Search results for: market crash prediction

Authors: Mesias Alfeus, Kirsty Fitzhenry, Alessia Lederer

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The present paper provides empirical studies to estimate defaultable bonds in the South African financial market. The main goal is to estimate the unobservable factors affecting bond yields for South African major banks. The maximum likelihood approach is adopted for the estimation methodology. Extended Kalman filtering techniques are employed in order to tackle the situation that the factors cannot be observed directly. Multi-dimensional Cox-Ingersoll-Ross (CIR)-type factor models are considered. Results show that default risk increased sharply in the South African financial market during COVID-19 and the CIR model with jumps exhibits a better performance.

Keywords: default intensity, unobservable state variables, CIR, α-CIR, extended kalman filtering

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Authors: Sofia Stoica

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In this paper, we use historical data to predict the stock price of a tech company. To this end, we use a dataset consisting of the stock prices in the past five years of ten major tech companies – Adobe, Amazon, Apple, Facebook, Google, Microsoft, Netflix, Oracle, Salesforce, and Tesla. We experimented with a variety of models– a linear regressor model, K nearest Neighbors (KNN), a sequential neural network – and algorithms - Multiplicative Weight Update, and AdaBoost. We found that the sequential neural network performed the best, with a testing error of 0.18%. Interestingly, the linear model performed the second best with a testing error of 0.73%. These results show that using historical data is enough to obtain high accuracies, and a simple algorithm like linear regression has a performance similar to more sophisticated models while taking less time and resources to implement.

Keywords: finance, machine learning, opening price, stock market

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Authors: Rashini Maduka, C. R. Wijesinghe, A. R. Weerasinghe

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Drug-drug interactions (DDIs) can happen when two or more drugs are taken together. Today DDIs have become a serious health issue due to adverse drug effects. In vivo and in vitro methods for identifying DDIs are time-consuming and costly. Therefore, in-silico-based approaches are preferred in DDI identification. Most machine learning models for DDI prediction are used chemical and biological drug properties as features. However, some drug features are not available and costly to extract. Therefore, it is better to make automatic feature engineering. Furthermore, people who have diabetes already suffer from other diseases and take more than one medicine together. Then adverse drug effects may happen to diabetic patients and cause unpleasant reactions in the body. In this study, we present a model with a graph convolutional autoencoder and a graph decoder using a dataset from DrugBank version 5.1.3. The main objective of the model is to identify unknown interactions between antidiabetic drugs and the drugs taken by diabetic patients for other diseases. We considered automatic feature engineering and used Known DDIs only as the input for the model. Our model has achieved 0.86 in AUC and 0.86 in AP.

Keywords: drug-drug interaction prediction, graph embedding, graph convolutional networks, adverse drug effects

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Authors: Mohammad Hosein Panahi, Naser Yazdani

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we present a technical trading strategy that leverages the FinBERT language model and financial news analysis with a focus on news related to a subset of Nasdaq 100 stocks. Our approach surpasses the baseline Range Break-out strategy in the Bitcoin market, yielding a remarkable 24.8% increase in the win ratio for all Friday trades and an impressive 48.9% surge in short trades specifically on Fridays. Moreover, we conduct rigorous hypothesis testing to establish the statistical significance of these improvements. Our findings underscore considerable potential of our NLP-driven approach in enhancing trading strategies and achieving greater profitability within financial markets.

Keywords: quantitative finance, technical analysis, bitcoin market, NLP, language models, FinBERT, technical trading

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Authors: Ravija Gunawardana, Banuka Athuraliya

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Machine learning has emerged as a powerful tool for disease diagnosis and prediction. The use of machine learning algorithms has the potential to improve the accuracy of disease prediction, thereby enabling medical professionals to provide more effective and personalized treatments. This study focuses on developing a machine-learning model for disease prediction using symptoms and X-ray images. The importance of this study lies in its potential to assist medical professionals in accurately diagnosing diseases, thereby improving patient outcomes. Respiratory diseases are a significant cause of morbidity and mortality worldwide, and chest X-rays are commonly used in the diagnosis of these diseases. However, accurately interpreting X-ray images requires significant expertise and can be time-consuming, making it difficult to diagnose respiratory diseases in a timely manner. By incorporating machine learning algorithms, we can significantly enhance disease prediction accuracy, ultimately leading to better patient care. The study utilized the Mask R-CNN algorithm, which is a state-of-the-art method for object detection and segmentation in images, to process chest X-ray images. The model was trained and tested on a large dataset of patient information, which included both symptom data and X-ray images. The performance of the model was evaluated using a range of metrics, including accuracy, precision, recall, and F1-score. The results showed that the model achieved an accuracy rate of over 90%, indicating that it was able to accurately detect and segment regions of interest in the X-ray images. In addition to X-ray images, the study also incorporated symptoms as input data for disease prediction. The study used three different classifiers, namely Random Forest, K-Nearest Neighbor and Support Vector Machine, to predict diseases based on symptoms. These classifiers were trained and tested using the same dataset of patient information as the X-ray model. The results showed promising accuracy rates for predicting diseases using symptoms, with the ensemble learning techniques significantly improving the accuracy of disease prediction. The study's findings indicate that the use of machine learning algorithms can significantly enhance disease prediction accuracy, ultimately leading to better patient care. The model developed in this study has the potential to assist medical professionals in diagnosing respiratory diseases more accurately and efficiently. However, it is important to note that the accuracy of the model can be affected by several factors, including the quality of the X-ray images, the size of the dataset used for training, and the complexity of the disease being diagnosed. In conclusion, the study demonstrated the potential of machine learning algorithms for disease prediction using symptoms and X-ray images. The use of these algorithms can improve the accuracy of disease diagnosis, ultimately leading to better patient care. Further research is needed to validate the model's accuracy and effectiveness in a clinical setting and to expand its application to other diseases.

