Search results for: ARCH/GARCH

Authors: Eliska Smidova, Petr Kabele

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This paper describes non-linear finite element simulation of laminated veneer lumber (LVL) under tensile and shear loads that induce cracking along fibers. For this purpose, we use 2D homogeneous orthotropic constitutive model of tensile and shear fracture in timber that has been recently developed and implemented into ATENA® finite element software by the authors. The model captures (i) material orthotropy for small deformations in both linear and non-linear range, (ii) elastic behavior until anisotropic failure criterion is fulfilled, (iii) inelastic behavior after failure criterion is satisfied, (iv) different post-failure response for cracks along and across the grain, (v) unloading/reloading behavior. The post-cracking response is treated by fixed smeared crack model where Reinhardt-Hordijk function is used. The model requires in total 14 input parameters that can be obtained from standard tests, off-axis test results and iterative numerical simulation of compact tension (CT) or compact tension-shear (CTS) test. New engineered timber composites, such as laminated veneer lumber (LVL), offer improved structural parameters compared to sawn timber. LVL is manufactured by laminating 3 mm thick wood veneers aligned in one direction using water-resistant adhesives (e.g. polyurethane). Thus, 3 main grain directions, namely longitudinal (L), tangential (T), and radial (R), are observed within the layered LVL product. The core of this work consists in 3 numerical simulations of experiments where Radiata Pine LVL and Yellow Poplar LVL were involved. The first analysis deals with calibration and validation of the proposed model through off-axis tensile test (at a load-grain angle of 0°, 10°, 45°, and 90°) and CTS test (at a load-grain angle of 30°, 60°, and 90°), both of which were conducted for Radiata Pine LVL. The second finite element simulation reproduces load-CMOD curve of compact tension (CT) test of Yellow Poplar with the aim of obtaining cohesive law parameters to be used as an input in the third finite element analysis. That is four point bending test of small-size arch of 780 mm span that is made of Yellow Poplar LVL. The arch is designed with a through crack between two middle layers in the crown. Curved laminated beams are exposed to high radial tensile stress compared to timber strength in radial tension in the crown area. Let us note that in this case the latter parameter stands for tensile strength in perpendicular direction with respect to the grain. Standard tests deliver most of the relevant input data whereas traction-separation law for crack along the grain can be obtained partly by inverse analysis of compact tension (CT) test or compact tension-shear test (CTS). The initial crack was modeled as a narrow gap separating two layers in the middle the arch crown. Calculated load-deflection curve is in good agreement with the experimental ones. Furthermore, crack pattern given by numerical simulation coincides with the most important observed crack paths.

Keywords: compact tension (CT) test, compact tension shear (CTS) test, fixed smeared crack model, four point bending test, laminated arch, laminated veneer lumber LVL, off-axis test, orthotropic elasticity, orthotropic fracture criterion, Radiata Pine LVL, traction-separation law, yellow poplar LVL, 2D constitutive model

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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: Kamel Malik Bensafta, Gervasio Semedo

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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: Michael Kenomore, Mohamed Hassan, Amjad Shah, Hom Dhakal

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Shale gas reservoirs have been of greater importance compared to shale oil reservoirs since 2009 and with the current nature of the oil market, understanding the technical and economic performance of shale gas reservoirs is of importance. Using the Barnett shale as a case study, an economic model was developed to quantify the effect of finding and development costs and gas prices on the basins in the Barnett shale using net present value as an evaluation parameter. A rate of return of 20% and a payback period of 60 months or less was used as the investment hurdle in the model. The Barnett was split into four basins (Strawn Basin, Ouachita Folded Belt, Forth-worth Syncline and Bend-arch Basin) with analysis conducted on each of the basin to provide a holistic outlook. The dataset consisted of only horizontal wells that started production from 2008 to at most 2015 with 1835 wells coming from the strawn basin, 137 wells from the Ouachita folded belt, 55 wells from the bend-arch basin and 724 wells from the forth-worth syncline. The data was analyzed initially on Microsoft Excel to determine the estimated ultimate recoverable (EUR). The range of EUR from each basin were loaded in the Palisade Risk software and a log normal distribution typical of Barnett shale wells was fitted to the dataset. Monte Carlo simulation was then carried out over a 1000 iterations to obtain a cumulative distribution plot showing the probabilistic distribution of EUR for each basin. From the cumulative distribution plot, the P10, P50 and P90 EUR values for each basin were used in the economic model. Gas production from an individual well with a EUR similar to the calculated EUR was chosen and rescaled to fit the calculated EUR values for each basin at the respective percentiles i.e. P10, P50 and P90. The rescaled production was entered into the economic model to determine the effect of the finding and development cost and gas price on the net present value (10% discount rate/year) as well as also determine the scenario that satisfied the proposed investment hurdle. The finding and development costs used in this paper (assumed to consist only of the drilling and completion costs) were £1 million, £2 million and £4 million while the gas price was varied from $2/MCF-$13/MCF based on Henry Hub spot prices from 2008-2015. One of the major findings in this study was that wells in the bend-arch basin were least economic, higher gas prices are needed in basins containing non-core counties and 90% of the Barnet shale wells were not economic at all finding and development costs irrespective of the gas price in all the basins. This study helps to determine the percentage of wells that are economic at different range of costs and gas prices, determine the basins that are most economic and the wells that satisfy the investment hurdle.

