Search results for: option pricing model.

Authors: Ratchada Sopakayang, Gerhard A. Holzapfel

Abstract:

In this study, a new constitutive model is developed to describe the hyperelastic behavior of collagenous tissues with a parallel arrangement of collagen fibers such as ligaments and tendons. The model is formulated using a continuum approach incorporating the structural changes of the main tissue components: collagen fibers, proteoglycan-rich matrix and fiber-matrix interaction. The mechanical contribution of the interaction between the fibers and the matrix is simply expressed by a coupling term. The structural change of the collagen fibers is incorporated in the constitutive model to describe the activation of the fibers under tissue straining. Finally, the constitutive model can easily describe the stress-stretch nonlinearity which occurs when a ligament/tendon is axially stretched. This study shows that the interaction between the fibers and the matrix contributes to the mechanical tissue response. Therefore, the model may lead to a better understanding of the physiological mechanisms of ligaments and tendons under axial loading.

Keywords: Hyperelasticity, constitutive model, fiber-matrix interaction, ligament, tendon.

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Authors: Sherin M. Youssef, Ahmed Abouelfarag, Noha M. Ghatwary

Abstract:

An adaptive Fuzzy Inference Perceptual model has been proposed for watermarking of digital images. The model depends on the human visual characteristics of image sub-regions in the frequency multi-resolution wavelet domain. In the proposed model, a multi-variable fuzzy based architecture has been designed to produce a perceptual membership degree for both candidate embedding sub-regions and strength watermark embedding factor. Different sizes of benchmark images with different sizes of watermarks have been applied on the model. Several experimental attacks have been applied such as JPEG compression, noises and rotation, to ensure the robustness of the scheme. In addition, the model has been compared with different watermarking schemes. The proposed model showed its robustness to attacks and at the same time achieved a high level of imperceptibility.

Keywords: Watermarking, The human visual system (HVS), Fuzzy Inference System (FIS), Local Binary Pattern (LBP), Discrete Wavelet Transform (DWT).

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Authors: Katleho Daniel Makatjane, Diteboho Lawrence Xaba, Ntebogang Dinah Moroke

Abstract:

The current study investigates the behaviour of time-varying parameters that are based on the score function of the predictive model density at time t. The mechanism to update the parameters over time is the scaled score of the likelihood function. The results revealed that there is high persistence of time-varying, as the location parameter is higher and the skewness parameter implied the departure of scale parameter from the normality with the unconditional parameter as 1.5. The results also revealed that there is a perseverance of the leptokurtic behaviour in stock returns which implies the returns are heavily tailed. Prior to model estimation, the White Neural Network test exposed that the stock price can be modelled by a GAS model. Finally, we proposed further researches specifically to model the existence of time-varying parameters with a more detailed model that encounters the heavy tail distribution of the series and computes the risk measure associated with the returns.

Keywords: Generalized autoregressive score model, stock returns, time-varying.

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Authors: S. Panda, S. K. Tomar, R. Prasad, C. Ardil

Abstract:

Order reduction of linear-time invariant systems employing two methods; one using the advantages of Routh approximation and other by an evolutionary technique is presented in this paper. In Routh approximation method the denominator of the reduced order model is obtained using Routh approximation while the numerator of the reduced order model is determined using the indirect approach of retaining the time moments and/or Markov parameters of original system. By this method the reduced order model guarantees stability if the original high order model is stable. In the second method Particle Swarm Optimization (PSO) is employed to reduce the higher order model. PSO method is based on the minimization of the Integral Squared Error (ISE) between the transient responses of original higher order model and the reduced order model pertaining to a unit step input. Both the methods are illustrated through numerical examples.

Keywords: Model Order Reduction, Markov Parameters, Routh Approximation, Particle Swarm Optimization, Integral Squared Error, Steady State Stability.