Keywords: K-nearest neighbor, mask R-CNN, random forest, support vector machine

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Authors: Antonia Müller, Svend Reuse

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The Brexit referendum in June 2016 led to different publications analysing potential consequences for European and British insurance companies under the European Passport. This study addresses a research gap, regarding the measures taken by insurance companies based in the United Kingdom and thus on structural changes to the European insurance market by an innovative structured Solvency and Financial Condition Report content analysis. In scope are all insurance companies based in the United Kingdom, that fall under the Solvency II supervisory regime. The results show that the majority of British Solvency II insurance companies in scope, conducting cross-border business to the European Union, have applied and reported measures to be able to continue operating this cross-border business after Brexit. In addition, the study shows that 34 new insurance companies based in the European Union were established as a result of Brexit, indicating structural changes to the European insurance market.

Keywords: brexit, europe, insurance market, solvency and financial condition repot, structural changes

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Authors: Vittorio Astarita, Giuseppe Guido, Vincenzo Pasquale Giofre, Alessandro Vitale

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Traffic microsimulation has been used extensively to evaluate consequences of different traffic planning and control policies in terms of travel time delays, queues, pollutant emissions, and every other common measured performance while at the same time traffic safety has not been considered in common traffic microsimulation packages as a measure of performance for different traffic scenarios. Vehicle conflict techniques that were introduced at intersections in the early traffic researches carried out at the General Motor laboratory in the USA and in the Swedish traffic conflict manual have been applied to vehicles trajectories simulated in microscopic traffic simulators. The concept is that microsimulation can be used as a base for calculating the number of conflicts that will define the safety level of a traffic scenario. This allows engineers to identify unsafe road traffic maneuvers and helps in finding the right countermeasures that can improve safety. Unfortunately, most commonly used indicators do not consider conflicts between single vehicles and roadside obstacles and barriers. A great number of vehicle crashes take place with roadside objects or obstacles. Only some recent proposed indicators have been trying to address this issue. This paper introduces a new procedure based on the simulation of potential crash events for the evaluation of safety levels in microsimulation traffic scenarios, which takes into account also potential crashes with roadside objects and barriers. The procedure can be used to define new conflict indicators. The proposed simulation procedure generates with the random perturbation of vehicle trajectories a set of potential crashes which can be evaluated accurately in terms of DeltaV, the energy of the impact, and/or expected number of injuries or casualties. The procedure can also be applied to real trajectories giving birth to new surrogate safety performance indicators, which can be considered as “simulation-based”. The methodology and a specific safety performance indicator are described and applied to a simulated test traffic scenario. Results indicate that the procedure is able to evaluate safety levels both at the intersection level and in the presence of roadside obstacles. The procedure produces results that are expressed in the same unity of measure for both vehicle to vehicle and vehicle to roadside object conflicts. The total energy for a square meter of all generated crash can be used and is shown on the map, for the test network, after the application of a threshold to evidence the most dangerous points. Without any detailed calibration of the microsimulation model and without any calibration of the parameters of the procedure (standard values have been used), it is possible to identify dangerous points. A preliminary sensitivity analysis has shown that results are not dependent on the different energy thresholds and different parameters of the procedure. This paper introduces a specific new procedure and the implementation in the form of a software package that is able to assess road safety, also considering potential conflicts with roadside objects. Some of the principles that are at the base of this specific model are discussed. The procedure can be applied on common microsimulation packages once vehicle trajectories and the positions of roadside barriers and obstacles are known. The procedure has many calibration parameters and research efforts will have to be devoted to make confrontations with real crash data in order to obtain the best parameters that have the potential of giving an accurate evaluation of the risk of any traffic scenario.