Keywords: shale gas, Barnett shale, unconventional gas, estimated ultimate recoverable

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Authors: Takaaki Nemoto

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Case presentation: A 69-year-old Japanese man presented with a low-grade fever and fatigue that had persisted for one month. The patient had an aortic dissection on the aortic arch 13 years prior, an abdominal aortic aneurysm seven years prior, and an aortic dissection on the distal aortic arch one year prior, which were all treated with artificial blood-vessel replacement surgery. Laboratory tests revealed an inflammatory response (CRP 7.61 mg/dl), high serum creatinine (Cr 1.4 mg/dL), and elevated transaminase (AST 47 IU/L, ALT 45 IU/L). The patient was admitted to our hospital on suspicion of prosthetic vascular graft infection. Following further workups on the inflammatory response, an enhanced chest computed tomography (CT) and a non-enhanced chest DWI (MRI) were performed. The patient was diagnosed with a pulmonary fistula and a prosthetic vascular graft infection on the distal aortic arch. After admission, the patient was administered Ceftriaxion and Vancomycine for 10 days, but his fever and inflammatory response did not improve. On day 13 of hospitalization, a lung fistula repair surgery and an omental filling operation were performed, and Meropenem and Vancomycine were administered. The fever and inflammatory response continued, and therefore we took repeated blood cultures. M. fortuitum was detected in a blood culture on day 16 of hospitalization. As a result, we changed the treatment regimen to Amikacin (400 mg/day), Meropenem (2 g/day), and Cefmetazole (4 g/day), and the fever and inflammatory response began to decrease gradually. We performed a test of sensitivity for Mycobacterium fortuitum, and found that the MIC was low for fluoroquinolone antibacterial agent. The clinical course was good, and the patient was discharged after a total of 8 weeks of intravenous drug administration. At discharge, we changed the treatment regimen to Levofloxacin (500 mg/day) and Clarithromycin (800 mg/day), and prescribed these two drugs as a long life suppressive therapy. Discussion: There are few cases of prosthetic vascular graft infection caused by mycobacteria, and a standard therapy remains to be established. For prosthetic vascular graft infections, it is ideal to provide surgical and medical treatment in parallel, but in this case, surgical treatment was difficult and, therefore, a conservative treatment was chosen. We attempted to increase the treatment success rate of this refractory disease by conducting a susceptibility test for mycobacteria and treating with different combinations of antimicrobial agents, which was ultimately effective. With our treatment approach, a good clinical course was obtained and continues at the present stage. Conclusion: Although prosthetic vascular graft infection resulting from mycobacteria is a refractory infectious disease, it may be curative to administer appropriate antibiotics based on the susceptibility test in addition to surgical treatment.

Keywords: prosthetic vascular graft infection, lung fistula, Mycobacterium fortuitum, conservative treatment

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Authors: Byung Il You, Ryun Oh, Gyo Woo Lee

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Manhole refers to facilities that are accessible to the people cleaning and inspection of sewer, and its covering is called manhole lid. Manhole lid is typically made of a cast iron material. Due to the heavy weight of the cast iron manhole lids their installation and maintenance are not easy, and an electrical shock and corrosion aging of them can cause critical problems. The manhole body and the lid manufacturing using the fiber-reinforced composite material can reduce the weight considerably compared to the cast iron manhole. But only the fiber reinforcing is hard to maintain the heavy load, and the method of the iron frame with double injection molding of the composite material has been proposed widely. In this study reflecting the situation of this market, the structural design of the iron frame for the composite manhole lid was carried out. Structural analysis with the computer simulation for the effectively distributed load on the iron frame was conducted. In addition, we want to assess manufacturing costs through the comparing of weights and number of welding spots of the frames. Despite the cross-sectional area is up to 38% compared with the basic solid form the maximum von Mises stress is increased at least about 7 times locally near the rim and the maximum strain in the central part of the lid is about 5.5 times. The number of welding points related to the manufacturing cost was increased gradually with the more complicated shape. Also, the higher the height of the arch in the center of the lid the better result might be obtained. But considering the economic aspect of the composite fabrication we determined the same thickness as the frame for the height of the arch at the center of the lid. Additionally in consideration of the number of the welding points we selected the hexagonal as the optimal shape. Acknowledgment: These are results of a study on the 'Leaders Industry-university Cooperation' Project, supported by the Ministry of Education (MOE).

Keywords: manhole lid, iron frame, structural design, computer simulation

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Authors: Yu-Ju Tsai, Ching-Chun Wang, Wen-Tzu Tang, Huei-Ming Chai

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A pronated foot is frequently associated with a hypermobile first ray, then developing further severe foot problems. Low-Dye taping with athletic tape has been widely used to restrict excessive first ray motion and re-build height of the medial longitudinal arch in general population with pronated foot. It is not the case, however, for sprinters since they feel too much restriction of foot motions. Currently, the kinesio tape, more elastic than the athletic tape, has been widely used to re-adjust joint positions. It was interesting whether modified low-Dye taping using kinesio tape was beneficial for altering first ray mobility and still giving enough arch support. The purpose of this study was to investigate the effect of modified low-Dye taping on first ray mobility test and 60-m sprint time for sprinters with pronated foot. The significance of this study provides new insight into a treatment alternative of modified low-Dye taping for sprinter with pronated foot. Ten young male sprinters, aged 20.8±1.6 years, with pronated foot were recruited for this study. The pronated foot was defined as the foot that the navicular drop test was greater than 1.0 cm. Three optic shutters were placed at the start, 30-m, and 60-m sites to record sprint time. All participants were asked to complete 3 trials of the 60-m dash with both taping and non-taping conditions in a random order. The low-Dye taping was applied using the method postulated by Ralph Dye in 1939 except the kinesio tape was used instead. All outcome variables were recorded for taping and non-taping conditions. Paired t-tests were used to analyze all outcome variables between 2 conditions. Although there were no statistically significant differences in dorsal and plantar mobility between taping and non-taping conditions, a statistical significance was found in a total range of motion (dorsiflexion plus plantarflexion angle) of the first ray when a modified low-Dye taping was applied (p < 0.05). Time to complete 60-m sprint was significantly increased with low-Dye taping (p < 0.05) while no significance was found for time to 30-m. it indicated that modified low-Dye taping changed maximum sprint speed of 60-m dash. Conclusively, modified low-Dye taping was capable of increasing first ray mobility and further altered maximum sprint speed.