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Authors: S. Cagin, X. Fischer, E. Delacourt, N. Bourabaa, C. Morin, D. Coutellier, B. Carré, S. Loumé

Abstract:

The complexity of scavenging by ports and its impact on engine efficiency create the need to understand and to model it as realistically as possible. However, there are few empirical scavenging models and these are highly specialized. In a design optimization process, they appear very restricted and their field of use is limited. This paper presents a comparison of two methods to establish and reduce a model of the scavenging process in 2-stroke diesel engines. To solve the lack of scavenging models, a CFD model has been developed and is used as the referent case. However, its large size requires a reduction. Two techniques have been tested depending on their fields of application: The NTF method and neural networks. They both appear highly appropriate drastically reducing the model’s size (over 90% reduction) with a low relative error rate (under 10%). Furthermore, each method produces a reduced model which can be used in distinct specialized fields of application: the distribution of a quantity (mass fraction for example) in the cylinder at each time step (pseudo-dynamic model) or the qualification of scavenging at the end of the process (pseudo-static model).

Keywords: Diesel engine, Design optimization, Model reduction, Neural network, NTF algorithm, Scavenging.

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Authors: A. Rangan, A. Tansu

Abstract:

This paper generalizes Yeh Lam-s shock model for renewal shock arrivals and random threshold. Several interesting statistical measures are explicitly obtained. A few special cases and an optimal replacement problem are also discussed.

Keywords: shock model, optimal replacement, random threshold, shocks.

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Authors: R. Kongnuy, P. Pongsumpun

Abstract:

We used mathematical model to study the transmission of dengue disease. The model is developed in which the human population is separated into two populations, pregnant and non-pregnant humans. The dynamical analysis method is used for analyzing this modified model. Two equilibrium states are found and the conditions for stability of theses two equilibrium states are established. Numerical results are shown for each equilibrium state. The basic reproduction numbers are found and they are compared by using numerical simulations.

Keywords: Basic reproductive number, dengue disease, equilibrium states, pregnancy.

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Authors: Mangesh R. Phate, V. H. Tatwawadi

Abstract:

This paper is intended to develop an artificial neural network (ANN) based model of material removal rate (MRR) in the turning of ferrous and nonferrous material in a Indian small-scale industry. MRR of the formulated model was proved with the testing data and artificial neural network (ANN) model was developed for the analysis and prediction of the relationship between inputs and output parameters during the turning of ferrous and nonferrous materials. The input parameters of this model are operator, work-piece, cutting process, cutting tool, machine and the environment.

The ANN model consists of a three layered feedforward back propagation neural network. The network is trained with pairs of independent/dependent datasets generated when machining ferrous and nonferrous material. A very good performance of the neural network, in terms of contract with experimental data, was achieved. The model may be used for the testing and forecast of the complex relationship between dependent and the independent parameters in turning operations.

Keywords: Field data based model, Artificial neural network, Simulation, Convectional Turning, Material removal rate.

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Authors: Mazhar B. Tayel, Amr H. Yassin

Abstract:

A proposed small-signal model parameters for a pseudomorphic high electron mobility transistor (PHEMT) is presented. Both extrinsic and intrinsic circuit elements of a smallsignal model are determined using genetic algorithm (GA) as a stochastic global search and optimization tool. The parameters extraction of the small-signal model is performed on 200-μm gate width AlGaAs/InGaAs PHEMT. The equivalent circuit elements for a proposed 18 elements model are determined directly from the measured S- parameters. The GA is used to extract the parameters of the proposed small-signal model from 0.5 up to 18 GHz.

Keywords: PHEMT, Genetic Algorithms, small signal modeling, optimization.

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Authors: Yung C. Ho, Hui C. Fang, Ming J. Hsieh

Abstract:

When consistently innovative business-models can give companies a competitive advantage, longitudinal empirical research, which can reflect dynamic business-model changes, has yet to prove a definitive connection. This study consequently employs a dynamic perspective in conjunction with innovation theory to examine the relationship between the types of business-model innovation and firm value. This study tries to examine various types of business-model innovation in high-end and low-end technology industries such as HTC and the 7-Eleven chain stores with research periods of 14 years and 32 years, respectively. The empirical results suggest that adopting radical business-model innovation in addition to expanding new target markets can successfully lead to a competitive advantage. Sustained advanced technological competences and service/product innovation are the key successful factors in high-end and low-end technology industry business-models respectively. In sum up, the business-model innovation can yield a higher market value and financial value in high-end technology industries than low-end ones.

