Search results for: asymmetric power volatility

Authors: T. Mohammed Chikouche, K. Hartani

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In order to solve the instantaneous power ripple and achieve better performance of direct power control (DPC) for a three-phase PWM rectifier, a control method is proposed in this paper. This control method is applied to overcome the instantaneous power ripple, to eliminate line current harmonics and therefore reduce the total harmonic distortion and to improve the power factor. A switching table is based on the analysis on the change of instantaneous active and reactive power, to select the optimum switching state of the three-phase PWM rectifier. The simulation result shows feasibility of this control method.

Keywords: power quality, direct power control, power ripple, switching table, unity power factor

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Authors: Serdal AKYUZ

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The smart power is the use of soft and hard power together in consideration of existing circumstances. Soft power can be defined as the capability of changing perception of any target mass by employing policies based on legality. The hard power, generally, uses military and economic instruments which are the concrete indicator of general power comprehension. More than providing a balance between soft and hard power, smart power creates a proactive combination by assessing existing resources. Military targeting process (MTP), as stated in smart power methodology, benefits from a wide scope of lethal and non-lethal weapons to reach intended end state. The Smart powers components can be used in military targeting process similar to using of lethal or non-lethal weapons. This paper investigates the current use of Smart power concept, MTP and presents a new approach to MTP from smart power concept point of view.

Keywords: future security environment, hard power, military targeting process, soft power, smart power

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Authors: W. T. A. Mohammed, M. Eltaeb, R. Kashani

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The first bending modes of tall asymmetric structures in the two lateral X and Y-directions have two different natural frequencies. To add tuned damping to these bending modes, one needs to either a) use two pendulum-tuned mass dampers (PTMDs) with one tuning frequency, each PTMD targeting one of the bending modes, or b) use one PTMD with two tuning frequencies (one in each lateral directions). Option (a), being more massive, requiring more space, and being more expensive, is less attractive than option (b). Considering that the tuning frequency of a pendulum depends mainly on the pendulum length, one way of realizing option (b) is by constraining the swinging length of the pendulum in one direction but not in the other; such PTMD is dubbed passive Bi-PTMD. Alternatively, option (b) can be realized by actively setting the tuning frequencies of the PTMD in the two directions. In this work, accurate physical models of passive Bi-PTMD and active PTMD are developed and incorporated into the numerical model of a tall asymmetric structure. The model of PTMDs plus structure is used for a)synthesizing such PTMDs for particular applications and b)evaluating their damping effectiveness in mitigating the dynamic lateral responses of their target asymmetric structures, perturbed by wind load in X and Y-directions. Depending on how elaborate the control scheme is, the active PTMD can either be made to yield the same damping effectiveness as the passive Bi-PTMD of the same size or the passive Bi-TMD twice as massive as the active PTMD.

Keywords: active tuned mass damper, high-rise building, multi-frequency tuning, vibration control

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Authors: Mohamed Idris S. Abozaed, Suliman Mohamed Elrajoubi

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Researches and concerns in power quality gained significant momentum in the field of power electronics systems over the last two decades globally. This sudden increase in the number of concerns over power quality problems is a result of the huge increase in the use of non-linear loads. In this paper, power quality evaluation of some distribution networks at Misurata - Libya has been done using a power quality and energy analyzer (Fluke 437 Series II). The results of this evaluation are used to minimize the problems of power quality. The analysis shows the main power quality problems that exist and the level of awareness of power quality issues with the aim of generating a start point which can be used as guidelines for researchers and end users in the field of power systems.

Keywords: power quality disturbances, power quality evaluation, statistical analysis, electrical distribution networks

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Authors: Katja Ignatieva, Patrick Wong

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We investigated the dynamics of high frequency energy prices, including crude oil and electricity prices. The returns of underlying quantities are modelled using various parametric models such as stochastic framework with jumps and stochastic volatility (SVCJ) as well as non-parametric alternatives, which are purely data driven and do not require specification of the drift or the diffusion coefficient function. Using different statistical criteria, we investigate the performance of considered parametric and nonparametric models in their ability to forecast price series and volatilities. Our models incorporate possible seasonalities in the underlying dynamics and utilise advanced estimation techniques for the dynamics of energy prices.

