Search results for: low dynamic range

Authors: Xiang Zhang, Daohong Yang, Ziyuan Wu, Lei Li, Wanting Zhou

Abstract:

Visual Simultaneous Localization and Mapping (VSLAM) uses cameras to gather information in unknown environments to achieve simultaneous localization and mapping of the environment. This technology has a wide range of applications in autonomous driving, virtual reality, and other related fields. Currently, the research advancements related to VSLAM can maintain high accuracy in static environments. But in dynamic environments, the presence of moving objects in the scene can reduce the stability of the VSLAM system, leading to inaccurate localization and mapping, or even system failure. In this paper, a robust VSLAM method was proposed to effectively address the challenges in dynamic environments. We proposed a dynamic region removal scheme based on a semantic segmentation neural network and geometric constraints. Firstly, a semantic segmentation neural network is used to extract the prior active motion region, prior static region, and prior passive motion region in the environment. Then, the lightweight frame tracking module initializes the transform pose between the previous frame and the current frame on the prior static region. A motion consistency detection module based on multi-view geometry and scene flow is used to divide the environment into static regions and dynamic regions. Thus, the dynamic object region was successfully eliminated. Finally, only the static region is used for tracking thread. Our research is based on the ORBSLAM3 system, which is one of the most effective VSLAM systems available. We evaluated our method on the TUM RGB-D benchmark and the results demonstrate that the proposed VSLAM method improves the accuracy of the original ORBSLAM3 by 70%˜98.5% under a high dynamic environment.

Keywords: Dynamic scene, dynamic visual SLAM, semantic segmentation, scene flow, VSLAM.

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Authors: Aung Myo Thu, Sang Eon Jeon, Yung Hwan Byun, Soo Hyung Park

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The unsteady flow field around oscillating OA-209 airfoil at a Reynolds number of 3.5×105 were investigated. Three different reduced frequencies were tested in order to see how it affects the hysteresis loop of an airfoil. At a reduced frequency of 0.05 the deep dynamic stall phenomenon was observed. Lift overshooting was observed as a result of dynamic stall vortex (DSV) shedding. Further investigation was carried out to find out the cause of DSV formation and shedding over airfoil. Particle image velocimetry (PIV) and CFD tools were used and it was found out that dynamic stall separation (DSS), which is separated from leading edge separation (LES) and trailing edge separation (TES), triggered the dynamic stall vortex (DSV).

Keywords: Airfoil Flow, CFD, PIV, Dynamic Stall, Flow Separation.

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Authors: M. Sangeetha, A. Sabari, K. Elakkiya

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Recent advancement in wireless internetworking has presented a number of dynamic routing protocols based on sensor networks. At present, a number of revisions are made based on their energy efficiency, lifetime and mobility. However, to the best of our knowledge no extensive survey of this special type has been prepared. At present, review is needed in this area where cluster-based structures for dynamic wireless networks are to be discussed. In this paper, we examine and compare several aspects and characteristics of some extensively explored hierarchical dynamic clustering protocols in wireless sensor networks. This document also presents a discussion on the future research topics and the challenges of dynamic hierarchical clustering in wireless sensor networks.

Keywords: Dynamic cluster, Hierarchical clustering, Wireless sensor networks.

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Authors: Masood Uzzafer

Abstract:

A dynamic software risk assessment model is presented. Analogies between dynamic financial analysis and software risk assessment models are established and based on these analogies it suggested that dynamic risk model for software projects is the way to move forward for the risk assessment of software project. It is shown how software risk assessment change during different phases of a software project and hence requires a dynamic risk assessment model to capture these variations. Further evolution of dynamic financial analysis models is discussed and mapped to the evolution of software risk assessment models.

Keywords: Software Risk Assessment, Software ProjectManagement, Software Cost, Dynamic Modeling.

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Authors: R. Masarova, M. Juhas, B. Juhasova, Z. Sutova

Abstract:

In dynamic system theory a mathematical model is often used to describe their properties. In order to find a transfer matrix of a dynamic system we need to calculate an inverse matrix. The paper contains the fusion of the classical theory and the procedures used in the theory of automated control for calculating the inverse matrix. The final part of the paper models the given problem by the Matlab.

Keywords: Dynamic system, transfer matrix, inverse matrix, modeling.