Keywords: road safety, traffic, traffic safety, traffic simulation

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Authors: Nattapong Techarattanased

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The objectives of this research were to study the influence of market orientation and supply chain management on competitive capability in case of the automotive parts industry in Thailand. This study employed by survey research and questionnaire was used to collect the data from 400 entrepreneurs in the automotive parts industry in Thailand. The descriptive statistics and multiple regression analysis were used to analyze data. The results revealed that the overall dimensions of marketing orientation, namely, responsiveness, intelligence generation, and intelligence dissemination were rated at the high level. As well, the overall dimensions of supply chain management, namely, collaboration, communication, trust, and commitment were also rated at the high level. Furthermore, the hypothesis testing results showed that supply chain management and market orientation affected competitive capability of the automotive parts industry in Thailand which these two variables could be combined to predict competitive capability of the automotive parts industry in Thailand by 31.5 percent.

Keywords: automotive parts industry, competitive capability, market orientation, supply chain management

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Authors: Asra Yousuf, Ajaykumar Tannirkulum

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Inferring rural-urban migration trends can help design effective policies that promote better urban planning and rural development. In this paper, we describe how machine learning algorithms can be applied to predict internal migration decisions of people. We consider data collected from household surveys in Tamil Nadu to train our model. To measure the performance of the model, we use data on past migration from National Sample Survey Organisation of India. The factors for training the model include socioeconomic characteristic of each individual like age, gender, place of residence, outstanding loans, strength of the household, etc. and his past migration history. We perform a comparative analysis of the performance of a number of machine learning algorithm to determine their prediction accuracy. Our results show that machine learning algorithms provide a stronger prediction accuracy as compared to statistical models. Our goal through this research is to propose the use of data science techniques in understanding human decisions and behaviour in developing countries.

Keywords: development, migration, internal migration, machine learning, prediction

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Authors: Queen Suraajini Rajendran, Sai Hung Cheung

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Statistical down scaling models are required to connect the global climate model outputs and the local weather variables for climate change impact prediction. For reliable climate change impact studies, the uncertainty associated with the model including natural variability, uncertainty in the climate model(s), down scaling model, model inadequacy and in the predicted results should be quantified appropriately. In this work, a new approach is developed by the authors for statistical classification, statistical down scaling and uncertainty assessment and is applied to Singapore rainfall. It is a robust Bayesian uncertainty analysis methodology and tools based on coupling dependent modeling error with classification and statistical down scaling models in a way that the dependency among modeling errors will impact the results of both classification and statistical down scaling model calibration and uncertainty analysis for future prediction. Singapore data are considered here and the uncertainty and prediction results are obtained. From the results obtained, directions of research for improvement are briefly presented.

Keywords: statistical downscaling, global climate model, climate change, uncertainty

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Authors: Manel Youssef, Lotfi Belkacem

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This paper employs multivariate long memory GARCH models to simultaneously estimate mean and conditional variance spillover effects between oil prices and different financial markets. Since different financial assets are traded based on these market sector returns, it’s important for financial market participants to understand the volatility transmission mechanism over time and across these series in order to make optimal portfolio allocation decisions. We examine weekly returns from January 1, 2003 to November 30, 2012 and find evidence of significant transmission of shocks and volatilities between oil prices and some of the examined financial markets. The findings support the idea of cross-market hedging and sharing of common information by investors.

Keywords: oil prices, stock indices returns, oil volatility, contagion, DCC-multivariate (FI) GARCH

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Authors: Man Fung Ho, Lap So, Jiaqi Zhang, Yuheng Zhao, Huiyang Lu, Tat Shing Choi, K. Y. Michael Wong

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Nowadays, a tremendous amount of data is available in the transportation system, enabling the development of various machine learning approaches to make short-term latency predictions. A natural question is then the choice of relevant information to enable accurate predictions. Using traffic data collected from the Taiwan Freeway System, we consider the prediction of short-term latency of a freeway segment with a length of 17 km covering 5 measurement points, each collecting vehicle-by-vehicle data through the electronic toll collection system. The processed data include the past latencies of the freeway segment with different time lags, the traffic conditions of the individual segments (the accumulations, the traffic fluxes, the entrance and exit rates), the total accumulations, and the weekday latency profiles obtained by Gaussian process regression of past data. We arrive at several important conclusions about how data should be refined to obtain accurate predictions, which have implications for future system-wide latency predictions. (1) We find that the prediction of median latency is much more accurate and meaningful than the prediction of average latency, as the latter is plagued by outliers. This is verified by machine-learning prediction using XGBoost that yields a 35% improvement in the mean square error of the 5-minute averaged latencies. (2) We find that the median latency of the segment 15 minutes ago is a very good baseline for performance comparison, and we have evidence that further improvement is achieved by machine learning approaches such as XGBoost and Long Short-Term Memory (LSTM). (3) By analyzing the feature importance score in XGBoost and calculating the mutual information between the inputs and the latencies to be predicted, we identify a sequence of inputs ranked in importance. It confirms that the past latencies are most informative of the predicted latencies, followed by the total accumulation, whereas inputs such as the entrance and exit rates are uninformative. It also confirms that the inputs are much less informative of the average latencies than the median latencies. (4) For predicting the latencies of segments composed of two or three sub-segments, summing up the predicted latencies of each sub-segment is more accurate than the one-step prediction of the whole segment, especially with the latency prediction of the downstream sub-segments trained to anticipate latencies several minutes ahead. The duration of the anticipation time is an increasing function of the traveling time of the upstream segment. The above findings have important implications to predicting the full set of latencies among the various locations in the freeway system.