Keywords: stochastic volatility, affine jump-diffusion models, high frequency data, model specification, markov chain monte carlo

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Authors: J. S. Savier

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Real power is the component power which is converted into useful energy whereas reactive power is the component of power which cannot be converted to useful energy but it is required for the magnetization of various electrical machineries. If the reactive power is compensated at the consumer end, the need for reactive power flow from generators to the load can be avoided and hence the overall power loss can be reduced. In this scenario, this paper presents a succinct method called JSS method for allocation of reactive power losses to consumers connected to radial distribution networks in a deregulated environment. The proposed method has the advantage that no assumptions are made while deriving the reactive power loss allocation method.

Keywords: deregulation, reactive power loss allocation, radial distribution systems, succinct method

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Authors: Valeria Bondarenko

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In this paper, we propose two problems related to fractal Brownian motion. First problem is simultaneous estimation of two parameters, Hurst exponent and the volatility, that describe this random process. Numerical tests for the simulated fBm provided an efficient method. Second problem is approximation of the increments of the observed time series by a power function by increments from the fractional Brownian motion. Approximation and estimation are shown on the example of real data, daily deposit interest rates.

Keywords: fractional Brownian motion, Gausssian processes, approximation, time series, estimation of properties of the model

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Authors: Yegnanew A. Shiferaw

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Background: commodity price volatility originating from excessive commodity price fluctuation has been a global problem especially after the recent financial crises. Volatility is a measure of risk or uncertainty in financial analysis. It plays a vital role in risk management, portfolio management, and pricing equity. Objectives: the core objective of this paper is to examine the relationship between the prices of agricultural commodities with oil price, gas price, coal price and exchange rate (USD/Rand). In addition, the paper tries to fit an appropriate model that best describes the log return price volatility and estimate Value-at-Risk and expected shortfall. Data and methods: the data used in this study are the daily returns of agricultural commodity prices from 02 January 2007 to 31st October 2016. The data sets consists of the daily returns of agricultural commodity prices namely: white maize, yellow maize, wheat, sunflower, soya, corn, and sorghum. The paper applies the three-state Markov-switching (MS) regression, the standard single-regime GARCH and the two regime Markov-switching GARCH (MS-GARCH) models. Results: to choose the best fit model, the log-likelihood function, Akaike information criterion (AIC), Bayesian information criterion (BIC) and deviance information criterion (DIC) are employed under three distributions for innovations. The results indicate that: (i) the price of agricultural commodities was found to be significantly associated with the price of coal, price of natural gas, price of oil and exchange rate, (ii) for all agricultural commodities except sunflower, k=3 had higher log-likelihood values and lower AIC and BIC values. Thus, the three-state MS regression model outperformed the two-state MS regression model (iii) MS-GARCH(1,1) with generalized error distribution (ged) innovation performs best for white maize and yellow maize; MS-GARCH(1,1) with student-t distribution (std) innovation performs better for sorghum; MS-gjrGARCH(1,1) with ged innovation performs better for wheat, sunflower and soya and MS-GARCH(1,1) with std innovation performs better for corn. In conclusion, this paper provided a practical guide for modelling agricultural commodity prices by MS regression and MS-GARCH processes. This paper can be good as a reference when facing modelling agricultural commodity price problems.

Keywords: commodity prices, MS-GARCH model, MS regression model, South Africa, volatility

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Authors: Vincenzo Russo, Rosella Giacometti

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The paper aims to assess the insurance industry's resilience under Solvency II against adverse scenarios. Starting from the economic balance sheet available under Solvency II for insurance and reinsurance undertakings, we assume that assets and liabilities follow a bivariate geometric Brownian motion (GBM). Then, using the results available under Margrabe's formula, we establish an analytical solution to calibrate the volatility of the asset-liability ratio. In such a way, we can estimate the probability of default and the probability of breaching the undertaking's Solvency Capital Requirement (SCR). Furthermore, since estimating the volatility of the Solvency Ratio became crucial for insurers in light of the financial crises featured in the last decades, we introduce a novel measure that we call Resiliency Ratio. The Resiliency Ratio can be used, in addition to the Solvency Ratio, to evaluate the insurance industry's resilience in case of adverse scenarios. Finally, we introduce a simplified stress test tool to evaluate the economic balance sheet under stressed conditions. The model we propose is featured by analytical tractability and fast calibration procedure where only the disclosed data available under the Solvency II public reporting are needed for the calibration. Using the data published regularly by the European Insurance and Occupational Pensions Authority (EIOPA) in an aggregated form by country, an empirical analysis has been performed to calibrate the model and provide the related results at the country level.

