Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 2

Search results for: Luc Pastur

2 Characterization of the Near-Wake of an Ahmed Body Profile

Authors: Stéphanie Pellerin, Bérengére Podvin, Luc Pastur

Abstract:

In aerovehicles context, the flow around an Ahmed body profile is simulated using the velocity-vorticity formulation of the Navier-Stokes equations, associated to a penalization method for solids and Large Eddy Simulation for turbulence. The study focuses both on the ground influence on the flow and on the dissymetry of the wake, observed for a ground clearance greater than 10% of the body height H. Unsteady and mean flows are presented and analyzed. POD study completes the analysis and gives information on the most energetic structures of the flow.

Keywords: Ahmed body, bi-stability, LES, near wake

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1 Random Matrix Theory Analysis of Cross-Correlation in the Nigerian Stock Exchange

Authors: Chimezie P. Nnanwa, Thomas C. Urama, Patrick O. Ezepue

Abstract:

In this paper we use Random Matrix Theory to analyze the eigen-structure of the empirical correlations of 82 stocks which are consistently traded in the Nigerian Stock Exchange (NSE) over a 4-year study period 3 August 2009 to 26 August 2013. We apply the Marchenko-Pastur distribution of eigenvalues of a purely random matrix to investigate the presence of investment-pertinent information contained in the empirical correlation matrix of the selected stocks. We use hypothesised standard normal distribution of eigenvector components from RMT to assess deviations of the empirical eigenvectors to this distribution for different eigenvalues. We also use the Inverse Participation Ratio to measure the deviation of eigenvectors of the empirical correlation matrix from RMT results. These preliminary results on the dynamics of asset price correlations in the NSE are important for improving risk-return trade-offs associated with Markowitz’s portfolio optimization in the stock exchange, which is pursued in future work.

Keywords: correlation matrix, eigenvalue and eigenvector, inverse participation ratio, portfolio optimization, random matrix theory

Procedia PDF Downloads 248