Search results for: drift function and volatility function

Authors: Petr Jizba, Jan Korbel

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We combine an axiomatics of Rényi with the q-deformed version of Khinchin axioms to obtain a measure of information (i.e., entropy) which accounts both for systems with embedded self-similarity and non-extensivity. We show that the entropy thus obtained is uniquely solved in terms of a one-parameter family of information measures. The ensuing maximal-entropy distribution is phrased in terms of a special function known as the Lambert W-function. We analyze the corresponding ‘high’ and ‘low-temperature’ asymptotics and reveal a non-trivial structure of the parameter space.

Keywords: multifractals, Rényi information entropy, THC entropy, MaxEnt, heavy-tailed distributions

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Authors: Shu-Han Hsu, Jiho Yoon, Chwen Sheu

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With the rapidly growing of blockchain technology and cryptocurrency, various industries which include tourism has added in cryptocurrency as the payment method of their transaction. More and more tourism companies accept payments in digital currency for flights, hotel reservations, transportation, and more. For travellers and tourists, using cryptocurrency as a payment method has become a way to circumvent costs and prevent risks. Understanding volatility dynamics and interdependencies between standard currency and cryptocurrency is important for appropriate financial risk management to assist policy-makers and investors in marking more informed decisions. The purpose of this paper has been to understand and explain the risk spillover effects between six major cryptocurrencies and the top ten most traded standard currencies. Using data for the daily closing price of cryptocurrencies and currency exchange rates from 7 August 2015 to 10 December 2019, with 1,133 observations. The diagonal BEKK model was used to analyze the co-volatility spillover effects between cryptocurrency returns and exchange rate returns, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility. The empirical results show there are co-volatility spillover effects between the cryptocurrency returns and GBP/USD, CNY/USD and MXN/USD exchange rate returns. Therefore, currencies (British Pound, Chinese Yuan and Mexican Peso) and cryptocurrencies (Bitcoin, Ethereum, Ripple, Tether, Litecoin and Stellar) are suitable for constructing a financial portfolio from an optimal risk management perspective and also for dynamic hedging purposes.

Keywords: blockchain, co-volatility effects, cryptocurrencies, diagonal BEKK model, exchange rates, risk spillovers

Procedia PDF Downloads 143

Authors: M. Bokhtiar Hasan, M. Delowar Hossain, Abu N. M. Wahid

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The principal aim of the study is to find out a way to effectively manage the agricultural risks like price volatility, weather risks, and fund shortage. To hedge price volatility, farmers sometimes make contracts with agro-traders but fail to protect themselves effectively due to not having legal framework for such contracts. The study extensively reviews existing literature and find evidence that the majority studies either deal with price volatility or weather risks. If we could address these risks through a single model, it would be more useful to both the farmers and traders. Intrinsically, the authors endeavor in this regard, and the key contribution of this study basically lies in it. Initially, we conduct a small survey aspiring to identify the shortcomings of existing contracts. Later, we propose a model encompassing forward and insurance contracts together where forward contract will be used to hedge price volatility and insurance contract will be used to protect weather risks. Contribution/Originality: The study adds to the existing literature through proposing an integrated model comprising of forward contract and crop insurance which will support both farmers and traders to cope with the agricultural risks like price volatility, weather hazards, and fund shortage. JEL Classifications: O13, Q13

Keywords: agriculture, forward contract, insurance contract, risk management, model

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Authors: Chih-Lin Chang, Tzu-Ching Weng

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The purpose of this study is to explore the relationship between corporate political ties and independent directors' functions. With reference to the literature variables such as the characteristics of the relevant board of directors in the past, a single comprehensive function indicator is established as a substitute variable for the function of independent directors, and the impact of political connection on the independent board of directors is further discussed. This research takes Taiwan listed enterprises from 2014 to 2020 as the main research object and conducts empirical research through descriptive statistics, correlation and regression analysis. The empirical results show that companies with political connections will have a positive impact on the number of independent directors; political connections also have a significant positive relationship with the functional part of independent directors, which means that because companies have political connections, they have a positive impact on the seats or functions of independent directors. will pay more attention and increase their oversight functions.