Keywords: Business-model, Dynamic Perspective, Firm Value, Innovation

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Authors: Karel Frajtak, Miroslav Bures, Ivan Jelinek

Abstract:

Software testing is important stage of software development cycle. Current testing process involves tester and electronic documents with test case scenarios. In this paper we focus on new approach to testing process using automated test case generation and tester guidance through the system based on the model of the system. Test case generation and model-based testing is not possible without proper system model. We aim on providing better feedback from the testing process thus eliminating the unnecessary paper work.

Keywords: Model based testing, test automation, test generating, tester support.

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Authors: Jānis Zuters

Abstract:

There are a lot of extensions made to the classic model of multi-layer perceptron (MLP). A notable amount of them has been designed to hasten the learning process without considering the quality of generalization. The paper proposes a new MLP extension based on exploiting topology of the input layer of the network. Experimental results show the extended model to improve upon generalization capability in certain cases. The new model requires additional computational resources to compare to the classic model, nevertheless the loss in efficiency isn-t regarded to be significant.

Keywords: Learning algorithm, multi-layer perceptron, topology.

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Authors: Joseph E. Estevez, Mahdi Ghazizadeh, James G. Ryan, Ajit D. Kelkar

Abstract:

Radiation shielding is an obstacle in long duration space exploration. Boron Nitride Nanotubes (BNNTs) have attracted attention as an additive to radiation shielding material due to B¹⁰’s large neutron capture cross section. The B¹⁰ has an effective neutron capture cross section suitable for low energy neutrons ranging from 10^-5 to 10⁴ eV and hydrogen is effective at slowing down high energy neutrons. Hydrogenated BNNTs are potentially an ideal nanofiller for radiation shielding composites. We use Molecular Dynamics (MD) Simulation via Material Studios Accelrys 6.0 to model the Young’s Modulus of Hydrogenated BNNTs. An extrapolation technique was employed to determine the Young’s Modulus due to the deformation of the nanostructure at its theoretical density. A linear regression was used to extrapolate the data to the theoretical density of 2.62g/cm³. Simulation data shows that the hydrogenated BNNTs will experience a 11% decrease in the Young’s Modulus for (6,6) BNNTs and 8.5% decrease for (8,8) BNNTs compared to non-hydrogenated BNNT’s. Hydrogenated BNNTs are a viable option as a nanofiller for radiation shielding nanocomposite materials for long range and long duration space exploration.

Keywords: Boron Nitride Nanotube, Radiation Shielding, Young Modulus, Atomistic Modeling.

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Authors: Mohamed M. El-Gendy, Ibrahim A. El-Arabi, Rafik W. Abdel-Missih, Omar A. Kandil

Abstract:

In the present research, a finite element model is presented to study the geometrical and material nonlinear behavior of reinforced concrete plane frames considering soil-structure interaction. The nonlinear behaviors of concrete and reinforcing steel are considered both in compression and tension up to failure. The model takes account also for the number, diameter, and distribution of rebar along every cross section. Soil behavior is taken into consideration using four different models; namely: linear-, nonlinear Winkler's model, and linear-, nonlinear continuum model. A computer program (NARC) is specially developed in order to perform the analysis. The results achieved by the present model show good agreement with both theoretical and experimental published literature. The nonlinear behavior of a rectangular frame resting on soft soil up to failure using the proposed model is introduced for demonstration.

Keywords: Nonlinear analysis, Geometric nonlinearity, Material nonlinearity, Reinforced concrete, Finite element method, Soilstructure interaction, Winkler's soil model, Continuum soil model

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Authors: F. Achouri, K. Chouicha

Abstract:

The main parameters affecting the workability are the water content, particle size, and the total surface of the grains, as long as the mixing water begins by wetting the surface of the grains and then fills the voids between the grains to form entrapped water, the quantity of water remaining is called free water. The aim of this study is to undertake a fractal approach through the relationship between the concrete formulation parameters and workability. To develop this approach a series of concrete taken from the literature was investigated by varying formulation parameters such as G/S, the quantity of cement C and the quantity of water W. We also call another model as the model of water layer thickness and model of paste layer thickness to judge their relevance, hence the following results: the relevance of the water layer thickness model is considered as a relevant when there is a variation in the water quantity. The model of the paste layer thickness is only applicable if we considered that the paste is made with the grain value Dmax = 2.85: value from which we see a stability of the model.

