Search results for: Asymmetric volatility transmission
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1009

Search results for: Asymmetric volatility transmission

919 Influence of Power Flow Controller on Energy Transaction Charges in Restructured Power System

Authors: Manisha Dubey, Gaurav Gupta, Anoop Arya

Abstract:

The demand for power supply increases day by day in developing countries like India henceforth demand of reactive power support in the form of ancillary services provider also has been increased. The multi-line and multi-type Flexible alternating current transmission system (FACTS) controllers are playing a vital role to regulate power flow through the transmission line. Unified power flow controller and interline power flow controller can be utilized to control reactive power flow through the transmission line. In a restructured power system, the demand of such controller is being popular due to their inherent capability. The transmission pricing by using reactive power cost allocation through modified matrix methodology has been proposed. The FACTS technologies have quite costly assembly, so it is very useful to apportion the expenses throughout the restructured electricity industry. Therefore, in this work, after embedding the FACTS devices into load flow, the impact on the costs allocated to users in fraction to the transmission framework utilization has been analyzed. From the obtained results, it is clear that the total cost recovery is enhanced towards the Reactive Power flow through the different transmission line for 5 bus test system. The fair pricing policy towards reactive power can be achieved by the proposed method incorporating FACTS controller towards cost recovery of the transmission network.

Keywords: Inter line power flow controller, Transmission Pricing, Unified power flow controller, cost allocation.

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918 Enhance Power Quality by HVDC System, Comparison Technique between HVDC and HVAC Transmission Systems

Authors: Smko Zangana, Ergun Ercelebi

Abstract:

The alternating current is the main power in all industries and other aspects especially for the short and mid distances, but as far as long a distance which exceeds 500 KMs, using the alternating current technically will face many difficulties and more costs because it's difficult to control the current and also other restrictions. Therefore, recently those reasons led to building transmission lines HVDC to transmit power for long distances. This document presents technical comparison and assessments for power transmission system among distances either ways and studying the stability of the system regarding the proportion of losses in the actual power sent and received between both sides in different systems and also categorizing filters used in the HVDC system and its impact and effect on reducing Harmonic in the power transmission. MATLAB /Simulink simulation software is used to simulate both HVAC & HVDC power transmission system topologies.

Keywords: HVAC power system, HVDC power system, power system simulation (MATLAB), the alternating current, voltage stability.

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917 Numerical Optimization within Vector of Parameters Estimation in Volatility Models

Authors: J. Arneric, A. Rozga

Abstract:

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

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

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916 Software to Encrypt Messages Using Public-Key Cryptography

Authors: E. Inzunza-González, C. Cruz-Hernández, R. M. López-Gutiérrez, E. E. García-Guerrero, L. Cardoza- Avendaño, H. Serrano-Guerrero

Abstract:

In this paper the development of a software to encrypt messages with asymmetric cryptography is presented. In particular, is used the RSA (Rivest, Shamir and Adleman) algorithm to encrypt alphanumeric information. The software allows to generate different public keys from two prime numbers provided by the user, the user must then select a public-key to generate the corresponding private-key. To encrypt the information, the user must provide the public-key of the recipient as well as the message to be encrypted. The generated ciphertext can be sent through an insecure channel, so that would be very difficult to be interpreted by an intruder or attacker. At the end of the communication, the recipient can decrypt the original message if provide his/her public-key and his/her corresponding private-key.

Keywords: Asymmetric cryptography, Prime number, Publickey, Private-key, Software.

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915 Nonlinear and Asymmetric Adjustment to Purchasing Power Parity in East-Asian Countries

Authors: Wen-Chi Liu

Abstract:

This study applies a simple and powerful nonlinear unit root test to test the validity of long-run purchasing power parity (PPP)  in a sample of 10 East-Asian countries (i.e., China, Hong Kong,  Indonesia, Japan, Korea, Malaysia, Philippines, Singapore, Taiwan  and Thailand) over the period of March 1985 to September 2008. The empirical results indicate that PPP holds true for half of these 10  East-Asian countries under study, and the adjustment toward PPP is found to be nonlinear and in an asymmetric way. 