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Authors: Khairul Jauhari, Achmad Widodo, Ismoyo Haryanto

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The spindle system is one of the most important components of machine tool. The dynamic properties of the spindle affect the machining productivity and quality of the work pieces. Thus, it is important and necessary to determine its dynamic characteristics of spindles in the design and development in order to avoid forced resonance. The finite element method (FEM) has been adopted in order to obtain the dynamic behavior of spindle system. For this reason, obtaining the Campbell diagrams and determining the critical speeds are very useful to evaluate the spindle system dynamics. The unbalance response of the system to the center of mass unbalance at the cutting tool is also calculated to investigate the dynamic behavior. In this paper, we used an ANSYS Parametric Design Language (APDL) program which based on finite element method has been implemented to make the full dynamic analysis and evaluation of the results. Results show that the calculated critical speeds are far from the operating speed range of the spindle, thus, the spindle would not experience resonance, and the maximum unbalance response at operating speed is still with acceptable limit. ANSYS Parametric Design Language (APDL) can be used by spindle designer as tools in order to increase the product quality, reducing cost, and time consuming in the design and development stages.

Keywords: ANSYS parametric design language (APDL), Campbell diagram, Critical speeds, Unbalance response, The Spindle system.

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Authors: S. V. Yendiyarov

Abstract:

Pattern discovery from time series is of fundamental importance. Particularly, when information about the structure of a pattern is not complete, an algorithm to discover specific patterns or shapes automatically from the time series data is necessary. The dynamic time warping is a technique that allows local flexibility in aligning time series. Because of this, it is widely used in many fields such as science, medicine, industry, finance and others. However, a major problem of the dynamic time warping is that it is not able to work with structural changes of a pattern. This problem arises when the structure is influenced by noise, which is a common thing in practice for almost every application. This paper addresses this problem by means of developing a novel technique called adaptive dynamic time warping.

Keywords: Pattern recognition, optimal control, quadratic programming, dynamic programming, dynamic time warping, sintering control.

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Authors: Kamaljit Kaur, Kirti Minhas, Neha Mehan, Namita Kakkar

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Software complexity metrics are used to predict critical information about reliability and maintainability of software systems. Object oriented software development requires a different approach to software complexity metrics. Object Oriented Software Metrics can be broadly classified into static and dynamic metrics. Static Metrics give information at the code level whereas dynamic metrics provide information on the actual runtime. In this paper we will discuss the various complexity metrics, and the comparison between static and dynamic complexity.

Keywords: Static Complexity, Dynamic Complexity, Halstead Metric, Mc Cabe's Metric.

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Authors: Christopher Reichstein, Ralf-Christian Härting, Martina Häußler

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With a continuously increasing speed of information exchange on the World Wide Web, retailers in the E-Commerce sector are faced with immense possibilities regarding different online purchase processes like dynamic price settings. By use of Dynamic Pricing, retailers are able to set short time price changes in order to optimize producer surplus. The empirical research illustrates the basics of Dynamic Pricing and identifies six influencing factors of Dynamic Pricing. The results of a structural equation modeling approach show five main drivers increasing the potential of dynamic price settings in the E-Commerce. Influencing factors are the knowledge of customers’ individual willingness to pay, rising sales, the possibility of customization, the data volume and the information about competitors’ pricing strategy.

Keywords: E-commerce, empirical research, experts, Dynamic Pricing (DP), influencing factors, potentials.

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Authors: Milan Paudel, Fook Fah Yap, Anil K. Bastola

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The difficulties in riding small wheel bicycles and their lesser stability have been perceived for a long time. Although small wheel bicycles are designed using the similar approach and guidelines that have worked well for big wheel bicycles, the performance of the big wheelers and the smaller wheelers are markedly different. Since both the big wheelers and small wheelers have same fundamental geometry, most blame the small wheel for this discrepancy in the performance. This paper reviews existing guidelines for bicycle design, especially the front steering geometry for the bicycle, and provides a systematic and quantitative analysis of different wheel sized bicycles. A validated mathematical model has been used as a tool to assess the dynamic performance of the bicycles in term of their self-stability. The results obtained were found to corroborate the subjective perception of cyclists for small wheel bicycles. The current approach for small wheel bicycle design requires higher speed to be self-stable. However, it was found that increasing the headtube angle and selecting a proper trail could improve the dynamic performance of small wheel bicycles. A range of parameters for front steering geometry has been identified for small wheel bicycles that have comparable stability as big wheel bicycles. Interestingly, most of the identified geometries are found to be beyond the ISO recommended range and seem to counter the current approach of small wheel bicycle design. Therefore, it was successfully shown that the guidelines for big wheelers do not translate directly to small wheelers, but careful selection of the front geometry could make small wheel bicycles as stable as big wheel bicycles.

