Search results for: Nigel G. Stocks

Authors: Sang Hoon Kang, Seong-Min Yoon

Abstract:

Little attention has been paid to information transmission between the portfolios of large stocks and small stocks in the Korean stock market. This study investigates the return and volatility transmission mechanisms between large and small stocks in the Korea Exchange (KRX). This study also explores whether bad news in the large stock market leads to a volatility of the small stock market that is larger than the good news volatility of the large stock market. By employing the Granger causality test, we found unidirectional return transmissions from the large stocks to medium and small stocks. This evidence indicates that pat information about the large stocks has a better ability to predict the returns of the medium and small stocks in the Korean stock market. Moreover, by using the asymmetric GARCH-BEKK model, we observed the unidirectional relationship of asymmetric volatility transmission from large stocks to the medium and small stocks. This finding suggests that volatility in the medium and small stocks following a negative shock in the large stocks is larger than that following a positive shock in the large stocks.

Keywords: Asymmetric GARCH-BEKK model, Asymmetric volatility transmission, Causality, Korean stock market, Spillover effect

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Authors: Chih-Hsiang Chang, Fang-Jyun Su

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This paper explores whether stock characteristics influence the herding formation among investors in the US equity market. To extend the research scope of the existing literature, this paper further examines the role that stock risk characteristics play in the US equity market, and the way they influence investors’ decision-making. First, empirical results show that whether general stocks or high-risk stocks, there are no herding behaviors among the investors in the US equity market during the whole research period or during four great events. Moreover, stock characteristics have great influence on investors’ trading decisions. Finally, there is a bidirectional lead-lag relationship of the herding formation between high-risk stocks and low-risk stocks, but the influence of high-risk stocks on the low-risk stocks is stronger than that of low-risk stocks on the high-risk stocks.

Keywords: Stock characteristics, herding formation, investment decision, US equity market, lead-lag relationship.

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Authors: Zahra Hatami, Hesham Ali, David Volkman

Abstract:

Selecting a portfolio for investing is a crucial decision for individuals and legal entities. In the last two decades, with economic globalization, a stream of financial innovations has rushed to the aid of financial institutions. The importance of selecting stocks for the portfolio is always a challenging task for investors. This study aims to create a financial network to identify optimal portfolios using network centralities metrics. This research presents a community detection technique of superior stocks that can be described as an optimal stock portfolio to be used by investors. By using the advantages of a network and its property in extracted communities, a group of stocks was selected for each of the various time periods. The performance of the optimal portfolios was compared to the famous index. Their Sharpe ratio was calculated in a timely manner to evaluate their profit for making decisions. The analysis shows that the selected potential portfolio from stocks with low centrality measurement can outperform the market; however, they have a lower Sharpe ratio than stocks with high centrality scores. In other words, stocks with low centralities could outperform the S&P500 yet have a lower Sharpe ratio than high central stocks.

Keywords: Portfolio management performance, network analysis, centrality measurements, Sharpe ratio.

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Authors: Negar Riazifar, Nigel G. Stocks

Abstract:

This paper proposes strategies in level crossing (LC) sampling and reconstruction that provide alias-free high-fidelity signal reconstruction for speech signals without exponentially increasing sample number with increasing bit-depth. We introduce methods in LC sampling that reduce the sampling rate close to the Nyquist frequency even for large bit-depth. The results indicate that larger variation in the sampling intervals leads to alias-free sampling scheme; this is achieved by either reducing the bit-depth or adding a jitter to the system for high bit-depths. In conjunction with windowing, the signal is reconstructed from the LC samples using an efficient Toeplitz reconstruction algorithm.

Keywords: Alias-free, level crossing sampling, spectrum, trigonometric polynomial.

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Authors: Azwadi Ali

Abstract:

The survival of publicly listed companies largely depends on their stocks being liquidly traded. This goal can be achieved when new investors are attracted to invest on companies- stocks. Among different groups of investors, individual investors are generally less able to objectively evaluate companies- risks and returns, and tend to be emotionally biased in their investing decisions. Therefore their decisions may be formed as a result of perceived risks and returns, and influenced by companies- images. This study finds that perceived risk, perceived returns and trust directly affect individual investors- trading decisions while attitude towards brand partially mediates the relationships. This finding suggests that, in courting individual investors, companies still need to perform financially while building a good image can result in their stocks being accepted quicker than the stocks of good performing companies with hidden images.