 

Keywords: Purchasing Power Parity, East-Asian Countries, Nonlinear Unit Root Test, Asymmetry.

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914 Adaptive Kernel Filtering Used in Video Processing

Authors: Rasmus Engholm, Eva B. Vedel Jensen, Henrik Karstoft

Abstract:

In this paper we present a noise reduction filter for video processing. It is based on the recently proposed two dimensional steering kernel, extended to three dimensions and further augmented to suit the spatial-temporal domain of video processing. Two alternative filters are proposed - the time symmetric kernel and the time asymmetric kernel. The first reduces the noise on single sequences, but to handle the problems at scene shift the asymmetric kernel is introduced. The performance of both are tested on simulated data and on a real video sequence together with the existing steering kernel. The proposed kernels improves the Rooted Mean Squared Error (RMSE) compared to the original steering kernel method on video material.

Keywords: Adaptive image filtering, noise reduction, kernel methods, video processing.

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913 Two Different Solutions for Gigabit Ethernet Transmission over POF

Authors: Stefano Straullu, Silvio Abrate, Antonino Nespola, Paolo Savio, Roberto Gaudino

Abstract:

Two completely different approaches for a Gigabit Ethernet compliant stream transmission over 50m of 1mm PMMA SI-POF have been experimentally demonstrated and are compared in this paper. The first solution is based on a commercial RC-LED transmission and a careful optimization of the physical layer architecture, realized during the POF-PLUS EU Project. The second solution exploits the performance of an edge-emitting laser at the transmitter side in order to avoid any sort of electrical equalization at the receiver side.

Keywords: Gigabit Ethernet, Home Networking, Step-Index Polymer Optical Fiber (SI-POF)

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912 A Distributed Topology Control Algorithm to Conserve Energy in Heterogeneous Wireless Mesh Networks

Authors: F. O. Aron, T. O. Olwal, A. Kurien, M. O. Odhiambo

Abstract:

A considerable amount of energy is consumed during transmission and reception of messages in a wireless mesh network (WMN). Reducing per-node transmission power would greatly increase the network lifetime via power conservation in addition to increasing the network capacity via better spatial bandwidth reuse. In this work, the problem of topology control in a hybrid WMN of heterogeneous wireless devices with varying maximum transmission ranges is considered. A localized distributed topology control algorithm is presented which calculates the optimal transmission power so that (1) network connectivity is maintained (2) node transmission power is reduced to cover only the nearest neighbours (3) networks lifetime is extended. Simulations and analysis of results are carried out in the NS-2 environment to demonstrate the correctness and effectiveness of the proposed algorithm.

Keywords: Topology Control, Wireless Mesh Networks, Backbone, Energy Efficiency, Localized Algorithm.

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911 The Non-Uniqueness of Partial Differential Equations Options Price Valuation Formula for Heston Stochastic Volatility Model

Authors: H. D. Ibrahim, H. C. Chinwenyi, T. Danjuma

Abstract:

An option is defined as a financial contract that provides the holder the right but not the obligation to buy or sell a specified quantity of an underlying asset in the future at a fixed price (called a strike price) on or before the expiration date of the option. This paper examined two approaches for derivation of Partial Differential Equation (PDE) options price valuation formula for the Heston stochastic volatility model. We obtained various PDE option price valuation formulas using the riskless portfolio method and the application of Feynman-Kac theorem respectively. From the results obtained, we see that the two derived PDEs for Heston model are distinct and non-unique. This establishes the fact of incompleteness in the model for option price valuation.

Keywords: Option price valuation, Partial Differential Equations, Black-Scholes PDEs, Ito process.