Keywords: first ray mobility, kinesio taping, pronated foot, sprint time

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Authors: Ramanish Ravishankar, Azar Hussain, Mahmoud Loubani, Mubarak Chaudhry

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Background and Aims: Currently, there are no strict guidelines in cardiopulmonary bypass temperature management in cardiac surgery not involving the aortic arch. This study aims to compare patient outcomes undergoing mild hypothermia and normothermia. The aim of this study was to compare patient outcomes between mild hypothermia and normothermia undergoing on-pump cardiac surgery not involving the aortic arch. Methods: This was a retrospective cohort study from January 2015 until May 2023. Patients who underwent cardiac surgery with cardiopulmonary bypass temperatures ≥32oC were included and stratified into mild hypothermia (32oC – 35oC) and normothermia (>35oC) cohorts. Propensity matching was applied through the nearest neighbour method (1:1) using the risk factors detailed in the EuroScore using RStudio. The primary outcome was mortality. Secondary outcomes included post-op stay, intensive care unit readmission, re-admission, stroke, and renal complications. Patients who had major aortic surgery and off-pump operations were excluded. Results: Each cohort had 1675 patients. There was a significant increase in overall mortality with the mild hypothermia cohort (3.59% vs. 2.32%; p=0.04912). There was also a greater stroke incidence (2.09% vs. 1.13%; p=0.0396) and transient ischaemic attack (TIA) risk (3.1% vs. 1.49%; p=0.0027). There was no significant difference in renal complications (9.13% vs. 7.88%; p=0.2155). Conclusions: Patient’s who underwent mild hypothermia during cardiopulmonary bypass have a significantly greater mortality, stroke, and transient ischaemic attack incidence. Mild hypothermia does not appear to provide any benefit over normothermia and does not appear to provide any neuroprotective benefits. This shows different results to that of other major studies; further trials and studies need to be conducted to reach a consensus.

Keywords: cardiac surgery, therapeutic hypothermia, neuroprotection, cardiopulmonary bypass

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Authors: Lamiek Abraham, Xinli Du, Yohan Noh, Polin Hsu, Tingting Wu, Tom Logan, Ifan Yen

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In the field of minimally invasive, smart medical instruments such as catheters and guidewires are typically used at a remote distance to gain access to the diseased artery, often negotiating tortuous, complex, and diseased vessels in the process. Three optical fiber sensors with a diameter of 1.5mm each that are 120° apart from each other is proposed to be mounted into a catheter-based pump device with a diameter of 10mm. These sensors are configured to solve the challenges surgeons face during insertion through curvy major vessels such as the aortic arch. Moreover, these sensors deal with providing information on rubbing the walls and shape sensing. This study presents an experimental and mathematical models of the optical fiber sensors with 2 degrees of freedom. There are two eight gear-shaped tubes made up of 3D printed thermoplastic Polyurethane (TPU) material that are connected. The optical fiber sensors are mounted inside the first tube for protection from external light and used TPU material as a prototype for a catheter. The second tube is used as a flat reflection for the light intensity modulation-based optical fiber sensors. The first tube is attached to the linear guide for insertion and withdrawal purposes and can manually turn it 45° by manipulating the tube gear. A 3D hard material phantom was developed that mimics the aortic arch anatomy structure in which the test was carried out. During the insertion of the sensors into the 3D phantom, datasets are obtained in terms of voltage, distance, and position of the sensors. These datasets reflect the characteristics of light intensity modulation of the optical fiber sensors with a plane project of the aortic arch structure shape. Mathematical modeling of the light intensity was carried out based on the projection plane and experiment set-up. The performance of the system was evaluated in terms of its accuracy in navigating through the curvature and information on the position of the sensors by investigating 40 single insertions of the sensors into the 3D phantom. The experiment demonstrated that the sensors were effectively steered through the 3D phantom curvature and to desired target references in all 2 degrees of freedom. The performance of the sensors echoes the reflectance of light theory, where the smaller the radius of curvature, the more of the shining LED lights are reflected and received by the photodiode. A mathematical model results are in good agreement with the experiment result and the operation principle of the light intensity modulation of the optical fiber sensors. A prototype of a catheter using TPU material with three optical fiber sensors mounted inside has been developed that is capable of navigating through the different radius of curvature with 2 degrees of freedom. The proposed system supports operators with pre-scan data to make maneuverability and bendability through curvy major vessels easier, accurate, and safe. The mathematical modelling accurately fits the experiment result.

Keywords: Intensity modulated optical fiber sensor, mathematical model, plane projection, shape sensing.

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Authors: Fathi Abid, Bilel Kaffel

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The olive tree, the olive harvest during winter season and the production of olive oil better known by professionals under the name of the crushing operation have interested institutional traders such as olive-oil offices and private companies such as food industry refining and extracting pomace olive oil as well as export-import public and private companies specializing in olive oil. The major problem facing producers of olive oil each winter campaign, contrary to what is expected, it is not whether the harvest will be good or not but whether the sale price will allow them to cover production costs and achieve a reasonable margin of profit or not. These questions are entirely legitimate if we judge by the importance of the issue and the heavy complexity of the uncertainty and competition made tougher by a high level of indebtedness and the experience and expertise of speculators and producers whose objectives are sometimes conflicting. The aim of this paper is to study the formation mechanism of olive oil prices in order to learn about speculators’ behavior and expectations in the market, how they contribute by their industry knowledge and their financial alliances and the size the financial challenge that may be involved for them to build private information hoses globally to take advantage. The methodology used in this paper is based on two stages, in the first stage we study econometrically the formation mechanisms of olive oil price in order to understand the market participant behavior by implementing ARMA, SARMA, GARCH and stochastic diffusion processes models, the second stage is devoted to prediction purposes, we use a combined wavelet- ANN approach. Our main findings indicate that olive oil market participants interact with each other in a way that they promote stylized facts formation. The unstable participant’s behaviors create the volatility clustering, non-linearity dependent and cyclicity phenomena. By imitating each other in some periods of the campaign, different participants contribute to the fat tails observed in the olive oil price distribution. The best prediction model for the olive oil price is based on a back propagation artificial neural network approach with input information based on wavelet decomposition and recent past history.