Keywords: Behavioral Finance, Investment, Attitude towardsBrand, Partial Least Squares

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Authors: Changju Lee, Seungmo Ku, Sondo Kim, Woojin Chang

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How to detecting financial bubble? Addressing this simple question has been the focus of a vast amount of empirical research spanning almost half a century. However, financial bubble is hard to observe and varying over the time; there needs to be more research on this area. In this paper, we used abnormal difference between common stocks price and those preferred stocks price to explain financial bubble. First, we proposed the ‘W-index’ which indicates spread between common stocks and those preferred stocks in stock market. Second, to prove that this ‘W-index’ is valid for measuring financial bubble, we showed that there is an inverse relationship between this ‘W-index’ and S&P500 rate of return. Specifically, our hypothesis is that when ‘W-index’ is comparably higher than other periods, financial bubbles are added up in stock market and vice versa; according to our hypothesis, if investors made long term investments when ‘W-index’ is high, they would have negative rate of return; however, if investors made long term investments when ‘W-index’ is low, they would have positive rate of return. By comparing correlation values and adjusted R-squared values of between W-index and S&P500 return, VIX index and S&P500 return, and TED index and S&P500 return, we showed only W-index has significant relationship between S&P500 rate of return. In addition, we figured out how long investors should hold their investment position regard the effect of financial bubble. Using this W-index, investors could measure financial bubble in the market and invest with low risk.

Keywords: Financial bubbles, detection, preferred stocks, pairs trading, future return, forecast.

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Authors: Yousef Abu Nahleh, Alhasan Hakami, Arun Kumar, Fugen Daver

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This study considers the problem of calculating safety stocks in disaster situations inventory systems that face demand uncertainties. Safety stocks are essential to make the supply chain, which is controlled by forecasts of customer needs, in response to demand uncertainties and to reach predefined goal service levels. To solve the problem of uncertainties due to the disaster situations affecting the industry sector, the concept of Emergency Safety Stock (ESS) was proposed. While there exists a huge body of literature on determining safety stock levels, this literature does not address the problem arising due to the disaster and dealing with the situations. In this paper, the problem of improving the Order Quantity Model to deal with uncertainty of demand due to disasters is managed by incorporating a new idea called ESS which is based on the probability of disaster occurrence and uses probability matrix calculated from the historical data. 

Keywords: Emergency Safety Stocks, Safety stocks, Order Quantity Model, Supply chain.

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Authors: Chih-Hsiang Chang

Abstract:

This study aims to explore the relationship between the disposition effect and herding behavior of investors trading Taiwanese information technology stocks. This study differs from previous literature in two aspects. First, in contrast with the earlier studies that focused on investigating investors’ herding behavior, this study explores the possibility that the disposition effect drives investors’ herding behavior. Additionally, it takes an in-depth look at the interdependence between the disposition effect and herding behavior of investors, including lead-lag relationship and volatility transmission effect. Empirical results show that investors trading Taiwan’s information technology stocks exhibit pronounced herding behavior and that the disposition effect has a great impact on their herding behavior.

Keywords: Herding behavior, Disposition effect, Behavioral finance.

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Authors: Negar Riazifar, Nigel G. Stocks

Abstract:

This paper proposes strategies in level crossing (LC) sampling and reconstruction that provide high fidelity signal reconstruction for speech signals; these strategies circumvent the problem of exponentially increasing number of samples as the bit-depth is increased and hence are highly efficient. Specifically, the results indicate that the distribution of the intervals between samples is one of the key factors in the quality of signal reconstruction; including samples with short intervals does not improve the accuracy of the signal reconstruction, whilst samples with large intervals lead to numerical instability. The proposed sampling method, termed reduced conventional level crossing (RCLC) sampling, exploits redundancy between samples to improve the efficiency of the sampling without compromising performance. A reconstruction technique is also proposed that enhances the numerical stability through linear interpolation of samples separated by large intervals. Interpolation is demonstrated to improve the accuracy of the signal reconstruction in addition to the numerical stability. We further demonstrate that the RCLC and interpolation methods can give useful levels of signal recovery even if the average sampling rate is less than the Nyquist rate.