Keywords: Concrete, fractal method, paste layer thickness, water layer thickness, workability.

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Authors: Iqbal Hossain, Dr. Monzur Imteaz, Dr. Shirley Gato-Trinidad, Prof. Abdallah Shanableh

Abstract:

Estimation of runoff water quality parameters is required to determine appropriate water quality management options. Various models are used to estimate runoff water quality parameters. However, most models provide event-based estimates of water quality parameters for specific sites. The work presented in this paper describes the development of a model that continuously simulates the accumulation and wash-off of water quality pollutants in a catchment. The model allows estimation of pollutants build-up during dry periods and pollutants wash-off during storm events. The model was developed by integrating two individual models; rainfall-runoff model, and catchment water quality model. The rainfall-runoff model is based on the time-area runoff estimation method. The model allows users to estimate the time of concentration using a range of established methods. The model also allows estimation of the continuing runoff losses using any of the available estimation methods (i.e., constant, linearly varying or exponentially varying). Pollutants build-up in a catchment was represented by one of three pre-defined functions; power, exponential, or saturation. Similarly, pollutants wash-off was represented by one of three different functions; power, rating-curve, or exponential. The developed runoff water quality model was set-up to simulate the build-up and wash-off of total suspended solids (TSS), total phosphorus (TP) and total nitrogen (TN). The application of the model was demonstrated using available runoff and TSS field data from road and roof surfaces in the Gold Coast, Australia. The model provided excellent representation of the field data demonstrating the simplicity yet effectiveness of the proposed model.

Keywords: Catchment, continuous pollutants build-up, pollutants wash-off, runoff, runoff water quality model.

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Authors: Svetlana Saksonova

Abstract:

Every commercial bank optimises its asset portfolio depending on the profitability of assets and chosen or imposed constraints. This paper proposes and applies a stylized model for optimising banks' asset and liability structure, reflecting profitability of different asset categories and their risks as well as costs associated with different liability categories and reserve requirements. The level of detail for asset and liability categories is chosen to create a suitably parsimonious model and to include the most important categories in the model. It is shown that the most appropriate optimisation criterion for the model is the maximisation of the ratio of net interest income to assets. The maximisation of this ratio is subject to several constraints. Some are accounting identities or dictated by legislative requirements; others vary depending on the market objectives for a particular bank. The model predicts variable amount of assets allocated to loan provision.

Keywords: asset structure, commercial bank, model, optimisation

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Authors: Shih-Ching Lo

Abstract:

Discrete choice model is the most used methodology for studying traveler-s mode choice and demand. However, to calibrate the discrete choice model needs to have plenty of questionnaire survey. In this study, an aggregative model is proposed. The historical data of passenger volumes for high speed rail and domestic civil aviation are employed to calibrate and validate the model. In this study, different models are compared so as to propose the best one. From the results, systematic equations forecast better than single equation do. Models with the external variable, which is oil price, are better than models based on closed system assumption.

Keywords: forecasting, passenger volume, dynamic competition model, external variable, oil price

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Authors: I. Zohourkari, M. Zohoor

Abstract:

In this paper, an erosion-based model for abrasive waterjet (AWJ) turning process is presented. By using modified Hashish erosion model, the volume of material removed by impacting of abrasive particles to surface of the rotating cylindrical specimen is estimated and radius reduction at each rotation is calculated. Different to previous works, the proposed model considers the continuous change in local impact angle due to change in workpiece diameter, axial traverse rate of the jet, the abrasive particle roundness and density. The accuracy of the proposed model is examined by experimental tests under various traverse rates. The final diameters estimated by the proposed model are in good accordance with experiments.

Keywords: Abrasive, Erosion, impact, Particle, Waterjet, Turning.

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Authors: Yan Shuang Zhang, Taehan Lee, Byung Ho Jeong

Abstract:

A DEA model can generally evaluate the performance using multiple inputs and outputs for the same period. However, it is hard to avoid the production lead time phenomenon some times, such as long-term project or marketing activity. A couple of models have been suggested to capture this time lag issue in the context of DEA. This paper develops a dual-MPO model to deal with time lag effect in evaluating efficiency. A numerical example is also given to show that the proposed model can be used to get efficiency and reference set of inefficient DMUs and to obtain projected target value of input attributes for inefficient DMUs to be efficient.

