Search results for: ARCH and GARCH modeling

Authors: Erkan Polat, Barlas Ozden Caglayan

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By day-to-day developed techniques, it is possible to pass through larger openings by using smaller beam-column sections. Parallel to this trend, it is aimed to produce not only smaller but also economical and architecturally more attractive beams. This study aims to explain the structural behavior of arch steel beam reinforced by using post-tension cable. Due to the effect of post-stressed cable, the arch beam load carrying capacity increases and an optimized section in a smaller size can be obtained with a better architectural view. It also allows better mechanical and applicational solutions for buildings. For better understanding the behavior of the reinforced beam, steel beam and arch steel beam with post-tensioned cable are all modeled and analyzed by using SAP2000 Finite element computer program and compared with each other. Also, full scale test specimens were prepared to test for figuring out the structural behavior and compare the results with the computer model results. Test results are very promising. The similarity of the results between the test and computer analysis shows us that there are no extra knowledge and effort of engineer is needed to calculate such beams. The predicted (and proved by tests) beam carrying capacity is 35% higher than the unreinforced beam carrying capacity. Even just three full scale tests were completed, it is seen that the ratio (%35) may be increased ahead by adjusting the cable post-tension force of beams in much smaller sizes.

Keywords: arch steel beams, pre-stressed cables, finite element, specimen Test

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Authors: Muhammad Tariq, Hammad Tahir, Fawwad Mahmood Butt

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Purpose: This study attempts to examine the best forecasting methodologies in the time series. The time series forecasting models such as VAR, ARCH and the ARMA are considered for the analysis. Methodology: The Bench Marks or the parameters such as Adjusted R square, F-stats, Durban Watson, and Direction of the roots have been critically and empirically analyzed. The empirical analysis consists of time series data of Consumer Price Index and Closing Stock Price. Findings: The results show that the VAR model performed better in comparison to other models. Both the reliability and significance of VAR model is highly appreciable. In contrary to it, the ARCH model showed very poor results for forecasting. However, the results of ARMA model appeared double standards i.e. the AR roots showed that model is stationary and that of MA roots showed that the model is invertible. Therefore, the forecasting would remain doubtful if it made on the bases of ARMA model. It has been concluded that VAR model provides best forecasting results. Practical Implications: This paper provides empirical evidences for the application of time series forecasting model. This paper therefore provides the base for the application of best time series forecasting model.

Keywords: forecasting, time series, auto regression, ARCH, ARMA

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Authors: Imen Dhaou

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This study examines conditional Value at Risk by applying the GJR-EVT-Copula model, and finds the optimal portfolio for eight Dow Jones Islamic-conventional pairs. Our methodology consists of modeling the data by a bivariate GJR-GARCH model in which we extract the filtered residuals and then apply the Peak over threshold model (POT) to fit the residual tails in order to model marginal distributions. After that, we use pair-copula to find the optimal portfolio risk dependence structure. Finally, with Monte Carlo simulations, we estimate the Value at Risk (VaR) and the conditional Value at Risk (CVaR). The empirical results show the VaR and CVaR values for an equally weighted portfolio of Dow Jones Islamic-conventional pairs. In sum, we found that the optimal investment focuses on Islamic-conventional US Market index pairs because of high investment proportion; however, all other index pairs have low investment proportion. These results deliver some real repercussions for portfolio managers and policymakers concerning to optimal asset allocations, portfolio risk management and the diversification advantages of these markets.

Keywords: CVaR, Dow Jones Islamic index, GJR-GARCH-EVT-pair copula, portfolio optimization

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Authors: Y. Bhatt, N. Ghosh, N. Tiwari

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Acreage response function are modeled taking account of expected harvest prices, weather related variables and other non-price variables allowing for partial adjustment possibility. At the outset, based on the literature on price expectation formation, we explored suitable formulations for estimating the farmer’s expected prices. Assuming that farmers form expectations rationally, the prices of food and biofuel crops are modeled using time-series methods for possible ARCH/GARCH effects to account for volatility. The prices projected on the basis of the models are then inserted to proxy for the expected prices in the acreage response functions. Food crop acreages in different growing states are found sensitive to their prices relative to those of one or more of the biofuel crops considered. The required percentage improvement in food crop yields is worked to offset the acreage loss.