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910 Relay Node Selection Algorithm for Cooperative Communications in Wireless Networks

Authors: Sunmyeng Kim

Abstract:

IEEE 802.11a/b/g standards support multiple transmission rates. Even though the use of multiple transmission rates increase the WLAN capacity, this feature leads to the performance anomaly problem. Cooperative communication was introduced to relieve the performance anomaly problem. Data packets are delivered to the destination much faster through a relay node with high rate than through direct transmission to the destination at low rate. In the legacy cooperative protocols, a source node chooses a relay node only based on the transmission rate. Therefore, they are not so feasible in multi-flow environments since they do not consider the effect of other flows. To alleviate the effect, we propose a new relay node selection algorithm based on the transmission rate and channel contention level. Performance evaluation is conducted using simulation, and shows that the proposed protocol significantly outperforms the previous protocol in terms of throughput and delay.

Keywords: Cooperative communications, MAC protocol, Relay node, WLAN.

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909 Multi-Line Power Flow Control using Interline Power Flow Controller (IPFC) in Power Transmission Systems

Authors: A.V.Naresh Babu, S.Sivanagaraju, Ch.Padmanabharaju, T.Ramana

Abstract:

The interline power flow controller (IPFC) is one of the latest generation flexible AC transmission systems (FACTS) controller used to control power flows of multiple transmission lines. This paper presents a mathematical model of IPFC, termed as power injection model (PIM). This model is incorporated in Newton- Raphson (NR) power flow algorithm to study the power flow control in transmission lines in which IPFC is placed. A program in MATLAB has been written in order to extend conventional NR algorithm based on this model. Numerical results are carried out on a standard 2 machine 5 bus system. The results without and with IPFC are compared in terms of voltages, active and reactive power flows to demonstrate the performance of the IPFC model.

Keywords: flexible AC transmission systems (FACTS), interline power flow controller (IPFC), power injection model (PIM), power flow control.

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908 The Impact of Self-Phase Modulation on Dispersion Compensated Mapping Multiplexing Technique (MMT)

Authors: Mohamed A. Elsherif, A. Malekmohammadi

Abstract:

An exploration in the competency of the optical multilevel Mapping Multiplexing Technique (MMT) system in tolerating to the impact of nonlinearities as Self Phase Modulation (SPM) during the presence of dispersion compensation methods. The existence of high energy pulses stimulates deterioration in the chirp compression process attained by SPM which introduces an upper power boundary limit. An evaluation of the post and asymmetric prepost fiber compensation methods have been deployed on the MMT system compared with others of the same bit rate modulation formats. The MMT 40 Gb/s post compensation system has 1.4 dB enhancements to the 40 Gb/s 4-Arysystem and less than 3.9 dB penalty compared to the 40 Gb/s OOK-RZsystem. However, the optimized Pre-Post asymmetric compensation has an enhancement of 4.6 dB compared to the Post compensation MMT configuration for a 30% pre compensation dispersion.

Keywords: Dispersion compensation, mapping multiplexing technique, self-phase modulation.

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907 Role of Viscosity Ratio in Liquid-Liquid Jets under Radial Electric Field

Authors: Siddharth Gadkari, Rochish Thaokar

Abstract:

The effect of viscosity ratio (λ, defined as viscosity of surrounding medium/viscosity of fluid jet) on stability of axisymmetric (m=0) and asymmetric (m=1) modes of perturbation on a liquid-liquid jet in presence of radial electric field (E0 ), is studied using linear stability analysis. The viscosity ratio is shown to have a damping effect on both the modes of perturbation. However the effect was found more pronounced for the m=1 mode as compared to m=1 mode. Investigating the effect of both E0 and λ simultaneously, an operating diagram is generated, which clearly shows the regions of dominance of the two modes for a range of electric field and viscosity ratio values.

Keywords: liquid-liquid jet, axisymmetric perturbation, asymmetric perturbation, radial electric field

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906 Swine Flu Transmission Model in Risk and Non-Risk Human Population

Authors: P. Pongsumpun

Abstract:

The Swine flu outbreak in humans is due to a new strain of influenza A virus subtype H1N1 that derives in part from human influenza, avian influenza, and two separated strains of swine influenza. It can be transmitted from human to human. A mathematical model for the transmission of Swine flu is developed in which the human populations are divided into two classes, the risk and non-risk human classes. Each class is separated into susceptible, exposed, infectious, quarantine and recovered sub-classes. In this paper, we formulate the dynamical model of Swine flu transmission and the repetitive contacts between the people are also considered. We analyze the behavior for the transmission of this disease. The Threshold condition of this disease is found and numerical results are shown to confirm our theoretical predictions.