Keywords: political, connection, independent, director, function

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Authors: Abdel-Razzaq Mugdadi, Ruqayyah Sani

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The Kernel Distribution Function Estimator (KDFE) method is the most popular method for nonparametric estimation of the cumulative distribution function. The kernel and the bandwidth are the most important components of this estimator. In this investigation, we replace the kernel in the KDFE with a linear combination of kernels to obtain a new estimator based on the linear combination of kernels, the mean integrated squared error (MISE), asymptotic mean integrated squared error (AMISE) and the asymptotically optimal bandwidth for the new estimator are derived. We propose a new data-based method to select the bandwidth for the new estimator. The new technique is based on the Plug-in technique in density estimation. We evaluate the new estimator and the new technique using simulations and real-life data.

Keywords: estimation, bandwidth, mean square error, cumulative distribution function

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Authors: Ishapathik Das

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The purpose of this article is to find a method of comparing designs for ordinal regression models using quantile dispersion graphs in the presence of linear predictor misspecification. The true relationship between response variable and the corresponding control variables are usually unknown. Experimenter assumes certain form of the linear predictor of the ordinal regression models. The assumed form of the linear predictor may not be correct always. Thus, the maximum likelihood estimates (MLE) of the unknown parameters of the model may be biased due to misspecification of the linear predictor. In this article, the uncertainty in the linear predictor is represented by an unknown function. An algorithm is provided to estimate the unknown function at the design points where observations are available. The unknown function is estimated at all points in the design region using multivariate parametric kriging. The comparison of the designs are based on a scalar valued function of the mean squared error of prediction (MSEP) matrix, which incorporates both variance and bias of the prediction caused by the misspecification in the linear predictor. The designs are compared using quantile dispersion graphs approach. The graphs also visually depict the robustness of the designs on the changes in the parameter values. Numerical examples are presented to illustrate the proposed methodology.

Keywords: model misspecification, multivariate kriging, multivariate logistic link, ordinal response models, quantile dispersion graphs

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Authors: Antonio Aguilar Aguilar, Eliezer Braun Guitler

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Using a previously developed procedure and with the aid of algebraic software, a two-dimensional generalized Ising model with a 4×2 unitary cell (UC), we obtain a Kagome Lattice with twelve different spin-spin values of interaction, in order to determine the partition function per spin L(T). From the partition function we can study the magnetic behavior of the system. Because of the competition phenomenon between spins, a very complex behavior among them in a variety of magnetic states can be observed.

Keywords: correlations, Ising, Kagome, exact functions

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Authors: Mrinal Jana, Geetanjali Panda

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In this paper a methodology is developed to solve a nonlinear fractional programming problem in which the coefficients of the objective function and constraints are interval parameters. This model is transformed into a general optimization problem and relation between the original problem and the transformed problem is established. Finally the proposed methodology is illustrated through a numerical example.

Keywords: fractional programming, interval valued function, interval inequalities, partial order relation

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Authors: Roengchai Tansuchat, Woraphon Yamaka, Paravee Maneejuk

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From the past recent, the global financial crisis, economic instability, and large fluctuation in agricultural commodity price have led to increased concerns about the volatility transmission among them. The problem is further exacerbated by commodities volatility caused by other commodity price fluctuations, hence the decision on hedging strategy has become both costly and useless. Thus, this paper is conducted to analysis the volatility spillover effect among major agriculture including corn, soybeans, wheat and rice, to help the commodity suppliers hedge their portfolios, and manage the risk and co-volatility of them. We provide a switching regime approach to analyzing the issue of volatility spillovers in different economic conditions, namely upturn and downturn economic. In particular, we investigate relationships and volatility transmissions between these commodities in different economic conditions. We purposed a Copula-based multivariate Markov Switching GARCH model with two regimes that depend on an economic conditions and perform simulation study to check the accuracy of our proposed model. In this study, the correlation term in the cross-hedge ratio is obtained from six copula families – two elliptical copulas (Gaussian and Student-t) and four Archimedean copulas (Clayton, Gumbel, Frank, and Joe). We use one-step maximum likelihood estimation techniques to estimate our models and compare the performance of these copula using Akaike information criterion (AIC) and Bayesian information criteria (BIC). In the application study of agriculture commodities, the weekly data used are conducted from 4 January 2005 to 1 September 2016, covering 612 observations. The empirical results indicate that the volatility spillover effects among cereal futures are different, as response of different economic condition. In addition, the results of hedge effectiveness will also suggest the optimal cross hedge strategies in different economic condition especially upturn and downturn economic.

