Search results for: remote data propagation.

Authors: Hoyoung Lee, Dong-Kyu Kim, Seung-Young Kho, R. Eddie Wilson

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This study quantifies a decrement in freeway capacity during rainfall. Traffic and rainfall data were gathered from Highway Agencies and Wunderground weather service. Three inter-urban freeway sections and its nearest weather stations were selected as experimental sites. Capacity analysis found reductions of maximum and mean pre-breakdown flow rates due to rainfall. The Kruskal-Wallis test also provided some evidence to suggest that the variance in the pre-breakdown flow rate is statistically insignificant. Potential application of this study lies in the operation of real time traffic management schemes such as Variable Speed Limits (VSL), Hard Shoulder Running (HSR), and Ramp Metering System (RMS), where speed or flow limits could be set based on a number of factors, including rainfall events and their intensities.

Keywords: Capacity randomness, flow breakdown, freeway capacity, rainfall.

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Authors: Y. Harold Robinson, M. Rajaram

Abstract:

Designing cost-efficient, secure network protocols for Wireless Sensor Networks (WSNs) is a challenging problem because sensors are resource-limited wireless devices. Security services such as authentication and improved pairwise key establishment are critical to high efficient networks with sensor nodes. For sensor nodes to correspond securely with each other efficiently, usage of cryptographic techniques is necessary. In this paper, two key predistribution schemes that enable a mobile sink to establish a secure data-communication link, on the fly, with any sensor nodes. The intermediate nodes along the path to the sink are able to verify the authenticity and integrity of the incoming packets using a predicted value of the key generated by the sender’s essential power. The proposed schemes are based on the pairwise key with the mobile sink, our analytical results clearly show that our schemes perform better in terms of network resilience to node capture than existing schemes if used in wireless sensor networks with mobile sinks.

Keywords: Wireless Sensor Networks, predistribution scheme, cryptographic techniques.

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Authors: Low Khong Teck, Hasan S. M. Al-Khaffaf, Abdullah Zawawi Talib, Tan Kian Lam

Abstract:

In this paper, an extended study is performed on the effect of different factors on the quality of vector data based on a previous study. In the noise factor, one kind of noise that appears in document images namely Gaussian noise is studied while the previous study involved only salt-and-pepper noise. High and low levels of noise are studied. For the noise cleaning methods, algorithms that were not covered in the previous study are used namely Median filters and its variants. For the vectorization factor, one of the best available commercial raster to vector software namely VPstudio is used to convert raster images into vector format. The performance of line detection will be judged based on objective performance evaluation method. The output of the performance evaluation is then analyzed statistically to highlight the factors that affect vector quality.

Keywords: Performance Evaluation, Vectorization, Median Filter, Gaussian Noise.

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Authors: Sewon Kim, Chang Yeop Lee, Minjun Kwon

Abstract:

This study is aiming at establishing the relationship between the optical signal of flame and an equivalent ratio of flame. In this experiment, flame optical signal in a furnace is measured using photodiode. The combustion system is composed of metal fiber burner and vertical furnace, and flame chemiluminescence is measured at various experimental conditions. In this study, the flame chemiluminescence of laminar premixed flame is measured using commercially available photodiode. It is experimentally investigated the relationship between equivalent ratio and photodiode signal. In addition, the strategy of combustion control method is proposed using the optical signal and fuel pressure. The results showed that certain relationship between optical data of photodiode and equivalence ratio exists, and this leads to the successful application of this system for instantaneous measurement of equivalence ration of the combustion system.

Keywords: Flame chemiluminescence, photo diode, equivalence ratio, combustion control.