Keywords: Solvency II, solvency ratio, volatility of the asset-liability ratio, probability of default, probability to breach the SCR, resilience ratio, stress test

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Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

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A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic

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Authors: Fajana Sola Isaac

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In the last two decades, we have witnessed an increased interest in exchange rate pass-through (ERPT) in developing economies and emerging markets. This is perhaps due to the acknowledged significance of the pattern of exchange rate pass-through as a key instrument in monetary policy design, principally in retort to a shock in exchange rate in literature. This paper analyzed Exchange Rate Pass-Through by A Model of Oil Prices and Asymmetric Exchange Rate Fluctuations in Selected African Countries. The study adopted A Non-Linear Autoregressive Distributed Lag approach using yearly data on Algeria, Burundi, Nigeria and South Africa from 1986 to 2022. The paper found asymmetry in exchange rate pass-through in net oil-importing and net oil-exporting countries in the short run during the period under review. An ERPT exhibited a complete pass-through in the short run in the case of net oil-importing countries but an incomplete pass-through in the case of the net oil-exporting countries that were examined. An extended result revealed a significant impact of oil price shock on exchange rate pass-through to domestic price in the long run only for net oil importing countries. The Wald restriction test also confirms the evidence of asymmetric with the role of oil price acting as an accelerator to exchange rate pass-through to domestic price in the countries examined. The study found the outcome to be very useful for gaining expansive knowledge on the external shock impact on ERPT and could be of critical value for national monetary policy decisions on inflation targeting, especially for countries examined and other developing net oil importers and exporters.

Keywords: pass through, exchange rate, ARDL, monetary policy

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Authors: Maria Debora Braga, Luigi Riso, Maria Grazia Zoia

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Risk-based approaches to asset allocation are portfolio construction methods that do not rely on the input of expected returns for the asset classes in the investment universe and only use risk information. They include the Minimum Variance Strategy (MV strategy), the traditional (volatility-based) Risk Parity Strategy (SRP strategy), the Most Diversified Portfolio Strategy (MDP strategy) and, for many, the Equally Weighted Strategy (EW strategy). All the mentioned approaches were based on portfolio volatility as a reference risk measure but in 2023, the Kurtosis-based Risk Parity strategy (KRP strategy) and the Minimum Kurtosis strategy (MK strategy) were introduced. Understandably, they used the fourth root of the portfolio-fourth moment as a proxy for portfolio kurtosis to work with a homogeneous function of degree one. This paper contributes mainly theoretically and methodologically to the framework of risk-based asset allocation approaches with two steps forward. First, a new and more flexible objective function considering a linear combination (with positive coefficients that sum to one) of portfolio volatility and portfolio kurtosis is used to alternatively serve a risk minimization goal or a homogeneous risk distribution goal. Hence, the new basic idea consists in extending the achievement of typical risk-based approaches’ goals to a combined risk measure. To give the rationale behind operating with such a risk measure, it is worth remembering that volatility and kurtosis are expressions of uncertainty, to be read as dispersion of returns around the mean and that both preserve adherence to a symmetric framework and consideration for the entire returns distribution as well, but also that they differ from each other in that the former captures the “normal” / “ordinary” dispersion of returns, while the latter is able to catch the huge dispersion. Therefore, the combined risk metric that uses two individual metrics focused on the same phenomena but differently sensitive to its intensity allows the asset manager to express, in the context of an objective function by varying the “relevance coefficient” associated with the individual metrics, alternatively, a wide set of plausible investment goals for the portfolio construction process while serving investors differently concerned with tail risk and traditional risk. Since this is the first study that also implements risk-based approaches using a combined risk measure, it becomes of fundamental importance to investigate the portfolio effects triggered by this innovation. The paper also offers a second contribution. Until the recent advent of the MK strategy and the KRP strategy, efforts to highlight interesting properties of risk-based approaches were inevitably directed towards the traditional MV strategy and SRP strategy. Previous literature established an increasing order in terms of portfolio volatility, starting from the MV strategy, through the SRP strategy, arriving at the EQ strategy and provided the mathematical proof for the “equalization effect” concerning marginal risks when the MV strategy is considered, and concerning risk contributions when the SRP strategy is considered. Regarding the validity of similar conclusions when referring to the MK strategy and KRP strategy, the development of a theoretical demonstration is still pending. This paper fills this gap.

