Search results for: drift function and volatility function

Authors: Kalai Lamia, Jilani Faouzi

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Measuring and controlling risk is one of the most attractive issues in finance. With the persistence of uncontrolled and erratic stocks movements, volatility is perceived as a barometer of daily fluctuations. An objective measure of this variable seems then needed to control risks and cover those that are considered the most important. Non-linear autoregressive modeling is our first evaluation approach. In particular, we test the presence of “persistence” of conditional variance and the presence of a degree of a leverage effect. In order to resolve for the problem of “asymmetry” in volatility, the retained specifications point to the importance of stocks reactions in response to news. Effects of shocks on volatility highlight also the need to study the “long term” behaviour of conditional variance of stocks returns and articulate the presence of long memory and dependence of time series in the long run. We note that the integrated fractional autoregressive model allows for representing time series that show long-term conditional variance thanks to fractional integration parameters. In order to stop at the dynamics that manage time series, a comparative study of the results of the different models will allow for better understanding volatility structure over the Tunisia stock market, with the aim of accurately predicting fluctuation risks.

Keywords: asymmetry volatility, clustering, stylised facts, leverage effect

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Authors: Herbert W. Corley

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A scalar equilibrium (SE) is an alternative type of equilibrium in pure strategies for an n-person normal-form game G. It is defined using optimization techniques to obtain a pure strategy for each player of G by maximizing an appropriate utility function over the acceptable joint actions. The players’ actions are determined by the choice of the utility function. Such a utility function could be agreed upon by the players or chosen by an arbitrator. An SE is an equilibrium since no players of G can increase the value of this utility function by changing their strategies. SEs are formally defined, and examples are given. In a greedy SE, the goal is to assign actions to the players giving them the largest individual payoffs jointly possible. In a weighted SE, each player is assigned weights modeling the degree to which he helps every player, including himself, achieve as large a payoff as jointly possible. In a compromise SE, each player wants a fair payoff for a reasonable interpretation of fairness. In a parity SE, the players want their payoffs to be as nearly equal as jointly possible. Finally, a satisficing SE achieves a personal target payoff value for each player. The vector payoffs associated with each of these SEs are shown to be Pareto optimal among all such acceptable vectors, as well as computationally tractable.

Keywords: compromise equilibrium, greedy equilibrium, normal-form game, parity equilibrium, pure strategies, satisficing equilibrium, scalar equilibria, utility function, weighted equilibrium

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Authors: Pablo Martin, Jorge Olivares, Fernando Maass

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A method to obtain analytic approximations for special function of interest in engineering and physics is described here. Each approximate function will be valid for every positive value of the variable and accuracy will be high and increasing with the number of parameters to determine. The general technique will be shown through an application to the modified Bessel function of order zero, I₀(x). The form and the calculation of the parameters are performed with the simultaneous use of the power series and asymptotic expansion. As in Padé method rational functions are used, but now they are combined with other elementary functions as; fractional powers, hyperbolic, trigonometric and exponential functions, and others. The elementary function is determined, considering that the approximate function should be a bridge between the power series and the asymptotic expansion. In the case of the I₀(x) function two analytic approximations have been already determined. The simplest one is (1+x²/4)⁻¹/⁴(1+0.24273x²) cosh(x)/(1+0.43023x²). The parameters of I₀(x) were determined using the leading term of the asymptotic expansion and two coefficients of the power series, and the maximum relative error is 0.05. In a second case, two terms of the asymptotic expansion were used and 4 of the power series and the maximum relative error is 0.001 at x≈9.5. Approximations with much higher accuracy will be also shown. In conclusion a new technique is described to obtain analytic approximations to some functions of interest in sciences, such that they have a high accuracy, they are valid for every positive value of the variable, they can be integrated and differentiated as the usual, functions, and furthermore they can be calculated easily even with a regular pocket calculator.