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Authors: H. C. Chang, J. R. Wang, A. L. Ho, S. W. Chen, J. H. Yang, C. Shih, L. C. Wang

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To confirm the reactor and containment integrity of the Advanced Boiling Water Reactor (ABWR), we perform the analysis of main steamline break (MSLB) transient by using the TRACE, PARCS, and SNAP codes. The process of the research has four steps. First, the ABWR nuclear power plant (NPP) model is developed by using the above codes. Second, the steady state analysis is performed by using this model. Third, the ABWR model is used to run the analysis of MSLB transient. Fourth, the predictions of TRACE and PARCS are compared with the data of FSAR. The results of TRACE/PARCS and FSAR are similar. According to the TRACE/PARCS results, the reactor and containment integrity of ABWR can be maintained in a safe condition for MSLB.

Keywords: ABWR, TRACE, PARCS, SNAP.

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Authors: Huda Algharib, Amal Algharib, Hanan Algharib, Ali Mohammad Alqudah

Abstract:

Image registration is an important topic for many imaging systems and computer vision applications. The standard image registration techniques such as Mutual information/ Normalized mutual information -based methods have a limited performance because they do not consider the spatial information or the relationships between the neighbouring pixels or voxels. In addition, the amount of image noise may significantly affect the registration accuracy. Therefore, this paper proposes an efficient method that explicitly considers the relationships between the adjacent pixels, where the gradient information of the reference and scene images is extracted first, and then the cosine similarity of the extracted gradient information is computed and used to improve the accuracy of the standard normalized mutual information measure. Our experimental results on different data types (i.e. CT, MRI and thermal images) show that the proposed method outperforms a number of image registration techniques in terms of the accuracy.

Keywords: Image registration, mutual information, image gradients, Image transformations.

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Authors: Wanida Suwunniponth

Abstract:

The objectives of this research paper was to study the influencing factors that contributed the willingness of consumers to purchase products online included quality of website, perceived ease of use, perceived usefulness, trust on online purchases, attitude towards online shopping and intentions to online purchases. The research was conducted in both quantitative and qualitative methods, by utilizing both questionnaire and in-depth interview. A questionnaire was used to collect data from 350 consumers who had online shopping experiences in Bangkok, Thailand. Statistics utilized in this research included descriptive statistics and path analysis.

The findings revealed that the factors concerning with quality of website, perceived ease of use and perceived usefulness played an influence on trust in online shopping. Trust also played an influence on attitude towards online purchase, whereas trust and attitude towards online purchase manipulated the intention of online purchase.

Keywords: E-commerce, intention, online shopping, Technology acceptance model.

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Authors: Razib M. Othman, Safaai Deris, Rosli M. Illias, Zalmiyah Zakaria, Saberi M. Mohamad

Abstract:

Nowadays, Gene Ontology has been used widely by many researchers for biological data mining and information retrieval, integration of biological databases, finding genes, and incorporating knowledge in the Gene Ontology for gene clustering. However, the increase in size of the Gene Ontology has caused problems in maintaining and processing them. One way to obtain their accessibility is by clustering them into fragmented groups. Clustering the Gene Ontology is a difficult combinatorial problem and can be modeled as a graph partitioning problem. Additionally, deciding the number k of clusters to use is not easily perceived and is a hard algorithmic problem. Therefore, an approach for solving the automatic clustering of the Gene Ontology is proposed by incorporating cohesion-and-coupling metric into a hybrid algorithm consisting of a genetic algorithm and a split-and-merge algorithm. Experimental results and an example of modularized Gene Ontology in RDF/XML format are given to illustrate the effectiveness of the algorithm.

Keywords: Automatic clustering, cohesion-and-coupling metric, gene ontology; genetic algorithm, split-and-merge algorithm.

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Authors: Irakli V. Gugushvili, Nickolay M. Evstigneev

Abstract:

Numerical integration of initial boundary problem for advection equation in 3 ℜ is considered. The method used is  conditionally stable semi-Lagrangian advection scheme with high order interpolation on unstructured mesh. In order to increase time step integration the BFECC method with limiter TVD correction is used. The method is adopted on parallel graphic processor unit environment using NVIDIA CUDA and applied in Navier-Stokes solver. It is shown that the calculation on NVIDIA GeForce 8800  GPU is 184 times faster than on one processor AMDX2 4800+ CPU. The method is extended to the incompressible fluid dynamics solver. Flow over a Cylinder for 3D case is compared to the experimental data.