Keywords: Mathematical model, Steady state, Swine flu, threshold condition.

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905 The Use of Artificial Neural Network in Option Pricing: The Case of S and P 100 Index Options

Authors: Zeynep İltüzer Samur, Gül Tekin Temur

Abstract:

Due to the increasing and varying risks that economic units face with, derivative instruments gain substantial importance, and trading volumes of derivatives have reached very significant level. Parallel with these high trading volumes, researchers have developed many different models. Some are parametric, some are nonparametric. In this study, the aim is to analyse the success of artificial neural network in pricing of options with S&P 100 index options data. Generally, the previous studies cover the data of European type call options. This study includes not only European call option but also American call and put options and European put options. Three data sets are used to perform three different ANN models. One only includes data that are directly observed from the economic environment, i.e. strike price, spot price, interest rate, maturity, type of the contract. The others include an extra input that is not an observable data but a parameter, i.e. volatility. With these detail data, the performance of ANN in put/call dimension, American/European dimension, moneyness dimension is analyzed and whether the contribution of the volatility in neural network analysis make improvement in prediction performance or not is examined. The most striking results revealed by the study is that ANN shows better performance when pricing call options compared to put options; and the use of volatility parameter as an input does not improve the performance.

Keywords: Option Pricing, Neural Network, S&P 100 Index, American/European options

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904 Transmission Performance of Millimeter Wave Multiband OFDM UWB Wireless Signal over Fiber System

Authors: M. Mohamed, X. Zhang, K. Wu, M. Elfituri, A. Legnain

Abstract:

Performance of millimeter-wave (mm-wave) multiband orthogonal frequency division multiplexing (MB-OFDM) ultrawideband (UWB) signal generation using frequency quadrupling technique and transmission over fiber is experimentally investigated. The frequency quadrupling is achived by using only one Mach- Zehnder modulator (MZM) that is biased at maximum transmission (MATB) point. At the output, a frequency quadrupling signal is obtained then sent to a second MZM. This MZM is used for MBOFDM UWB signal modulation. In this work, we demonstrate 30- GHz mm-wave wireless that carries three-bands OFDM UWB signals, and error vector magnitude (EVM) is used to analyze the transmission quality. It is found that our proposed technique leads to an improvement of 3.5 dB in EVM at 40% of local oscillator (LO) modulation with comparison to the technique using two cascaded MZMs biased at minimum transmission (MITB) point.

Keywords: Optical communication, Frequency up-conversion, Mach-Zehnder modulator, millimeter wave generation, radio over fiber

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903 An Improved Cooperative Communication Scheme for IoT System

Authors: Eui-Hak Lee, Jae-Hyun Ro, Hyoung-Kyu Song

Abstract:

In internet of things (IoT) system, the communication scheme with reliability and low power is required to connect a terminal. Cooperative communication can achieve reliability and lower power than multiple-input multiple-output (MIMO) system. Cooperative communication increases the reliability with low power, but decreases a throughput. It has a weak point that the communication throughput is decreased. In this paper, a novel scheme is proposed to increase the communication throughput. The novel scheme is a transmission structure that increases transmission rate. A decoding scheme according to the novel transmission structure is proposed. Simulation results show that the proposed scheme increases the throughput without bit error rate (BER) performance degradation.

Keywords: Cooperative communication, IoT, STBC, Transmission rate.