Keywords: olive oil price, stylized facts, ARMA model, SARMA model, GARCH model, combined wavelet-artificial neural network, continuous-time stochastic volatility mode

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Authors: Kanokwan Chancharoenchai

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Economic growth can be considered as an important element of countries’ development process. For developing countries, like Thailand, to ensure the continuous growth of the economy, the Thai government usually implements various policies to stimulate economic growth. They may take the form of fiscal, monetary, trade, and other policies. Because of these different aspects, understanding factors relating to economic growth could allow the government to introduce the proper plan for the future economic stimulating scheme. Consequently, this issue has caught interest of not only policymakers but also academics. This study, therefore, investigates explanatory variables for economic growth in Thailand from 2005 to 2017 with a total of 52 quarters. The findings would contribute to the field of economic growth and become helpful information to policymakers. The investigation is estimated throughout the production function with non-linear Cobb-Douglas equation. The rate of growth is indicated by the change of GDP in the natural logarithmic form. The relevant factors included in the estimation cover three traditional means of production and implicit effects, such as human capital, international activity and technological transfer from developed countries. Besides, this investigation takes the internal and external instabilities into account as proxied by the unobserved inflation estimation and the real effective exchange rate (REER) of the Thai baht, respectively. The unobserved inflation series are obtained from the AR(1)-ARCH(1) model, while the unobserved REER of Thai baht is gathered from naive OLS-GARCH(1,1) model. According to empirical results, the AR(|2|) equation which includes seven significant variables, namely capital stock, labor, the imports of capital goods, trade openness, the REER of Thai baht uncertainty, one previous GDP, and the world financial crisis in 2009 dummy, presents the most suitable model. The autoregressive model is assumed constant estimator that would somehow cause the unbias. However, this is not the case of the recursive coefficient model from the state space model that allows the transition of coefficients. With the powerful state space model, it provides the productivity or effect of each significant factor more in detail. The state coefficients are estimated based on the AR(|2|) with the exception of the one previous GDP and the 2009 world financial crisis dummy. The findings shed the light that those factors seem to be stable through time since the occurrence of the world financial crisis together with the political situation in Thailand. These two events could lower the confidence in the Thai economy. Moreover, state coefficients highlight the sluggish rate of machinery replacement and quite low technology of capital goods imported from abroad. The Thai government should apply proactive policies via taxation and specific credit policy to improve technological advancement, for instance. Another interesting evidence is the issue of trade openness which shows the negative transition effect along the sample period. This could be explained by the loss of price competitiveness to imported goods, especially under the widespread implementation of free trade agreement. The Thai government should carefully handle with regulations and the investment incentive policy by focusing on strengthening small and medium enterprises.

Keywords: autoregressive model, economic growth, state space model, Thailand

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Authors: Saif Al-Qaisi, Alif Saba

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Normalization of electromyography (EMG) data in ergonomics research is a prerequisite for interpreting the data. Normalizing accounts for variability in the data due to differences in participants’ physical characteristics, electrode placement protocols, time of day, and other nuisance factors. Typically, normalized data is reported as a percentage of the muscle’s isometric maximum voluntary contraction (%MVC). Various MVC techniques have been recommended in the literature for normalizing EMG activity of back muscles. This research tests and compares the recommended MVC techniques in the literature for three back muscles commonly used in ergonomics research, which are the lumbar erector spinae (LES), latissimus dorsi (LD), and thoracic erector spinae (TES). Six healthy males from a university population participated in this research. Five different MVC exercises were compared for each muscle using the Tringo wireless EMG system (Delsys Inc.). Since the LES and TES share similar functions in controlling trunk movements, their MVC exercises were the same, which included trunk extension at -60°, trunk extension at 0°, trunk extension while standing, hip extension, and the arch test. The MVC exercises identified in the literature for the LD were chest-supported shoulder extension, prone shoulder extension, lat-pull down, internal shoulder rotation, and abducted shoulder flexion. The maximum EMG signal was recorded during each MVC trial, and then the averages were computed across participants. A one-way analysis of variance (ANOVA) was utilized to determine the effect of MVC technique on muscle activity. Post-hoc analyses were performed using the Tukey test. The MVC technique effect was statistically significant for each of the muscles (p < 0.05); however, a larger sample of participants was needed to detect significant differences in the Tukey tests. The arch test was associated with the highest EMG average at the LES, and also it resulted in the maximum EMG activity more often than the other techniques (three out of six participants). For the TES, trunk extension at 0° was associated with the largest EMG average, and it resulted in the maximum EMG activity the most often (three out of six participants). For the LD, participants obtained their maximum EMG either from chest-supported shoulder extension (three out of six participants) or prone shoulder extension (three out of six participants). Chest-supported shoulder extension, however, had a larger average than prone shoulder extension (0.263 and 0.240, respectively). Although all the aforementioned techniques were superior in their averages, they did not always result in the maximum EMG activity. If an accurate estimate of the true MVC is desired, more than one technique may have to be performed. This research provides additional MVC techniques for each muscle that may elicit the maximum EMG activity.

Keywords: electromyography, maximum voluntary contraction, normalization, physical ergonomics

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Authors: Piotr Fiszeder, Marcin Fałdziński, Peter Molnár

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The dynamic conditional correlation model of Engle (2002) is one of the most popular multivariate volatility models. However, this model is based solely on closing prices. It has been documented in the literature that the high and low price of the day can be used in an efficient volatility estimation. We, therefore, suggest a model which incorporates high and low prices into the dynamic conditional correlation framework. Empirical evaluation of this model is conducted on three datasets: currencies, stocks, and commodity exchange-traded funds. The utilisation of realized variances and covariances as proxies for true variances and covariances allows us to reach a strong conclusion that our model outperforms not only the standard dynamic conditional correlation model but also a competing range-based dynamic conditional correlation model.

