Search results for: bond markets

Authors: Satjaporn Tungsong, Gun Srijuntongsiri

Abstract:

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

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

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Authors: Abdelaziz Zaidi, Belkacem Ould Bouamama, Moncef Tagina

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Bond Graph as a unified multidisciplinary tool is widely used not only for dynamic modelling but also for Fault Detection and Isolation because of its structural and causal proprieties. A binary Fault Signature Matrix is systematically generated but to make the final binary decision is not always feasible because of the problems revealed by such method. The purpose of this paper is introducing a methodology for the improvement of the classical binary method of decision-making, so that the unknown and identical failure signatures can be treated to improve the robustness. This approach consists of associating the evaluated residuals and the components reliability data to build a Hybrid Bayesian Network. This network is used in two distinct inference procedures: one for the continuous part and the other for the discrete part. The continuous nodes of the network are the prior probabilities of the components failures, which are used by the inference procedure on the discrete part to compute the posterior probabilities of the failures. The developed methodology is applied to a real steam generator pilot process.

Keywords: Redundancy relations, decision-making, Bond Graph, reliability, Bayesian Networks.

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Authors: Haroon Altarawneh, Sattam Allahawiah

Abstract:

This paper has two main ideas. Firstly, it describes Evans and Wurster-s concepts “the trade-off between reach and richness", and relates them to the impact of technology on the virtual markets. Authors Evans and Wurster see the transfer of information as a 'trade'off between richness and reach-. Reach refers to the number of people who share particular information, with Richness ['Rich'] being a more complex concept combining: bandwidth, customization, interactivity, reliability, security and currency. Traditional shopping limits the number of shops the shopper is able to visit due to time and other cost constraints; the time spent traveling consequently leaves the shopper with less time to evaluate the product. The paper concludes that although the Web provides Reach, offering Richness and the sense of community required for creating and sustaining relationships with potential clients could be difficult.

Keywords: Internet, Web sites, Richness and Reach, Ecommerce, virtual markets.

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Authors: Mohammad Ghavami, Reza S. Dilmaghani

Abstract:

This paper presents an adaptive framework for modelling financial markets using equity risk premiums, risk free rates and volatilities. The recorded economic factors are initially used to train four adaptive filters for a certain limited period of time in the past. Once the systems are trained, the adjusted coefficients are used for modelling and prediction of an important financial market index. Two different approaches based on least mean squares (LMS) and recursive least squares (RLS) algorithms are investigated. Performance analysis of each method in terms of the mean squared error (MSE) is presented and the results are discussed. Computer simulations carried out using recorded data show MSEs of 4% and 3.4% for the next month prediction using LMS and RLS adaptive algorithms, respectively. In terms of twelve months prediction, RLS method shows a better tendency estimation compared to the LMS algorithm.

Keywords: Prediction of financial markets, Adaptive methods, MSE, LSE.

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Authors: A. Badoud, M. Khemliche, S. Latreche

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The main objective developed in this paper is to find a graphic technique for modeling, simulation and diagnosis of the industrial systems. This importance is much apparent when it is about a complex system such as the nuclear reactor with pressurized water of several form with various several non-linearity and time scales. In this case the analytical approach is heavy and does not give a fast idea on the evolution of the system. The tool Bond Graph enabled us to transform the analytical model into graphic model and the software of simulation SYMBOLS 2000 specific to the Bond Graphs made it possible to validate and have the results given by the technical specifications. We introduce the analysis of the problem involved in the faults localization and identification in the complex industrial processes. We propose a method of fault detection applied to the diagnosis and to determine the gravity of a detected fault. We show the possibilities of application of the new diagnosis approaches to the complex system control. The industrial systems became increasingly complex with the faults diagnosis procedures in the physical systems prove to become very complex as soon as the systems considered are not elementary any more. Indeed, in front of this complexity, we chose to make recourse to Fault Detection and Isolation method (FDI) by the analysis of the problem of its control and to conceive a reliable system of diagnosis making it possible to apprehend the complex dynamic systems spatially distributed applied to the standard pressurized water nuclear reactor.