Keywords: data refinement, machine learning, mutual information, short-term latency prediction

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Authors: Marian Sorin Ionescu, Olivia Negoita, Cosmin Dobrin

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This scientific communication reports and discusses learning models adaptable to modern business problems and models specific to digital concepts and paradigms. In the PAC (probably approximately correct) learning model approach, in which the learning process begins by receiving a batch of learning examples, the set of learning processes is used to acquire a hypothesis, and when the learning process is fully used, this hypothesis is used in the prediction of new operational examples. For complex business models, a lot of models should be introduced and evaluated to estimate the induced results so that the totality of the results are used to develop a predictive rule, which anticipates the choice of new models. In opposition, for online learning-type processes, there is no separation between the learning (training) and predictive phase. Every time a business model is approached, a test example is considered from the beginning until the prediction of the appearance of a model considered correct from the point of view of the business decision. After choosing choice a part of the business model, the label with the logical value "true" is known. Some of the business models are used as examples of learning (training), which helps to improve the prediction mechanisms for future business models.

Keywords: machine learning, business models, convex analysis, online learning

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Authors: Imad Eddine Charif, Wafaa Benchouk, Sidi Mohamed Mekelleche

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The regioselectivity of a series of 16 1,3-dipolar cycloaddition reactions of nitrile oxides with 2(5H)-furanones has been analysed by means of global and local electrophilic and nucleophilic reactivity indices using density functional theory at the B3LYP level together with the 6-31G(d) basis set. The local electrophilicity and nucleophilicity indices, based on Fukui and Parr functions, have been calculated for the terminal sites, namely the C1 and O3 atoms of the 1,3-dipole and the C4 and C5 atoms of the dipolarophile. These local indices were calculated using both Mulliken and natural charges and spin densities. The results obtained show that the C5 atom of the 2(5H)-furanones is the most electrophilic site whereas the O3 atom of the nitrile oxides is the most nucleophilic centre. It turns out that the experimental regioselectivity is correctly reproduced, indicating that both Fukui- and Parr-based indices are efficient tools for the prediction of the regiochemistry of the studied reactions and could be used for the prediction of newly designed reactions of the same kind.

Keywords: 1, 3-dipolar cycloaddition, density functional theory, nitrile oxides, regioselectivity, reactivity indices

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Authors: Hasan Keshavarzian, Tayebeh Nesari

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Bolted rail joint is one of the most vulnerable areas in railway track. A comprehensive approach was developed for studying the reliability of fatigue crack initiation of railroad bolt hole under random axle loads and random material properties. The operation condition was also considered as stochastic variables. In order to obtain the comprehensive probability model of fatigue crack initiation life prediction in railroad bolt hole, we used FEM, response surface method (RSM), and reliability analysis. Combined energy-density based and critical plane based fatigue concept is used for the fatigue crack prediction. The dynamic loads were calculated according to the axle load, speed, and track properties. The results show that axle load is most sensitive parameter compared to Poisson’s ratio in fatigue crack initiation life. Also, the reliability index decreases slowly due to high cycle fatigue regime in this area.

Keywords: rail-wheel tribology, rolling contact mechanic, finite element modeling, reliability analysis