Keywords: acreage response function, biofuel, food security, sustainable development

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Authors: Paul Idoko Ukanu, Sunday Abba, Balogun Sadiya

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The study of the finger prints patterns among the Igala ethnic groups was done in order to see their association gender. A cross sectional study was conducted and a total of 602 subjects participated in this study, 322 females and 280 males, which were mainly secondary school students between the age ranges of 13-19 years. The subjects fingerprint pattern was obtained by allowing them place the tip of each finger on the stamp pad, which is then imprinted on the questionnaire, this was done for both the left and right hand. Female had higher arch, whorl and loop finger print pattern in most of the right fingers than the males, the differences were statistically significant for the right index, right ring finger and right little finger, but were statistically insignificant for right thumb and right middle finger as p = 0.207 and 0.726, respectively. The result also revealed that males had higher arch finger print pattern in the right index and right little finger than the females, which was statistically significant (p = 0.001), and also a high whorl finger print pattern than the females in the right middle and ring finger.

Keywords: arch, loop, whorl, fingers

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Authors: Maryam Kakavand, Samira Entezari, Sara Khoshjamalfekri, Raghad Mimar

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The objective of this study is 1) to compare elite female and beginner taekwondo players in terms of plantar pressure distribution, vertical ground reaction force, contact area, mean pressure, and right and left longitudinal arches, and 2) to compare preferred and non-preferred limbs among elite players. To the best of authors’ knowledge, as of yet, there is no information available about the plantar pressure distribution and arch index among taekwondo players. Material and Methods: An analytical-comparative research method is applied. Therefore seven elite athletes and eight novice athletes were selected. The emed-C50 platform was used to assess plantar pressure distribution, vertical ground reaction force, contact area, mean pressure of different areas, and planter longitudinal arch in a second step protocol. Independent t-test and dependent t-test were used at a level of 0.05 to compare the elites and beginners' right and left feet, and preferred and non-preferred limbs among elite athletes, respectively. Results: In comparing the right and left limbs of elite and beginner groups, findings indicate that there is only a significant difference in the mean pressure of the first metatarsal of the right foot. Findings also showed a significant difference in the contact area of the toes 3, 4, 5 regions between elites’ preferred and non-preferred limbs. However, no significant difference was found between the two groups’ right and left limbs and elites’ preferred and non-preferred limbs in terms of pressure distribution, vertical ground reaction force, and arch index. Conclusion: It seems that taekwondo exercises have affected pressure distribution patterns among advanced players causing some differences in their planter pressure distribution pattern when compared to that of beginners. Therefore, taekwondo exercises may be a factor contributing to asymmetry performance in preferred and non-preferred limbs.

Keywords: planter pressure, arch index, taekwondo, elite

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Authors: Davender Kumar

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Aim: It is important for the orthodontist to be familiar with the sliding resistance (SR) generated by the ligation method used during the space closure phase with sliding mechanics. To determine new, experimental non-conventional (slide) ligature demonstrates less friction in vitro when compared other ligatures on the market. Methods: Experimental in vitro were carried out to test the performance of the low-friction system with regard to assess the forces released by different bracket–ligature systems with bonded in iron plate mounted on an Instron machine. Results: The outcomes of experimental testing showed that the combination of the low-friction ligatures with the super elastic nickel-titanium and SS wires produced a significantly smaller amount of binding at the bracket/arch wire/ligature unit when compared to conventional elastomeric ligatures. Conclusion: The biomechanical consequences of the use of low-friction ligatures were shorter duration of orthodontic treatment during the levelling and aligning phase, concurrent dentoalveolar expansion of the dental arch, and the possibility of using biologically adequate orthodontic forces.