Keywords: agricultural commodity futures, cereal, cross-hedge, spillover effect, switching regime approach

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Authors: Jia-Ming Kok, Javaan Chahl

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An optimisation method using both global and local optimisation is implemented to determine the flapping profile which will produce the most lift for an experimental wing-actuation system. The optimisation method is tested using a numerical quasi-steady analysis. Results of an optimised flapping profile show a 20% increase in lift generated as compared to flapping profiles obtained by high speed cinematography of a Sympetrum frequens dragonfly. Initial optimisation procedures showed 3166 objective function evaluations. The global optimisation parameters - initial sample size and stage one sample size, were altered to reduce the number of function evaluations. Altering the stage one sample size had no significant effect. It was found that reducing the initial sample size to 400 would allow a reduction in computational effort to approximately 1500 function evaluations without compromising the global solvers ability to locate potential minima. To further reduce the optimisation effort required, we increase the local solver’s convergence tolerance criterion. An increase in the tolerance from 0.02N to 0.05N decreased the number of function evaluations by another 20%. However, this potentially reduces the maximum obtainable lift by up to 0.025N.

Keywords: flapping wing, optimisation, quasi-steady model, dragonfly

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Authors: Mohamed A. Eid, Sobhy M. Aly

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Background: About 75% of children with spastic hemiplegic cerebral palsy walk independently, but most still show abnormal gait patterns because of contractures across the joints and muscle spasticity. Objective: The purpose of this study was to investigate and compare the effects of extracorporeal shock wave therapy (ESWT) versus functional electrical stimulation (FES) on spasticity, function, and gait parameters in children with hemiplegic cerebral palsy (CP). Methods: A randomized controlled trail was conducted for 45 children with hemiplegic CP ranging in age from 6 to 9 years. They were assigned randomly using opaque envelopes into three groups. Physical Therapy (PT) group consisted of 15 children and received the conventional physical therapy program (CPTP) in addition to ankle foot orthosis (AFO). ESWT group consisted of 15 children and received the CPTP, AFO in addition to ESWT. FES group also consisted of 15 children and received the CPTP, AFO in addition to FES. All groups received the program of treatment 3 days/week for 12 weeks. Evaluation of spasticity by using the Modified Ashworth Scale (MAS), function by using the Pediatric Evaluation Disability Inventory (PEDI) and gait parameters by using the 3-D gait analysis was conducted at baseline and after 12 weeks of the treatment program. Results: Within groups, significant improvements in spasticity, function, and gait (P = 0.05) were observed in both ESWT and FES groups after treatment. While between groups, ESWT group showed significant improvements in all measured variables compared with FES and PT groups (P ˂ 0.05) after treatment. Conclusion: ESWT induced significant improvement than FES in decreasing spasticity and improving function and gait in children with hemiplegic CP. Therefore, ESWT should be included as an adjunctive therapy in the rehabilitation program of these children.

Keywords: cerebral palsy, extracorporeal shock wave therapy, functional electrical stimulation, function, gait, spasticity

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Authors: Vijaya K. Srivastava, Davide Spinello

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This paper presents performance of two robust gradient-based heuristic optimization procedures based on 3ⁿ enumeration and tunneling approach to seek global optimum of constrained integer problems. Both these procedures consist of two distinct phases for locating the global optimum of integer problems with a linear or non-linear objective function subject to linear or non-linear constraints. In both procedures, in the first phase, a local minimum of the function is found using the gradient approach coupled with hemstitching moves when a constraint is violated in order to return the search to the feasible region. In the second phase, in one optimization procedure, the second sub-procedure examines 3ⁿ integer combinations on the boundary and within hypercube volume encompassing the result neighboring the result from the first phase and in the second optimization procedure a tunneling function is constructed at the local minimum of the first phase so as to find another point on the other side of the barrier where the function value is approximately the same. In the next cycle, the search for the global optimum commences in both optimization procedures again using this new-found point as the starting vector. The search continues and repeated for various step sizes along the function gradient as well as that along the vector normal to the violated constraints until no improvement in optimum value is found. The results from both these proposed optimization methods are presented and compared with one provided by popular MS Excel solver that is provided within MS Office suite and other published results.