Keywords: Bond Graph, Modeling, Simulation, Monitoring, Analytical Redundancy Relations, Pressurized Water Reactor, Directed Graph.

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Authors: K. Y. You, Y. L. Then

Abstract:

In recent years, the hair building fiber has become popular, in other words, it is an effective method which helps people who suffer hair loss or sparse hair since the hair building fiber is capable to create a natural look of simulated hair rapidly. In the markets, there are a lot of hair fiber brands that have been designed to formulate an intense bond with hair strands and make the hair appear more voluminous instantly. However, those products have their own set of properties. Thus, in this report, some measurement techniques are proposed to identify those products. Up to five different brands of hair fiber are tested. The electrostatic and dielectric properties of the hair fibers are macroscopically tested using design DC and high frequency microwave techniques. Besides, the hair fibers are microscopically analysis by magnifying the structures of the fiber using scanning electron microscope (SEM). From the SEM photos, the comparison of the uniformly shaped and broken rate of the hair fibers in the different bulk samples can be observed respectively.

Keywords: Hair fiber, electrostatic, dielectric properties, broken rate, microwave techniques.

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Authors: Noor Azryani Auzairy, Rubi Ahmad

Abstract:

To strengthen the capital market, there is a need to integrate the capital markets within the region by removing legal or informal restriction, specifically, stock market liberalization. Thus the paper is to investigate the effects of the subsequent stock market liberalization on stock market integration in 4 ASEAN countries (Malaysia, Indonesia, Thailand, Singapore) and Korea from 1997 to 2007. The correlation between stock market liberalization and stock market integration are to be examined by analyzing the stock prices and returns within the region and in comparison with the world MSCI index. Event study method is to be used with windows of ±12 months and T-7 + T. The results show that the subsequent stock market liberalization generally, gives minor positive effects to stock returns, except for one or two countries. The subsequent liberalization also integrates the markets short-run and long-run.

Keywords: ASEAN, event method, stock market integration, stock market liberalization.

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Authors: Chin Wen Cheong

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This study employs a bivariate asymmetric GARCH model to reveal the hidden dynamics price changes and volatility among the emerging markets of Thailand and Malaysian after the Asian financial crisis from January 2001 to December 2008. Our results indicated that the equity markets are sharing the common information (shock) that transmitted among each others. These empirical findings are used to demonstrate the importance of shock and volatility dynamic transmissions in the cross-market hedging and market risk.

Keywords: multivariate ARCH, structural change, value at risk.

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Authors: S. Heydarian

Abstract:

Proton transfer and hydrogen bonding are two aspects of the chemistry of hydrogen that respectively govern the behaviour and structure of many molecules, both simple and complex. All the theoretical enol and keto conformations of 1,3-diphenyl-1,3- propandion known as dibenzoylmethane (DBM), have been investigated by means of atoms in molecules (AIM) theory. It was found that the most stable conformers are those stabilized by hydrogen bridges.The aim of the present paper is a thorough conformational analysis of DBM (with special attention on chelated cis-enol conformers) in order to obtain detailed information on the geometrical parameters, relative stabilities and rotational motion of the phenyl groups. It is also important to estimate the barrier height for ptoton transfer and hydrogen bond strength, which are the main factors governing conformational stability.

Keywords: Acetylacetone, Atoms in molecules, Dibenzoylmethane, Intramolecular hydrogen bond, Resonanceconjugation

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Authors: Adebayo-Oyetoro A. O., Oyewole O. B., Obadina A. O, Omemu M. A.