Keywords: Big wheel bicycle, design approach, ISO requirements, small wheel bicycle, stability and performance.

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Authors: Jeongim Kang, Moon Hee Kim, Seong Baeg Kim

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This paper proposes a novel e-learning model that is  based on a dynamic formative evaluation. On evaluating the existing  format of e-learning, conditions regarding repetitive learning to  achieve mastery, causes issues for learners to lose tension and become  neglectful of learning. The dynamic formative evaluation proposed is  able to supplement limitation of the existing approaches. Since a  repetitive learning method does not provide a perfect feedback, this  paper puts an emphasis on the dynamic formative evaluation that is  able to maximize learning achievement. Through the dynamic  formative evaluation, the instructor is able to refer to the evaluation  result when making an estimation about the learner. To show the flow  chart of learning, based on the dynamic formative evaluation, the  model proves its effectiveness and validity.

 

Keywords: Online learning, dynamic formative evaluation, mastery learning, repetitive learning method, learning achievement.

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Authors: Niramol Juntarachat, Romain Privat, Jean-Noël Jaubert

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In this paper, vapour-liquid critical locus for the binary system acetone + chloroform was determined experimentally over the whole range of composition. The critical property measurements were carried out using a dynamic-synthetic apparatus, employed in the dynamic mode. The critical points are visually determined by observing the critical opalescence and the simultaneous disappearance and reappearance of the meniscus in the middle of a high-pressure view cell which withstands operations up to 673K and 20MPa. The experimental critical points measured in this work were compared to those available in literature.

Keywords: Experimental measurement, critical point, critical locus, negative azeotrope.

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Authors: Shobha Sharma, Amita Dev

Abstract:

Data driven dynamic logic is the high speed dynamic circuit with low area. The clock of the dynamic circuit is removed and data drives the circuit instead of clock for precharging purpose. This data driven dynamic nand gate is given static forward substrate biasing of Vsupply/2 as well as the substrate bias is connected to the input data, resulting in dynamic substrate bias. The dynamic substrate bias gives the shortest propagation delay with a penalty on the power dissipation. Propagation delay is reduced by 77.8% compared to the normal reverse substrate bias Data driven dynamic nand. Also dynamic substrate biased D3nand’s propagation delay is reduced by 31.26% compared to data driven dynamic nand gate with static forward substrate biasing of Vdd/2. This data driven dynamic nand gate with dynamic body biasing gives us the highest speed with no area penalty and finds its applications where power penalty is acceptable. Also combination of Dynamic and static Forward body bias can be used with reduced propagation delay compared to static forward biased circuit and with comparable increase in an average power. The simulations were done on hspice simulator with 22nm High-k metal gate strained Si technology HP models of Arizona State University, USA.

Keywords: Data driven nand gate, dynamic substrate biasing, nand gate, static substrate biasing.

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Authors: Mahesh K. Chudasama, Harit K. Raval

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3-roller conical bending process is widely used in the industries for manufacturing of conical sections and shells. It involves static as well dynamic bending stages. Analytical models for prediction of bending force during static as well as dynamic bending stage are available in the literature. In this paper bending forces required for static bending stage and dynamic bending stages have been compared using the analytical models. It is concluded that force required for dynamic bending is very less as compared to the bending force required during the static bending stage.

Keywords: Analytical modeling, cone frustum, dynamic bending, static bending.

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Authors: Dae-Hee Son, Sang-Hee Kang, Soon-Ryul Nam

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In this paper, we develop a dynamic modeling of wind farms in the Jeju power system. The dynamic model of wind farms is developed to study their dynamic effects on the Jeju power system. PSS/E is used to develop the dynamic model of a wind farm composed of 1.5-MW doubly fed induction generators. The output of a wind farm is regulated based on pitch angle control, in which the two controllable parameters are speed and power references. The simulation results confirm that the pitch angle is successfully controlled, regardless of the variation in wind speed and output regulation.

Keywords: Dynamic model, Jeju power system, pitch angle control, PSS/E, wind farm.

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Authors: Yongyoon Suh, Chulhyun Kim, Moon-soo Kim

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As the trend of manufacturing is being dominated depending on services, products and processes are more and more related with sophisticated services. Thus, this research starts with the discussion about integration of the product, process, and service in the innovation process. In particular, this paper sets out some foundations for a theory of service innovation in the field of manufacturing, and proposes the dynamic model of service innovation related to product and process. Two dynamic models of service innovation are suggested to investigate major tendencies and dynamic variations during the innovation cycle: co-innovation and sequential innovation. To structure dynamic models of product, process, and service innovation, the innovation stages in which two models are mainly achieved are identified. The research would encourage manufacturers to formulate strategy and planning for service development with product and process.