Keywords: analytic approximations, mathematical-physics applications, quasi-rational functions, special functions

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Authors: Rancy Chepchirchir Kosgey, John Olukuru

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This study examines the impact of introduction of futures trading on the spot price volatility in the commodity market. The paper considers the United States of America, South Africa and Ethiopian economies. Three commodities i.e. coffee, maize and wheat from New York Merchantile Exchange, South African Futures Exchange and Ethiopian Commodity Exchange are analyzed. ARCH LM test is used to check for heteroskedasticity and GARCH and EGARCH are used to check for the behavior of volatility between the pre- and post-futures periods. For all the three economies, the results indicate presence of the ARCH effect in the log returns. For conditional and unconditional variances; spot price volatility for coffee has decreased after futures trading in all the economies and the EGARCH has also shown reduction in persistence of volatility in the post-futures period in the three economies; while that of maize has reduced for the Ethiopian economy while there has been an increase in both the US and South African economies. For wheat, the conditional variance has been found to rise in the post-futures period in all the three economies.

Keywords: derivatives, futures exchange, agricultural commodities, spot price volatility

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Authors: Chao-Qing Dai

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Two families of exact travelling solutions for the discrete sine-Gordon equation are constructed based on the variable-coefficient Jacobian elliptic function method and different transformations. When the modulus of Jacobian elliptic function solutions tends to 1, soliton solutions can be obtained. Some soliton solutions degenerate into the known solutions in literatures. Moreover, dynamical properties of exact solutions are investigated. Our analysis and results may have potential values for certain applications in modern nonlinear science and textile engineering.

Keywords: exact solutions, variable-coefficient Jacobian elliptic function method, discrete sine-Gordon equation, dynamical behaviors

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Authors: Xuan Zhou, Litian Zhang, Shuixiang Li

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Mesh deformation using radial basis function interpolation method has been demonstrated to produce quality meshes with relatively little computational cost using a concise algorithm. However, it still suffers from the limited deformation ability, especially in large deformation. In this paper, a pre-displacement improvement is proposed to improve the problem that illegal meshes always appear near the moving inner boundaries owing to the large relative displacement of the nodes near inner boundaries. In this improvement, nodes near the inner boundaries are first associated to the near boundary nodes, and a pre-displacement based on the displacements of associated boundary nodes is added to the nodes near boundaries in order to make the displacement closer to the boundary deformation and improve the deformation capability. Several 2D and 3D numerical simulation cases have shown that the pre-displacement improvement for radial basis function (RBF) method significantly improves the mesh quality near inner boundaries and deformation capability, with little computational burden increasement.

Keywords: mesh deformation, mesh quality, background mesh, radial basis function

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Authors: Warda Nasir, M. N. S. Qureshi

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Whistler waves are right handed circularly polarized waves and are frequently observed in space plasmas. The Low frequency branch of the Whistler waves having frequencies nearly around 100 Hz, known as Lion roars, are frequently observed in magnetosheath. Another feature of the magnetosheath is the observations of flat top electron distributions with single as well as two electron populations. In the past, lion roars were studied by employing kinetic model using classical bi-Maxwellian distribution function, however, could not be justified both on quantitatively as well as qualitatively grounds. We studied Whistler waves by employing kinetic model using non-Maxwellian distribution function such as the generalized (r,q) distribution function which is the generalized form of kappa and Maxwellian distribution functions by employing kinetic theory with single or two electron populations. We compare our results with the Cluster observations and found good quantitative and qualitative agreement between them. At times when lion roars are observed (not observed) in the data and bi-Maxwellian could not provide the sufficient growth (damping) rates, we showed that when generalized (r,q) distribution function is employed, the resulted growth (damping) rates exactly match the observations.

Keywords: kinetic model, whistler waves, non-maxwellian distribution function, space plasmas

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Authors: Walid Wahballah, Taher Bazan, Fawzy Eltohamy