Keywords: constrained integer problems, enumerative search algorithm, Heuristic algorithm, Tunneling algorithm

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Authors: Claudius Peter Van Wyk

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Given the increasingly manifest phenomena, as described in complexity theory, of volatility, uncertainty, complexity and ambiguity (VUCA), Taleb's notion of 'antifragility, has a significant contribution to make to positive psychology applied to wellbeing. Antifragility is argued to be fundamentally different from the concepts of resiliency; as the ability to recover from failure, and robustness; as the ability to resist failure. Rather it describes the capacity to reorganise in the face of stress in such a way as to cope more effectively with systemic challenges. The concept, which has been applied in disciplines ranging from physics, molecular biology, planning, engineering, and computer science, can now be considered for its application in individual human and social wellbeing. There are strong correlations to Antonovsky's model of 'salutogenesis' in which an attitude and competencies are developed of transforming burdening factors into greater resourcefulness. We demonstrate, from the perspective of neuroscience, how technology measuring nervous system coherence can be coupled to acquired psychodynamic approaches to not only identify contextual stressors, utilise biofeedback instruments for facilitating greater coherence, but apply these insights to specific life stressors that compromise well-being. Employing an on-going case study with BMW South Africa, the neurological mapping is demonstrated together with 'reframing' and emotional anchoring techniques from neurolinguistic programming. The argument is contextualised in the discipline of psychoneuroimmunology which describes the stress pathways from the CNS and endocrine systems and their impact on immune function and the capacity to restore homeostasis.

Keywords: antifragility, complexity, neuroscience, psychoneuroimmunology, salutogenesis, volatility

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Authors: Iwan Setiawan, Bobby Eka Gunara, Katshuhiro Nakamura

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The theory to accelerate system on quantum dynamics has been constructed to get the desired wave function on shorter time. This theory is developed on adiabatic quantum dynamics which any regulation is done on wave function that satisfies Schrödinger equation. We show accelerated manipulation of WFs with the use of a parameter-dependent in asymmetric double-well potential and also when it’s influenced by electromagnetic fields.

Keywords: driving potential, Adiabatic Quantum Dynamics, regulation, electromagnetic field

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Authors: S. Agheb, G. Ledwich, G.Walker, Z.Tong

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Frequency control has become more of concern for reliable operation of interconnected power systems due to the integration of low inertia renewable energy sources to the grid and their volatility. Also, in case of a sudden fault, the system has less time to recover before widespread blackouts. Electric Vehicles (EV)s have the potential to cooperate in the Emergency Frequency Regulation (EFR) by a nonlinear control of the power system in case of large disturbances. The time is not adequate to communicate with each individual EV on emergency cases, and thus, an aggregate model is necessary for a quick response to prevent from much frequency deviation and the occurrence of any blackout. In this work, an aggregate of EVs is modelled as a big virtual battery in each area considering various aspects of uncertainty such as the number of connected EVs and their initial State of Charge (SOC) as stochastic variables. A control law was proposed and applied to the aggregate model using Lyapunov energy function to maximize the rate of reduction of total kinetic energy in a two-area network after the occurrence of a fault. The control methods are primarily based on the charging/ discharging control of available EVs as shunt capacity in the distribution system. Three different cases were studied considering the locational aspect of the model with the virtual EV either in the center of the two areas or in the corners. The simulation results showed that EVs could help the generator lose its kinetic energy in a short time after a contingency. Earlier estimation of possible contributions of EVs can help the supervisory control level to transmit a prompt control signal to the subsystems such as the aggregator agents and the grid. Thus, the percentage of EVs contribution for EFR will be characterized in the future as the goal of this study.

Keywords: emergency frequency regulation, electric vehicle, EV, aggregation, Lyapunov energy function

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Authors: Bijan Nahavandi, Navid Jafarinejad, Somayeh Mehrafzad

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Strategy maps represent the way of value creation in in each organization. Nowadays, implementation of strategy is the main concern for all organizations. Strategy map establishment is the start-up point of strategy implementation and this shows the critical importance of this concept. After some years past since emergence of strategy map, there are some shortcomings in its methodology that frequently quoted by many of researchers. One of these shortcomings is the shortage of a mechanism for refinement of objectives candidate for entrance to map. Organizations in practice have obsession and avidity to determine more number of objectives in strategy map. This study wants to represent a step by step approach to help obviate this problem using quality function deployment (QFD) as a helpful tool and fuzzy screening method. Finally, represented approach applies in a practical case and conclusions have been explained.