Keywords: Advection equations, CUDA technology, Flow overthe 3D Cylinder, Incompressible Pressure Projection Solver, Parallel computation.

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Authors: Antonio Estache, Atsushi Iimi

Abstract:

Limited competition has been a serious concern in infrastructure procurement. Importantly, however, there are normally a number of potential bidders initially showing interest in proposed projects. This paper focuses on tackling the question why these initially interested bidders fade out. An empirical problem is that no bids of fading-out firms are observable. They could decide not to enter the process at the beginning of the tendering or may be technically disqualified at any point in the selection process. The paper applies the double selection model to procurement data from road development projects in developing countries and shows that competition ends up restricted, because bidders are self-selective and auctioneers also tend to limit participation depending on the size of contracts.Limited competition would likely lead to high infrastructure procurement costs, threatening fiscal sustainability and economic growth.

Keywords: Auction theory, endogenous bidder entry, infrastructure development, public procurement.

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Authors: Md. Ataullah, Naveen Chauhan

Abstract:

The Address Resolution Protocol (ARP) is used by computers to map logical addresses (IP) to physical addresses (MAC). However ARP is an all trusting protocol and is stateless which makes it vulnerable to many ARP cache poisoning attacks such as Man-in-the-Middle (MITM) and Denial of service (DoS) attacks. These flaws result in security breaches thus weakening the appeal of the computer for exchange of sensitive data. In this paper we describe ARP, outline several possible ARP cache poisoning attacks and give the detailed of some attack scenarios in network having both wired and wireless hosts. We have analyzed each of proposed solutions, identify their strengths and limitations. Finally get that no solution offers a feasible solution. Hence, this paper presents an efficient and secure version of ARP that is able to cope up with all these types of attacks and is also a feasible solution. It is a stateful protocol, by storing the information of the Request frame in the ARP cache, to reduce the chances of various types of attacks in ARP. It is more efficient and secure by broadcasting ARP Reply frame in the network and storing related entries in the ARP cache each time when communication take place.

Keywords: ARP cache poisoning, MITM, DoS

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Authors: S. Sendilkumar, B. L. Mathur, Joseph Henry

Abstract:

A new approach for protection of power transformer is presented using a time-frequency transform known as Wavelet transform. Different operating conditions such as inrush, Normal, load, External fault and internal fault current are sampled and processed to obtain wavelet coefficients. Different Operating conditions provide variation in wavelet coefficients. Features like energy and Standard deviation are calculated using Parsevals theorem. These features are used as inputs to PNN (Probabilistic neural network) for fault classification. The proposed algorithm provides more accurate results even in the presence of noise inputs and accurately identifies inrush and fault currents. Overall classification accuracy of the proposed method is found to be 96.45%. Simulation of the fault (with and without noise) was done using MATLAB AND SIMULINK software taking 2 cycles of data window (40 m sec) containing 800 samples. The algorithm was evaluated by using 10 % Gaussian white noise.

Keywords: Power Transformer, differential Protection, internalfault, inrush current, Wavelet Energy, Db9.

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Authors: Gia Surguladze, Nino Topuria, Ana Gavardashvili, Tsatsa Namchevadze

Abstract:

The present article discusses design and development of Information System for monitoring ecology within the Black Sea basin of Georgia. Sea parameters, river, estuary, vulnerable district, water sample, etc. were considered as the major parameters of the sea ecosystem. A conceptual schema has been developed for the Black Sea ecosystem based on object-role model. The experimental database for the Black Sea ecosystem has been constructed using Ms SQL Server, while the object-role model NORMA has been developed using graphical instrument Ms Visual Studio within the integrated environment of .NET Framework 4.5. Web portal has been designed based on Ms SharePoint Server. The server database connection with web-portal has been carried out by means of External List of Ms SharePoint Server Designer.