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One of the important functions of the satellite attitude control system is to provide the required pointing accuracy and attitude stability for optical remote sensing satellites to achieve good image quality. Although offering noise reduction and increased sensitivity, time delay and integration (TDI) charge coupled devices (CCDs) utilized in high-resolution satellites (HRS) are prone to introduce large amounts of pixel smear due to the instability of the line of sight. During on-orbit imaging, as a result of the Earth’s rotation and the satellite platform instability, the moving direction of the TDI-CCD linear array and the imaging direction of the camera become different. The speed of the image moving on the image plane (focal plane) represents the image motion velocity whereas the angle between the two directions is known as the drift angle (β). The drift angle occurs due to the rotation of the earth around its axis during satellite imaging; affecting the geometric accuracy and, consequently, causing image quality degradation. Therefore, the image motion velocity vector and the drift angle are two important factors used in the assessment of the image quality of TDI-CCD based optical remote sensing satellites. A model for estimating the image motion velocity and the drift angle in HRS is derived. The six satellite attitude control parameters represented in the derived model are the (roll angle φ, pitch angle θ, yaw angle ψ, roll angular velocity φ֗, pitch angular velocity θ֗ and yaw angular velocity ψ֗ ). The influence of these attitude parameters on the image quality is analyzed by establishing a relationship between the image motion velocity vector, drift angle and the six satellite attitude parameters. The influence of the satellite attitude parameters on the image quality is assessed by the presented model in terms of modulation transfer function (MTF) in both cross- and along-track directions. Three different cases representing the effect of pointing accuracy (φ, θ, ψ) bias are considered using four different sets of pointing accuracy typical values, while the satellite attitude stability parameters are ideal. In the same manner, the influence of satellite attitude stability (φ֗, θ֗, ψ֗) on image quality is also analysed for ideal pointing accuracy parameters. The results reveal that cross-track image quality is influenced seriously by the yaw angle bias and the roll angular velocity bias, while along-track image quality is influenced only by the pitch angular velocity bias.

Keywords: high-resolution satellites, pointing accuracy, attitude stability, TDI-CCD, smear, MTF

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Authors: Emelia Noronha, Milind Malshe

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The phatic function of communication is a vital element of any conversation. This research paper looks into this function with respect to personal blogs maintained by Indian bloggers. This paper is a study into the phenomenon of phatic communication maintained by bloggers through their blogs. Based on a linguistic analysis of the posts of twenty eight Indian bloggers, writing in English, studied over a period of three years, the study indicates that though the blogging phenomenon is not conversational in the same manner as face-to-face communication, it does make ample provision for feedback that is conversational in nature. Ordinary day to day offline conversations use conventionalized phatic utterances; those on the social media are in a perpetual mode of innovation and experimentation in order to sustain contact with its readers. These innovative methods and means are the focus of this study. Though the personal blogger aims to chronicle his/her personal life through the blog, the socializing function is crucial to these bloggers. In comparison to the western personal blogs which focus on the presentation of the ‘bounded individual self’, we find Indian personal bloggers engage in the presentation of their ‘social selves’. These bloggers yearn to reach out to the readers on the internet and the phatic function serves to initiate, sustain and renew social ties on the blogosphere thereby consolidating the social network of readers and bloggers.

Keywords: personal blogs, phatic, social-selves, blog readers

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Authors: Te Wen Tu, Sen Yung Lee

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An alternative approach is proposed to develop the analytic solution for one dimensional heat conduction with one mixed type boundary condition and general time-dependent heat transfer coefficient. In this study, the physic meaning of the solution procedure is revealed. It is shown that the shifting function takes the physic meaning of the reciprocal of Biot function in the initial time. Numerical results show the accuracy of this study. Comparing with those given in the existing literature, the difference is less than 0.3%.

Keywords: analytic solution, heat transfer coefficient, shifting function method, time-dependent boundary condition

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Authors: Eren Özceylan, Cihan Çetinkaya

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Quality function deployment (QFD) is a technique to assist transform the voice of the customer into engineering characteristics for a product/service. With the difference of existing studies, QFD is applied to an educational area that is a service sector which is not a manufacturing firm. The objective of the study is to design the undergraduate program according to students’ desire and expectations. To do so, third and fourth year students of industrial engineering department of Gaziantep University are considered as customers. Some suggestions about lecturers, courses, exams and facility for how to satisfy students’ demands are presented and as a result, sharing the materials of courses is the most important requirement among others.