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Authors: Mayank Mishra

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Market Economy can be broadly defined as economic system where supply and demand regulate the economy and in which decisions pertaining to production, consumption, allocation of resources, price and competition are made by collective actions of individuals or organisations with limited government intervention. On the other hand Market Society is one where instead of the economy being embedded in social relations, social relations are embedded in the economy. A market economy becomes a market society when all of land, labour and capital are commodified. This transition also has effect on people’s attitude and values. Such a transition commence impacting the non-material aspect of life such as public education, public health and the like. The inception of neoliberal policies in non-market norms altered the nature of social goods like public health that raised the following questions. What impact would the transition to a market society make on people in terms of accessibility to public health? Is healthcare a commodity that can be subjected to a competitive market place? What kind of private investments are being made in public health and how do private investments alter the nature of a public good like healthcare? This research problem will employ empirical-analytical approach that includes deductive reasoning which will be using the existing concept of market economy and market society as a foundation for the analytical framework and the hypotheses to be examined. The research also intends to inculcate the naturalistic elements of qualitative methodology which refers to studying of real world situations as they unfold. The research will analyse the existing literature available on the subject. Concomitantly the research intends to access the primary literature which includes reports from the World Bank, World Health Organisation (WHO) and the different departments of respective ministries of the countries for the analysis. This paper endeavours to highlight how the issue of commodification of public health would lead to perpetual increase in its inaccessibility leading to stratification of healthcare services where one can avail the better services depending on the extent of one’s ability to pay. Since the fundamental maxim of private investments is to churn out profits, these kinds of trends would pose a detrimental effect on the society at large perpetuating the lacuna between the have and the have-nots.The increasing private investments, both, domestic and foreign, in public health sector are leading to increasing inaccessibility of public health services. Despite the increase in various public health schemes the quality and impact of government public health services are on a continuous decline.

Keywords: commodity, India and Pakistan, market society, public health

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Authors: Abraham Castellanos, Christophe Durville, Sophie Echenim

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In this article, a portfolio optimization problem is performed in a Solvency II context: it illustrates how advanced optimization techniques can help to tackle complex operational pain points around the monitoring, control, and stability of Solvency Capital Requirement (SCR). The market SCR of a portfolio is calculated as a combination of SCR sub-modules. These sub-modules are the results of stress-tests on interest rate, equity, property, credit and FX factors, as well as concentration on counter-parties. The market SCR is non convex and non differentiable, which does not make it a natural optimization criteria candidate. In the SCR formulation, correlations between sub-modules are fixed, whereas risk-driven portfolio allocation is usually driven by the dynamics of the actual correlations. Implementing a portfolio construction approach that is efficient on both a regulatory and economic standpoint is not straightforward. Moreover, the challenge for insurance portfolio managers is not only to achieve a minimal SCR to reduce non-invested capital but also to ensure stability of the SCR. Some optimizations have already been performed in the literature, simplifying the standard formula into a quadratic function. But to our knowledge, it is the first time that the standard formula of the market SCR is used in an optimization problem. Two solvers are combined: a bundle algorithm for convex non- differentiable problems, and a BFGS (Broyden-Fletcher-Goldfarb- Shanno)-SQP (Sequential Quadratic Programming) algorithm, to cope with non-convex cases. A market SCR minimization is then performed with historical data. This approach results in significant reduction of the capital requirement, compared to a classical Markowitz approach based on the historical volatility. A comparative analysis of different optimization models (equi-risk-contribution portfolio, minimizing volatility portfolio and minimizing value-at-risk portfolio) is performed and the impact of these strategies on risk measures including market SCR and its sub-modules is evaluated. A lack of diversification of market SCR is observed, specially for equities. This was expected since the market SCR strongly penalizes this type of financial instrument. It was shown that this direct effect of the regulation can be attenuated by implementing constraints in the optimization process or minimizing the market SCR together with the historical volatility, proving the interest of having a portfolio construction approach that can incorporate such features. The present results are further explained by the Market SCR modelling.

Keywords: financial risk, numerical optimization, portfolio management, solvency capital requirement

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Authors: Ahmad Awajan, Sadam Al Wadi

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In this study, a hybrid method based on Empirical Mode Decomposition and Holt-Winter (EMD-HW) is used to forecast Amman stock market data. First, the data are decomposed by EMD method into Intrinsic Mode Functions (IMFs) and residual components. Then, all components are forecasted by HW technique. Finally, forecasting values are aggregated together to get the forecasting value of stock market data. Empirical results showed that the EMD- HW outperform individual forecasting models. The strength of this EMD-HW lies in its ability to forecast non-stationary and non- linear time series without a need to use any transformation method. Moreover, EMD-HW has a relatively high accuracy comparing with eight existing forecasting methods based on the five forecast error measures.