Keywords: risk parity, portfolio kurtosis, risk diversification, asset allocation

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Authors: Othmane Zarhali, Cécilia Aubrun, Emmanuel Bacry, Jean-Philippe Bouchaud, Jean-François Muzy

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The Nested factor model was introduced by Bouchaud and al., where the asset return fluctuations are explained by common factors representing the market economic sectors and residuals (noises) sharing with the factors a common dominant volatility mode in addition to the idiosyncratic mode proper to each residual. This construction infers that the factors-residuals log volatilities are correlated. Here, we consider the case of a single factor where the only dominant common mode is a S-fbm process (introduced by Peng, Bacry and Muzy) with Hurst exponent H around 0.11 and the residuals having in addition to the previous common mode idiosyncratic components with Hurst exponents H around 0. The reason for considering this configuration is twofold: preserve the Nested factor model’s characteristics introduced by Bouchaud and al. and propose a framework through which the stylized fact reported by Peng and al. is reproduced, where it has been observed that the Hurst exponents of stock indices are large as compared to those of individual stocks. In this work, we show that the Log S-fbm Nested factor model’s construction leads to a Hurst exponent of single stocks being the ones of the idiosyncratic volatility modes and the Hurst exponent of the index being the one of the common volatility modes. Furthermore, we propose a statistical procedure to estimate the Hurst factor exponent from the stock returns dynamics together with theoretical guarantees, with good results in the limit where the number of stocks N goes to infinity. Last but not least, we show that the factor can be seen as an index constructed from the single stocks weighted by specific coefficients.

Keywords: hurst exponent, log S-fbm model, nested factor model, small intermittency approximation

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Authors: S. N. Ekbote, G. K. Padam, Manju Arora

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Electron spin resonance (ESR) spectroscopic investigations of (Bi, Pb)₂Sr₂Ca₂Cu₃O₁₀₋ₓ (Bi-2223) bulk samples were carried out in both the normal and superconducting states. A broad asymmetric resonance signal with side signals is obtained in the normal state, and all of them disappear in the superconducting state. The temperature and angular orientation effects on these signals suggest that the broad asymmetric signal arises from electron spin resonance of conduction electrons (CESR) and the side signals from exchange interactions as Platzman-Wolff type spin waves. The disappearance of CESR and spin waves in a superconducting state demonstrates the role of exchange interactions in Cooper pair formation.

Keywords: Bi-2223 superconductor, CESR, ESR, exchange interactions, spin waves

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Authors: Muhammad Ilham Agus Salim, Mohammad Ali

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In this article, we have elaborated a study over the nature of Islamic financial transaction by comparing between Dinar and IDR currency in Indonesia. We have found the interesting issue among scholars and practitioners in which Dinar would be a single currency ASEAN Economic Community (AEC), then becoming motivation and added value research. The assessment among dinar volatility analysis for three years ago and IDR fluctuation as well as outlook qualitative test regarding dinar are components of analysis that weak Indonesian currency should be altered to be better coinage. The value of dinar more stable than IDR and also eligible as a currency e.g. limited quantities, easy to carry, durable, easy to saved, and has the same quality. On the other hand, the existing of IDR has defeated by inflation. The EViews program explained that Dinar at current level still fluctuate, but in the first different have fixed variant. The result of analysis describing that dinar has potential as the medium exchange, because the material of dinar is relevant and feasible since 14 century until present. Therefore, dinar should be considered to solve Indonesia crisis today.

Keywords: medium of exchange, dinar & IDR currency, volatility analysis, EViews program

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Authors: Safia Akram

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In this article, the effects of peristaltic transport with double-diffusive convection in nanofluids through an asymmetric channel with different waveforms is presented. Mathematical modelling for two-dimensional and two directional flows of a Jeffrey fluid model along with double-diffusive convection in nanofluids are given. Exact solutions are obtained for nanoparticle fraction field, concentration field, temperature field, stream functions, pressure gradient and pressure rise in terms of axial and transverse coordinates under the restrictions of long wavelength and low Reynolds number. With the help of computational and graphical results the effects of Brownian motion, thermophoresis, Dufour, Soret, and Grashof numbers (thermal, concentration, nanoparticles) on peristaltic flow patterns with double-diffusive convection are discussed.