Keywords: Level crossing sampling, numerical stability, speech processing, trigonometric polynomial.

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Authors: J. Arneric, A. Rozga

Abstract:

In this paper usefulness of quasi-Newton iteration procedure in parameters estimation of the conditional variance equation within BHHH algorithm is presented. Analytical solution of maximization of the likelihood function using first and second derivatives is too complex when the variance is time-varying. The advantage of BHHH algorithm in comparison to the other optimization algorithms is that requires no third derivatives with assured convergence. To simplify optimization procedure BHHH algorithm uses the approximation of the matrix of second derivatives according to information identity. However, parameters estimation in a/symmetric GARCH(1,1) model assuming normal distribution of returns is not that simple, i.e. it is difficult to solve it analytically. Maximum of the likelihood function can be founded by iteration procedure until no further increase can be found. Because the solutions of the numerical optimization are very sensitive to the initial values, GARCH(1,1) model starting parameters are defined. The number of iterations can be reduced using starting values close to the global maximum. Optimization procedure will be illustrated in framework of modeling volatility on daily basis of the most liquid stocks on Croatian capital market: Podravka stocks (food industry), Petrokemija stocks (fertilizer industry) and Ericsson Nikola Tesla stocks (information-s-communications industry).

Keywords: Heteroscedasticity, Log-likelihood Maximization, Quasi-Newton iteration procedure, Volatility.

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Authors: N. Behidj-Benyounes, S. Bennaamane, F. Zohra Bissaad, N. Chebouti, H. Mohandkaci, N. Abdalaziz, S. Iddou

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In this study, we are interested in a species of the family of Asteraceae (Tagetes erecta). This family is considered as a source of antimicrobial extracts with strong capacity. The extraction of the flavonoids is carried out by the method of liquid/liquid with the use of successive solvents. Afterwards, we evaluated the biological activity of the flavonoids on five pathogenic bacterial stocks such as Escherichia coli, Bacillus subtilis, Klebsiella pneumoniae, Pseudomonas aeruginosa and Staphylococcus aureus and two stocks of yeasts to knowing Candida albicans) and Saccharomyces cerevisiae, by employing the method of the aromatogramme starting from a solid disc. The result of the antimicrobial activity shows an action and a variable degree of sensitivity according to bacterial stocks tested. It will be noted that the flavonoids have an inhibiting effect on E. coli, B. subtilis, K. pneumoniae and S. aureus. But a resistance with respect to the extract by P. aeruginosa, C. albicans and S. cerevisiae is to be mentioned.

Keywords: Antimicrobial activity, flavonoids, microbial strains, Tagetes erecta L.

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Authors: Siddhant Sahu, P. James Daniel Paul

Abstract:

Technical analysis comprised by various technical indicators is a holistic way of representing price movement of stocks in the market. Various forms of indicators have evolved from the primitive ones in the past decades. There have been many attempts to introduce volume as a major determinant to determine strong patterns in market forecasting. The law of demand defines the relationship between the volume and price. Most of the traders are familiar with the volume game. Including the time dimension to the law of demand provides a different visualization to the theory. While attempting the same, it was found that there are different thresholds in the market for different companies. These thresholds have a significant influence on the price. This article is an attempt in determining the thresholds for companies using the three dimensional graphs for optimizing the portfolios. It also emphasizes on the magnitude of importance of volumes as a key factor for determining of predicting strong price movements, bullish and bearish markets. It uses a comprehensive data set of major companies which form a major chunk of the Indian automotive sector and are thus used as an illustration.

Keywords: Technical Analysis, Expert System, Law of demand, Stocks, Portfolio Analysis, Indian Automotive Sector.