Keywords: higher education, quality function deployment, quality house, voice of customer

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Authors: Vinesh Janarthanan, Mohammad H. Rahman

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There are numerous neurological conditions that may result in a loss of motor function. Such conditions may include cerebral palsy, Parkinson’s disease, stroke or multiple sclerosis. Due to impaired motor function, specifically in the hand and arm, living independently becomes tremendously more difficult. Rehabilitation programs are the main method to treat these kinds of disabled individuals. However, these programs require longtime commitment from the clinicians/therapists, demand person to person caring, and typically the treatment duration is usually very long. Aside from the treatment received from the therapist, the continuation of neuroplasticity at home is essential to maximizing development and restoring the biological function. To contribute in this area, we have researched and developed a portable and comfortable hand glove for fine motor skills rehabilitation. The glove provides interactive home-based therapy to engage the patient with simple games. The key to this treatment is the repetition of moving the hand and being capable of positioning the hand in various ways.

Keywords: home based, wearable sensors, glove, rehabilitation, motor function, video games

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Authors: Leila Graini

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In this paper, we demonstrate basic all-optical functions for 2R regeneration (Re-amplification and Re-shaping) based on self-similar spectral broadening in low normal dispersion and highly nonlinear fiber (ND-HNLF) to regenerate the signal through optical filtering including the transfer function characteristics, and output extinction ratio. Our approach of all-optical 2R regeneration is based on those of Mamyshev. The numerical study reveals the self-similar spectral broadening very effective for 2R all-optical regeneration; the proposed design presents high stability compared to a conventional regenerator using SPM broadening with reduction of the intensity fluctuations and improvement of the extinction ratio.

Keywords: all-optical function, 2R optical regeneration, self-similar broadening, Mamyshev regenerator

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Authors: Walied Hanora

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This paper presents the problem of robust state feedback H∞ for discrete time nonlinear system represented by Takagi-Sugeno fuzzy systems. Based on fuzzy lyapunov function, the condition ,which is represented in the form of Liner Matrix Inequalities (LMI), guarantees the H∞ performance of the T-S fuzzy system with uncertainties. By comparison with recent literature, this approach will be more relaxed condition. Finally, an example is given to illustrate the proposed result.

Keywords: fuzzy lyapunov function, H∞ control , linear matrix inequalities, state feedback, T-S fuzzy systems

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Authors: Yohanna Panshak

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The impact of macroeconomic instability on economic growth and prosperity has been at forefront in many discourses among researchers and policy makers and has generated a lot of controversies over the years. This has generated series of research efforts towards understanding the remote causes of this phenomenon; its nature, determinants and how it can be targeted and mitigated. While others have opined that the root cause of macroeconomic flux in Nigeria is attributed to Oil-Price volatility, others viewed the issue as resulting from some constellation of structural constraints both within and outside the shores of the country. Research works of scholars such as [Akpan (2009), Aliyu (2009), Olomola (2006), etc] argue that oil volatility can determine economic growth or has the potential of doing so. On the contrary, [Darby (1982), Cerralo (2005) etc] share the opinion that it can slow down growth. The earlier argument rest on the understanding that for a net balance of oil exporting economies, price upbeat directly increases real national income through higher export earnings, whereas, the latter allude to the case of net-oil importing countries (which experience price rises, increased input costs, reduced non-oil demand, low investment, fall in tax revenues and ultimately an increase in budget deficit which will further reduce welfare level). Therefore, assessing the precise impact of oil price volatility on virtually any economy is a function of whether it is an oil-exporting or importing nation. Research on oil price volatility and its outcome on the growth of the Nigerian economy are evolving and in a march towards resolving Nigeria’s macroeconomic instability as long as oil revenue still remain the mainstay and driver of socio-economic engineering. Recently, a major importer of Nigeria’s oil- United States made a historic breakthrough in more efficient source of energy for her economy with the capacity of serving significant part of the world. This undoubtedly suggests a threat to the exchange earnings of the country. The need to understand fluctuation in its major export commodity is critical. This paper leans on the Renaissance growth theory with greater focus on theoretical work of Lee (1998); a leading proponent of this school who makes a clear cut of difference between oil price changes and oil price volatility. Based on the above background, the research seeks to empirically examine the impact oil-price volatility on government expenditure using quarterly time series data spanning 1986:1 to 2014:4. Vector Auto Regression (VAR) econometric approach shall be used. The structural properties of the model shall be tested using Augmented Dickey-Fuller and Phillips-Perron. Relevant diagnostics tests of heteroscedasticity, serial correlation and normality shall also be carried out. Policy recommendation shall be offered on the empirical findings and believes it assist policy makers not only in Nigeria but the world-over.