Keywords: nanofluid particles, peristaltic flow, Jeffrey fluid, magnetic field, asymmetric channel, different waveforms

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Authors: Ch. Ashok Babu, J. V. R. Ravindra, K. Lalkishore

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Power has became a burning issue in modern VLSI design. As the technology advances especially below 45nm, technology of leakage power became a big problem apart of the dynamic power. This paper presents a full adder with novel PMOS and NMOS which consume less power compare to conventional full adder, DTMOS full adder. This paper shows different types of adders and their power consumption, area, and delay. All the experiments have been carried out using Cadence® Virtuoso® design lay out editor which shows power consumption of different types of adders.

Keywords: average power, leakage power, delay, DTMOS, PDP

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Authors: Baoubadi Atozou, Koffi Akakpo

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Since the decade 2000, the use of foodstuffs such as corn, wheat, and soybeans in biofuel production has been growing sharply in the United States, Canada, and Europe. Thus, prices for these agricultural products are rising in the world market. These cereals are the most important source of calorific energy for West African Economic and Monetary Union (WAEMU) countries members’ population. These countries are highly dependent on imports of most of these products. Thereby, rising prices can have an important impact on import levels and consequently on food security in these countries. This study aims to analyze the interrelationship between the prices of these commodities and their volatilities, and their effects on imports of these agricultural products by each WAEMU ’country member. The Autoregressive Distributed Lag (ARDL) model, the GARCH Multivariate model, and the Granger Causality Test are used in this investigation. The results show that import levels are highly and significantly sensitive to price changes as well as their volatility. In the short term as well as in the long term, there is a significant relationship between the prices of these products. There is a positive relationship in general between price volatility. And these volatilities have negative effects on the level of imports. The market characteristics affect food security in these countries, especially access to food for vulnerable and low-income populations. The policies makers must adopt viable strategies to increase agricultural production and limit their dependence on imports.

Keywords: price volatility, import of agricultural products, food safety, WAEMU

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Authors: Muhammad Rezal Kamel Ariffin, Muhammad Asyraf Asbullah

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The square root modulo problem is a known primitive in designing an asymmetric cryptosystem. It was first attempted by Rabin. Decryption failure of the Rabin cryptosystem caused by the 4-to-1 decryption output is overcome efficiently in this work. The proposed scheme to overcome the decryption failure issue (known as the AAβ-cryptosystem) is constructed using a simple mathematical structure, it has low computational requirements and would enable communication devices with low computing power to deploy secure communication procedures efficiently.

Keywords: Rabin cryptosystem, 4-to-1 decryption failure, square root modulo problem, integer factorization problem

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Authors: Changhong Guo, Shaomei Fang, Yong He

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In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes.

Keywords: European option pricing, fractional Black-Scholes equations, fractional g-Brownian motion, Taylor's series of fractional order, uncertain volatility

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Authors: G. Ravi Kiran, G. Radhakrishnamacharya

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In this paper, the dispersion of a solute in the peristaltic flow of a Jeffrey fluid in the presence of both homogeneous and heterogeneous chemical reactions has been discussed. The average effective dispersion coefficient has been found using Taylor's limiting condition under long wavelength approximation. It is observed that the average dispersion coefficient increases with amplitude ratio which implies that dispersion is more in the presence of peristalsis. The average effective dispersion coefficient increases with Jeffrey parameter in the cases of both homogeneous and combined homogeneous and heterogeneous chemical reactions. Further, dispersion decreases with a phase difference, homogeneous reaction rate parameters, and heterogeneous reaction rate parameter.