Keywords: DEA, efficiency, time lag, dual problem.

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Authors: R. Sammoura

Abstract:

In Lebanon, public construction projects are awarded to the contractor submitting the lowest bid price based on a competitive bidding process. The contractor has to make a strategic decision in choosing the appropriate bid price that will offer a satisfactory profit with a greater probability to win. A simulation model for bid price decision making based on the lowest bid price evaluation is developed. The model, built using Crystal Ball decisionengineering software, considers two main factors affecting the bidding process: the number of qualified bidders and the size of the project. The validity of the model is tested on twelve separate projects. The study also shows how to use the model to conduct risk analysis and help any specific contractor to decide on his bid price with associated certainty level in a scientific method.

Keywords: Bid price, Competition, Decision making, Simulation.

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Authors: P. Pongsumpun

Abstract:

One of the important tropical diseases is Chikunkunya. This disease is transmitted between the human by the insect-borne virus, of the genus Alphavirus. It occurs in Africa, Asia and the Indian subcontinent. In Thailand, the incidences due to this disease are increasing every year. In this study, the transmission of this disease is studied through dynamical model analysis.

Keywords: Chikunkunya, dynamical model, Endemic region, Routh-Hurwitz criteria.

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Authors: Nam Lethanh, Bryan T. Adey

Abstract:

In this paper, the potential use of an exponential hidden Markov model to model a hidden pavement deterioration process, i.e. one that is not directly measurable, is investigated. It is assumed that the evolution of the physical condition, which is the hidden process, and the evolution of the values of pavement distress indicators, can be adequately described using discrete condition states and modeled as a Markov processes. It is also assumed that condition data can be collected by visual inspections over time and represented continuously using an exponential distribution. The advantage of using such a model in decision making process is illustrated through an empirical study using real world data.

Keywords: Deterioration modeling, Exponential distribution, Hidden Markov model, Pavement management

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Authors: Daniel L. Clinciu, Ikrom Abdulaev, Brian D. Oscar

Abstract:

Various personality profile tests are used to identify personality strengths and limits in individuals, helping both individuals and managers to optimize work and team effort in organizations. One such test, the Hartman’s personality profile, emphasizes four driving "core motives" influenced or affected by both strengths and limitations classified into four colors: Red - motivated by power; Blue - discipline and loyalty; White - peace; and Yellow – fun loving. Two shortcomings of Hartman’s personality test are noted; 1) only one selection for every item / situation allowed and 2) selection of an item / option even if not applicable. A test taker may be as much nurturing as he is opinionated but since “opinionated” seems less attractive the individual would likely select nurturing, causing a misidentification in personality strengths and limits. Since few individuals have a “strong” personality, it is difficult to assess their true personality strengths and limits allowing only one choice or requiring unwanted choices, undermining the potential of the test. We modified Hartman’s personality profile allowing test takers to make either multiple choices for any item / situation or leave them blank if applicable. Sixty-eight participants (38 males and 30 females), 17 - 49 years old, from countries in Asia, Europe, N. America, CIS, Africa, Latin America, and Oceania were included. 58 participants (85.3%) reported the modified test, allowing multiple / no choices better identified their personality strengths and limits, while 10 participants (14.7%) expressed the original (one choice version) was sufficient. The overall results show that our modified test enhanced the identification and balance of core personalities’ strengths and limits, aiding test takers, managers and organizations to better assess individual characteristics, particularly useful in making task-related, teamwork, and management decisions.

Keywords: Organizational behavior, personality tests, personality limitations, personality strengths, task management, team work.