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Authors: Carol Anne Hargreaves

Abstract:

A key issue in stock investment is how to select representative features for stock selection. The objective of this paper is to firstly determine whether an automated stock investment system, using machine learning techniques, may be used to identify a portfolio of growth stocks that are highly likely to provide returns better than the stock market index. The second objective is to identify the technical features that best characterize whether a stock’s price is likely to go up and to identify the most important factors and their contribution to predicting the likelihood of the stock price going up. Unsupervised machine learning techniques, such as cluster analysis, were applied to the stock data to identify a cluster of stocks that was likely to go up in price – portfolio 1. Next, the principal component analysis technique was used to select stocks that were rated high on component one and component two – portfolio 2. Thirdly, a supervised machine learning technique, the logistic regression method, was used to select stocks with a high probability of their price going up – portfolio 3. The predictive models were validated with metrics such as, sensitivity (recall), specificity and overall accuracy for all models. All accuracy measures were above 70%. All portfolios outperformed the market by more than eight times. The top three stocks were selected for each of the three stock portfolios and traded in the market for one month. After one month the return for each stock portfolio was computed and compared with the stock market index returns. The returns for all three stock portfolios was 23.87% for the principal component analysis stock portfolio, 11.65% for the logistic regression portfolio and 8.88% for the K-means cluster portfolio while the stock market performance was 0.38%. This study confirms that an automated stock investment system using machine learning techniques can identify top performing stock portfolios that outperform the stock market.

Keywords: Machine learning, stock market trading, logistic principal component analysis, automated stock investment system.

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Authors: Satjaporn Tungsong, Gun Srijuntongsiri

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This research seeks to investigate the frequency and profitability of index arbitrage opportunities involving the SET50 futures, SET50 component stocks, and the ThaiDEX SET50 ETF (ticker symbol: TDEX). In particular, the frequency and profit of arbitrage are measured in the following three arbitrage tests: (1) SET50 futures vs. ThaiDEX SET50 ETF, (2) SET50 futures vs. SET50 component stocks, and (3) ThaiDEX SET50 ETF vs. SET50 component stocks are investigated. For tests (2) and (3), the problems involve conic optimization and quadratic programming as subproblems. This research is first to apply conic optimization and quadratic programming techniques in the context of index arbitrage and is first to investigate such index arbitrage in the Thai equity and derivatives markets. Thus, the contribution of this study is twofold. First, its results would help understand the contribution of the derivatives securities to the efficiency of the Thai markets. Second, the methodology employed in this study can be applied to other geographical markets, with minor adjustments.

Keywords: Conic optimization, Equity index arbitrage, Executionlags, Quadratic programming, SET50 index futures, ThaiDEX SET50ETF, Transaction costs

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Authors: S. Al Wadi, Mohd Tahir Ismail, Samsul Ariffin Abdul Karim

Abstract:

It is well known that during the developments in the economic sector and through the financial crises occur everywhere in the whole world, volatility measurement is the most important concept in financial time series. Therefore in this paper we discuss the volatility for Amman stocks market (Jordan) for certain period of time. Since wavelet transform is one of the most famous filtering methods and grows up very quickly in the last decade, we compare this method with the traditional technique, Fast Fourier transform to decide the best method for analyzing the volatility. The comparison will be done on some of the statistical properties by using Matlab program.

Keywords: Fast Fourier transforms, Haar wavelet transform, Matlab (Wavelet tools), stocks market, Volatility.

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Authors: Brownhilder N. Neneh, A. Van Aardt Smit

Abstract:

Underpricing is one anomaly in initial public offerings (IPO) literature that has been widely observed across different stock markets with different trends emerging over different time periods. This study seeks to determine how IPOs on the JSE performed on the first day, first week and first month over the period of 1996-2011. Underpricing trends are documented for both hot and cold market periods in terms of four main sectors (cyclical, defensive, growth stock and interest rate sensitive stocks). Using a sample of 360 listed companies on the JSE, the empirical findings established that IPOs on the JSE are significantly underpriced with an average market adjusted first day return of 62.9%. It is also established that hot market IPOs on the JSE are more underpriced than the cold market IPOs. Also observed is the fact that as the offer price per share increases above the median price for any given period, the level of underpricing decreases substantially. While significant differences exist in the level of underpricing of IPOs in the four different sectors in the hot and cold market periods, interest rates sensitive stocks showed a different trend from the other sectors and thus require further investigation to uncover this pattern.

Keywords: Underpricing, hot and cold markets, South Africa, JSE.