Keywords: Web-application, service-oriented architecture, database, object-role modelling, SharePoint, Black sea, river, estuary, ecology, monitoring system, automation of data processing.

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Authors: Alexander Y. Vaninsky

Abstract:

Environmental performance of the U.S. States is investigated for the period of 1990 – 2007 using Stochastic Frontier Analysis (SFA). The SFA accounts for both efficiency measure and stochastic noise affecting a frontier. The frontier is formed using indicators of GDP, energy consumption, population, and CO2 emissions. For comparability, all indicators are expressed as ratios to total. Statistical information of the Energy Information Agency of the United States is used. Obtained results reveal the bell - shaped dynamics of environmental efficiency scores. The average efficiency scores rise from 97.6% in 1990 to 99.6% in 1999, and then fall to 98.4% in 2007. The main factor is insufficient decrease in the rate of growth of CO2 emissions with regards to the growth of GDP, population and energy consumption. Data for 2008 following the research period allow for an assumption that the environmental performance of the U.S. States has improved in the last years.

Keywords: Stochastic frontier analysis, environmental performance, interstate comparisons.

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Authors: Martin Roth, Axel Klarmann, Bogdan Franczyk

Abstract:

The importance of logistics has changed enormously in the last few decades. While logistics was formerly one of the core functions of most companies, logistics or at least parts of their functions are nowadays outsourced to external logistic service providers in terms of contracts. As a result of this shift new business models like the fourth party logistics provider emerged, which designs, plans and monitors the resulting logistics networks. This new business model and topics such as Synchromodality or Big Data impose new requirements on the underlying IT, which cannot be met with conventional concepts and approaches. In this paper, the challenges of logistics network monitoring are outlined by using a scenario. The most common layers in a logical multilayered architecture for an information system are used to point out the arising challenges for IT. In addition, first appropriate solution approaches are introduced.

 

Keywords: Complex Event Processing, Fourth Party Logistics Service Provider, Logistics monitoring, Synchromodality.

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Authors: Danupun Visuwan, Pongchanun Luangpaiboon

Abstract:

This paper presents the determination of the proper quality costs parameters which provide the optimum return. The system dynamics simulation was applied. The simulation model was constructed by the real data from a case of the electronic devices manufacturer in Thailand. The Steepest Descent algorithm was employed to optimise. The experimental results show that the company should spend on prevention and appraisal activities for 850 and 10 Baht/day respectively. It provides minimum cumulative total quality cost, which is 258,000 Baht in twelve months. The effect of the step size in the stage of improving the variables to the optimum was also investigated. It can be stated that the smaller step size provided a better result with more experimental runs. However, the different yield in this case is not significant in practice. Therefore, the greater step size is recommended because the region of optima could be reached more easily and rapidly.

Keywords: Quality costs, Steepest Descent Algorithm, StepSize, System Dynamics Simulation

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Authors: Yu-Chen Lin, Tzong-Yeang Lee

Abstract:

This study aims to assess the vulnerability and risk of the coastal areas of Taijiang to abnormal oceanographic phenomena. In addition, this study aims to investigate and collect data regarding the disaster losses, land utilization, and other social, economic, and environmental issues in these coastal areas to construct a coastal vulnerability and risk map based on the obtained climate-change risk assessment results. Considering the indexes of the three coastal vulnerability dimensions, namely, man-made facilities, environmental geography, and social economy, this study adopted the equal weighting process and Analytic Hierarchy Process to analyze the vulnerability of these coastal areas to disasters caused by climatic changes. Among the areas with high coastal vulnerability to climatic changes, three towns had the highest coastal vulnerability and four had the highest relative vulnerability. Areas with lower disaster risks were found to be increasingly vulnerable to disasters caused by climatic changes as time progresses.