Keywords: Holt-Winter method, empirical mode decomposition, forecasting, time series

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Authors: Luis Enrique Escalante Ochoa

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This paper attempts to assess the impacts of Climate change (CC) on inequalities in the labour market. CC will have the most serious effects on some vulnerable economic sectors, such as agriculture, livestock or tourism, but also on the most vulnerable population groups. The objective of this research is to evaluate the impact of CC on the labour market and particularly on Mexican women. Influential documents such as the synthesis reports produced by the Intergovernmental Panel on Climate Change (IPCC) in 2007 and 2014 revived a global effort to counteract the effects of CC, called for an analysis of the impacts on vulnerable socio-economic groups and on economic activities, and for the development of decision-making tools to enable policy and other decisions based on the complexity of the world in relation to climate change, taking into account socio-economic attributes. We follow up this suggestion and determine the impact of CC on vulnerable populations in the Mexican labour market, taking into account two attributes (gender and level of qualification of workers). Most studies have focused on the effects of CC on the agricultural sector, as it is considered a highly vulnerable economic sector to the effects of climate variability. This research seeks to contribute to the existing literature taking into account, in addition to the agricultural sector, other sectors such as tourism, water availability, and energy that are of vital importance to the Mexican economy. Likewise, the effects of climate change will be extended to the labour market and specifically to women who in some cases have been left out. The studies are sceptical about the impact of CC on the female labour market because of the perverse effects on women's domestic work, which are too often omitted from analyses. This work will contribute to the literature by integrating domestic work, which in the case of Mexico is much higher among women than among men (80.9% vs. 19.1%), according to the 2009 time use survey. This study is relevant since it will allow us to analyse impacts of climate change not only in the labour market of the formal economy, but also in the non-market sphere. Likewise, we consider that including the gender dimension is valid for the Mexican economy as it is a country with high degrees of gender inequality in the labour market. In the OECD economic study for Mexico (2017), the low labour participation of Mexican women is highlighted. Although participation has increased substantially in recent years (from 36% in 1990 to 47% in 2017), it remains low compared to the OECD average where women participate around 70% of the labour market. According to Mexico's 2009 time use survey, domestic work represents about 13% of the total time available. Understanding the interdependence between the market and non-market spheres, and the gender division of labour within them is the necessary premise for any economic analysis aimed at promoting gender equality and inclusive growth.

Keywords: climate change, labour market, domestic work, rural sector

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Authors: Miriam Sosa, Edgar Ortiz, Alejandra Cabello

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This paper examines the volatility changes and leverage effects of the MILA stock markets and their changes since the 2007 global financial crisis. This group integrates the stock markets from Chile, Colombia, Mexico and Peru. Volatility changes and leverage effects are tested with a symmetric GARCH (1,1) and asymmetric TARCH (1,1) models with a dummy variable in the variance equation. Daily closing prices of the stock indexes of Chile (IPSA), Colombia (COLCAP), Mexico (IPC) and Peru (IGBVL) are examined for the period 2003:01 to 2015:02. The evidence confirms the presence of an overall increase in asymmetric market volatility in the Peruvian share market since the 2007 crisis.

Keywords: financial crisis, Latin American Integrated Market, TARCH, GARCH

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Authors: M. Arifuzzaman, H. S. Kim

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Multiple sets of variables associated with expanded perlite particle consolidation in foam manufacturing were analyzed to develop a model for predicting perlite foam density. The consolidation of perlite particles based on the flotation method and compaction involves numerous variables leading to the final perlite foam density. The variables include binder content, compaction ratio, perlite particle size, various perlite particle densities and porosities, and various volumes of perlite at different stages of process. The developed model was found to be useful not only for prediction of foam density but also for optimization between compaction ratio and binder content to achieve a desired density. Experimental verification was conducted using a range of foam densities (0.15–0.5 g/cm3) produced with a range of compaction ratios (1.5-3.5), a range of sodium silicate contents (0.05–0.35 g/ml) in dilution, a range of expanded perlite particle sizes (1-4 mm), and various perlite densities (such as skeletal, material, bulk, and envelope densities). A close agreement between predictions and experimental results was found.

Keywords: expanded perlite, flotation method, foam density, model, prediction, sodium silicate

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Authors: Liudmila A.Guzikova

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Being federative state Russia includes more than 80 subjects which are widely diverse by climatic conditions, demographic characteristics, cultural traditions, intensity of migration, economic development and investment attraction and other parameters. Now, in the regions of the country all forms of housing problem are present - housing mismatch to sanitary and hygienic standards, overcrowding, forced residence in financially burdensome housing, homelessness, -although the extent of these symptoms varies widely. Heterogeneity of regional conditions in combination with specifics of regional housing situation requires to concentrate the study of housing problem on the regional level. Traditionally housing market and mortgage are considered as the instruments of housing problem solving. The question arises how the housing market and mortgage market contribute to solving the housing problem in the regions of Russia. Though the purchase of dwelling in ownership should not be regarded as a universal method of the housing problem solving, the purchase of dwelling both by own funds or by use of mortgage can reduce the problem and enhance public satisfaction of living conditions. The aim of the study is to identify differences and similarities in the development of regional housing markets and mortgage lending in the regions of Russia and to evaluate their impact on the status of the housing problem. To achieve the aim of the study the methods of correlation and regression analysis are used. The data of federal statistics constitutes the information base of research. The results of the study contribute to better understanding of the interrelations in housing sphere and can be used to work out social and economic development programs in the regions.