Keywords: volatility, DCC model, high and low prices, range-based models, covariance forecasting

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Authors: Nalluri Lakshmi Ramu, C. Venkat Nihit, Narayana Kumar, Dillep

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Masonry bridges are the iconic heritage transportation infrastructure throughout the world. Continuous increase in traffic loads and speed have kept engineers in dilemma about their structural performance and capacity. Henceforth, research community has an urgent need to propose an effective methodology and validate on real-time bridges. The presented research aims to assess the structural health of an Eighty-year-old masonry railway bridge in India using wireless accelerometer sensors. The bridge consists of 44 spans with length of 24.2 m each and individual pier is 13 m tall laid on well foundation. To calculate the dynamic characteristic properties of the bridge, ambient vibrations were recorded from the moving traffic at various speeds and the same are compared with the developed three-dimensional numerical model using finite element-based software. The conclusions about the weaker or deteriorated piers are drawn from the comparison of frequencies obtained from the experimental tests conducted on alternative spans. Masonry is a heterogeneous anisotropic material made up of incoherent materials (such as bricks, stones, and blocks). It is most likely the earliest largely used construction material. Masonry bridges, which were typically constructed of brick and stone, are still a key feature of the world's highway and railway networks. There are 1,47,523 railway bridges across India and about 15% of these bridges are built by masonry, which are around 80 to 100 year old. The cultural significance of masonry bridges cannot be overstated. These bridges are considered to be complicated due to the presence of arches, spandrel walls, piers, foundations, and soils. Due to traffic loads and vibrations, wind, rain, frost attack, high/low temperature cycles, moisture, earthquakes, river overflows, floods, scour, and soil under their foundations may cause material deterioration, opening of joints and ring separation in arch barrels, cracks in piers, loss of brick-stones and mortar joints, distortion of the arch profile. Few NDT tests like Flat jack Tests are being employed to access the homogeneity, durability of masonry structure, however there are many drawbacks because of the test. A modern approach of structural health assessment of masonry structures by vibration analysis, frequencies and stiffness properties is being explored in this paper.

Keywords: masonry bridges, condition assessment, wireless sensors, numerical analysis modal frequencies

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Authors: Yuzhi Cai

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In this paper, we introduce a newly developed quantile function model that can be used for estimating conditional distributions of financial returns and for obtaining multi-step ahead out-of-sample predictive distributions of financial returns. Since we forecast the whole conditional distributions, any predictive quantity of interest about the future financial returns can be obtained simply as a by-product of the method. We also show an application of the model to the daily closing prices of Dow Jones Industrial Average (DJIA) series over the period from 2 January 2004 - 8 October 2010. We obtained the predictive distributions up to 15 days ahead for the DJIA returns, which were further compared with the actually observed returns and those predicted from an AR-GARCH model. The results show that the new model can capture the main features of financial returns and provide a better fitted model together with improved mean forecasts compared with conventional methods. We hope this talk will help audience to see that this new model has the potential to be very useful in practice.

Keywords: DJIA, financial returns, predictive distribution, quantile function model

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Authors: Riza Adriyani, Tommy Apriantono, Suprijanto

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Objective: Several studies have revealed that flatfoot posture has some effect on altered lower limb muscle function, in comparison to normal foot posture. There were still limited studies to examine the effect of fatigue on flatfoot posture in children. Therefore, this study was aimed to find out jumping fatiguing effect on static balance and to compare lower limb muscle function between flatfoot and normal foot in school children. Methods: Thirty junior high school children aged 12 to 14 years took part in this study. Of these all children, 15 had the normal foot (8 males and 7 females) and 15 had flatfoot (6 males and 9 females). Foot posture was classified based on an arch index of the footprint by a foot scanner which calculated the data using AUTOCAD 2013 software. Surface electromyography (EMG) activity was recorded from tibialis anterior, gastrocnemius medialis, and peroneus longus muscles while those participants were standing on one leg barefoot with opened eyes. All participants completed the entire protocol (pre-fatigue data collection, fatigue protocol, and post fatigue data collection) in a single session. Static balance and electromyographic data were collected before and after a functional fatigue protocol. Results: School children with normal foot had arch index 0.25±0.01 whereas those with flatfoot had 0.36±0.01. In fact, there were no significant differences for anthropometric characteristics between children with flatfoot and normal foot. This statistical analysis showed that fatigue could influence static balance in flatfoot school children (p < 0.05), but not in normal foot school children. Based on electromyographic data, the statistical analysis showed that there were significant differences (p < 0.05) of the decreased median frequency on tibialis anterior in flatfoot compared to normal foot school children after fatigue. However, there were no significant differences on the median frequency of gastrocnemius medialis and peroneus longus between both groups. After fatigue, median frequency timing was significantly different (p < 0.05) on tibialis anterior in flatfoot compared to normal foot children and tended to appear earlier on tibialis anterior, gastrocnemius medialis and peroneus longus (at 7s, 8s, 9s) in flatfoot compared to normal foot (at 15s, 11s , 12s). Conclusion: Fatigue influenced static balance and tended to appear earlier on selected lower limb muscles while performing static balance in flatfoot school children. After fatigue, tremor (median frequency decreased) showed more significant differences on tibialis anterior in flatfoot rather than in normal foot school children.

Keywords: fatigue, foot postures, median frequency, static balance

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Authors: Manoel Pereira, Alvaro Veiga, Camila Epprecht, Renato Costa

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This paper introduces an empirical version of the Esscher transform for risk-neutral option pricing. Traditional parametric methods require the formulation of an explicit risk-neutral model and are operational only for a few probability distributions for the returns of the underlying. In our proposal, we make only mild assumptions on the pricing kernel and there is no need for the formulation of the risk-neutral model for the returns. First, we simulate sample paths for the returns under the physical distribution. Then, based on the empirical Esscher transform, the sample is reweighted, giving rise to a risk-neutralized sample from which derivative prices can be obtained by a weighted sum of the options pay-offs in each path. We compare our proposal with some traditional parametric pricing methods in four experiments with artificial and real data.