Keywords: oil-price, volatility, prosperity, budget, expenditure

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Authors: Hisham Arab Alkabeya, A. M. Hughes, J. Adams

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Background: People with Rheumatoid Arthritis (RA) continue to experience problems with hand function despite new drug advances and targeted medical treatment. Consequently, it is important to identify the factors that influence the impact of RA disease on hand function. This systematic review identified observational studies that reported factors that influenced the impact of RA on hand function. Methods: MEDLINE, EMBASE, CINAL, AMED, PsychINFO, and Web of Science database were searched from January 1990 up to March 2017. Full-text articles published in English that described factors related to hand functional disability in people with RA were selected following predetermined inclusion and exclusion criteria. Pertinent data were thoroughly extracted and documented using a pre-designed data extraction form by the lead author, and cross-checked by the review team for completion and accuracy. Factors related to hand function were classified under the domains of the International Classification of Functioning, Disability, and Health (ICF) framework and health-related factors. Three reviewers independently assessed the methodological quality of the included articles using the quality of cross-sectional studies (AXIS) tool. Factors related to hand function that was investigated in two or more studies were explored using a best-evidence synthesis. Results: Twenty articles form 19 studies met the inclusion criteria from 1,271 citations; all presented cross-sectional data (five high quality and 15 low quality studies), resulting in at best limited evidence in the best-evidence synthesis. For the factors classified under the ICF domains, the best-evidence synthesis indicates that there was a range of body structure and function factors that were related with hand functional disability. However, key factors were hand strength, disease activity, and pain intensity. Low functional status (physical, emotional and social) level was found to be related with limited hand function. For personal factors, there is limited evidence that gender is not related with hand function; whereas, conflicting evidence was found regarding the relationship between age and hand function. In the domain of environmental factors, there was limited evidence that work activity was not related with hand function. Regarding health-related factors, there was limited evidence that the level of the rheumatoid factor (RF) was not related to hand function. Finally, conflicting evidence was found regarding the relationship between hand function and disease duration and general health status. Conclusion: Studies focused on body structure and function factors, highlighting a lack of investigation into personal and environmental factors when considering the impact of RA on hand function. The level of evidence which exists was limited, but identified that modifiable factors such as grip or pinch strength, disease activity and pain are the most influential factors on hand function in people with RA. The review findings suggest that important personal and environmental factors that impact on hand function in people with RA are not yet considered or reported in clinical research. Well-designed longitudinal, preferably cohort, studies are now needed to better understand the causality between personal and environmental factors and hand functional disability in people with RA.

Keywords: factors, hand function, rheumatoid arthritis, systematic review

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Authors: Joon-Hoon Park

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In this paper the rationalized Haar transform is applied for distributed parameter system identification and estimation. A distributed parameter system is a dynamical and mathematical model described by a partial differential equation. And system identification concerns the problem of determining mathematical models from observed data. The Haar function has some disadvantages of calculation because it contains irrational numbers, for these reasons the rationalized Haar function that has only rational numbers. The algorithm adopted in this paper is based on the transform and operational matrix of the rationalized Haar function. This approach provides more convenient and efficient computational results.

Keywords: distributed parameter system, rationalized Haar transform, operational matrix, system identification

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Authors: Ayad Asaad Ibrahim

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Myoelectrically controlled prostheses are becoming more and more popular, for below-elbow amputation, the wrist flexor and extensor muscle group, while for above-elbow biceps and triceps brachii muscles are used for control of the prosthesis. A two site multi-function controller is presented. Two stainless steel bipolar electrode pairs are used to monitor the activities in both muscles. The detected signals are processed by new pre-whitening technique to identify the accurate tension estimation in these muscles. These estimates will activate the relevant prosthesis control signal, with a time constant of 200 msec. It is ensured that the tension states in the control muscle to activate a particular prosthesis function are similar to those used to activate normal functions in the natural hand. This facilitates easier training.