Keywords: Climate change, coastal disaster, risk, vulnerability

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Authors: A. Seleem, M. Mortada, M. El Morsi, M. Younan

Abstract:

Diffusion stills have been effective in water desalination. The present work represents a model of the distillation process by using vertical single-effect diffusion stills. A semianalytical model has been developed to model the process. A software computer code using Engineering Equation Solver EES software has been developed to solve the equations of the developed model. An experimental setup has been constructed, and used for the validation of the model. The model is also validated against former literature results. The results obtained from the present experimental test rig, and the data from the literature, have been compared with the results of the code to find its best range of validity. In addition, a parametric analysis of the system has been developed using the model to determine the effect of operating conditions on the system's performance. The dominant parameters that affect the productivity of the still are the hot plate temperature that ranges from (55- 90°C) and feed flow rate in range of (0.00694-0.0211 kg/m2-s).

Keywords: Analytical Model, Solar Distillation, Sustainable Water Systems, Vertical Diffusion Still.

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Authors: Harpreet Singh

Abstract:

Finding relevant information on the World Wide Web is becoming highly challenging day by day. Web usage mining is used for the extraction of relevant and useful knowledge, such as user behaviour patterns, from web access log records. Web access log records all the requests for individual files that the users have requested from the website. Web usage mining is important for Customer Relationship Management (CRM), as it can ensure customer satisfaction as far as the interaction between the customer and the organization is concerned. Web usage mining is helpful in improving website structure or design as per the user’s requirement by analyzing the access log file of a website through a log analyzer tool. The focus of this paper is to enhance the accessibility and usability of a guitar selling web site by analyzing their access log through Deep Log Analyzer tool. The results show that the maximum number of users is from the United States and that they use Opera 9.8 web browser and the Windows XP operating system.

Keywords: Web usage mining, log file, web mining, data mining, deep log analyser.

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Authors: Valeda Dent

Abstract:

This study explores reading and library factors related to secondary school student academic outcomes in rural areas in Uganda. This mixed methods study utilized quantitative data collected as part of a more extensive project to explore six student factors in relation to students’ school, library, and home environments. The Kitengesa Community Library in Uganda (www.kitengesalibrary.org) served as the site for this study. The factors explored for this study include reading frequency, library use frequency, library access, overall grade average (OGA), and presence and type of reading materials in the home. Results indicated that both reading frequency and certain types of reading materials read for recreational purposes are correlated with higher OGA. Reading frequency was positively correlated with student OGA for all students.

Keywords: Rural village libraries, secondary school students, reading, academic achievement.

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Authors: Chantana Insra

Abstract:

The main purpose of this research aimed to create tactile texture designed media for the blind used for extra learning outside classrooms in order to enhance imagination of the blind about Himmapan creatures, furthermore, the main objective of the research focused on improving the visual disabled perception to be equal to normal people. The target group of the research is blinded students studying in The Bangkok school for the blind between grade 4-6 in the second semester of 2011 who are able to read the braille language. The research methodology consisted of the field study and the documentary study related to the blind, tactile texture designed media and Himmapan creatures. 10 pictures of tactile texture designed media were created in the designing process which began after the analysis had conducted based the primary and secondary data. The works had presented to experts in the visual disabled field who evaluated the works. After approval, the works used as prototype to teach the blind. KeywordsBlind, Himmapan Creatures, Tactile Texture.

Keywords: Blind, Himmapan Creatures, Tactile Texture.

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Authors: Po-Chuang Chen, Hsiu-Mei Chiu, Yau-Pin Chyou, Chiou-Shia Yu

Abstract:

This study presents a simulation model for converting coal to methanol, based on gasification technology with the commercial chemical process simulator, Pro/II® V8.1.1. The methanol plant consists of air separation unit (ASU), gasification unit, gas clean-up unit, and methanol synthetic unit. The clean syngas is produced with the first three operating units, and the model has been verified with the reference data from United States Environment Protection Agency. The liquid phase methanol (LPMEOHTM) process is adopted in the methanol synthetic unit. Clean syngas goes through gas handing section to reach the reaction requirement, reactor loop/catalyst to generate methanol, and methanol distillation to get desired purity over 99.9 wt%. The ratio of the total energy combined with methanol and dimethyl ether to that of feed coal is 78.5% (gross efficiency). The net efficiency is 64.2% with the internal power consumption taken into account, based on the assumption that the efficiency of electricity generation is 40%.