Keywords: archwire, bracket, friction, ligation

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Authors: Marc Evenst Jn Jacques, Sophie Bernard

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Electrical and electronic applications, as well as rechargeable batteries, are common in any economy. They also contain a number of important and valuable metals. It is critical to investigate the impact of these new materials or volume sources on the metal market dynamics. This paper investigates the impact of responsible recycling within the European region on metal price volatility. As far as we know, no empirical studies have been conducted to assess the role of metal recycling in metal market price volatility. The goal of this paper is to test the claim that metal recycling helps to cushion price volatility. A set of circular economy indicators/variables, namely, 1) annual total trade values of recycled metals, 2) annual volume of scrap traded and 3) circular material use rate, and 4) information about recycling, are used to estimate the volatility of monthly spot prices of regular metals. A combination of the GARCH-MIDAS model for mixed frequency data sampling and a simple GARCH (1,1) model for the same frequency variables was adopted to examine the potential links between each variable and price volatility. We discovered that from 2010 to 2019, except for Nickel, scrap consumption (Millions of tons), Scrap Trade Values, and Recycled Material use rate had no significant impact on the price volatility of standard metals (Aluminum, Lead) and precious metals (Gold and Platinum). Worldwide interest in recycling has no impact on returns or volatility. Specific interest in metal recycling did have a link to the mean return equation for Aluminum, Gold and to the volatility equation for lead and Nickel.

Keywords: recycling, circular economy, price volatility, GARCH, mixed data sampling

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Authors: Shirin Manavi, Gorbanali Ebrahimi

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Man is a symbolist. He experiences living, whether he lived in the Old World or he is living in today's world. The symbol is a kind of concise expression of wishes and in the meantime, it comprises all the demands and Dos and Don'ts of a group, a people, and a nation. Our land, Iran, is also the land of symbols, explicit and hidden ones. The astronomical symbols are among these symbols that were recruited in fortune telling of cities. One of the symbols is the astronomical symbol of sagittairc which is the astrology of some cities such as Isfahan. November 22 of each year has been selected by Isfahan experts as Isfahan's Glorification Day. They have also selected the historically painted picture on the entrance of Qeysariye Bazar which has been designed based on the arch constellation. This symbol was chosen because Isfahan has been found in arch constellation on the basis of historical documentation of astrology. This study aims at the recognition, description, and analysis of the arch constellation, the symbol of Isfahan where it has been displayed once upon a time over the Tabarak castle and it is for centuries on the vertex of Isfahan's Qeysariye Bazar. This research has been done on the basis of the analytical method, but due to the particular structure of this paper, it has also benefited from the historical and descriptive methods.

Keywords: Isfahan's Qeysariye Bazar, semiotics, astrology of cities, constellation, sagittairc (Borje Ghos)

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Authors: Goodness C. Aye

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This paper examines the effect of the volatility of oil prices on food price in South Africa using monthly data covering the period 2002:01 to 2014:09. Food price is measured by the South African consumer price index for food while oil price is proxied by the Brent crude oil. The study employs the GARCH-in-mean VAR model, which allows the investigation of the effect of a negative and positive shock in oil price volatility on food price. The model also allows the oil price uncertainty to be measured as the conditional standard deviation of a one-step-ahead forecast error of the change in oil price. The results show that oil price uncertainty has a positive and significant effect on food price in South Africa. The responses of food price to a positive and negative oil price shocks is asymmetric.

Keywords: oil price volatility, food price, bivariate, GARCH-in-mean VAR, asymmetric

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Authors: Omid Allan

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The advent of ultra-narrow diameter implants initially offered an alternative to wider conventional implants. However, their design limitations have restricted their applicability primarily to overdentures and cement-retained fixed prostheses, often with unpredictable long-term outcomes. The introduction of the new Miniature Implants has revolutionized the field of implant dentistry, leading to a more streamlined approach. The utilization of Miniature Implants has emerged as a promising alternative to the traditional approach that entails the traumatic sequential bone drilling procedures and the use of conventional implants for full and partial arch restorations. The innovative "BioMiniatures Implant System serves as a groundbreaking bridge connecting mini implants with standard implant systems. This system allows practitioners to harness the advantages of ultra-small implants, enabling minimally invasive insertion and facilitating the application of fixed screw-retained prostheses, which were only available to conventional wider implant systems. This approach streamlines full and partial arch rehabilitation with minimal or even no bone drilling, significantly reducing surgical risks and complications for clinicians while minimizing patient morbidity. The ultra-narrow diameter and self-advancing features of these implants eliminate the need for invasive and technically complex procedures such as bone augmentation and guided bone regeneration (GBR), particularly in cases involving thin alveolar ridges. Furthermore, the absence of a microcap between the implant and abutment eliminates the potential for micro-leakage and micro-pumping effects, effectively mitigating the risk of marginal bone loss and future peri-implantitis. The cumulative experience of restoring over 50 full and partial arch edentulous cases with this system has yielded an outstanding success rate exceeding 97%. The long-term success with a stable marginal bone level in the study firmly establishes these implants as a dependable alternative to conventional implants, especially for full arch rehabilitation cases. Full arch rehabilitation with these implants holds the promise of providing a simplified solution for edentulous patients who typically present with atrophic narrow alveolar ridges, eliminating the need for extensive GBR and bone augmentation to restore their dentition with fixed prostheses.