Keywords: peristalsis, dispersion, chemical reaction, Jeffrey fluid, asymmetric channel

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Authors: Abdul Kader

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This paper attempts to investigate several contributory factors to recent volatility in the Islamic Banking sector of Bangladesh. In particular, the study explores corporate governance, credit management, credit regulations, inept board of directors, using religious sentiment as a means to deceive general people, and the degree of political interference as potential contributory factors. To find the correlation among different variables, semi-structured questionnaires were distributed among the clients, bank managers, some Banking scholars and ex-members of the board of directors of three Islamic Banks in Bangladesh. Later, ten interviews were collected from key informants to gain in-depth information about the present mismanagement of Islamic Banks in Bangladesh. After then, data were analyzed using statistical software and substantiated by secondary sources like newspapers, reports and investigative reports aired in screen media. The paper found a correlation between almost all contributory factors and recent unstable conditions in the Islamic banking sector. After performing regression analysis, this paper found a more significant relationship between some of the contributory factors with Banking volatility than others. For instance, credit management, inept board of directors, depriving customers of proving no profit in the name of business—no interest-- and political interference have a strong significant positive correlation with the present poor condition of Islamic Banking. This paper concludes that while internal management is important in recovering the losses, the government needs to ensure framing better policy for the Islamic Banking system, Central Bank needs to supervise and monitor all Islamic banks meticulously and loan receivers must go through the impartial evaluation and approved by the representatives of the Central Shariah Board. This paper also recommends that there is a need to strengthen the auditing system and improve regulatory oversight of the Islamic Banks in Bangladesh. Policy recommendations that this paper put forward could provide an outline for dealing with the existing challenging condition of Islamic Banks and these could be applied to similar problems in other countries where the Islamic Banking model exists.

Keywords: Islamic bank, volatility in banking sector, shariah law, credit management, political interference

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Authors: Ákos Cserny

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The unequivocal increase of the area of operation of the executive power can happen with the appearance of new areas to be influenced and its integration in the power, or at the expense of the scopes of other organs with public authority. The extension of the executive can only be accepted within the framework of the rule of law if parallel with this process we get constitutional guarantees that the exercise of power is kept within constitutional framework. Failure to do so, however, may result in the lack, deficit of democracy and democratic sense, and may cause an overwhelming dominance of the executive power. Therefore, the aim of this paper is to present executive power and responsibility in the context of different dimensions.

Keywords: confidence, constitution, executive power, liabiliy, parliamentarism

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Authors: Abdessalem Abbassi, Ahlem Dakhlaoui, Lota D. Tamini

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In this paper, we analyze infinite discrete-time games between hydraulic and thermal power operators in the wholesale electricity market under Cournot competition. We consider a deregulated electrical industry where certain demand is satisfied by hydraulic and thermal technologies. The hydraulic operator decides the production in each season of each period that maximizes the sum of expected profits from power generation with respect to the stochastic dynamic constraint on the water stored in the dam, the environmental constraint and the non-negative output constraint. In contrast, the thermal plant is operated with quadratic cost function, with respect to the capacity production constraint and the non-negativity output constraint. We show that under imperfect competition, the hydraulic operator has a strategic storage of water in the peak season. Then, we quantify the strategic inter-annual and intra-annual water transfer and compare the numerical results. Finally, we show that the thermal operator can restrict the hydraulic output without compensation.

Keywords: asymmetric risk aversion, electricity wholesale market, hydropower dams, imperfect competition

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Authors: Raghda El-Nagara, Maher I. Nessim, Carmen E. Elshafee, Renee I. Abdallah, Yasser M. Moustafa

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Three asymmetric dicationic ionic liquids (ADILs), 1-(2-(1-dodecyl-2-methyl-1H-imidazolium-3-yl)ethyl)-3-methyl pyridinium bromide (IL₁), 1-(6-(1-dodecyl-2-methyl-1H-imidazolium-3-yl)hexyl)-3-methyl pyridinium bromide (IL₂) and 1-(10-(1-dodecyl-2-methyl-1H-imidazolium-3-yl)decyl)-3-methyl pyridinium bromide (IL₃) were synthesized with yield of 83.54, 84.12 & 83.05% respectively. They were elucidated via conventional tools of analysis (elemental analysis, FT-IR, and 1H-NMR). The thermogravimetric analysis confirmed that the three ADILs possessed high thermal stability (up to 500ᵒC). Their critical micelle concentration (CMC) was investigated and exhibited values of 5.5-1*10⁻³ Mol./L. They were evaluated as oil spill dispersants were at different temperatures (10, 30 & 50ᵒC) with different concentrations (750, 1500, 2000, 3000 ppm). Data reveals that the efficiency is ranked as follows: IL₂ > IL₁ > IL₃, which showed high dispersion efficiency reached to 63% with the concentration of 1500 ppm.

