordance with structural reforms, it is necessary to convey output prices to farmers with minimum distortion. There is a need to eradicate price subsidies and control, which generate distortion in the market in addition to huge financial costs.

Keywords: acreage response, rate of adjustment, rice varieties, Sierra Leone

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Authors: Arezoo Heidary, Abolfazl Mirzazadeh, Aref Gholami-Qadikolaei

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In the business environment it is very common that a lot received may not be equal to quantity ordered. in this work, a random disturbance in a received quantity is considered. It is assumed a maximum allowable limit for storage space and inventory investment.The impact of lead time and ordering cost reductions once they act dependently is also investigated. Further, considering a mixture of back order and lost sales for allowable shortage system, the effect of investment on reducing lost sale rate is analyzed. For the proposed control system, a Lagrangian method is applied in order to solve the problem and an algorithmic procedure is utilized to achieve optimal solution with the global minimum expected cost. Finally, proves on concavity and convexity of the model in the decision variables are shown.

Keywords: stochastic inventory system, lead time, ordering cost, lost sale rate, inventory constraints, random disturbance

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Authors: Huseyin Guler, Cigdem Kosar

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The aim of this study is to propose Bridge estimator for seasonal unit root tests. Seasonality is an important factor for many economic time series. Some variables may contain seasonal patterns and forecasts that ignore important seasonal patterns have a high variance. Therefore, it is very important to eliminate seasonality for seasonal macroeconomic data. There are some methods to eliminate the impacts of seasonality in time series. One of them is filtering the data. However, this method leads to undesired consequences in unit root tests, especially if the data is generated by a stochastic seasonal process. Another method to eliminate seasonality is using seasonal dummy variables. Some seasonal patterns may result from stationary seasonal processes, which are modelled using seasonal dummies but if there is a varying and changing seasonal pattern over time, so the seasonal process is non-stationary, deterministic seasonal dummies are inadequate to capture the seasonal process. It is not suitable to use seasonal dummies for modeling such seasonally nonstationary series. Instead of that, it is necessary to take seasonal difference if there are seasonal unit roots in the series. Different alternative methods are proposed in the literature to test seasonal unit roots, such as Dickey, Hazsa, Fuller (DHF) and Hylleberg, Engle, Granger, Yoo (HEGY) tests. HEGY test can be also used to test the seasonal unit root in different frequencies (monthly, quarterly, and semiannual). Another issue in unit root tests is the lag selection. Lagged dependent variables are added to the model in seasonal unit root tests as in the unit root tests to overcome the autocorrelation problem. In this case, it is necessary to choose the lag length and determine any deterministic components (i.e., a constant and trend) first, and then use the proper model to test for seasonal unit roots. However, this two-step procedure might lead size distortions and lack of power in seasonal unit root tests. Recent studies show that Bridge estimators are good in selecting optimal lag length while differentiating nonstationary versus stationary models for nonseasonal data. The advantage of this estimator is the elimination of the two-step nature of conventional unit root tests and this leads a gain in size and power. In this paper, the Bridge estimator is proposed to test seasonal unit roots in a HEGY model. A Monte-Carlo experiment is done to determine the efficiency of this approach and compare the size and power of this method with HEGY test. Since Bridge estimator performs well in model selection, our approach may lead to some gain in terms of size and power over HEGY test.

Keywords: bridge estimators, HEGY test, model selection, seasonal unit root

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Authors: Chun-Qing Li, Guoyang Fu, Wei Yang

Abstract:

A significant portion of current water networks is made of cast iron pipes. Due to aging and deterioration with corrosion being the most predominant mechanism, the failure rate of cast iron pipes is very high. Although considerable research has been carried out in the past few decades, most are on the effect of corrosion on the structural capacity of pipes using strength theory as the failure criterion. This paper presents a reliability-based methodology for the assessment of corrosion affected cast iron pipe cracking failures. A nonlinear limit state function taking into account all three fracture modes is proposed for brittle metal pipes with mixed mode fracture. A stochastic model of the load effect is developed, and time-dependent reliability method is employed to quantify the probability of failure and predict the remaining service life. A case study is carried out using the proposed methodology, followed by sensitivity analysis to investigate the effects of the random variables on the probability of failure. It has been found that the larger the inclination angle or the Mode I fracture toughness is, the smaller the probability of pipe failure is. It has also been found that the multiplying and exponential coefficients k and n in the power law corrosion model and the internal pressure have the most influence on the probability of failure for cast iron pipes. The methodology presented in this paper can assist pipe engineers and asset managers in developing a risk-informed and cost-effective strategy for better management of corrosion-affected pipelines.

Keywords: corrosion, inclined surface cracks, pressurized cast iron pipes, stress intensity

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Authors: Tugrul Oktay, Mehmet Konar, Mohamed Abdallah Mohamed, Murat Aydin, Firat Sal, Murat Onay, Mustafa Soylak

Abstract:

In this paper, it is aimed to improve autonomous flight performance of a load-carrying (payload: 3 kg and total: 6kg) unmanned aerial vehicle (UAV) through active wing and horizontal tail active morphing and also integrated autopilot system parameters (i.e. P, I, D gains) and UAV parameters (i.e. extension ratios of wing and horizontal tail during flight) design. For this purpose, a loadcarrying UAV (i.e. ZANKA-II) is manufactured in Erciyes University, College of Aviation, Model Aircraft Laboratory is benefited. Optimum values of UAV parameters and autopilot parameters are obtained using a stochastic optimization method. Using this approach autonomous flight performance of UAV is substantially improved and also in some adverse weather conditions an opportunity for safe flight is satisfied. Active morphing and integrated design approach gives confidence, high performance and easy-utility request of UAV users.