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Fermented cassava flours (lafun) sold in Ogun and Oyo States of Nigeria were collected from 10 markets for a period of two months and analysed to determine their safety status. The presence of trace metals was due to high vehicular movement around the drying sites and markets. Cyanide and moisture contents of samples were also determined to assess the adequacy of fermentation and drying. The result showed that sample OWO was found to have the highest amount of 16.02±0.12mg/kg cyanide while the lowest was found in sample OJO with 10.51±0.10mg/kg. The results also indicated that sample TVE had the highest moisture content of 18.50±0.20% while sample OWO had the lowest amount of 12.46±0.47%. Copper and lead levels were found to be highest in TVE with values 28.10mg/kg and 1.1mg/kg respectively, while sample BTS had the lowest values of 20.6mg/kg and 0.05mg/kg respectively. High value of cyanide indicated inadequate fermentation.

Keywords: Cyanide, fermented, heavy metal, lafun.

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Authors: Sumit Kumar, Sunil Kumar, Chandan Deep Singh

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This paper presents modeling and simulation of flexible robot in an underwater environment. The underwater environment completely contrasts with ground or space environment. The robot in an underwater situation is subjected to various dynamic forces like buoyancy forces, hydrostatic and hydrodynamic forces. The underwater robot is modeled as Rayleigh beam. The developed model further allows estimating the deflection of tip in two directions. The complete dynamics of the underwater robot is analyzed, which is the main focus of this investigation. The control of robot trajectory is not discussed in this paper. Simulation is performed using Symbol Shakti software.

Keywords: Bond graph modeling, dynamics. modeling, Rayleigh beam, underwater robot.

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Authors: Mohammad Ali Tabarzad, Caro Lucas

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The daily growing use of agents in software environments, because of many reasons such as independence and intelligence is not a secret anymore. One of such environments in which there is a prominent job for the agents would be emarketplaces in which a user is able to give those agents the responsibility of buying and selling, instead of searching the emarketplace himself. Making up a framework which has sufficient attention to the required roles and their relations, is the first step of achieving such e-markets. In this paper, we suggest a framework in order to establish such e-markets and we will continue investigating the roles such as seller or buyer and the relations in JADE environment in details.

Keywords: Framework, software agents, e-commerce, e-market.

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Authors: Yin-Yann Chen, Tzu-Ling Chen

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This study presents the case of an actual Taiwanese semiconductor assembly and testing manufacturer. Three major bottleneck manufacturing processes, namely, die bond, wire bond, and molding, are analyzed to determine how to use finite resources to achieve the optimal capacity allocation. A medium-term capacity allocation planning model is developed by considering the optimal total profit to satisfy the promised volume demanded by customers and to obtain the best migration decision among production lines for machines and tools. Finally, sensitivity analysis based on the actual case is provided to explore the effect of various parameter levels.

Keywords: Capacity planning, capacity allocation, machine migration, resource configuration.

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Authors: Nor Fadzillah Mohd Mokhtar, Norihan Md Arifin, Roslinda Nazar, Fudziah Ismail, MohamedSuleiman

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The stability analysis of Marangoni convection in porous media with a deformable upper free surface is investigated. The linear stability theory and the normal mode analysis are applied and the resulting eigenvalue problem is solved exactly. The Darcy law and the Brinkman model are used to describe the flow in the porous medium heated from below. The effect of the Crispation number, Bond number and the Biot number are analyzed for the stability of the system. It is found that a decrease in the Crispation number and an increase in the Bond number delay the onset of convection in porous media. In addition, the system becomes more stable when the Biot number is increases and the Daeff number is decreases.

Keywords: Deformable, Marangoni, Porous, Stability.

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Authors: Petr Teply

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The New Basel Capital Accord (Basel II) influences how financial institutions around the world, and especially European Union institutions, determine the amount of capital to reserve. However, as the recent global crisis has shown, the revision of Basel II is needed to reflect current trends, such as increased volatility and correlation, in the world financial markets. The overall objective of Basel II is to increase the safety and soundness of the international financial system. Basel II builds on three main pillars: Pillar I deals with the minimum capital requirements for credit, market and operational risk, Pillar II focuses on the supervisory review process and finally Pillar III promotes market discipline through enhanced disclosure requirements for banks. The aim of this paper is to provide the historical background, key features and impact of Basel II on financial markets. Moreover, we discuss new proposals for international bank regulation (sometimes referred to as Basel III) which include requirements for higher quality, constituency and transparency of banks' capital and risk management, regulation of OTC markets and introduction of new liquidity standards for internationally active banks.