Keywords: esscher transform, generalized autoregressive Conditional Heteroscedastic (GARCH), nonparametric option pricing

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Authors: Daniel Mokatsanyane, Johnny Jansen Van Rensburg

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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

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Authors: Yih-Wenn Laih

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In recent times, the dependence and co-movement among international financial markets have become stronger than in the past, as evidenced by commentaries in the news media and the financial sections of newspapers. Studying the co-movement between returns in financial markets is an important issue for portfolio management and risk management. The realization of co-movement helps investors to identify the opportunities for international portfolio management in terms of asset allocation and pricing. Since the election of the new Prime Minister, Shinzo Abe, in November 2012, the yen has weakened against the US dollar from the 80 to the 120 level. The policies, known as “Abenomics,” are to encourage private investment through a more aggressive mix of monetary and fiscal policy. Given the close economic relations and competitions among Asia markets, it is interesting to discover the co-movement relations, affected by the depreciation of yen, between stock market of Japan and 5 major Asia stock markets, including China, Hong Kong, Korea, Singapore, and Taiwan. Specifically, we devote ourselves to measure the co-movement of stock markets between Japan and each one of the 5 Asia stock markets in terms of rank correlation coefficients. To compute the coefficients, return series of each stock market is first fitted by a skewed-t GARCH (generalized autoregressive conditional heteroscedasticity) model. Secondly, to measure the dependence structure between matched stock markets, we employ the symmetrized Joe-Clayton (SJC) copula to calculate the probability density function of paired skewed-t distributions. The joint probability density function is then utilized as the scoring scheme to optimize the sequence alignment by dynamic programming method. Finally, we compute the rank correlation coefficients (Kendall's  and Spearman's ) between matched stock markets based on their aligned sequences. We collect empirical data of 6 stock indexes from Taiwan Economic Journal. The data is sampled at a daily frequency covering the period from January 1, 2013 to July 31, 2015. The empirical distributions of returns indicate fatter tails than the normal distribution. Therefore, the skewed-t distribution and SJC copula are appropriate for characterizing the data. According to the computed Kendall’s τ, Korea has the strongest co-movement relation with Japan, followed by Taiwan, China, and Singapore; the weakest is Hong Kong. On the other hand, the Spearman’s ρ reveals that the strength of co-movement between markets with Japan in decreasing order are Korea, China, Taiwan, Singapore, and Hong Kong. We explore the effects of “Abenomics” on Asia stock markets by measuring the co-movement relation between Japan and five major Asia stock markets in terms of rank correlation coefficients. The matched markets are aligned by a hybrid method consisting of GARCH, copula and sequence alignment. Empirical experiments indicate that Korea has the strongest co-movement relation with Japan. The strength of China and Taiwan are better than Singapore. The Hong Kong market has the weakest co-movement relation with Japan.

Keywords: co-movement, depreciation of Yen, rank correlation, stock market

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Authors: Giriraj Achari, Malay Bhattacharyya

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In this paper, the effectiveness of Copula Markov Switching Multifractal (MSM) models at forecasting Value-at-Risk of a two-stock portfolio is studied. The innovations are allowed to be drawn from distributions that can capture skewness and leptokurtosis, which are well documented empirical characteristics observed in financial returns. The candidate distributions considered for this purpose are Johnson-SU, Pearson Type-IV and α-Stable distributions. The two univariate marginal distributions are combined using the Student-t copula. The estimation of all parameters is performed by Maximum Likelihood Estimation. Finally, the models are compared in terms of accurate Value-at-Risk (VaR) forecasts using tests of unconditional coverage and independence. It is found that Copula-MSM-models with leptokurtic innovation distributions perform slightly better than Copula-MSM model with Normal innovations. Copula-MSM models, in general, produce better VaR forecasts as compared to traditional methods like Historical Simulation method, Variance-Covariance approach and Copula-Generalized Autoregressive Conditional Heteroscedasticity (Copula-GARCH) models.

Keywords: Copula, Markov Switching, multifractal, value-at-risk

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Authors: Mudafara S. Bengleil, Juma M. Orfi, Iman Abdelgader

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Since nickel is a known toxic and carcinogenic metal, the present study was designed to evaluate the level of nickel released into the saliva of orthodontic patients. Non-stimulated saliva was collected from 18 patients attending The Orthodontic Clinic of Dental Faculty of Benghazi University. Patients were divided into two groups and level of nickel was determined by atomic absorption spectrophotometry. Nickel concentration values (mg/L) in first group prior to starting treatment was 0.097± 0.071. An increase in level of nickel was followed by decrease 4 and 8 weeks after applying the arch wire (0.208± 0.112) and (0.077±0.056 mg/L) respectively. Nickel levels in saliva of the second group were showed minimal variation and ranged from 0.061± 0.044mg/L to 0.083±0.054 throughout period of study. It may be concluded that there could be a release of nickel from the appliance used in first group but it doesn't reach toxic level in saliva.

Keywords: atomic absorption spectrophotometry, nickel, orthodontic treatment, saliva, toxicity

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Authors: Mourad Zmami Oussema BenSalha

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The current research aims to assess empirically the reaction of private investment to exchange rate fluctuations in Tunisia using a sample of 548 firms operating in manufacturing industries between 1997 and 2002. The micro-econometric model we estimate is based on an accelerator-profit specification investment model increased by two variables that measure the variation and the volatility of exchange rates. Estimates using the system the GMM method reveal that the effects of the exchange rate depreciation on investment are negative since it increases the cost of imported capital goods. Turning to the exchange rate volatility, as measured by the GARCH (1,1) model, our findings assign a significant role to the exchange rate uncertainty in explaining the sluggishness of private investment in Tunisia in the full sample of firms. Other estimation attempts based on various sub samples indicate that the elasticities of investment relative to the exchange rate volatility depend upon many firms’ specific characteristics such as the size and the ownership structure.