Keywords: dynamic model, service innovation, service innovation models, innovation cycle, manufacturing industry.

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Authors: K. Abuzayan, H. Alabed, J. Ezarrugh, M. Agila

Abstract:

Static and dynamic balance are essential in daily and sports life. Many factors have been identified as influencing static balance control. Therefore, the aim of this study was to apply the (XCoM) method and other relevant variables (CoP, CoM, F_h, KE, P, Q, and, AI) to investigate sport related activities such as hopping and jumping. Many studies have represented the CoP data without mentioning its accuracy so several experiments were done to establish the agreement between the CoP and the projected CoM in a static condition. 5 healthy male were participated in this study (Mean ± SD:- age 24.6 years ±4.5, height 177cm ± 6.3, body mass 72.8kg ± 6.6).Results found that the implementation of the XCoM method was found to be practical for evaluating both static and dynamic balance. The general findings were that the CoP, the CoM, the XCoM, F_h, and Q were more informative than the other variables (e.g. KE, P, and AI) during static and dynamic balance. The XCoM method was found to be applicable to dynamic balance as well as static balance.

Keywords: Centre of Mass, static balance, Dynamic balance, extrapolated Centre of Mass

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Authors: Laura Lukmanto, Harya Widiputra, Lukas

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Studies in economics domain tried to reveal the correlation between stock markets. Since the globalization era, interdependence between stock markets becomes more obvious. The Dynamic Interaction Network (DIN) algorithm, which was inspired by a Gene Regulatory Network (GRN) extraction method in the bioinformatics field, is applied to reveal important and complex dynamic relationship between stock markets. We use the data of the stock market indices from eight countries around the world in this study. Our results conclude that DIN is able to reveal and model patterns of dynamic interaction from the observed variables (i.e. stock market indices). Furthermore, it is also found that the extracted network models can be utilized to predict movement of the stock market indices with a considerably good accuracy.

Keywords: complex dynamic relationship, dynamic interaction network, interactive stock markets, stock market interdependence.

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Authors: J. Ritonja, B. Grcar

Abstract:

For the synchronous generator simulation and analysis and for the power system stabilizer design and synthesis a mathematical model of synchronous generator is needed. The model has to accurately describe dynamics of oscillations, while at the same time has to be transparent enough for an analysis and sufficiently simplified for design of control system. To study the oscillations of the synchronous generator against to the rest of the power system, the model of the synchronous machine connected to an infinite bus through a transmission line having resistance and inductance is needed. In this paper, the linearized reduced order dynamic model of the synchronous generator connected to the infinite bus is presented and analysed in details. This model accurately describes dynamics of the synchronous generator only in a small vicinity of an equilibrium state. With the digression from the selected equilibrium point the accuracy of this model is decreasing considerably. In this paper, the equations’ descriptions and the parameters’ determinations for the linearized reduced order mathematical model of the synchronous generator are explained and summarized and represent the useful origin for works in the areas of synchronous generators’ dynamic behaviour analysis and synchronous generator’s control systems design and synthesis. The main contribution of this paper represents the detailed analysis of the accuracy of the linearized reduced order dynamic model in the entire synchronous generator’s operating range. Borders of the areas where the linearized reduced order mathematical model represents accurate description of the synchronous generator’s dynamics are determined with the systemic numerical analysis. The thorough eigenvalue analysis of the linearized models in the entire operating range is performed. In the paper, the parameters of the linearized reduced order dynamic model of the laboratory salient poles synchronous generator were determined and used for the analysis. The theoretical conclusions were confirmed with the agreement of experimental and simulation results.

Keywords: Eigenvalue analysis, mathematical model, power system stability, synchronous generator.

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Authors: Giovanni Incerti

Abstract:

The dynamic behaviour of a four-bar linkage driven by a velocity controlled DC motor is discussed in the paper. In particular the author presents the results obtained by means of a specifically developed software, which implements the mathematical models of all components of the system (linkage, transmission, electric motor, control devices). The use of this software enables a more efficient design approach, since it allows the designer to check, in a simple and immediate way, the dynamic behaviour of the mechanism, arising from different values of the system parameters.