Keywords: mini-implant, biominiatures, miniature implants, minimally invasive dentistry, full arch rehabilitation

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Authors: Anoush Saadatmehr

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Design and build of large clear span structures have always been demanding in the construction industry targeting industrial and commercial buildings around the world. The function of these spectacular structures encompasses distinguished types of building such as aircraft and airship hangars, warehouses, bulk storage buildings, sports and recreation facilities. From an engineering point of view, there are various types of steel structure systems that are often adopted in large-span buildings like conventional trusses, space frames and cable-supported roofs. However, this paper intends to investigate and review an innovative light, economic and quickly erected large span steel structure renowned as “Stressed-Arch,” which has several advantages over the other common types of structures. This patented system integrates the use of cold-formed hollow section steel material with high-strength pre-stressing strands and concrete grout to establish an arch shape truss frame anywhere there is a requirement to construct a cost-effective column-free space for spans within the range of 60m to 180m. In this study and firstly, the main structural properties of the stressed-arch system and its components are discussed technically. These features include nonlinear behavior of truss chords during stress-erection, the effect of erection method on member’s compressive strength, the rigidity of pre-stressed trusses to overcome strict deflection criteria for cases with roof suspended cranes or specialized front doors and more importantly, the prominent lightness of steel structure. Then, the effects of utilizing pre-stressing strands to safeguard a smooth process of installation of main steel members and roof components and cladding are investigated. In conclusion, it is shown that the Stressed-Arch system not only provides an optimized light steel structure up to 30% lighter than its conventional competitors but also streamlines the process of building erection and minimizes the construction time while preventing the risks of working at height.

Keywords: large span structure, pre-stressed steel truss, stressed-arch building, stress-erection, steel structure

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Authors: Hachmi Ben Ameur, Jean Luc Prigent

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We propose an extension of the CPPI method, which is based on conditional floors. In this framework, we examine in particular the TIPP and margin based strategies. These methods allow keeping part of the past gains and protecting the portfolio value against future high drawdowns of the financial market. However, as for the standard CPPI method, the investor can benefit from potential market rises. To control the risk of such strategies, we introduce both Value-at-Risk (VaR) and Expected Shortfall (ES) risk measures. For each of these criteria, we show that the conditional floor must be higher than a lower bound. We illustrate these results, for a quite general ARCH type model, including the EGARCH (1,1) as a special case.

Keywords: CPPI, conditional floor, ARCH, VaR, expected ehortfall

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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: Abderrazek Ben Maatoug, Ibrahim Fatnassi, Wassim Ben Ayed

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In this paper we investigate the issue of market risk quantification for Middle East and North Africa (MENA) Islamic market equity. We use Value-at-Risk (VaR) as a measure of potential risk in Islamic stock market, for long and short position, based on Riskmetrics model and the conditional parametric ARCH class model volatility with normal, student and skewed student distribution. The sample consist of daily data for the 2006-2014 of 11 Islamic stock markets indices. We conduct Kupiec and Engle and Manganelli tests to evaluate the performance for each model. The main finding of our empirical results show that (i) the superior performance of VaR models based on the Student and skewed Student distribution, for the significance level of α=1% , for all Islamic stock market indices, and for both long and short trading positions (ii) Risk Metrics model, and VaR model based on conditional volatility with normal distribution provides the best accurate VaR estimations for both long and short trading positions for a significance level of α=5%.