Keywords: investment, exchange rate volatility, manufacturing firms, system GMM, Tunisia

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Authors: Farrukh Javed, Krzysztof Podgórski

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We propose a new model that accounts for the asymmetric response of volatility to positive ('good news') and negative ('bad news') shocks in economic time series the so-called leverage effect. In the past, asymmetric powers of errors in the conditionally heteroskedastic models have been used to capture this effect. Our model is using the gamma difference representation of the generalized Laplace distributions that efficiently models the asymmetry. It has one additional natural parameter, the shape, that is used instead of power in the asymmetric power models to capture the strength of a long-lasting effect of shocks. Some fundamental properties of the model are provided including the formula for covariances and an explicit form for the conditional distribution of 'bad' and 'good' news processes given the past the property that is important for the statistical fitting of the model. Relevant features of volatility models are illustrated using S&P 500 historical data.

Keywords: heavy tails, volatility clustering, generalized asymmetric laplace distribution, leverage effect, conditional heteroskedasticity, asymmetric power volatility, GARCH models

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Authors: D. Mokatsanyane, J. Jansen Van Rensburg

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This paper analyses the influence and impact of COVID-19 on major agricultural commodity prices in South Africa. According to a World Bank report, the agricultural sector in South Africa has been unable to reduce the domestic food crisis that has been occurring over the past years, hence the increased rate of poverty, which is currently at 55.5 percent as of April 2020. Despite the significance of this sector, empirical findings concluded that the agricultural sector now accounts for 1.88 percent of South Africa's gross domestic product (GDP). Suggesting that the agricultural sector's contribution to the economy has diminished. Despite the low contribution to GDP, this primary sector continues to play an essential role in the economy. Over the past years, multiple factors have contributed to the soaring commodities prices, namely, climate shocks, biofuel demand, demand and supply shocks, the exchange rate, speculation in commodity derivative markets, trade restrictions, and economic growth. The COVID-19 outbursts have currently disturbed the supply and demand of staple crops. To address the disruption, the government has exempted the agricultural sector from closure and restrictions on movement. The spread of COVID-19 has caused turmoil all around the world, but mostly in developing countries. According to Statistic South Africa, South Africa's economy decreased by seven percent in 2020. Consequently, this has arguably made the agricultural sector the most affected sector since slumped economic growth negatively impacts food security, trade, farm livelihood, and greenhouse gas emissions. South Africa is sensitive to the fruitfulness of global food chains. Restrictions in trade, reinforced sanitary control systems, and border controls have influenced food availability and prices internationally. The main objective of this study is to evaluate the behavior of agricultural commodity prices pre-and during-COVID to determine the impact of volatility drivers on these crops. Historical secondary data of spot prices for the top five major commodities, namely white maize, yellow maize, wheat, soybeans, and sunflower seeds, are analysed from 01 January 2017 to 1 September 2021. The timeframe was chosen to capture price fluctuations between pre-COVID-19 (01 January 2017 to 23 March 2020) and during-COVID-19 (24 March 2020 to 01 September 2021). The Generalised Autoregressive Conditional Heteroscedasticity (GARCH) statistical model will be used to measure the influence of price fluctuations. The results reveal that the commodity market has been experiencing volatility at different points. Extremely high volatility is represented during the first quarter of 2020. During this period, there was high uncertainty, and grain prices were very volatile. Despite the influence of COVID-19 on agricultural prices, the demand for these commodities is still existing and decent. During COVID-19, analysis indicates that prices were low and less volatile during the pandemic. The prices and returns of these commodities were low during COVID-19 because of the government's actions to respond to the virus's spread, which collapsed the market demand for food commodities.

Keywords: commodities market, commodity prices, generalised autoregressive conditional heteroscedasticity (GARCH), Price volatility, SAFEX

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Authors: Tariq Aziz, Suresh Kumar, Vikesh Kumar, Sheraz Mustafa, Jhanzeb Marwat

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The paper provides an updated version of volatility spillover among the equity markets of South Asian countries, including Pakistan, India, Srilanka, and Bangladesh. The analysis uses both symmetric and asymmetric Generalized Autoregressive Conditional Heteroscedasticity models to investigate volatility persistence and leverage effect. The bivariate EGARCH model is used to test for volatility transmission between two equity markets. Weekly data for the period February 2013 to August 2019 is used for empirical analysis. The findings indicate that the leverage effect exists in the equity markets of all the countries except Bangladesh. The volatility spillover from the equity market of Bangladesh to all other countries is negative and significant whereas the volatility of the equity market of Sri-Lanka does influence the volatility of any other country’s equity market. Indian equity market influence only the volatility of the Sri-Lankan equity market; and there is bidirectional volatility spillover between the equity markets of Pakistan and Bangladesh. The findings are important for policy-makers and international investors.

Keywords: volatility spillover, volatility persistence, garch, egarch

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Authors: Omid Tavakol, Mahnaz Gholami

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Introduction : In this oral presentation the main goal is discussing immediate loading in dental implants , from treatment planning and surgical guide designing to delivery , follow up and occlusal consideration . Methods and materials : first of all systematic reviews about immediate loading will be considered . besides , a comparison will be made between immediate loading and conventional loading in terms of success rate and complications . After that different methods , prosthetic options and materials best used in immediate loading will be explained. Particularly multi unit abutments and their mechanism of function will be explained .Digital impressions and designing the temporaries is the next topic we are to explicate .Next issue is the differences between single unit , multiple unit and full arch implantation in immediate loading .Following we are going to describe methods for tissue engineering and papilla formation after extraction . Last slides are about a full mouth rehabilitation via immediate loading technique from surgical designing to follow up .At the end we would talk about potential complications , how to prevent from occurrence and what to do if we face up with .