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902 Effects of the Stock Market Dynamic Linkages on the Central and Eastern European Capital Markets

Authors: Ioan Popa, Cristiana Tudor, Radu Lupu

Abstract:

The interdependences among stock market indices were studied for a long while by academics in the entire world. The current financial crisis opened the door to a wide range of opinions concerning the understanding and measurement of the connections considered to provide the controversial phenomenon of market integration. Using data on the log-returns of 17 stock market indices that include most of the CEE markets, from 2005 until 2009, our paper studies the problem of these dependences using a new methodological tool that takes into account both the volatility clustering effect and the stochastic properties of these linkages through a Dynamic Conditional System of Simultaneous Equations. We find that the crisis is well captured by our model as it provides evidence for the high volatility – high dependence effect.

Keywords: Stock market interdependences, Dynamic System ofSimultaneous Equations, financial crisis

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901 Study of Effect of Gear Tooth Accuracy on Transmission Mount Vibration

Authors: Kalyan Deepak Kolla, Ketan Paua, Rajkumar Bhagate

Abstract:

Transmission dynamics occupy major role in customer perception of the product in both senses of touch and quality of sound. The quantity and quality of sound perceived is more concerned with the whine noise of the gears engaged. Whine noise is tonal in nature and tonal noises cause fatigue and irritation to customers, which in turn affect the quality of the product. Transmission error is the usual suspect for whine noise, which can be caused due to misalignments, tolerances, manufacturing variabilities. In-cabin noise is also more sensitive to the gear design. As the details of the gear tooth design and manufacturing are in microns, anything out of the tolerance zone, either in design or manufacturing, will cause a whine noise. This will also cause high variation in stress and deformation due to change in the load and leads to the fatigue failure of the gears. Hence gear design and development take priority in the transmission development process. This paper aims to study such variability by considering five pairs of helical spur gears and their effect on the transmission error, contact pattern and vibration level on the transmission.

Keywords: Gears, whine noise, manufacturing variability, mount vibration variability.

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900 Modeling Reflection and Transmission of Elastodiffussive Wave Sata Semiconductor Interface

Authors: A. A. Sharma, B. J. N. Sharma

Abstract:

This paper deals with the study of reflection and transmission characteristics of acoustic waves at the interface of a semiconductor half-space and elastic solid. The amplitude ratios (reflection and transmission coefficients) of reflected and transmitted waves to that of incident wave varying with the incident angles have been examined for the case of quasi-longitudinal wave. The special cases of normal and grazing incidence have also been derived with the help of Gauss elimination method. The mathematical model consisting of governing partial differential equations of motion and charge carriers’ diffusion of n-type semiconductors and elastic solid has been solved both analytically and numerically in the study. The numerical computations of reflection and transmission coefficients has been carried out by using MATLAB programming software for silicon (Si) semiconductor and copper elastic solid. The computer simulated results have been plotted graphically for Si semiconductors. The study may be useful in semiconductors, geology, and seismology in addition to surface acoustic wave (SAW) devices.

Keywords: Quasilongitudinal, reflection and transmission, semiconductors, acoustics.

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899 Bail-in Capital: The New Box

Authors: Manu Krishnan, Phil Jacoby

Abstract:

In this paper, we discuss the paradigm shift in bank capital from the “gone concern" to the “going concern" mindset. We then propose a methodology for pricing a product of this shift called Contingent Capital Notes (“CoCos"). The Merton Model can determine a price for credit risk by using the firm-s equity value as a call option on those assets. Our pricing methodology for CoCos also uses the credit spread implied by the Merton Model in a subsequent derivative form created by John Hull et al . Here, a market implied asset volatility is calculated by using observed market CDS spreads. This implied asset volatility is then used to estimate the probability of triggering a predetermined “contingency event" given the distanceto- trigger (DTT). The paper then investigates the effect of varying DTTs and recovery assumptions on the CoCo yield. We conclude with an investment rationale.

Keywords: CoCo, Contingent capital, Bank Capital, Tier1 Capital

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898 The Relationship between the Disposition Effect and Herding Behavior: Evidence from Taiwan’s Information Technology Stocks

Authors: Chih-Hsiang Chang

Abstract:

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

Keywords: Herding behavior, Disposition effect, Behavioral finance.