Keywords: prosthesis, biosignal processing, pre-whitening, myoelectric controller

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Authors: Valeria Bondarenko

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

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

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Authors: Mahesh Koti

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In this paper, we present a quantum transport study of a quantum dot in steady state in the presence of static gate potential. We consider a quantum dot coupled to the two metallic leads. The quantum dot under study is modeled through Anderson Impurity Model (AIM) with hopping parameter modulated through voltage drop between leads and the central dot region. Based on the Landauer's formula derived from Nonequilibrium Green's Function and Single Electron Theory, the essential ingredients of transport properties are revealed. We show that the results out of two approaches closely agree with each other. We demonstrate that Landauer current response derived from single electron approach converges with non-zero interaction through gate potential whereas Landauer current response derived from Nonequilibrium Green's Function (NEGF) hits a pole.

Keywords: Anderson impurity model (AIM), nonequilibrium Green's function (NEGF), Landauer's formula, single electron analysis

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Authors: Yegnanew A. Shiferaw

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

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

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Authors: Wedad Azhar

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Vitamin D is an essential fat-soluble vitamin that is required for the maintenance of good health. It is obtained either through exposure to sunlight (ultraviolet B radiation) or through dietary sources. The role of vitamin D is beyond bone health. Indeed, it plays a critical role in the immune system and a broad range of organ functions such as the cardiovascular system. Moreover, vitamin D plays a critical role in the endothelial function, which is one of the main indicators of atherosclerosis. This study is investigating the correlation between vitamin D status and endothelial function in preventing and treating atherosclerosis especially in country that has ample of sunshine but yet, Saudis from suffering from this issue vitamin D deficiency and insufficiency. Ninety participants from both genders and aged 40 to 60will be involved. The participants will be categorised into three groups: the control group will be healthy persons, patients at risk of developing atherosclerosis, patients formally diagnosed atherosclerosis. Half of the participants in each group should already have been taking vitamin D supplementations. Fasting blood samples will be taken from the participants for biochemical assays. Endothelial function will be assist by flow-mediated dilation of the brachial artery. Participants will be asked to complete a questionnaire on their social and economic status, education level, daily exposure to sunlight, smoking status, consumption of supplements and medication, and a food frequency of vitamin D intake. The data will be analysed using SPSS.

Keywords: atherosclerosis, endothelial function, nutrition, vitamin D

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Authors: Hong-Ming Chen

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This work considers the resolution of the Hull and White interest rate model with the jump process. A deterministic process is adopted to model the random behavior of interest rate variation as deterministic perturbations, which is depending on the time t. The Brownian motion and jumps uncertainty are denoted as the integral functions piecewise constant function w(t) and point function θ(t). It shows that the interest rate function and the yield function of the Hull and White interest rate model with jump process can be obtained by solving a nonlinear semi-infinite programming problem. A relaxed cutting plane algorithm is then proposed for solving the resulting optimization problem. The method is calibrated for the U.S. treasury securities at 3-month data and is used to analyze several effects on interest rate prices, including interest rate variability, and the negative correlation between stock returns and interest rates. The numerical results illustrate that our approach essentially generates the yield functions with minimal fitting errors and small oscillation.

Keywords: optimization, interest rate model, jump process, deterministic

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Authors: Montaceur Zaghdoud, Mohamed Moussaoui, Jalel Akaichi

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Frequent subgraph mining refers usually to graph matching and it is widely used in when analyzing big data with large graphs. A lot of research works dealt with structural exact or inexact graph matching but a little attention is paid to semantic matching when graph vertices and/or edges are attributed and typed. Therefore, it seems very interesting to integrate background knowledge into the analysis and that extracted frequent subgraphs should become more pruned by applying a new semantic filter instead of using only structural similarity in graph matching process. Consequently, this paper focuses on developing a new hybrid approximate structuralsemantic graph matching to discover a set of frequent subgraphs. It uses simultaneously an approximate structural similarity function based on graph edit distance function and a possibilistic vertices similarity function based on affinity function. Both structural and semantic filters contribute together to prune extracted frequent set. Indeed, new hybrid structural-semantic frequent subgraph mining approach searches will be suitable to be applied to several application such as community detection in social networks.