Keywords: guided surgery, digital implantology, immediate loading, digital dentistry

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Authors: Petra Dilling

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This study examines the market reaction to the publication of integrated reports for a sample of 316 global companies for the reporting year 2018. Applying event study methodology, we find significant cumulative average abnormal returns (CAARs) after the publication date. To ensure robust estimation resultsthe three-factor model, according to Fama and French, is used as well as a market-adjusted model, a CAPM and a Frama-French model taking GARCH effects into account. We find a significant positive CAAR after the publication day of the integrated report. Our results suggest that investors react to information provided in the integrated report and that they react differently to the annual financial report. Furthermore, our cross-sectional analysis confirms that companies with a significant positive cumulative average abnormal show certain characteristic. It was found that European companies have a higher likelihood to experience a stronger significant positive market reaction to their integrated report publication.

Keywords: integrated report, event methodology, cumulative abnormal return, sustainability, CAPM

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Authors: Shirin Jalili, Ramin Ghasemi Shayan

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Coarctation of the aorta (CoA) may be a common (CHD), which is the seventh most common sort of CHD. Still, this is often likely a think little off since the determination may be deferred, indeed within the pediatric populace. The choice for surgical repair incorporates resection of the contracted section with end-to-end or end-to-side anastomosis, subclavian fold aortoplasty, resection, and join the intervention, or prosthetic fix aortoplasty. Drastically expanded end-to-end repair or switched subclavian fold aortoplasty can be utilized when the coarctation expands to the distal arch. Swell angioplasty can be a palliative choice sometime recently the conclusive redress. Its objective is to stabilize high-risk patients that cannot be submitted to quick surgical intercession, such as untimely newborns. For disconnected and discrete coarctations, it can, as a rule, be drawn nearer and repaired by means of cleared out thoracotomy, extraction of the infected aorta (coarctectomy), and remaking, ordinarily by amplified end-to-end anastomosis. In this article, we need to supply a diagram of current proposals and strategies utilized to picture coarctations of the aorta.

Keywords: coarctation of the aorta, congenital heart disease, strategies, surgical repair

Procedia PDF Downloads 133

Authors: Akintade O. Adeboyejo, Edwin O. Clarke, Oluwatoyin Aderinola

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The present study is on the sub-lethal toxicity of industrial effluents (IE) from the environment of Ologe Lagoon, Lagos, Nigeria on the African catfish fingerlings Clarias gariepinus. The fish were cultured in varying concentrations of industrial effluents: 0% (control), 5%, 15%, 25%, and 35%. Trials were carried out in triplicates for twelve (12) weeks. The culture system was a static renewable bioassay and was carried out in the fisheries laboratory of the Lagos State University, Ojo-Lagos. Weekly physico-chemical parameters: Temperature (0C), pH, Conductivity (ppm) and Dissolved Oxygen (DO in mg/l) were measured in each treatment tank. Length (cm) and weight (g) data were obtained weekly and used to calculate various growth parameters: mean weight gain (MWG), percentage weight gain (PWG), daily weight gain (DWG), specific growth rate (SGR) and survival. Haematological (Packed Cell Volume (PCV), Red blood cells (RBC), White Blood Cell (WBC), Neutrophil and Lymphocytes etc) and histological alterations were measured after 12 weeks. The physico-chemical parameters showed that the pH ranged from 7.82±0.25–8.07±0.02. DO range from 1.92±0.66-4.43±1.24 mg/l. The conductivity values increased with increase in concentration of I.E. While the temperature remained stable with mean value range between 26.08±2.14–26.38±2.28. The DO showed significant differences at P<0.05. There was progressive increase in length and weight of fish during the culture period. The fish placed in the control had highest increase in both weight and length while fish in 35% had the least. MWG ranged from 16.59–35.96, DWG is from 0.3–0.48, SGR varied from 1.0–1.86 and survival was 100%. Haematological results showed that C. gariepinus had PCV ranging from 13.0±1.7-27.7±0.6, RBC ranged from 4.7±0.6–9.1±0.1, and Neutrophil ranged from 26.7±4.6–61.0±1.0 amongst others. The highest values of these parameters were obtained in the control and lowest at 35%. While the reverse effects were observed for WBC and lymphocytes. This study has shown that effluents may affect the health status of the test organism and impair vital processes if exposure continues for a long period of time. The histological examination revealed several lesions as expressed by the gills and livers. The histopathology of the gills in the control tanks had normal tissues with no visible lesion, but at higher concentrations, there were: lifting of epithelium, swollen lamellae and gill arch infiltration, necrosis and gill arch destruction. While in the liver: control (0%) show normal liver cells, at higher toxic level, there were: vacoulation, destruction of the hepatic parenchyma, tissue becoming eosinophilic (i.e. tending towards Carcinogenicity) and severe disruption of the hepatic cord architecture. The study has shown that industrial effluents from the study area may affect fish health status and impair vital processes if exposure continues for a long period of time even at lower concentrations (Sublethal).

Keywords: sublethal toxicity, industrial effluents, clarias gariepinus, ologe lagoon

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Authors: T. Zitoun, M. Bouhadef

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When a partially or completely immersed solid moves in a liquid such as water, it undergoes a force called hydrodynamic drag. Reducing this force has always been the objective of hydrodynamic engineers to make water slide better on submerged bodies. This paper deals with the examination of the different terms composing the analytical solution of the flow over an obstacle embedded at the bottom of a hydraulic channel. We have chosen to use a linear method to study a two-dimensional flow over an obstacle, in order to understand the evolution of the drag. We set the following assumptions: incompressible inviscid fluid, irrotational flow, low obstacle height compared to the water height. Those assumptions allow overcoming the difficulties associated with modelling these waves. We will mathematically formulate the equations that allow the determination of the stream function, and then the free surface equation. A similar method is used to determine the exact analytical solution for an obstacle in the shape of a sinusoidal arch.

Keywords: analytical solution, free-surface wave, hydraulic channel, inviscid fluid

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