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897 Congestion Management in a Deregulated Power System with Micro Grid

Authors: Guguloth Ramesh, T. K. Sunil Kumar

Abstract:

This paper presents congestion management in deregulated power systems. In a deregulated environment, every buyer wants to buy power from the cheapest generator available, irrespective of relative geographical location of buyer and seller. As a consequence of this, the transmission corridors evacuating the power of cheaper generators would get overloaded if all such transactions are approved. Congestion management is a mechanism to prioritize the transactions and commit to such a schedule which would not overload the network. The congestions in the transmission lines are determined by Optimal Power Flow (OPF) solution, which is carried by primal liner programming method. Congestion in the transmission lines are alleviated by connected Distributed Generation (DG) of micro grid at load bus. A method to determine the optimal location of DG unit has been suggested based on transmission line relief sensitivity based approach. The effectiveness of proposed method has been demonstrated on modified IEEE-14 and 30 bus test systems.

Keywords: Congestion management, Distribution Generation (DG), Transmission Line Relief (TLR) sensitivity index, OPF.

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896 Image Transmission: A Case Study on Combined Scheme of LDPC-STBC in Asynchronous Cooperative MIMO Systems

Authors: Shan Ding, Lijia Zhang, Hongming Xu

Abstract:

this paper presents a novel scheme which is capable of reducing the error rate and improves the transmission performance in the asynchronous cooperative MIMO systems. A case study of image transmission is applied to prove the efficient of scheme. The linear dispersion structure is employed to accommodate the cooperative wireless communication network in the dynamic topology of structure, as well as to achieve higher throughput than conventional space–time codes based on orthogonal designs. The LDPC encoder without girth-4 and the STBC encoder with guard intervals are respectively introduced. The experiment results show that the combined coder of LDPC-STBC with guard intervals can be the good error correcting coders and BER performance in the asynchronous cooperative communication. In the case study of image transmission, the results show that in the transmission process, the image quality which is obtained by applied combined scheme is much better than it which is not applied the scheme in the asynchronous cooperative MIMO systems.

Keywords: Cooperative MIMO, image transmission, lineardispersion codes, Low-Density Parity-Check (LDPC)

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895 Effectiveness Evaluation of a Machine Design Process Based on the Computation of the Specific Output

Authors: Barenten Suciu

Abstract:

In this paper, effectiveness of a machine design process is evaluated on the basis of the specific output calculus. Concretely, a screw-worm gear mechanical transmission is designed by using the classical and the 3D-CAD methods. Strength analysis and drawing of the designed parts is substantially aided by employing the SolidWorks software. Quality of the design process is assessed by manufacturing (printing) the parts, and by computing the efficiency, specific load, as well as the specific output (work) of the mechanical transmission. Influence of the stroke, travelling velocity and load on the mechanical output, is emphasized. Optimal design of the mechanical transmission becomes possible by the appropriate usage of the acquired results.

Keywords: Mechanical transmission, design, screw, worm-gear, efficiency, specific output, 3D-printing.

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894 Distance Transmission Line Protection Based on Radial Basis Function Neural Network

Authors: Anant Oonsivilai, Sanom Saichoomdee

Abstract:

To determine the presence and location of faults in a transmission by the adaptation of protective distance relay based on the measurement of fixed settings as line impedance is achieved by several different techniques. Moreover, a fast, accurate and robust technique for real-time purposes is required for the modern power systems. The appliance of radial basis function neural network in transmission line protection is demonstrated in this paper. The method applies the power system via voltage and current signals to learn the hidden relationship presented in the input patterns. It is experiential that the proposed technique is competent to identify the particular fault direction more speedily. System simulations studied show that the proposed approach is able to distinguish the direction of a fault on a transmission line swiftly and correctly, therefore suitable for the real-time purposes.

Keywords: radial basis function neural network, transmission lines protection, relaying, power system.