Keywords: Basel II, Basel III, risk management, bank regulation

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Authors: B. Noruziaan, A. Shvarzman, R. Leahy

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An innovative flooring underlayment was produced and tested. The composite system is made of common OSB boards and a layer of eco-friendly non-cement gypsum based material (GeoGypTM). It was found that the shear bond between the two materials is sufficient to secure the composite interaction between the two. The very high compressive strength and relatively high tensile strength of the non-cement based component together with its high modulus of elasticity provides enough strength and stiffness for the composite product to cover wider spacing between the joists. The initial findings of this study indicate that with joist spacing as wide as 800 mm, the flooring system provides enough strength without compromising the serviceability requirements of the building codes.

Keywords: Composite, floor deck, gypsum based, lumber joist, non-cement, oriented strandboard, shear bond.

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Authors: F. Kharchi, M. Benhadji, O. Bouksani

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The objective of this work is to study the influence of the properties of the substrate on the retrofit (thin repair) of damaged concrete elements, with the SCC. Fluidity, principal characteristic of the SCC, would enable it to cover and adhere to the concrete to be repaired. Two aspects of repair are considered, the bond (Adhesion) and the tensile strength and the cracking. The investigation is experimental; It was conducted over test specimens made up of ordinary concrete prepared and hardened in advance (the material to be repaired) over which a self compacting concrete layer is cast. Three alternatives of SC concrete and one ordinary concrete (comparison) were tested. It appears that the self-compacting concrete constitutes a good material for repairing. It follows perfectly the surfaces- forms to be repaired and allows a perfect bond. Fracture tests made on specimens of self-compacting concrete show a brittle behaviour. However when a small percentage of fibres is added, the resistance to cracking is very much improve.

Keywords: Adhesion, concrete, experimental, repair, self-compacting.

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Authors: I-Ling Chang, Jer-An Chen

Abstract:

The elastic properties and fracture of two-dimensional graphene were calculated purely from the atomic bonding (stretching and bending) based on molecular mechanics method. Considering the representative unit cell of graphene under various loading conditions, the deformations of carbon bonds and the variations of the interlayer distance could be realized numerically under the geometry constraints and minimum energy assumption. In elastic region, it was found that graphene was in-plane isotropic. Meanwhile, the in-plane deformation of the representative unit cell is not uniform along armchair direction due to the discrete and non-uniform distributions of the atoms. The fracture of graphene could be predicted using fracture criteria based on the critical bond length, over which the bond would break. It was noticed that the fracture behavior were directional dependent, which was consistent with molecular dynamics simulation results.

Keywords: Energy minimization, fracture, graphene, molecular mechanics.

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Authors: Stephen B. Blumenfeld, Aaron Crawford, Andres G. Victorio

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New Zealand-s product markets experienced a surge in import competition beginning from the late 1970-s when its government began to promote a policy of more open markets. This study considers how the trade liberalization aspect of the policy may have influenced unionization and union-organizing success. For describing the trade liberalization, a model shows how the removal of import tariffs can lead to countervailing influences upon the union membership of a domestic firm. The evidence supports the prediction that union membership has been decreased rather than increased. In the context of debates concerning globalization, it can be said that the power of unions has been diminished.

Keywords: Imports, tariffs, unions, wages.