Keywords: Gasification, Methanol, LPMEOH, System-levelsimulation.

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Authors: T. Utarasakul

Abstract:

Amphawa is the most popular weekend destination for both domestic and international tourists in Thailand. More than 112 homestays and resorts have been developed along the water resources. This research aims to initiate appropriate environmental management system for riverside tourist accommodations in Amphawa by investigating current environmental characteristics. Eighty-eight riverside tourist accommodations were survey from specific questionnaire, GPS data were also gathered for spatial analysis. The results revealed that the accommodations are welled manage in regards to some environmental aspects. In order to reduce economic costs, energy efficiency equipment is utilized. A substantial number of tourist accommodations encouraged waste separation, followed by transfer to local administration organization. Grease traps also utilized in order to decrease chemical discharged, grease and oil from canteen and restaurants on natural environment. The most notable mitigation is to initiate environmental friendly cleansers for tourist accommodation along the riverside in tourism destinations.

Keywords: Environmental Management System, Tourist Accommodations, Amphawa, Samut Songkram

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Authors: Yun-Yao Chi, Ya-Fen Lee

Abstract:

In this paper, a study of slope failures along the Alishan Highway is carried out. An innovative empirical model is developed based on 15-year records of rainfall-induced slope failures. The statistical models are intended for assessing the volume of landslide for slope failure along the Alishan Highway in the future. The rainfall data considered in the proposed models include the effective cumulative rainfall and the critical rainfall intensity. The effective cumulative rainfall is defined at the point when the curve of cumulative rainfall goes from steep to flat. Then, the rainfall thresholds of landslide are established for assessing the volume of landslide and issuing warning and/or closure for the Alishan Highway during a future extreme rainfall. Slope failures during Typhoon Saola in 2012 demonstrate that the new empirical model is effective and applicable to other cases with similar rainfall conditions.

Keywords: Slope failure, landslide, volume, model, rainfall thresholds.

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Authors: S.Solaymani, T.Ghodselahi, N.B.Nezafat, H.Zahrabi, A.Gelali

Abstract:

The morphological parameter of a thin film surface can be characterized by power spectral density (PSD) functions which provides a better description to the topography than the RMS roughness and imparts several useful information of the surface including fractal and superstructure contributions. Through the present study Nanoparticle copper/carbon composite films were prepared by co-deposition of RF-Sputtering and RF-PECVD method from acetylene gas and copper target. Surface morphology of thin films is characterized by using atomic force microscopy (AFM). The Carbon content of our films was obtained by Rutherford Back Scattering (RBS) and it varied from .4% to 78%. The power values of power spectral density (PSD) for the AFM data were determined by the fast Fourier transform (FFT) algorithms. We investigate the effect of carbon on the roughness of thin films surface. Using such information, roughness contributions of the surface have been successfully extracted.

Keywords: Atomic force microscopy, Fast Fourier transform, Power spectral density, RBS.

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Authors: R. Hasanpour, N. Choupani

Abstract:

This paper studies mixed-mode fracture mechanics in rock based on experimental and numerical analyses. Experiments were performed on sharp-cracked specimens using the modified Arcan specimen test loading device. The modified Arcan specimen test was, in association with a special loading device, an appropriate apparatus for experimental mixed-mode fracture analysis. By varying the loading angle from 0° to 90°, pure mode-I, pure mode-II and a wide range of mixed-mode data were obtained experimentally. Using the finite element results, correction factors applied to the rectangular fracture specimen. By employing experimentally measured critical loads and the aid of the finite element method, mixed-mode fracture toughness for the limestone under consideration determined.