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893 Channels Splitting Strategy for Optical Local Area Networks of Passive Star Topology

Authors: Peristera Baziana

Abstract:

In this paper, we present a network configuration for a WDM LANs of passive star topology that assume that the set of data WDM channels is split into two separate sets of channels, with different access rights over them. Especially, a synchronous transmission WDMA access algorithm is adopted in order to increase the probability of successful transmission over the data channels and consequently to reduce the probability of data packets transmission cancellation in order to avoid the data channels collisions. Thus, a control pre-transmission access scheme is followed over a separate control channel. An analytical Markovian model is studied and the average throughput is mathematically derived. The performance is studied for several numbers of data channels and various values of control phase duration.

Keywords: Access algorithm, channels division, collisions avoidance, wavelength division multiplexing.

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892 Hybrid Equity Warrants Pricing Formulation under Stochastic Dynamics

Authors: Teh Raihana Nazirah Roslan, Siti Zulaiha Ibrahim, Sharmila Karim

Abstract:

A warrant is a financial contract that confers the right but not the obligation, to buy or sell a security at a certain price before expiration. The standard procedure to value equity warrants using call option pricing models such as the Black–Scholes model had been proven to contain many flaws, such as the assumption of constant interest rate and constant volatility. In fact, existing alternative models were found focusing more on demonstrating techniques for pricing, rather than empirical testing. Therefore, a mathematical model for pricing and analyzing equity warrants which comprises stochastic interest rate and stochastic volatility is essential to incorporate the dynamic relationships between the identified variables and illustrate the real market. Here, the aim is to develop dynamic pricing formulations for hybrid equity warrants by incorporating stochastic interest rates from the Cox-Ingersoll-Ross (CIR) model, along with stochastic volatility from the Heston model. The development of the model involves the derivations of stochastic differential equations that govern the model dynamics. The resulting equations which involve Cauchy problem and heat equations are then solved using partial differential equation approaches. The analytical pricing formulas obtained in this study comply with the form of analytical expressions embedded in the Black-Scholes model and other existing pricing models for equity warrants. This facilitates the practicality of this proposed formula for comparison purposes and further empirical study.

Keywords: Cox-Ingersoll-Ross model, equity warrants, Heston model, hybrid models, stochastic.

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891 Effect of TCSR on Measured Impedance by Distance Protection in Presence Single Phase to Earth Fault

Authors: Mohamed Zellagui, Abdelaziz Chaghi

Abstract:

This paper presents the impact study of apparent reactance injected by series Flexible AC Transmission System (FACTS) i.e. Thyristor Controlled Series Reactor (TCSR) on the measured impedance of a 400 kV single electrical transmission line in the presence of phase to earth fault with fault resistance. The study deals with an electrical transmission line of Eastern Algerian transmission networks at Group Sonelgaz (Algerian Company of Electrical and Gas) compensated by TCSR connected at midpoint of the line. This compensator used to inject active and reactive powers is controlled by three TCSR-s. The simulations results investigate the impacts of the TCSR on the parameters of short circuit calculation and parameters of measured impedance by distance relay in the presence of earth fault for three cases study.

Keywords: TCSR, Transmission line, Apparent reactance, Earth fault, Symmetrical components, Distance protection, Measured impedance.

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890 Low-MAC FEC Controller for JPEG2000 Image Transmission Over IEEE 802.15.4

Authors: Kyu-Yeul Wang, Sang-Seol Lee, Jea-Yeon Song, Jea-Young Choi, Seong-Seob Shin, Dong-Sun Kim, Duck-Jin Chung

Abstract:

In this paper, we propose the low-MAC FEC controller for practical implementation of JPEG2000 image transmission using IEEE 802.15.4. The proposed low-MAC FEC controller has very small HW size and spends little computation to estimate channel state. Because of this advantage, it is acceptable to apply IEEE 802.15.4 which has to operate more than 1 year with battery. For the image transmission, we integrate the low-MAC FEC controller and RCPC coder in sensor node of LR-WPAN. The modified sensor node has increase of 3% hardware size than conventional zigbee sensor node.

Keywords: FEC, IEEE 802.15.4, JPEG2000, low-MAC.

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