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Authors: L. Chiriatti, H. Hafid, H. R. Mercado-Mendoza, K. L. Apedo, C. Fond, F. Feugeas

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Substituting natural aggregate with recycled aggregate coming from concrete demolition represents a promising alternative to face the issues of both the depletion of natural resources and the congestion of waste storage facilities. However, the crushing process of concrete demolition waste, currently in use to produce recycled concrete aggregate, does not allow the complete separation of natural aggregate from a variable amount of adhered mortar. Given the physicochemical characteristics of the latter, the introduction of recycled concrete aggregate into a concrete mix modifies, to a certain extent, both fresh and hardened concrete properties. As a consequence, the behavior of recycled reinforced concrete members could likely be influenced by the specificities of recycled concrete aggregates. Beyond the mechanical properties of concrete, and as a result of the composite character of reinforced concrete, the bond characteristics at the rebar/concrete interface have to be taken into account in an attempt to describe accurately the mechanical response of recycled reinforced concrete members. Hence, a comparative experimental campaign, including 16 pull-out tests, was carried out. Four concrete mixes with different recycled concrete aggregate content were tested. The main mechanical properties (compressive strength, tensile strength, Young’s modulus) of each concrete mix were measured through standard procedures. A single 14-mm-diameter ribbed rebar, representative of the diameters commonly used in the domain of civil engineering, was embedded into a 200-mm-side concrete cube. The resulting concrete cover is intended to ensure a pull-out type failure (i.e. exceedance of the rebar/concrete interface shear strength). A pull-out test carried out on the 100% recycled concrete specimen was enriched with exploratory acoustic emission measurements. Acoustic event location was performed by means of eight piezoelectric transducers distributed over the whole surface of the specimen. The resulting map was compared to existing data related to natural aggregate concrete. Damage distribution around the reinforcement and main features of the characteristic bond stress/free-end slip curve appeared to be similar to previous results obtained through comparable studies carried out on natural aggregate concrete. This seems to show that the usual bond mechanism sequence (‘chemical adhesion’, mechanical interlocking and friction) remains unchanged despite the addition of recycled concrete aggregate. However, the results also suggest that bond efficiency seems somewhat improved through the use of recycled concrete aggregate. This observation appears to be counter-intuitive with regard to the diminution of the main concrete mechanical properties with the recycled concrete aggregate content. As a consequence, the impact of recycled concrete aggregate content on bond characteristics seemingly represents an important factor which should be taken into account and likely to be further explored in order to determine flexural parameters such as deflection or crack distribution.

Keywords: Acoustic emission monitoring, high-bond steel rebar, pull-out test, recycled aggregate concrete.

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Authors: Emmanuel Selase Asamoah, Miloslava Chovancová

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When choosing marketing strategies for international markets, one of the factors that should be considered is the cultural differences that exist among consumers in different countries. If the branding strategy has to be contextual and in tune with the culture, then the brand positioning variables has to interact, adapt and respond to the cultural variables in which the brand is operating. This study provides an overview of the relevance of culture in the development of an effective branding strategy in the international business environment. Hence, the main objective of this study is to provide a managerial framework for developing strategies for cross cultural brand management. The framework is useful because it incorporates the variables that are important in the competitiveness of fast food enterprises irrespective of their size. It provides practical, proactive and result oriented analysis that will help fast food firms augment their strategies in the international fast food markets. The proposed framework will enable managers understand the intricacies involved in branding in the global fast food industry and decrease the use of 'trial and error' when entering into unfamiliar markets.

Keywords: culture, branding strategy, marketing mix, mass customization, standardization

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Authors: Tomohiro Ando, Satoshi Yamashita

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The objective of this study is to propose a statistical modeling method which enables simultaneous term structure estimation of the risk-free interest rate, hazard and loss given default, incorporating the characteristics of the bond issuing company such as credit rating and financial information. A reduced form model is used for this purpose. Statistical techniques such as spline estimation and Bayesian information criterion are employed for parameter estimation and model selection. An empirical analysis is conducted using the information on the Japanese bond market data. Results of the empirical analysis confirm the usefulness of the proposed method.

Keywords: Empirical Bayes, Hazard term structure, Loss given default.