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Authors: Paul Osmond

Abstract:

This paper reports a new application of material accounting techniques to characterise and quantify material stocks and flows at the “neighbourhood" scale. The study area is the main campus of the University of New South Wales in Sydney, Australia. The system boundary is defined by the urban structural unit (USU), a typological construct devised to facilitate assessment of the metabolism of urban systems. A streamlined material flow analysis (MFA) was applied to quantify the stocks and flows of key construction materials within the campus USU over time, drawing on empirical data from a major campus development project. The results are reviewed to assess the efficacy of the method in supporting urban environmental evaluation and design practice, for example to facilitate estimation of significant impacts such as greenhouse gas emissions. It is concluded that linking a service (in this case, teaching students) enabled by a given product (university buildings) to the amount of materials used in creating that product offers a potential way to reduce the environmental impact of that service, through more efficient use of materials.

Keywords: Construction materials, material flow analysis, urban metabolism, urban structural unit.

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Authors: Abdullah Abu-Tineh, Carol Murphy, Nigel Calder, Nasser Mansour

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This paper reports on an aspect of e-learning in developing inquiry-based learning (IBL). We present data on the views of teachers and students in Qatar following a professional development programme intended to help teachers implement IBL in their science and mathematics classrooms. Key to this programme was the use of WebQuests. Views of the teachers and students suggested that WebQuests helped students to develop technical skills, work collaboratively and become independent in their learning. The use of WebQuests also enabled a combination of digital and non-digital tools that helped students connect ideas and enhance their understanding of topics.

Keywords: Digital technology, inquiry-based learning, mathematics and science education, professional development.

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Authors: Barun Chakrabarti, Dan Nir, Vladimir Yufit, P. V. Aravind, Nigel Brandon

Abstract:

Fuel cell grade gas-diffusion layer carbon paper (CP) electrodes are subjected to electrophoresis in N,N’-dimethylformamide (DMF) consisting of reduced graphene oxide (rGO). The rGO modified electrodes are compared with CP in a single asymmetric all-vanadium redox battery system (employing a double serpentine flow channel for each half-cell). Peak power densities improved by 4% when the rGO deposits were facing the ion-exchange membrane (cell performance was poorer when the rGO was facing the flow field). Cycling of the cells showed least degradation of the CP electrodes that were coated with rGO in comparison to pristine samples.

Keywords: All-vanadium redox flow batteries, carbon paper electrodes, electrophoretic deposition, reduced graphene oxide.

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Authors: Christopher Deekia Nwimae, Nigel Simms, Liyun Lao

Abstract:

Erosion in a pipe bends caused by particles is a major concern in the oil and gas fields and might cause breakdown to production equipment. This work investigates the effect of sand particle transport in an elbow using computational fluid dynamics (CFD) approach. Two-way coupled Euler-Lagrange and discrete phase model is employed to calculate the air/solid particle flow in the elbow. Generic erosion model in Ansys fluent and three particle rebound models are used to predict the erosion rate on the 90° elbows. The model result is compared with experimental data from the open literature validating the CFD-based predictions which reveals that due to the sand particles impinging on the wall of the elbow at high velocity, a point on the pipe elbow were observed to have started turning red due to velocity increase and the maximum erosion locations occur at 48°.

Keywords: Erosion, prediction, elbow, computational fluid dynamics, CFD.

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Authors: H. Zarei, M. H. Fazel Zarandi, M. Karbasian

Abstract:

A Decision Support System/Expert System for stock portfolio selection presented where at first step, both technical and fundamental data used to estimate technical and fundamental return and risk (1st phase); Then, the estimated values are aggregated with the investor preferences (2nd phase) to produce convenient stock portfolio. In the 1st phase, there are two expert systems, each of which is responsible for technical or fundamental estimation. In the technical expert system, for each stock, twenty seven candidates are identified and with using rough sets-based clustering method (RC) the effective variables have been selected. Next, for each stock two fuzzy rulebases are developed with fuzzy C-Mean method and Takai-Sugeno- Kang (TSK) approach; one for return estimation and the other for risk. Thereafter, the parameters of the rule-bases are tuned with backpropagation method. In parallel, for fundamental expert systems, fuzzy rule-bases have been identified in the form of “IF-THEN" rules through brainstorming with the stock market experts and the input data have been derived from financial statements; as a result two fuzzy rule-bases have been generated for all the stocks, one for return and the other for risk. In the 2nd phase, user preferences represented by four criteria and are obtained by questionnaire. Using an expert system, four estimated values of return and risk have been aggregated with the respective values of user preference. At last, a fuzzy rule base having four rules, treats these values and produce a ranking score for each stock which will lead to a satisfactory portfolio for the user. The stocks of six manufacturing companies and the period of 2003-2006 selected for data gathering.