Keywords: ionic liquids, amphiphilic, oil spill dispersants, dicationic, efficiency test

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Authors: Anil Kumar Pandey

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Power plane noise is the most significant source of signal integrity (SI) issues in a high-speed digital design. In this paper, power integrity (PI) analysis of multiple power planes in a power delivery system of a 12-layer high-speed FPGA board is presented. All 10 power planes of HSD board are analyzed separately by using 3D Electromagnetic based PI solver, then the transient simulation is performed on combined PI data of all planes along with voltage regulator modules (VRMs) and 70 current drawing chips to get the board level power noise coupling on different high-speed signals. De-coupling capacitors are placed between power planes and ground to reduce power noise coupling with signals.

Keywords: power integrity, power-aware signal integrity analysis, electromagnetic simulation, channel simulation

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Authors: Vithaya Intaraphimol

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This research investigates the effect of financial accounting information and non-financial accounting reports on corporate credibility via strength of board of directors and market environment volatility as moderating effect. Data in this research is collected by questionnaire form non-financial companies listed on the Stock Exchange of Thailand. Multiple regression statistic technique is chosen for analyzing the data. The empirical results find that firms with greater financial accounting information reports and non-financial accounting information reports will gain greater corporate credibility. Therefore, the corporate reporting has the value for the firms. Moreover, the strength of board of directors will positively moderate the financial and non-financial accounting information reports and corporate credibility relationship. Whereas, market environment volatility will negatively moderate the financial and nonfinancial accounting information reports and corporate credibility relationship.

Keywords: corporate credibility, financial and non-financial reports, firms performance, economics

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Authors: Abdullah Al Mamun, Talal Alkharobi

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As data size is growing up, people are became more familiar to store big amount of secret information into cloud storage. Companies are always required to need transfer massive business files from one end to another. We are going to lose privacy if we transmit it as it is and continuing same scenario repeatedly without securing the communication mechanism means proper encryption. Although asymmetric key encryption solves the main problem of symmetric key encryption but it can only encrypt limited size of data which is inapplicable for large data encryption. In this paper we propose a probable approach of pretty good privacy for encrypt big data using both symmetric and asymmetric keys. Our goal is to achieve encrypt huge collection information and transmit it through a secure communication channel for committing the business and personal privacy. To justify our method an experimental dataset from three different platform is provided. We would like to show that our approach is working for massive size of various data efficiently and reliably.

Keywords: big data, cloud computing, cryptography, hadoop, public key

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Authors: Surinder Singh, Gursewak Singh Lovkesh

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We have designed wavelength conversion based on four wave mixing in an optical fiber at 10 Gb/s. The power of converted signal increases with increase in signal power. The converted signal power is investigated as a function of input signal power and pump power. On comparison of converted signal power at different value of input signal power, we observe that best converted signal power is obtained at -2 dBm input signal power for both up conversion as well as for down conversion. Further, FWM efficiency, quality factor is observed for increase in input signal power and optical fiber length.

Keywords: FWM, optical fiiber, wavelngth converter, quality

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Authors: Tarik Bazgour, Cedric Heuchenne, Danielle Sougne

Abstract:

We examine time variation in the market beta of portfolios sorted on quality, liquidity level and liquidity beta characteristics across stock market phases. Using US stock market data for the period 1970-2010, we find, first, the US stock market was driven by four regimes. Second, during the crisis regime, low (high) quality, high (low) liquidity beta and illiquid (liquid) stocks exhibit an increase (a decrease) in their market betas. This finding is consistent with the flight-to-quality and liquidity phenomena. Third, we document the same pattern across stocks when the market volatility is low. We argue that, during low volatility times, investors shift their portfolios towards low quality and illiquid stocks to seek portfolio gains. The pattern observed in the tranquil regime can be, therefore, explained by a flight-to-low-quality and to illiquidity. Finally, our results reveal that liquidity level is more important than liquidity beta during the crisis regime.

Keywords: financial crises, quality, liquidity, liquidity risk, regime-switching models

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