Keywords: housing market, housing problem, mortgage, regional economy

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Authors: Hary Aprianto Wijaya Siahaan, Bayu Edo Pratama

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Sea fishery's potential to become one of the nation's assets which very contributed to Indonesia's economy. This fishery potential not in spite of the availability of the chlorophyll in the territorial waters of Indonesia. The research was conducted using three methods, namely: statistics, comparative and analytical. The data used include MODIS sea temperature data imaging results in Aqua satellite with a resolution of 4 km in 2002-2015, MODIS data of chlorophyll-a imaging results in Aqua satellite with a resolution of 4 km in 2002-2015, and Imaging results data ASCAT on MetOp and NOAA satellites with 27 km resolution in 2002-2015. The results of the processing of the data show that the incidence of upwelling in the south of East Java Sea began to happen in June identified with sea surface temperature anomaly below normal, the mass of the air that moves from the East to the West, and chlorophyll-a concentrations are high. In July the region upwelling events are increasingly expanding towards the West and reached its peak in August. Chlorophyll-a concentration prediction using multiple linear regression equations demonstrate excellent results to chlorophyll-a concentrations prediction in 2002 until 2015 with the correlation of predicted chlorophyll-a concentration indicate a value of 0.8 and 0.3 with RMSE value. On the chlorophyll-a concentration prediction in 2016 indicate good results despite a decline in the value of the correlation, where the correlation of predicted chlorophyll-a concentration in the year 2016 indicate a value 0.6, but showed improvement in RMSE values with 0.2.

Keywords: satellite, sea surface temperature, upwelling, wind stress

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Authors: Hernani Brinati, Mardel de Conti, Moyses Szajnbok, Valentina Domiciano

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This study brings a mathematical model and examples for the numerical prediction of submersible maneuvers in the horizontal and in the vertical planes. The geometry of the submarine is here taken as a body of revolution plus a sail, two horizontal and two vertical rudders. The model includes the representation of the hull resistance and of the propeller thrust and torque, what enables to consider the variation of the longitudinal component of the velocity of the ship when maneuvering. The hydrodynamic forces are represented through power series expansions of the acceleration and velocity components. The hydrodynamic derivatives for the body of revolution are mostly estimated based on fundamental principles applicable to the flow around airplane fuselages in the subsonic regime. The hydrodynamic forces for the sail and rudders are estimated based on a finite aspect ratio wing theory. The objective of this study is to build an expedite model for submarine maneuvers prediction, based on fundamental principles, which may be convenient in the early stages of the ship design. This model is tested against available numerical and experimental data.

Keywords: submarine maneuvers, submarine, maneuvering, dynamics

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Authors: Siri-orn Champatong

Abstract:

The purpose of this research was to study factors that were related with travel behaviors of Thai tourists at the Ayothaya Floating Market, Phra Nakhon Sri Ayutthaya. The quantitative research was conducted with 400 samples of Thai tourists traveling to the Ayothaya Floating Market. The Questionnaire was a tool used to collect data, and the statistics used for data analysis were mean and Pearson product moment correlation coefficient. The results found that Thai tourists focused on attraction, easy access and facilities of the tourist spot at a high level. In addition, they gave priority to the marketing mix in the dimension of products, price, and distribution channels at a high level as well. For marketing promotion, it was at the moderate level. The results of hypothesis testing revealed that factors related to the attractions of the tourist destination, easy access to the tourist destination, the facilities of the tourist spot, and product and price of the marketing mix were associated with travel behaviors in the aspect of the number of visits used and the budget on tourism.

Keywords: floating market, marketing mix, tourism attractions, travelling behavior

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Authors: I. M. Abd Rahim, H. Abdul Rahim, R. Ghazali

Abstract:

There is numerous non-invasive blood glucose measurement technique developed by researchers, and near infrared (NIR) is the potential technique nowadays. However, there are some disagreements on the optimal wavelength range that is suitable to be used as the reference of the glucose substance in the blood. This paper focuses on the experimental data collection technique and also the analysis method used to analyze the data gained from the experiment. The selection of suitable linear and non-linear model structure is essential in prediction system, as the system developed need to be conceivably accurate.