Keywords: unmanned aerial vehicles, morphing, autopilots, autonomous performance

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Authors: Yuzuru Mitsui, Takashi Ikegami

Abstract:

The exponents of Taylor’s law in deterministic chaotic systems are computed, and their meanings are intensively discussed. Taylor’s law is the scaling relationship between the mean and variance (in both space and time) of population abundance, and this law is known to hold in a variety of ecological time series. The exponents found in the temporal Taylor’s law are different from those of the spatial Taylor’s law. The temporal Taylor’s law is calculated on the time series from the same locations (or the same initial states) of different temporal phases. However, with the spatial Taylor’s law, the mean and variance are calculated from the same temporal phase sampled from different places. Most previous studies were done with stochastic models, but we computed the temporal and spatial Taylor’s law in deterministic systems. The temporal Taylor’s law evaluated using the same initial state, and the spatial Taylor’s law was evaluated using the ensemble average and variance. There were two main discoveries from this work. First, it is often stated that deterministic systems tend to have the value two for Taylor’s exponent. However, most of the calculated exponents here were not two. Second, we investigated the relationships between chaotic features measured by the Lyapunov exponent, the correlation dimension, and other indexes with Taylor’s exponents. No strong correlations were found; however, there is some relationship in the same model, but with different parameter values, and we will discuss the meaning of those results at the end of this paper.

Keywords: chaos, density effect, population dynamics, Taylor’s law

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Authors: Aamna Lawrence, Ashutosh Mishra

Abstract:

Tremors occur in 60% of the patients who have Multiple Sclerosis (MS), the most common demyelinating disease that affects the central and peripheral nervous system, and are the primary cause of disability in young adults. While pharmacological agents provide minimal benefits, surgical interventions like Deep Brain Stimulation and Thalamotomy are riddled with dangerous complications which make non-invasive electrical stimulation an appealing treatment of choice for dealing with tremors. Hence, we hypothesized that if the non-invasive electrical stimulation parameters (mainly frequency) can be computed by mathematically modeling the nerve fibre to take into consideration the minutest details of the axon morphologies, tremors due to demyelination can be optimally alleviated. In this computational study, we have modeled the random demyelination pattern in a nerve fibre that typically manifests in MS using the High-Density Hodgkin-Huxley model with suitable modifications to account for the myelin. The internode of the nerve fibre in our model could have up to ten demyelinated regions each having random length and myelin thickness. The arrival time of action potentials traveling the demyelinated and the normally myelinated nerve fibre between two fixed points in space was noted, and its relationship with the nerve fibre radius ranging from 5µm to 12µm was analyzed. It was interesting to note that there were no overlaps between the arrival time for action potentials traversing the demyelinated and normally myelinated nerve fibres even when a single internode of the nerve fibre was demyelinated. The study gave us an opportunity to design DC pulses whose frequency of application would be a function of the random demyelination pattern to block only the delayed tremor-causing action potentials. The DC pulses could be delivered to the peripheral nervous system non-invasively by an electrode bracelet that would suppress any shakiness beyond it thus paving the way for wearable neuro-rehabilitative technologies.

Keywords: demyelination, Hodgkin-Huxley model, non-invasive electrical stimulation, tremor

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Authors: Olufunke Olufunmilayo Ilemobayo, Barakat. O Abdulazeez

Abstract:

Profit making among poultry egg farmers has been a challenge to efficient distribution of scarce farm resources over the years, due majorly to low capital base, inefficient management, technical inefficiency, economic inefficiency, thus poultry egg production has moved into an underperformed situation, characterised by low profit margin. Though previous studies focus mainly on broiler production and efficiency of its production, however, paucity of information exist in the areas of profit efficiency in the study area. Hence, determinants of profit efficiency among poultry egg farmers in Ondo State, Nigeria were investigated. A purposive sampling technique was used to obtain primary data from poultry egg farmers in Owo and Akure local government area of Ondo State, through a well-structured questionnaire. socio-economic characteristics such as age, gender, educational level, marital status, household size, access to credit, extension contact, other variables were input and output data like flock size, cost of feeder and drinker, cost of feed, cost of labour, cost of drugs and medications, cost of energy, price of crate of table egg, price of spent layers were variables used in the study. Data were analysed using descriptive statistics, budgeting analysis, and stochastic profit function/inefficiency model. Result of the descriptive statistics shows that 52 per cent of the poultry farmers were between 31-40 years, 62 per cent were male, 90 per cent had tertiary education, 66 per cent were primarily poultry farmers, 78 per cent were original poultry farm owners and 55 per cent had more than 5 years’ work experience. Descriptive statistics on cost and returns indicated that 64 per cent of the return were from sales of egg, while the remaining 36 per cent was from sales of spent layers. The cost of feeding take the highest proportion of 69 per cent of cost of production and cost of medication the lowest (7 per cent). A positive gross margin of N5, 518,869.76, net farm income of ₦ 5, 500.446.82 and net return on investment of 0.28 indicated poultry egg production is profitable. Equipment’s cost (22.757), feeding cost (18.3437), labour cost (136.698), flock size (16.209), drug and medication cost (4.509) were factors that affecting profit efficiency, while education (-2.3143), household size (-18.4291), access to credit (-16.027), and experience (-7.277) were determinant of profit efficiency. Education, household size, access to credit and experience in poultry production were the main determinants of profit efficiency of poultry egg production in Ondo State. Other factors that affect profit efficiency were cost of feeding, cost of labour, flock size, cost of drug and medication, they positively and significantly influenced profit efficiency in Ondo State, Nigeria.

Keywords: cost and returns, economic inefficiency, profit margin, technical inefficiency

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