Keywords: balanced scorecard, fuzzy screening, house of strategic objectives (HoSO), quality function deployment, strategy map

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Authors: Ryo Shikimoto, Hidehito Niimura, Hisashi Kida, Kota Suzuki, Yukiko Miyasaka, Masaru Mimura

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Introduction: In Japan, the most aged country in the world, it is important to explore predictive factors of cognitive function among the elderly. Coping behavior relieves chronic stress and improves lifestyle, and consequently may reduce the risk of cognitive impairment. One of the most widely investigated frameworks evaluated in previous studies is approach-oriented and avoidance-oriented coping strategies. The purpose of this study is to investigate the relationship between cognitive function and coping strategies among elderly residents in urban areas of Japan. Method: This is a part of the cross-sectional Arakawa geriatric cohort study for 1,099 residents (aged 65 to 86 years; mean [SD] = 72.9 [5.2]). Participants were assessed for cognitive function using the Mini-Mental State Examination (MMSE) and diagnosed by psychiatrists in face-to-face interviews. They were then investigated for their each coping behaviors and coping strategies (approach- and avoidance-oriented coping) using stress and coping inventory. A multiple regression analysis was used to investigate the relationship between MMSE score and each coping strategy. Results: Of the 1,099 patients, the mean MMSE score of the study participants was 27.2 (SD = 2.7), and the numbers of the diagnosis of normal, mild cognitive impairment (MCI), and dementia were 815 (74.2%), 248 (22.6%), and 14 (1.3%), respectively. Approach-oriented coping score was significantly associated with MMSE score (B [partial regression coefficient] = 0.12, 95% confidence interval = 0.05 to 0.19) after adjusting for confounding factors including age, sex, and education. Avoidance-oriented coping did not show a significant association with MMSE score (B [partial regression coefficient] = -0.02, 95% confidence interval = -0.09 to 0.06). Conclusion: Approach-oriented coping was clearly associated with neurocognitive function in the Japanese population. A future longitudinal trial is warranted to investigate the protective effects of coping behavior on cognitive function.

Keywords: approach-oriented coping, cognitive impairment, coping behavior, dementia

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Authors: Abhilash Sahu, Amit Priyadarshi

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In this paper, we will discuss the existence of weak solutions of the Kirchhoff type boundary value problem on the Sierpinski gasket. Where S denotes the Sierpinski gasket in R² and S₀ is the intrinsic boundary of the Sierpinski gasket. M: R → R is a positive function and h: S × R → R is a suitable function which is a part of our main equation. ∆p denotes the p-Laplacian, where p > 1. First of all, we will define a weak solution for our problem and then we will show the existence of at least two solutions for the above problem under suitable conditions. There is no well-known concept of a generalized derivative of a function on a fractal domain. Recently, the notion of differential operators such as the Laplacian and the p-Laplacian on fractal domains has been defined. We recall the result first then we will address the above problem. In view of literature, Laplacian and p-Laplacian equations are studied extensively on regular domains (open connected domains) in contrast to fractal domains. In fractal domains, people have studied Laplacian equations more than p-Laplacian probably because in that case, the corresponding function space is reflexive and many minimax theorems which work for regular domains is applicable there which is not the case for the p-Laplacian. This motivates us to study equations involving p-Laplacian on the Sierpinski gasket. Problems on fractal domains lead to nonlinear models such as reaction-diffusion equations on fractals, problems on elastic fractal media and fluid flow through fractal regions etc. We have studied the above p-Laplacian equations on the Sierpinski gasket using fibering map technique on the Nehari manifold. Many authors have studied the Laplacian and p-Laplacian equations on regular domains using this Nehari manifold technique. In general Euler functional associated with such a problem is Frechet or Gateaux differentiable. So, a critical point becomes a solution to the problem. Also, the function space they consider is reflexive and hence we can extract a weakly convergent subsequence from a bounded sequence. But in our case neither the Euler functional is differentiable nor the function space is known to be reflexive. Overcoming these issues we are still able to prove the existence of at least two solutions of the given equation.

Keywords: Euler functional, p-Laplacian, p-energy, Sierpinski gasket, weak solution

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Authors: Shabnam Najafi, Metin Turkay