Keywords: Stock Portfolio Selection, Fuzzy Rule-Base ExpertSystems, Financial Decision Support Systems, Technical Analysis, Fundamental Analysis.

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Authors: Manan’Iarivo Rasolonjanahary, Chris Bingham, Nigel Schofield, Masoud Bazargan

Abstract:

This paper presents the research and application of model predictive scheduled charging of electric vehicles (EV) subject to limited available power resource. To focus on algorithm and operational characteristics, the EV interface to the source is modelled as a battery state equation during the charging operation. The researched methods allow for the priority scheduling of EV charging in a multi-vehicle regime and when subject to limited source power availability. Priority attribution for each connected EV is described. The validity of the developed methodology is shown through the simulation of different scenarios of charging operation of multiple connected EVs including non-scheduled and scheduled operation with various numbers of vehicles. Performance of the developed algorithms is also reported with the recommendation of the choice of suitable parameters.

Keywords: Model predictive control, non-scheduled, power limited sources, scheduled and stop-start battery charging.

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Authors: Nigel Q. Kelly, Zaid Siddiqi, Jin W. Lee

Abstract:

It is known that using Coanda aerosurfaces can drastically augment the lift forces when applied to an Unmanned Aerial Vehicle (UAV) platform. However, Coanda saucer UAVs, which commonly use a dish-like, radially-extending structure, have shown no significant increases in thrust/lift force and therefore have never been commercially successful: the additional thrust/lift generated by the Coanda surface diminishes since the airstreams emerging from the rotor compartment expand radially causing serious loss of momentums and therefore a net loss of total thrust/lift. To overcome this technical weakness, we propose to examine a Coanda surface of straight, cylindrical design and optimize its geometry for highest thrust/lift utilizing computational fluid dynamics software ANSYS Fluent®. The results of this study reveal that a Coanda UAV configured with 4 sides of straight, cylindrical Coanda surface achieve an overall 45% increase in lift compared to conventional Coanda Saucer UAV configurations. This venture integrates with an ongoing research project where a Coanda prototype is being assembled. Additionally, a custom thrust-stand has been constructed for thrust/lift measurement.

Keywords: CFD, Coanda, Lift, UAV.

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Authors: Chih-Hsiang Chang, Liang-Chien Lee, Shu-Ling Wu

Abstract:

This study investigates the investors- behavioral reaction to the investment rating change announcements from the views of behavioral finance. The empirical results indicate that self-interest does affect the intention of securities firms to release investment ratings for individual stocks. In addition, behavioral pitfalls are also found in the response of retail investors to investment rating change announcements.

Keywords: Investment ratings, Behavioral finance, Self-interest, Behavioral pitfalls

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Authors: Anuchita Moongngarm, John E. Bronlund, Nigel Grigg, Naruemon Sriwai

Abstract:

The study aimed to investigate the effect of rice types on chewing behaviours (chewing time, number of chews, and portion size) and bolus properties (bolus moisture content, solid loss, and particle size distribution (PSD)) in human subjects. Five cooked rice types including brown rice (BR), white rice (WR), parboiled white rice (PR), high amylose white rice (HR) and waxy white rice (WXR) were chewed by six subjects. The chewing behaviours were recorded and the food boluses were collected during mastication. Rice typeswere found to significantly influence all chewing parameters evaluated. The WXR and BR showed the most pronounced differences compared with other rice types. The initial moisture content of un-chewed WXR was lowest (43.39%) whereas those of other rice types were ranged from 66.86 to 70.33%. The bolus obtained from chewing the WXR contained lowest moisture content (56.43%) whilst its solid loss (22.03%) was not significant different from those of all rice types. In PSD evaluation using Mastersizer S, the diameter of particles measured was ranged between 4 to 3500 μm. The particle size of food bolus from BR, HR, and WXR contained much finer particles than those of WR and PR.