Keywords: Four-bar linkage, Speed control, Dynamic analysis.

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Authors: Josua K. Junias, Fillemon N. Nangolo, Petrina T. Johaness

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The deterioration of pavement can lead to the formation of potholes, which cause the wheels of a vehicle to experience unusual and uneven movement. In addition, improper loading practices of heavy vehicles can result in dynamic loading of the pavement due to the vehicle's response to the irregular movement caused by the potholes. The combined effects of asymmetrical vehicle loading and uneven road surfaces has an effect on pavement dynamic loading. This study aimed to model the pavement's dynamic response to heavy vehicles under different loading configurations and wheel movements. A sample of 225 cases with symmetrical and asymmetrical loading and kinematic movements was used, and 27 validated 3D pavement-vehicle interactive models were developed using SIMWISE 4D. The study found that the type of kinematic movement experienced by the heavy vehicle affects the pavement's dynamic loading, with eccentrically loaded, asymmetrically kinematic heavy vehicles having a statistically significant impact. The study also suggests that the mass of the vehicle's suspension system plays a role in the pavement's dynamic loading.

Keywords: Eccentricities, pavement dynamic loading, vertical displacement dynamic response, heavy vehicles.

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Authors: Mona M. Salem, Khaled S. Al-Hagla, Hany M. Ayad

Abstract:

The concept of urban metabolism has increasingly been employed in a diverse range of disciplines as a mean to analyze and theorize the city. Urban ecology has a particular focus on the implications of applying the metabolism concept to the urban realm. This approach has been developed by a few researchers, though it has rarely if ever been used in policy development for city planning. The aim of this research is to use ecologically informed urban planning interventions to increase the sustainability of urban metabolism; with special focus on land stock as a most important city resource by developing a system dynamic based DSS. This model identifies two critical management strategy variables for the Strategic Urban Plan Alexandria SUP 2032. As a result, this comprehensive and precise quantitative approach is needed to monitor, measure, evaluate and observe dynamic urban changes working as a decision support system (DSS) for policy making.

Keywords: Alexandria SUP 2032, DSS, ecology, land resource, LULCC, management, metabolism, model, scenarios, System dynamics, urban development.

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Authors: Giovanni Incerti, Luigi Solazzi, Candida Petrogalli

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This paper describes three lumped parameters models for the study of the dynamic behavior of a boom crane. The models here proposed allows to evaluate the fluctuations of the load arising from the rope and structure elasticity and from the type of the motion command imposed by the winch. A calculation software was developed in order to determine the actual acceleration of the lifted mass and the dynamic overload during the lifting phase. Some application examples are presented, with the aim of showing the correlation between the magnitude of the stress and the type of the employed motion command.

Keywords: Crane, dynamic model, overloading condition, vibration.

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Authors: Alexander Efremov

Abstract:

A system for market identification (SMI) is presented. The resulting representations are multivariable dynamic demand models. The market specifics are analyzed. Appropriate models and identification techniques are chosen. Multivariate static and dynamic models are used to represent the market behavior. The steps of the first stage of SMI, named data preprocessing, are mentioned. Next, the second stage, which is the model estimation, is considered in more details. Stepwise linear regression (SWR) is used to determine the significant cross-effects and the orders of the model polynomials. The estimates of the model parameters are obtained by a numerically stable estimator. Real market data is used to analyze SMI performance. The main conclusion is related to the applicability of multivariate dynamic models for representation of market systems.

Keywords: market identification, dynamic models, stepwise regression.

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Authors: Muhammad Nizam, Azah Mohamed, Majid Al-Dabbagh, Aini Hussain

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This paper presents dynamic voltage collapse prediction on an actual power system using support vector machines. Dynamic voltage collapse prediction is first determined based on the PTSI calculated from information in dynamic simulation output. Simulations were carried out on a practical 87 bus test system by considering load increase as the contingency. The data collected from the time domain simulation is then used as input to the SVM in which support vector regression is used as a predictor to determine the dynamic voltage collapse indices of the power system. To reduce training time and improve accuracy of the SVM, the Kernel function type and Kernel parameter are considered. To verify the effectiveness of the proposed SVM method, its performance is compared with the multi layer perceptron neural network (MLPNN). Studies show that the SVM gives faster and more accurate results for dynamic voltage collapse prediction compared with the MLPNN.