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Network design problem (NDP) is used to determine the set of optimal values for certain pre-specified decision variables such as capacity expansion of nodes and links by optimizing various system performance measures including safety, congestion, and accessibility. The designed transportation network should improve objective functions defined for the system by considering the route choice behaviors of network users at the same time. The NDP studies mostly investigated the random demand and route selection constraints separately due to computational challenges. In this work, we consider both random demand and route selection constraints simultaneously. This work presents a nonlinear stochastic model for land use and road network design problem to address the development of different functional zones in urban areas by considering both cost function and air pollution. This model minimizes cost function and air pollution simultaneously with random demand and stochastic route selection constraint that aims to optimize network performance via road capacity expansion. The Bureau of Public Roads (BPR) link impedance function is used to determine the travel time function in each link. We consider a city with origin and destination nodes which can be residential or employment or both. There are set of existing paths between origin-destination (O-D) pairs. Case of increasing employed population is analyzed to determine amount of roads and origin zones simultaneously. Minimizing travel and expansion cost of routes and origin zones in one side and minimizing CO emission in the other side is considered in this analysis at the same time. In this work demand between O-D pairs is random and also the network flow pattern is subject to stochastic user equilibrium, specifically logit route choice model. Considering both demand and route choice, random is more applicable to design urban network programs. Epsilon-constraint is one of the methods to solve both linear and nonlinear multi-objective problems. In this work epsilon-constraint method is used to solve the problem. The problem was solved by keeping first objective (cost function) as the objective function of the problem and second objective as a constraint that should be less than an epsilon, where epsilon is an upper bound of the emission function. The value of epsilon should change from the worst to the best value of the emission function to generate the family of solutions representing Pareto set. A numerical example with 2 origin zones and 2 destination zones and 7 links is solved by GAMS and the set of Pareto points is obtained. There are 15 efficient solutions. According to these solutions as cost function value increases, emission function value decreases and vice versa.

Keywords: epsilon-constraint, multi-objective, network design, stochastic

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Authors: Seyedehsomayeh Hosseini

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Much attention has been paid over centuries to understanding and solving the problem of minimization of functions. Compared to linear programming and nonlinear unconstrained optimization problems, nonlinear constrained optimization problems are much more difficult. Since the procedure of finding an optimizer is a search based on the local information of the constraints and the objective function, it is very important to develop techniques using geometric properties of the constraints and the objective function. In fact, differential geometry provides a powerful tool to characterize and analyze these geometric properties. Thus, there is clearly a link between the techniques of optimization on manifolds and standard constrained optimization approaches. Furthermore, there are manifolds that are not defined as constrained sets in R^n an important example is the Grassmann manifolds. Hence, to solve optimization problems on these spaces, intrinsic methods are used. In a nondifferentiable problem, the gradient information of the objective function generally cannot be used to determine the direction in which the function is decreasing. Therefore, techniques of nonsmooth analysis are needed to deal with such a problem. As a manifold, in general, does not have a linear structure, the usual techniques, which are often used in nonsmooth analysis on linear spaces, cannot be applied and new techniques need to be developed. This paper presents necessary and sufficient conditions for a strict local minimum of extended real-valued, nonsmooth functions defined on Riemannian manifolds.

Keywords: Riemannian manifolds, nonsmooth optimization, lower semicontinuous functions, subdifferential

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Authors: Yuri Boiko, Iluju Kiringa, Tet Yeap

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Current drainage attack suggested previously is further studied in regular settings of closed-loop controlled Brushless DC (BLDC) motor with Kalman filter in the feedback loop. Modeling and simulation experiments are conducted in a Matlab environment, implementing the closed-loop control model of BLDC motor operation in position sensorless mode under Kalman filter drive. The current increase in the motor windings is caused by the controller (p-controller in our case) affected by false data injection of substitution of the angular velocity estimates with distorted values. Operation of multiplication to distortion coefficient, values of which are taken from the distortion function synchronized in its periodicity with the rotor’s position change. A saw function with a triangular tooth shape is studied herewith for the purpose of carrying out the bias injection with current drainage consequences. The specific focus here is on how the asymmetry of the tooth in the saw function affects the flow of current drainage. The purpose is two-fold: (i) to produce and collect the signature of an asymmetric saw in the attack for further pattern recognition process, and (ii) to determine conditions of improving stealthiness of such attack via regulating asymmetry in saw function used. It is found that modification of the symmetry in the saw tooth affects the periodicity of current drainage modulation. Specifically, the modulation frequency of the drained current for a fully asymmetric tooth shape coincides with the saw function modulation frequency itself. Increasing the symmetry parameter for the triangle tooth shape leads to an increase in the modulation frequency for the drained current. Moreover, such frequency reaches the switching frequency of the motor windings for fully symmetric triangular shapes, thus becoming undetectable and improving the stealthiness of the attack. Therefore, the collected signatures of the attack can serve for attack parameter identification via the pattern recognition route.