Keywords: approximate graph matching, hybrid frequent subgraph mining, graph mining, possibility theory

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Authors: Jasna Prester, Ivana Rašić Bakarić, Božidar Matijević

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Various prominent scholars and substantial practitioner-oriented literature on innovation orientation have shown positive effects on firm performance. There is a myriad of factors that influence and enhance innovation but it has been found in the literature that new product innovations accounted for an average of 14 percent of sales revenues for all firms. If there is one thing that has changed in innovation management during the last decade, it is the growing reliance on external partners. As a consequence, a new task for purchasing arises, as firms need to understand which suppliers actually do have high potential contributing to the innovativeness of the firm and which do not. Purchasing function in an organization is extremely important as it deals on an average of 50% or more of a firm's expenditures. In the nineties the purchasing department was largely seen as a transaction-oriented, clerical function but today purchasing integration provides a formal interface mechanism between purchasing and other firm functions that services other functions within the company. Purchasing function has to be organized differently to enable firm innovation potential. However, innovations are inherently risky. There are behavioral risk (that some partner will take advantage of the other party), technological risk in terms of complexity of products and processes of manufacturing and incoming materials and finally market risks, which in fact judge the value of the innovation. These risks are investigated in this work since it has been found in the literature that the higher the technological risk, higher will be the centralization of the purchasing function as an interface with other supply chain members. Most researches on organization of purchasing function were done by case study analysis of innovative firms. This work actually tends to prove or discard results found in the literature based on case study method. A large data set of 1493 companies, from 25 countries collected in the GMRG 4 survey served as a basis for analysis.

Keywords: purchasing function organization, innovation, technological risk, GMRG 4 survey

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Authors: Petra Palic, Maruska Vizek

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We provide an in-depth analysis of interdependence of asset returns and volatilities in developed and developing countries. The analysis is split into three parts. In the first part, we use multivariate GARCH model in order to provide stylized facts on cross-market volatility spillovers. In the second part, we use a generalized vector autoregressive methodology developed by Diebold and Yilmaz (2009) in order to estimate separate measures of return spillovers and volatility spillovers among sovereign bond, equity, foreign exchange and commodity markets. In particular, our analysis is focused on cross-market return, and volatility spillovers in 19 developed and developing countries. In order to estimate named spillovers, we use daily data from 2008 to 2017. In the third part of the analysis, we use a generalized vector autoregressive framework in order to estimate total and directional volatility spillovers. We use the same daily data span for one developed and one developing country in order to characterize daily volatility spillovers across stock, bond, foreign exchange and commodities markets.

Keywords: cross-market spillovers, sovereign bond markets, equity markets, value at risk (VAR)

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Authors: Ching-Yuan Huang, Rhay-Hung Weng, Yi-Ting Chen

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Mentoring functions will improve new nurses' job performance, provide support with new nurses, and then reduce the turnover rate of them. This study explored the impact of transformational leadership and interpersonal interaction on mentoring functions. We employed a questionnaire survey to collect data and selected a sample of new nurses from three hospitals in Taiwan. A total of 306 valid surveys were obtained. Multiple regression model analysis was conducted to test the study hypothesis. Inspirational motivation, idealized influence, and individualized consideration had a positive influence on overall mentoring function, but intellectual stimulation had a positive influence on career development function only. Perceived similarity and interaction frequency also had positive influences on mentoring functions. When the shift overlap rate exceeded 80%, mentoring function experienced a negative result. The transformational leadership of mentors actually would improve the mentoring functions among new staff nurses. Perceived similarity and interaction frequency between mentees and mentors also had a positive influence on mentoring functions. Managers should enhance the transformational leadership of mentors by designing leadership training and motivation programs. Furthermore, nursing managers should promote the interaction between new staff nurses and their mentors, but the shift overlap rate should not exceed 80%.