Keywords: Rock Fracture Mechanics, Mixed-mode Loading, Finite Element Analysis, Arcan Test specimen.

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Authors: Rıza Gürhan Korkut, Metin Çelik, Süleyman Özkaynak

Abstract:

The early-stage design and development projects for the freight village initiatives require a comprehensive analysis of both qualitative and quantitative data. Considering the literature review on structural and operational management requirements, this study proposed an original taxonomy on criterion structure to assess freight village conceptualization. The potential challenges and uncertainties of the developed taxonomy are extended. Besides requirement analysis, this study is also expected to contribute to forthcoming research on benchmarking of freight villages in different regions. The methodology used in this research is a systematic review on several articles as per their modelling approaches, sustainability, entities and decisions made together with the uncertainties and features of their models taken into consideration. The major findings of the study that are the categories for assessing the projects attributes on their environmental, socio-economical, accessibility and location aspects.

Keywords: Freight village, logistics centers, operational management, taxonomy.

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Authors: Renzo Carta, Francesco Desogus

Abstract:

Variations in the growth rate constant of the Listeria monocytogenes bacterial species were determined at 37°C in irradiated environments and compared to the situation of a nonirradiated environment. The bacteria cells, contained in a suspension made of a nutrient solution of Brain Heart Infusion, were made to grow at different frequency (2.30e2.60 GHz) and power (0e400 mW) values, in a plug flow reactor positioned in the irradiated environment. Then the reacting suspension was made to pass into a cylindrical cuvette where its optical density was read every 2.5 minutes at a wavelength of 600 nm. The obtained experimental data of optical density vs. time allowed the bacterial growth rate constant to be derived; this was found to be slightly influenced by microwave power, but not by microwave frequency; in particular, a minimum value was found for powers in the 50e150 mW field.

Keywords: Growth rate constant, irradiated environment, Listeria monocytogenes, microwaves, plug flow reactor.

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Authors: Hazem Al-Mofleh, John Daniels, Joseph McKean

Abstract:

Within geostatistics research, effective estimation of the variogram points has been examined, particularly in developing robust alternatives. The parametric fit of these variogram points which eventually defines the kriging weights, however, has not received the same attention from a robust perspective. This paper proposes the use of the non-linear Wilcoxon norm over weighted non-linear least squares as a robust variogram fitting alternative. First, we introduce the concept of variogram estimation and fitting. Then, as an alternative to non-linear weighted least squares, we discuss the non-linear Wilcoxon estimator. Next, the robustness properties of the non-linear Wilcoxon are demonstrated using a contaminated spatial data set. Finally, under simulated conditions, increasing levels of contaminated spatial processes have their variograms points estimated and fit. In the fitting of these variogram points, both non-linear Weighted Least Squares and non-linear Wilcoxon fits are examined for efficiency. At all levels of contamination (including 0%), using a robust estimation and robust fitting procedure, the non-weighted Wilcoxon outperforms weighted Least Squares.

Keywords: Non-Linear Wilcoxon, robust estimation, Variogram estimation.

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Authors: S. Masteika, A.V. Rutkauskas, A. Tamosaitis

Abstract:

The paper investigates downtrend algorithm and trading strategy based on chart pattern recognition and technical analysis in futures market. The proposed chart formation is a pattern with the lowest low in the middle and one higher low on each side. The contribution of this paper lies in the reinforcement of statements about the profitability of momentum trend trading strategies. Practical benefit of the research is a trading algorithm in falling markets and back-test analysis in futures markets. When based on daily data, the algorithm has generated positive results, especially when the market had downtrend period. Downtrend algorithm can be applied as a hedge strategy against possible sudden market crashes. The proposed strategy can be interesting for futures traders, hedge funds or scientific researchers performing technical or algorithmic market analysis based on momentum trend trading.

Keywords: trading algorithm, chart pattern, downtrend trading, futures market, hedging

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