Keywords: value-at-risk, risk management, islamic finance, GARCH models

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Authors: Martin Mensinger, Marjolaine Pfaffinger, Matthias Haslbeck

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The maintenance and expansion of the railway network represents a central task for transport planning in the future. In addition to the ultimate limit states, the aspects of resource conservation and sustainability are increasingly more necessary to include in the basic engineering. Therefore, as part of the AiF research project, ‘Integrated assessment of steel and composite railway bridges in accordance with sustainability criteria’, the entire lifecycle of engineering structures is involved in planning and evaluation, offering a way to optimize the design of steel bridges. In order to reduce the life cycle costs and increase the profitability of steel structures, it is particularly necessary to consider the demands on hanger connections resulting from fatigue. In order for accurate analysis, a number simulations were conducted as part of the research project on a finite element model of a reference bridge, which gives an indication of the internal forces of the individual structural components of a tied arch bridge, depending on the stress incurred by various types of trains. The calculations were carried out on a detailed FE-model, which allows an extraordinarily accurate modeling of the stiffness of all parts of the constructions as it is made up surface elements. The results point to a large impact of the formation of details on fatigue-related changes in stress, on the one hand, and on the other, they could depict construction-specific specifics over the course of adding stress. Comparative calculations with varied axle-stress distribution also provide information about the sensitivity of the results compared to the imposition of stress and axel distribution on the stress-resultant development. The calculated diagrams help to achieve an optimized hanger connection design through improved durability, which helps to reduce the maintenance costs of rail networks and to give practical application notes for the formation of details.

Keywords: fatigue, influence line, life cycle, tied arch bridge

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Authors: Walid Chkili

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This paper investigates the dynamic relationship between gold and stock markets using data for BRICS counties. For this purpose, we estimate three multivariate GARCH models (namely CCC, DCC and BEKK) for weekly stock and gold data. Our main objective is to examine time variations in conditional correlations between the two assets and to check the effectiveness use of gold as a hedge for equity markets. Empirical results reveal that dynamic conditional correlations switch between positive and negative values over the period under study. This correlation is negative during the major financial crises suggesting that gold can act as a safe haven during the major stress period of stock markets. We also evaluate the implications for portfolio diversification and hedging effectiveness for the pair gold/stock. Our findings suggest that adding gold in the stock portfolio enhance its risk-adjusted return.

Keywords: gold, financial markets, hedge, multivariate GARCH

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Authors: Melek Akay

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Turkey's agricultural commodity prices are prone to fluctuation but have gradually over time. A considerable amount of literature examines the changes in these prices by dealing with other commodities such as energy. Links between agricultural and energy markets have therefore been extensively investigated. Since red meat prices are becoming increasingly volatile in Turkey, this paper analyses the price volatility of veal, lamb and the relationship between red meat and crude oil, exchange rates by applying the generalize all period unconstraint volatility model, which generalises the GARCH (p, q) model for analysing weekly data covering a period of May 2006 to February 2017. Empirical results show that veal and lamb prices present volatility during the last decade, but particularly between 2009 and 2012. Moreover, oil prices have a significant effect on veal and lamb prices as well as their previous periods. Consequently, our research can lead policy makers to evaluate policy implementation in the appropriate way and reduce the impacts of oil prices by supporting producers.

Keywords: red meat price, volatility, crude oil, exchange rates, GARCH models, Turkey

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Authors: Qianhui Li, Christoph H. Bruecker

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Atherosclerotic plaques are typically found where flow separation and variations of shear stress occur. Although helical flow patterns and flow separations have been recorded in the aorta, their relation has not been clearly clarified and especially in the condition of artificial heart valve prostheses. Therefore, an experimental study is performed to investigate the hemodynamic performance of different mechanical heart valves (MHVs), i.e. the SJM Regent bileaflet mechanical heart valve (BMHV) and the Lapeyre-Triflo FURTIVA trileaflet mechanical heart valve (TMHV), in a transparent model of the human aorta under a physiological pulsatile right-hand helical flow condition. A typical systolic flow profile is applied in the pulse-duplicator to generate a physiological pulsatile flow which thereafter flows past an axial turbine blade structure to imitate the right-hand helical flow induced in the left ventricle. High-speed particle image velocimetry (PIV) measurements are used to map the flow evolution. A circular open orifice nozzle inserted in the valve plane as the reference configuration initially replaces the valve under investigation to understand the hemodynamic effects of the entered helical flow structure on the flow evolution in the aortic arch. Flow field analysis of the open orifice nozzle configuration illuminates the helical flow effectively delays the flow separation at the inner radius wall of the aortic arch. The comparison of the flow evolution for different MHVs shows that the BMHV works like a flow straightener which re-configures the helical flow pattern into three parallel jets (two side-orifice jets and the central orifice jet) while the TMHV preserves the helical flow structure and therefore prevent the flow separation at the inner radius wall of the aortic arch. Therefore the TMHV is of better hemodynamic performance and reduces the pressure loss.