Keywords: interpersonal interaction, mentoring function, mentor, new nurse, transformational leadership

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Authors: Ari S. Prabowo, Nia Febriyanti, Haryono B. Santosa

Abstract:

Security function that is called as Physical Protection Systems (PPS) has functions to detect, delay and response. Physical Protection Systems (PPS) in Detection and Radiation Measurement Laboratory needs to be improved continually by using internal resources. The nuclear security culture provides some potentials to support this research. The study starts by identifying the security function’s weaknesses and its strengths of security culture as a purpose. Secondly, the strengths of security culture are implemented in the laboratory management. Finally, a simulation was done to measure its effectiveness. Some changes were happened in laboratory personnel behaviors and procedures. All became more prudent. The results showed a good influence of nuclear security culture in laboratory security functions.

Keywords: laboratory, physical protection system, security culture, security function

Procedia PDF Downloads 145

Authors: Takashi Mitsuishi

Abstract:

Fuzzy logic has gained acceptance in the recent years in the fields of social sciences and humanities such as psychology and linguistics because it can manage the fuzziness of words and human subjectivity in a logical manner. However, the major field of application of the fuzzy logic is control engineering as it is a part of the set theory and mathematical logic. Mamdani method, which is the most popular technique for approximate reasoning in the field of fuzzy control, is one of the ways to numerically represent the control afforded by human language and sensitivity and has been applied in various practical control plants. Fuzzy logic has been gradually developing as an artificial intelligence in different applications such as neural networks, expert systems, and operations research. The objects of inference vary for different application fields. Some of these include time, angle, color, symptom and medical condition whose fuzzy membership function is a periodic function. In the defuzzification stage, the domain of the membership function should be unique to obtain uniqueness its defuzzified value. However, if the domain of the periodic membership function is determined as unique, an unintuitive defuzzified value may be obtained as the inference result using the center of gravity method. Therefore, the authors propose a method of circular-polar-coordinates transformation and defuzzification of the periodic membership functions in this study. The transformation to circular polar coordinates simplifies the domain of the periodic membership function. Defuzzified value in circular polar coordinates is an argument. Furthermore, it is required that the argument is calculated from a closed plane figure which is a periodic membership function on the circular polar coordinates. If the closed plane figure is continuous with the continuity of the membership function, a significant amount of computation is required. Therefore, to simplify the practice example and significantly reduce the computational complexity, we have discretized the continuous interval and the membership function in this study. In this study, the following three methods are proposed to decide the argument from the discrete polygon which the continuous plane figure is transformed into. The first method provides an argument of a straight line passing through the origin and through the coordinate of the arithmetic mean of each coordinate of the polygon (physical center of gravity). The second one provides an argument of a straight line passing through the origin and the coordinate of the geometric center of gravity of the polygon. The third one provides an argument of a straight line passing through the origin bisecting the perimeter of the polygon (or the closed continuous plane figure).

Keywords: defuzzification, fuzzy membership function, periodic function, polar coordinates transformation

Procedia PDF Downloads 325

Authors: Kenichiro Hida, Shin-Ichi Kuribayashi

Abstract:

In a conventional network, most network devices, such as routers, are dedicated devices that do not have much variation in capacity. In recent years, a new concept of network functions virtualisation (NFV) has come into use. The intention is to implement a variety of network functions with software on general-purpose servers and this allows the network operator to select their capacities and locations without any constraints. This paper focuses on the allocation of NFV-based routing functions which are one of critical network functions, and presents the virtual routing function allocation algorithm that minimizes the total power consumption. In addition, this study presents the useful allocation policy of virtual routing functions, based on an evaluation with a ladder-shaped network model. This policy takes the ratio of the power consumption of a routing function to that of a circuit and traffic distribution between areas into consideration. Furthermore, the present paper shows that there are cases where the use of NFV-based routing functions makes it possible to reduce the total power consumption dramatically, in comparison to a conventional network, in which it is not economically viable to distribute small-capacity routing functions.

Keywords: NFV, resource allocation, virtual routing function, minimum power consumption

Procedia PDF Downloads 313