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Authors: Julio Kauss, Miguel Cadillo, David Mauricio

Abstract:

E-commerce is a business model that allows companies to optimize the processes of buying, selling, transferring goods and exchanging services through computer networks or the Internet. In Peru, the electronic commerce is used infrequently. This situation is due, in part to the fact that there is no model that allows companies to implement an e-commerce solution, which means that most SMEs do not have adequate knowledge to adapt to electronic commerce. In this work, a reference model is proposed for the implementation of an e-commerce solution in Peruvian SMEs in the retail sector. It consists of five phases: Business Analysis, Business Modeling, Implementation, Post Implementation and Results. The present model was validated in a SME of the Peruvian retail sector through the implementation of an electronic commerce platform, through which the company increased its sales through the delivery channel by 10% in the first month of deployment. This result showed that the model is easy to implement, is economical and agile. In addition, it allowed the company to increase its business offer, adapt to e-commerce and improve customer loyalty.

Keywords: E-commerce, retail, SMEs, reference model.

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Authors: Aleksandre Ergeshidze

Abstract:

The exchange rate is a pivotal pricing instrument that simultaneously impacts various components of the economy. Depreciation of nominal exchange rate is export promoting, which might be a desired export-led growth policy, and particularly critical to closing-down the widening current account imbalance. However, negative effects resulting from high dollarization and high share of imported intermediate inputs can outweigh positive effect. The aim of this research is to quantify impact of change in nominal exchange rate and test contractionary depreciation hypothesis on Georgian economy using structural and Bayesian vector autoregression. According to the acquired results, appreciation of nominal exchange rate is expected to decrease inflation, monetary policy rate, interest rate on domestic currency loans and economic growth in the medium run; however, impact on economic growth in the short run is statistically not significant.

Keywords: Bayesian vector autoregression, contractionary depreciation, dollarization, nominal exchange rate, structural vector autoregression.

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Authors: Do-Jin Jang, Sung-Ah Kim

Abstract:

In designing a kinetic façade, it is hard for the designer to make digital models due to its complex geometry with motion. This paper aims to present a methodology of converting a point cloud of a physical model into a single digital model with a certain topology and motion. The method uses a Microsoft Kinect sensor, and color markers were defined and applied to three paper folding-inspired designs. Although the resulted digital model cannot represent the whole folding range of the physical model, the method supports the designer to conduct a performance-oriented design process with the rough physical model in the reduced folding range.

Keywords: Design media, kinetic façades, tangible user interface, 3D scanning.

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Authors: Ioan Popa, Radu Lupu, Cristiana Tudor

Abstract:

In this paper, we apply the FM methodology to the cross-section of Romanian-listed common stocks and investigate the explanatory power of market beta on the cross-section of commons stock returns from Bucharest Stock Exchange. Various assumptions are empirically tested, such us linearity, market efficiency, the “no systematic effect of non-beta risk" hypothesis or the positive expected risk-return trade-off hypothesis. We find that the Romanian stock market shows the same properties as the other emerging markets in terms of efficiency and significance of the linear riskreturn models. Our analysis included weekly returns from January 2002 until May 2010 and the portfolio formation, estimation and testing was performed in a rolling manner using 51 observations (one year) for each stage of the analysis.

Keywords: Bucharest Stock Exchange, Fama-Macbeth methodology, systematic risk, non-linear risk-return dependence.

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Authors: Faraj El Dabee, Romeo Marian, Yousef Amer

Abstract:

This paper implements the inventory model developed in the first part of this paper in a simplified problem to simultaneously reduce costs and risks in JIT systems. This model is developed to ascertain an optimal ordering strategy for procuring raw materials by using regular multi-external and local backup suppliers to reduce the total cost of the products, and at the same time to reduce the risks arising from this cost reduction within production systems. A comparison between the cost of using the JIT system and using the proposed inventory model shows the superiority of the use of the inventory model.

Keywords: Lean manufacturing, Just-in-Time (JIT), production system, cost-risk reduction, inventory model, eternal supplier, local backup supplier.

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Authors: Jaroslav Krutil, František Pochylý, Simona Fialová

Abstract:

The article presents two mathematical models of the interaction between a rotating shaft and an incompressible fluid. The mathematical model includes both the journal bearings and the axially traversed hydrodynamic sealing gaps of hydraulic machines. A method is shown for the identification of additional effects of the fluid acting on the rotor of the machine, both for a linear and a nonlinear model. The interaction is expressed by matrices of mass, stiffness and damping.

Keywords: CFD modeling, hydrodynamic gap, matrices of mass, stiffness and damping, nonlinear mathematical model.

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