Keywords: flow separation, helical aortic flow, mechanical heart valve, particle image velocimetry

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Authors: Shokoufeh Sadeghifard

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This study is a review of the nature of soil arching that develops in the upper layer of soil during drilling processes before pulling product pipe inside the hole. This study is based on the results of some parametric studies which are investigating the behavior of drained sandy soil above HDD borehole using Plaxis finite element solution. The influence of drilling mud injection in these series of analyses has been ignored. However, a suitable drilling mud pressure helps to achieve stable arch when the height of soil cover over the drilling borehole is not enough. In this study, the soil response to the formation of a HDD borehole is compared to arching theory developed by Terzaghi (1943). It is found that Terzaghi’s approach is capable of describing all of the behaviour seen when a stable arch forms. According to the numerical results, a suitable safe depth of 4D, D is borehole diameter, is suggested for typical range of HDD borehole in sandy soil.

Keywords: HDD, Plaxis, finite element, arching, settlement, drilling

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Authors: Chil-Chyuan Kuo, Chen-Hsuan Tsai

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This study presents a cost-effective approach for rapid fabricating modeling platforms utilized in fused deposition modeling system. A small-batch production of modeling platforms about 20 pieces can be obtained economically through silicone rubber mold using vacuum casting without applying the plastic injection molding. The air venting systems is crucial for fabricating modeling platform using vacuum casting. Modeling platforms fabricated can be used for building rapid prototyping model after sandblasting. This study offers industrial value because it has both time-effectiveness and cost-effectiveness.

Keywords: vacuum casting, fused deposition modeling, modeling platform, sandblasting, surface roughness

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Authors: Nikolaos Konstantopoulos, Aristeidis Samitas, Vasileiou Evangelos

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The purpose of this study is to examine if the financial trends influence not only the stock markets’ returns, but also their anomalies. We choose to study the day of the week effect (DOW) for the Greek stock market during the Euro period (2002-12), because during the specific period there are not significant structural changes and there are long term financial trends. Moreover, in order to avoid possible methodological counterarguments that usually arise in the literature, we apply several linear (OLS) and nonlinear (GARCH family) models to our sample until we reach to the conclusion that the TGARCH model fits better to our sample than any other. Our results suggest that in the Greek stock market there is a long term predisposition for positive/negative returns depending on the weekday. However, the statistical significance is influenced from the financial trend. This influence may be the reason why there are conflict findings in the literature through the time. Finally, we combine the DOW’s empirical findings from 1985-2012 and we may assume that in the Greek case there is a tendency for long lived turn of the week effect.

Keywords: day of the week effect, GARCH family models, Athens stock exchange, economic growth, crisis

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Authors: Seongsoo Lee

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IP reuse is an effective design methodology for modern SoC design to reduce effort and time. However, description and modeling methods of IP interfaces are different due to different IP designers. In this paper, standardized description and modeling methods of IP interfaces are proposed. It consists of 11 items such as IP information, model provision, data type, description level, interface information, port information, signal information, protocol information, modeling level, modeling information, and source file. The proposed description and modeling methods enables easy understanding, simulation, verification, and modification in IP reuse.