Keywords: linear, near-infrared (NIR), non-invasive, non-linear, prediction system

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Authors: Raquel M. De sousa, Sofiane Labidi, Allan Kardec D. Barros, Alex O. Barradas Filho, Aldalea L. B. Marques

Abstract:

Several parameters are established in order to measure biodiesel quality. One of them is the iodine value, which is an important parameter that measures the total unsaturation within a mixture of fatty acids. Limitation of unsaturated fatty acids is necessary since warming of a higher quantity of these ones ends in either formation of deposits inside the motor or damage of lubricant. Determination of iodine value by official procedure tends to be very laborious, with high costs and toxicity of the reagents, this study uses an artificial neural network (ANN) in order to predict the iodine value property as an alternative to these problems. The methodology of development of networks used 13 esters of fatty acids in the input with convergence algorithms of backpropagation type were optimized in order to get an architecture of prediction of iodine value. This study allowed us to demonstrate the neural networks’ ability to learn the correlation between biodiesel quality properties, in this case iodine value, and the molecular structures that make it up. The model developed in the study reached a correlation coefficient (R) of 0.99 for both network validation and network simulation, with Levenberg-Maquardt algorithm.

Keywords: artificial neural networks, biodiesel, iodine value, prediction

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Authors: Abdelrahman Alghazali, Youssef Kassem, Hüseyin Çamur, Ozan Erenay

Abstract:

Savonius is a drag type vertical axis wind turbine. Savonius wind turbines have a low cut-in speed and can operate at low wind speed. This makes it suitable for electricity or mechanical generation in low-power applications such as individual domestic installations. Therefore, the primary purpose of this work was to investigate the relationship between the type of Savonius rotor and the torque and mechanical power generated. And it was to illustrate how the type of rotor might play an important role in the prediction of mechanical power of wind turbine powered car. The main purpose of this paper is to predict and investigate the aerodynamic effects by means of velocity analysis on the performance of a wind turbine powered car by converting the wind energy into mechanical energy to overcome load that rotates the main shaft. The predicted results based on theoretical analysis were compared with experimental results obtained from literature. The percentage of error between the two was approximately around 20%. Prediction of the torque was done at a wind speed of 4 m/s, and an angular velocity of 130 RPM according to meteorological statistics in Northern Cyprus.

Keywords: mechanical power, torque, Savonius rotor, wind car

Procedia PDF Downloads 337

Authors: Hong Li, Haiyang Yu, Shiqing Cheng, Nai Cao, Zhiliang Shi

Abstract:

Unconventional resources have gradually become the main direction for oil and gas exploration and development. However, the productivity of gas wells, the level of water production, and the seepage law in tight fractured gas reservoirs are very different. These are the reasons why production prediction is so difficult. Firstly, a three-dimensional multi-scale fracture and multiphase mathematical model based on an embedded discrete fracture model (EDFM) is established. And the material balance method is used to calculate the water body multiple according to the production performance characteristics of water-producing gas well. This will help construct a 'virtual water body'. Based on these, this paper presents a numerical simulation process that can adapt to different production modes of gas wells. The research results show that fractures have a double-sided effect. The positive side is that it can increase the initial production capacity, but the negative side is that it can connect to the water body, which will lead to the gas production drop and the water production rise both rapidly, showing a 'scissor-like' characteristic. It is worth noting that fractures with different angles have different abilities to connect with the water body. The higher the angle of gas well development, the earlier the water maybe break through. When the reservoir is a single layer, there may be a stable production period without water before the fractures connect with the water body. Once connected, a 'scissors shape' will appear. If the reservoir has multiple layers, the gas and water will produce at the same time. The above gas-water relationship can be matched with the gas well production date of the Xujiahe gas reservoir in the Sichuan Basin. This method is used to predict the productivity of a well with hydraulic fractures in this gas reservoir, and the prediction results are in agreement with on-site production data by more than 90%. It shows that this research idea has great potential in the productivity prediction of water-producing gas wells. Early prediction results are of great significance to guide the design of development plans.

Keywords: EDFM, multiphase, multilayer, water body

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Authors: Yangrae Cho, Jinseok Kim, Yongtae Park

Abstract:

Mobile app service ecosystem has been abruptly emerged, explosively grown, and dynamically transformed. In contrast with product markets in which product sales directly cause increment in firm’s income, customer’s usage is less visible but more valuable in service market. Especially, the market situation with cutthroat competition in mobile app store makes securing and keeping of users as vital. Although a few service firms try to manage their apps’ usage patterns by fitting on S-curve or applying other forecasting techniques, the time series approaches based on past sequential data are subject to fundamental limitation in the market where customer’s attention is being moved unpredictably and dynamically. We therefore propose a new conceptual approach for detecting usage pattern of mobile app service with Hidden Markov Model (HMM) which is based on the dual stochastic structure and mainly used to clarify unpredictable and dynamic sequential patterns in voice recognition or stock forecasting. Our approach could be practically utilized for app service firms to manage their services’ lifecycles and academically expanded to other markets.

Keywords: mobile app service, usage pattern, Hidden Markov Model, pattern detection

Procedia PDF Downloads 336