Keywords: Chewing behavior, Mastication, Rice, Rice types, Bolus properties

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Authors: A. Abdalla, A. Kaltayev

Abstract:

This article presents the boundary conditions for the problem of turbulent supersonic gas flow in a plane channel with a perpendicular injection jets. The non-reflection boundary conditions for direct modeling of compressible viscous gases are studied. A formulation using the NSCBC (Navier- Stocks characteristic boundary conditions) through boundaries is derived for the subsonic inflow and subsonic non-reflection outflow situations. Verification of the constructed algorithm of boundary conditions is carried out by solving a test problem of perpendicular sound of jets injection into a supersonic gas flow in a plane channel.

Keywords: WENO scheme, non-reflection boundary conditions, NSCBC, supersonic flow.

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Authors: Mohsen A. Bakouri, Andrey V. Savkin, Abdul-Hakeem H. Alomari, Robert F. Salamonsen, Einly Lim, Nigel H. Lovell

Abstract:

Physiological control of a left ventricle assist device (LVAD) is generally a complicated task due to diverse operating environments and patient variability. In this work, a tracking control algorithm based on sliding mode and feed forward control for a class of discrete-time single input single output (SISO) nonlinear uncertain systems is presented. The controller was developed to track the reference trajectory to a set operating point without inducing suction in the ventricle. The controller regulates the estimated mean pulsatile flow Qp and mean pulsatility index of pump rotational speed PIω that was generated from a model of the assist device. We recall the principle of the sliding mode control theory then we combine the feed-forward control design with the sliding mode control technique to follow the reference trajectory. The uncertainty is replaced by its upper and lower boundary. The controller was tested in a computer simulation covering two scenarios (preload and ventricular contractility). The simulation results prove the effectiveness and the robustness of the proposed controller

Keywords: robust control system, discrete-sliding mode, left ventricularle assist devicse, pulsatility index.

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Authors: Rohit Choudhry, Kumkum Garg

Abstract:

In this paper, we propose a hybrid machine learning system based on Genetic Algorithm (GA) and Support Vector Machines (SVM) for stock market prediction. A variety of indicators from the technical analysis field of study are used as input features. We also make use of the correlation between stock prices of different companies to forecast the price of a stock, making use of technical indicators of highly correlated stocks, not only the stock to be predicted. The genetic algorithm is used to select the set of most informative input features from among all the technical indicators. The results show that the hybrid GA-SVM system outperforms the stand alone SVM system.

Keywords: Genetic Algorithms, Support Vector Machines, Stock Market Forecasting.

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Authors: Shashwat Gangwal

Abstract:

This paper analyses the effect of adding Bitcoin, to the portfolio (stocks, bonds, Baltic index, MXEF, gold, real estate and crude oil) of an international investor by using daily data available from 2^nd of July, 2010 to 2^{nd of} August, 2016. We conclude that adding Bitcoin to portfolio, over the course of the considered period, always yielded a higher Sharpe ratio. This means that Bitcoin’s returns offset its high volatility. This paper, recognizing the fact that Bitcoin is a relatively new asset class, gives the readers a basic idea about the working of the virtual currency, the increasing number developments in the financial industry revolving around it, its unique features and the detailed look into its continuously growing acceptance across different fronts (Banks, Merchants and Countries) globally. We also construct optimal portfolios to reflect the highly lucrative and largely unexplored opportunities associated with investment in Bitcoin.

Keywords: Portfolio management, Bitcoin, optimization, Sharpe ratio.

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Authors: Alae El Alami, Mohamed Bahaj

Abstract:

This paper proposes an approach for translating an existing relational database (RDB) schema into ORDB. The transition is done with methods that can extract various functions from a RDB which is based on aggregations, associations between the various tables, and the reflexive relationships. These methods can extract even the inheritance knowing that no process of reverse engineering can know that it is an Inheritance; therefore, our approach exceeded all of the previous studies made for ​​the transition from RDB to ORDB. In summation, the creation of the New Data Model (NDM) that stocks the RDB in a form of a structured table, and from the NDM we create our navigational model in order to simplify the implementation object from which we develop our different types. Through these types we precede to the last step, the creation of tables.

The step mentioned above does not require any human interference. All this is done automatically, and a prototype has already been created which proves the effectiveness of this approach.

Keywords: Relational databases, Object-relational databases, Semantic enrichment.

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