Keywords: interface, standardization, description, modeling, semiconductor IP

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Authors: Ayse Ozturk

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The study extends the prior research on modeling competencies by positioning students’ cognitive and language resources as the fundamentals for pursuing their own inquiry and expression lines through mathematical modeling. This strategy aims to answer the question that guides this study, “How do students’ group approaches to modeling tasks affect their modeling competencies over a unit of instruction?” Six bilingual tenth-grade students worked on open-ended modeling problems along with the content focused on quantities over six weeks. Each group was found to have a unique cognitive approach for solving these problems. Three different problem-solving strategies affected how the groups’ modeling competencies changed. The results provide evidence that the discussion around groups’ solutions, coupled with their reflections, advances group interpreting and validating competencies in the mathematical modeling process

Keywords: cognition, collective learning, mathematical modeling competencies, problem-solving

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Authors: Marco Barassi, Nicola Spagnolo

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This paper uses a DCC-GARCH model framework to examine mean and volatility spillovers (i.e. causality in mean and variance) dynamics between financial centers and the stock market indexes of the BRICS countries. In addition, tests for changes in the transmission mechanism are carried out by first testing for structural breaks and then setting a dummy variable to control for the 2008 financial crises. We use weekly data for nine countries, four financial centers (Germany, Japan, UK and USA) and the five BRICS countries (Brazil, Russia, India, China and South Africa). Furthermore, we control for monetary policy using domestic interest rates (90-day Treasury Bill interest rate) over the period 03/1/1990 - 04/2/2014, for a total of 1204 observations. Results show that the 2008 financial crises changed the causality dynamics for most of the countries considered. The same pattern can also be observed in conditional correlation showing a shift upward following the turbulence associated to the 2008 crises. The magnitude of these effects suggests a leading role played by the financial centers in effecting Brazil and South Africa, whereas Russia, India and China show a higher degree of resilience.

Keywords: financial crises, DCC-GARCH model, volatility spillovers, economics

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Authors: George Zhou, Yunchan Chen, Candace Chien

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Kidney replacement therapy is the current standard of care for end-stage renal diseases. In-center or home hemodialysis remains an integral component of the therapeutic regimen. Arteriovenous fistulas (AVF) make up the vascular circuit through which blood is filtered and returned. Naturally, AVF patency determines whether adequate clearance and filtration can be achieved and directly influences clinical outcomes. Our aim was to build a deep learning model for automated AVF stenosis screening based on the sound of blood flow through the AVF. A total of 311 patients with AVF were enrolled in this study. Blood flow sounds were collected using a digital stethoscope. For each patient, blood flow sounds were collected at 6 different locations along the patient’s AVF. The 6 locations are artery, anastomosis, distal vein, middle vein, proximal vein, and venous arch. A total of 1866 sounds were collected. The blood flow sounds are labeled as “patent” (normal) or “stenotic” (abnormal). The labels are validated from concurrent ultrasound. Our dataset included 1527 “patent” and 339 “stenotic” sounds. We show that blood flow sounds vary significantly along the AVF. For example, the blood flow sound is loudest at the anastomosis site and softest at the cephalic arch. Contextualizing the sound with location metadata significantly improves classification performance. How to encode and incorporate categorical metadata is an active area of research1. Herein, we study ordinal (i.e., integer) encoding schemes. The numerical representation is concatenated to the flattened feature vector. We train a vision transformer (ViT) on spectrogram image representations of the sound and demonstrate that using scalar multiples of our integer encodings improves classification performance. Models are evaluated using a 10-fold cross-validation procedure. The baseline performance of our ViT without any location metadata achieves an AuROC and AuPRC of 0.68 ± 0.05 and 0.28 ± 0.09, respectively. Using the following encodings of Artery:0; Arch: 1; Proximal: 2; Middle: 3; Distal 4: Anastomosis: 5, the ViT achieves an AuROC and AuPRC of 0.69 ± 0.06 and 0.30 ± 0.10, respectively. Using the following encodings of Artery:0; Arch: 10; Proximal: 20; Middle: 30; Distal 40: Anastomosis: 50, the ViT achieves an AuROC and AuPRC of 0.74 ± 0.06 and 0.38 ± 0.10, respectively. Using the following encodings of Artery:0; Arch: 100; Proximal: 200; Middle: 300; Distal 400: Anastomosis: 500, the ViT achieves an AuROC and AuPRC of 0.78 ± 0.06 and 0.43 ± 0.11. respectively. Interestingly, we see that using increasing scalar multiples of our integer encoding scheme (i.e., encoding “venous arch” as 1,10,100) results in progressively improved performance. In theory, the integer values do not matter since we are optimizing the same loss function; the model can learn to increase or decrease the weights associated with location encodings and converge on the same solution. However, in the setting of limited data and computation resources, increasing the importance at initialization either leads to faster convergence or helps the model escape a local minimum.