Keywords: bias injection attack, Kalman filter, BLDC motor, control system, closed loop, P-controller, PID-controller, current drainage, saw-function, asymmetry

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Authors: Guermache Ahmed Chafik, Khelfellah Ismail, Ait-Ali Takfarines

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The Savonius vertical axis wind turbine is characterized by sufficient starting torque at low wind speeds, simple design and does not require orientation to the wind direction; however, the developed power is lower than other types of wind turbines such as Darrieus. To increase these performances several studies and researches have been developed, such as optimizing blades shape, using passive controls and also minimizing power losses sources like the resisting torque due to friction. This work aims to estimate the performance of a Savonius wind turbine introducing a User Defined Function to the CFD model analyzing resisting torque. This User Defined Function is developed to simulate the action of the wind speed on the rotor; it receives the moment coefficient as an input to compute the rotational velocity that should be imposed on computational domain rotating regions. The rotational velocity depends on the aerodynamic moment applied on the turbine and the resisting torque, which is considered a linear function. Linking the implemented User Defined Function with the CFD solver allows simulating the real functioning of the Savonius turbine exposed to wind. It is noticed that the wind turbine takes a while to reach the stationary regime where the rotational velocity becomes invariable; at that moment, the tip speed ratio, the moment and power coefficients are computed. To validate this approach, the power coefficient versus tip speed ratio curve is compared with the experimental one. The obtained results are in agreement with the available experimental results.

Keywords: resistant torque modeling, Savonius wind turbine, user-defined function, vertical axis wind turbine performances

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Authors: Dimitris Varsamis, Christos Talagkozis, Alkiviadis Tsimpiris, Paris Mastorocostas

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The aim of this work is the parallel implementation of k-means in MATLAB, in order to reduce the execution time. Specifically, a new function in MATLAB for serial k-means algorithm is developed, which meets all the requirements for the conversion to a function in MATLAB with parallel computations. Additionally, two different variants for the definition of initial values are presented. In the sequel, the parallel approach is presented. Finally, the performance tests for the computation times respect to the numbers of features and classes are illustrated.

Keywords: K-means algorithm, clustering, parallel computations, Matlab

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Authors: P. Venu, Joeju M. Issac

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Quality Function Deployment (QFD) is a systematic technique that creates a platform where the customer responses can be positively converted to design attributes. The accuracy of a QFD process heavily depends on the data that it is handling which is captured from customers or QFD team members. Customized computer programs that perform Quality Function Deployment within a stipulated time have been used by various companies across the globe. These programs heavily rely on storage and retrieval of the data on a common database. This database must act as a perfect source with minimum missing values or error values in order perform actual prioritization. This paper introduces a missing/error data handler module which uses Genetic Algorithm and Fuzzy numbers. The prioritization of customer requirements of sesame oil is illustrated and a comparison is made between proposed data handler module-based deployment and manual deployment.

Keywords: hybrid data handler, QFD, prioritization, module-based deployment

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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: Kamel Malik Bensafta, Gervasio Bensafta

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The purpose of this paper is to investigate the relationship between oil prices and socks markets. The empirical analysis in this paper is conducted within the context of Multivariate GARCH models, using a transform version of the so-called BEKK parameterization. We show that mean and uncertainty of US market are transmitted to oil market and European market. We also identify an important transmission from WTI prices to Brent Prices.

Keywords: oil volatility, stock markets, MGARCH, transmission, structural break

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Authors: Samaneh Rahimirshnani, Hossein Jafari

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In this paper, we consider fluid queueing processes fed by an isonormal Gaussian process. We study the correlation structure of the queueing process and the rate of convergence of the running supremum in the queueing process. The Malliavin calculus techniques are applied to obtain relations that show the workload process inherits the dependence properties of the input process. As examples, we consider two isonormal Gaussian processes, the sub-fractional Brownian motion (SFBM) and the fractional Brownian motion (FBM). For these examples, we obtain upper bounds for the covariance function of the queueing process and its rate of convergence to zero. We also discover that the rate of convergence of the queueing process is related to the structure of the covariance function of the input process.