Keywords: Dynamic voltage collapse, prediction, artificial neural network, support vector machines

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Authors: B. Chetti

Abstract:

Dynamic characteristics of a four-lobe journal bearing of micropolar fluids are presented. Lubricating oil containing additives and contaminants is modelled as micropolar fluid. The modified Reynolds equation is obtained using the micropolar lubrication theory and solving it by using finite difference technique. The dynamic characteristics in terms of stiffness, damping coefficients, the critical mass and whirl ratio are determined for various values of size of material characteristic length and the coupling number. The results show compared with Newtonian fluids, that micropolar fluid exhibits better stability.

Keywords: Four-lobe bearings, dynamic characteristics, stabilityanalysis, micropolar fluid

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Authors: Sun Li-ping, Zhu Jian-xun, Liu Sheng-nan

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In order to study the performance of dynamic positioning system during S-lay operations, dynamic positioning system is simulated with the hull-stinger-pipe coupling effect. The roller of stinger is simulated by the generalized elastic contact theory. The stinger is composed of Morrison members. Force on pipe is calculated by lumped mass method. Time domain of fully coupled barge model is analyzed combining with PID controller, Kalman filter and allocation of thrust using Sequential Quadratic Programming method. It is also analyzed that the effect of hull wave frequency motion on pipe-stinger coupling force and dynamic positioning system. Besides, it is studied that how S-lay operations affect the dynamic positioning accuracy. The simulation results are proved to be available by checking pipe stress with API criterion. The effect of heave and yaw motion cannot be ignored on hull-stinger-pipe coupling force and dynamic positioning system. It is important to decrease the barge’s pitch motion and lay pipe in head sea in order to improve safety of the S-lay installation and dynamic positioning.

Keywords: S-lay operation, dynamic positioning, coupling motion; time domain, allocation of thrust.

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Authors: Seok Hong Min, Jung Ho Moon, Woo Young Jung, Tae Kwon Ha

Abstract:

The hot deformation behavior of high strength low alloy (HSLA) steels with different chemical compositions under hot working conditions in the temperature range of 900 to 1100℃ and strain rate range from 0.1 to 10 s-1 has been studied by performing a series of hot compression tests. The dynamic materials model has been employed for developing the processing maps, which show variation of the efficiency of power dissipation with temperature and strain rate. Also the Kumar-s model has been used for developing the instability map, which shows variation of the instability for plastic deformation with temperature and strain rate. The efficiency of power dissipation increased with decreasing strain rate and increasing temperature in the steel with higher Cr and Ti content. High efficiency of power dissipation over 20 % was obtained at a finite strain level of 0.1 under the conditions of strain rate lower than 1 s-1 and temperature higher than 1050 ℃ . Plastic instability was expected in the regime of temperatures lower than 1000 ℃ and strain rate lower than 0.3 s-1. Steel with lower Cr and Ti contents showed high efficiency of power dissipation at higher strain rate and lower temperature conditions.

Keywords: High strength low alloys steels, hot workability, Dynamic materials model, Processing maps.

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Authors: Ghada Karaki

Abstract:

The bridge vibration due to traffic loading has been a subject of extensive research during the last decades. A number of these studies are concerned with the effects of the unevenness of roadways on the dynamic responses of highway bridges. The road unevenness is often described as a random process that constitutes of different wavelengths. Thus, the study focuses on examining the effects of the random description of roadways on the dynamic response and its variance. A new setting of variance based sensitivity analysis is proposed and used to identify and quantify the contributions of the roadway-s wavelengths to the variance of the dynamic response. Furthermore, the effect of the vehicle-s speed on the dynamic response is studied.

Keywords: vehicle bridge interaction, sensitivity analysis, road unevenness, random processes, critical speeds

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Authors: Chatchai Pesee

Abstract:

This paper examines long-range dependence or longmemory of financial time series on the exchange rate data by the fractional Brownian motion (fBm). The principle of spectral density function in Section 2 is used to find the range of Hurst parameter (H) of the fBm. If 0< H <1/2, then it has a short-range dependence (SRD). It simulates long-memory or long-range dependence (LRD) if 1/2< H <1. The curve of exchange rate data is fBm because of the specific appearance of the Hurst parameter (H). Furthermore, some of the definitions of the fBm, long-range dependence and selfsimilarity are reviewed in Section II as well. Our results indicate that there exists a long-memory or a long-range dependence (LRD) for the exchange rate data in section III. Long-range dependence of the exchange rate data and estimation of the Hurst parameter (H) are discussed in Section IV, while a conclusion is discussed in Section V.

Keywords: Fractional Brownian motion, long-rangedependence, memory, short-range dependence.

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