Keywords: arteriovenous fistula, blood flow sounds, metadata encoding, deep learning

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Authors: Tetsuji Tanaka, Jin Guo

Abstract:

The extant literature has not succeeded in uncovering the common determinants of price volatility transmissions of agricultural commodities from international to local markets, and further, has rarely investigated the role of self-sufficiency measures in the context of national food security. We analyzed various factors to determine the degree of price volatility transmissions of wheat, rice, and maize between world and domestic markets using GARCH models with dynamic conditional correlation (DCC) specifications and panel-feasible generalized least square models. We found that the grain autarky system has the potential to diminish volatility pass-throughs for three grain commodities. Furthermore, it was discovered that the substitutive commodity consumption behavior between maize and wheat buffers the volatility transmissions of both, but rice does not function as a transmission-relieving element, either for the volatilities of wheat or maize. The effectiveness of grain consumption substitution to insulate the pass-throughs from global markets is greater than that of cereal self-sufficiency. These implications are extremely beneficial for developing governments to protect their domestic food markets from uncertainty in foreign countries and as such, improves food security.

Keywords: food security, GARCH, grain self-sufficiency, volatility transmission

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Authors: Katalina Grigorova, Kaloyan Mironov

Abstract:

The paper focuses on the benefits of business process modeling. Although this discipline is developing for many years, there is still necessity of creating new opportunities to meet the ever-increasing users’ needs. Because one of these needs is related to the conversion of business process models from one standard to another, the authors have developed a converter between BPMN and EPC standards using workflow patterns as intermediate tool. Nowadays there are too many systems for business process modeling. The variety of output formats is almost the same as the systems themselves. This diversity additionally hampers the conversion of the models. The presented study is aimed at discussing problems due to differences in the output formats of various modeling environments.

Keywords: business process modeling, business process modeling standards, workflow patterns, converting models

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Authors: Daniel Mokatsanyane, Johnny Jansen Van Rensburg

Abstract:

This paper is a concise introduction of the risk management on the water derivatives market. Water, a new commodity in the market, is one of the most important commodity on earth. As important to life and planet as crops, metals, and energy, none of them matters without water. This paper presents a brief overview of water as a tradable commodity via a new first of its kind futures contract on the Nasdaq Veles California Water Index (NQH2O) derivative instrument, TheGeneralised Autoregressive Conditional Heteroscedasticity (GARCH) statistical model will be the used to measure the water price volatility of the instrument and its performance since it’s been traded. describe the main products and illustrate their usage in risk management and also discuss key challenges with modeling and valuation of water as a traded commodity and finally discuss how water derivatives may be taken as an alternative asset investment class.

Keywords: water derivatives, commodity market, nasdaq veles california water Index (NQH2O, water price, risk management

Procedia PDF Downloads 96

Authors: Olumuyiwa Idowu Ojo, Oluwatobi Peter Olowo

Abstract:

The study developed a Geographical Information Systems (GIS) database and mapped inter-annual changes in crop yields of cassava, cowpea, maize, rice, melon and yam as a response to inter-annual rainfall and temperature variability in Southwest, Nigeria. The aim of this project is to study the comparative analysis of the weather variability impact of six crops yield (Rice, melon, yam, cassava, Maize and cowpea) in South Western States of Nigeria (Oyo, Osun, Ekiti, Ondo, Ogun and Lagos) from 1991 – 2007. The data was imported and analysed in the Arch GIS 9 – 3 software environment. The various parameters (temperature, rainfall, crop yields) were interpolated using the kriging method. The results generated through interpolation were clipped to the study area. Geographically weighted regression was chosen from the spatial statistics toolbox in Arch GIS 9.3 software to analyse and predict the relationship between temperature, rainfall and the different crops (Cowpea, maize, rice, melon, yam, and cassava).

Keywords: GIS, crop yields, comparative analysis, temperature, rainfall, weather variability

Procedia PDF Downloads 290