Keywords: queue length process, Malliavin calculus, covariance function, fractional Brownian motion, sub-fractional Brownian motion

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Authors: S. O. Oyamakin, A. U. Chukwu

Abstract:

Richard's growth equation being a generalized logistic growth equation was improved upon by introducing an allometric parameter using the hyperbolic sine function. The integral solution to this was called hyperbolic Richard's growth model having transformed the solution from deterministic to a stochastic growth model. Its ability in model prediction was compared with the classical Richard's growth model an approach which mimicked the natural variability of heights/diameter increment with respect to age and therefore provides a more realistic height/diameter predictions using the coefficient of determination (R2), Mean Absolute Error (MAE) and Mean Square Error (MSE) results. The Kolmogorov-Smirnov test and Shapiro-Wilk test was also used to test the behavior of the error term for possible violations. The mean function of top height/Dbh over age using the two models under study predicted closely the observed values of top height/Dbh in the hyperbolic Richard's nonlinear growth models better than the classical Richard's growth model.

Keywords: height, Dbh, forest, Pinus caribaea, hyperbolic, Richard's, stochastic

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Authors: Muhammad Siddique, Volodymyr Lugovskyy

Abstract:

This paper explores how nations might mitigate the unfavorable impacts of oil price volatility on economic growth by switching to renewable energy sources. The impacts of uncertain factor prices on economic activity are examined by looking at the Realized Volatility (RV) of oil prices rather than the more traditional method of looking at oil price shocks. The United States of America (USA), China (C), India (I), United Kingdom (UK), Germany (G), Malaysia (M), and Pakistan (P) are all included to round out the traditional literature's examination of selected nations, which focuses on oil-importing and exporting economies. Granger Causality Tests (GCT), Impulse Response Functions (IRF), and Variance Decompositions (VD) demonstrate that in a Vector Auto-Regressive (VAR) scenario, the negative impacts of oil price volatility extend beyond what can be explained by oil price shocks alone for all of the nations in the sample. Different nations have different levels of vulnerability to changes in oil prices and other factors that may play a role in a sectoral composition and the energy mix. The conventional method, which only takes into account whether a country is a net oil importer or exporter, is inadequate. The potential economic advantages of initiatives to decouple the macroeconomy from volatile commodities markets are shown through simulations of volatility shocks in alternative energy mixes (with greater proportions of renewables). It is determined that in developing countries like Pakistan, increasing the use of renewable energy sources might lessen an economy's sensitivity to changes in oil prices; nonetheless, a country-specific study is required to identify particular policy actions. In sum, the research provides an innovative justification for mitigating economic growth's dependence on stable oil prices in our sample countries.

Keywords: oil price volatility, renewable energy, economic growth, developed and developing economies

Procedia PDF Downloads 79

Authors: Do Khanh Vy, Vuong Cat Khanh, Osamu Ohneda

Abstract:

During atherosclerosis (AS) progression, perivascular adipose tissue-derived mesenchymal stem cells (PVAT-MSCs) are exposed to the hypoxic environment due to the oxygenic deprivation which might influence the adipose tissue-derived mesenchymal stem cells (AT-MSCs) function. Additionally, it has been reported that the angiogenic ability of subcutaneous AT-MSCs (SAT-MSCs) was impaired in the AS patients. However, up to now, the effects of AS on the characteristics and function of PVAT-MSCs have not been clarified yet. In the present study, we analyzed the AS microenvironment effects on the characteristics and function of AT-MSCs. We found that there was no significant difference in cellular morphology and differentiation ability between SAT-MSCs and PVAT-MSCs in AS patients. However, the proliferation of AS-derived PVAT-MSCs was less than those of AS-derived SAT-MSCs. Importantly, the migration of AS-derived PVAT-MSCs was faster than AS-derived SAT-MSCs. Of note, AS-derived PVAT-MSCs showed the upregulation of SDF1, which is related to the homing, and VEGF, which is related to the angiogenesis compared to those of AS-derived SAT-MSCs. Consistent with these results, AS-derived PVAT-MSCs showed the higher ability to recruit EPCs and ECs than AS-derived SAT-MSCs. In addition, EPCs and ECs which cultured in the presence of AS-derived PVAT-MSC conditioned medium showed the higher angiogenic function of the tube formation compared to those cultured in AS-derived SAT-MSC conditioned medium. This result suggests that the higher paracrine effects of AS-derived PVAT-MSCs support the angiogenic function of the target cells. Our data showed the different characteristics and functions of AT-MSCs derived from different sources of tissues. Under the AS microenvironment, it seems that the characteristics and functions of PVAT-MSCs might reflect the progression of AS. Further study will be necessary to clarify the mechanism in the future.

Keywords: atherosclerosis, mesenchymal stem cells, perivascular adipose tissue, subcutaneous adipose tissue

Procedia PDF Downloads 161