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Authors: Zhaoyu Chen

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In this study, an attempt was made to find reasons why tourists go to particular attractions. Tourists may be either motivated by the attractions or simply make the choice to satisfy their needs and desires. Based on the attractions in Hong Kong, this research was conducted to explore the attraction-related concepts to discuss how the attraction system works. Due to the limited studies on exploring the attractiveness of attractions through tourist movement patterns, the study aims to evaluate such indicators to determine whether tourists are motivated by attractiveness or their own needs. The investigation is conducted through the comparison of different source markets - Mainland China, short haul markets (excluding Mainland China) and long haul markets. The latest finding of Departing Visitor Survey (DVS) implemented by the Hong Kong Tourism Board (HKTB) is employed for the analysis. Various tourist movement patterns are drawn from the practical data. The managerial implication to destination management organizations (DMOs) is suggested to better allocate attractions according to the needs of tourists.

Keywords: Attractions, attraction system, Hong Kong, tourist movement patterns.

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Authors: I. Ionascu, M. Ionascu, D.-A. Calu, L. Olimid

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This paper investigates several factors affecting the cost of capital for listed Romanian companies. Although there is a large amount of literature investigating the drivers of the cost of capital internationally, there is currently little evidence from emergent markets. Based on a sample of 19 Romanian listed companies followed by financial analysts for the years 2008-2010, according to Thomson Reuters- I/B/E/S data base, the paper confirms the international trends, showing that size, corporate governance policies, and growth are negatively correlated with the cost of capital.

Keywords: Corporate governance, determinants of the cost of capital, emergent markets.

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Authors: Simon Huston, Ebraheim Lahbash, Ali Parsa

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The development of the United Arab Emirates (UAE) into a regional trade, tourism, finance and logistics hub has transformed its real estate markets. However, speculative activity and price volatility remain concerns. UAE residential market values (MV) are exposed to fluctuations in capital flows and migration which, in turn, are affected by geopolitical uncertainty, oil price volatility and global investment market sentiment. Internally, a complex interplay between administrative boundaries, land tenure, building quality and evolving location characteristics fragments UAE residential property markets. In short, the UAE Residential Valuation System (UAE-RVS) confronts multiple challenges to collect, filter and analyze relevant information in complex and dynamic spatial and capital markets. A robust (RVS) can mitigate the risk of unhelpful volatility, speculative excess or investment mistakes. The research outlines the institutional, ontological, dynamic and epistemological issues at play. We highlight the importance of system capabilities, valuation standard salience and stakeholders trust.

Keywords: Valuation, property rights, information, institutions, trust, salience.

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Authors: Reza Kazemi , Iman Mousavinejad

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Steer-By-Wire ( SBW ) has several advantages of packaging flexibility , advanced vehicle control system ,and superior performance . SBW has no mechanical linkage between the steering gear and the steering column. It is possible to control the steering wheel and the front-wheel steering independently. SBW system is composed of two motors controlled by ECU. One motor in the steering wheel is to improve the driver's steering feel and the other motor in the steering linkage is to improve the vehicle maneuverability and stability. This paper shows a new approach at modeling of SBW system by Bond Graph theory. The mechanical parts , the steering wheel motor and the front wheel motor will be modeled by this theory. The work in the paper will help to guide further researches on control algorithm of the SBW system .

Keywords: Steer-By-Wire ( SBW ), Bond Graph theory, Electronic-Control-Unit ( ECU ) , Modeling

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Authors: Aparna Viswanath

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Electricity spot prices are highly volatile under optimal generation capacity scenarios due to factors such as nonstorability of electricity, peak demand at certain periods, generator outages, fuel uncertainty for renewable energy generators, huge investments and time needed for generation capacity expansion etc. As a result market participants are exposed to price and volume risk, which has led to the development of risk management practices. This paper provides an overview of risk management practices by market participants in electricity markets using financial derivatives.

Keywords: Financial Derivatives, Forward, Futures, Options, Risk Management.

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Authors: B. K. Yeoh, Z. Arsad, C. W. Hooy

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This paper tests the level of market integration between Malaysia and Singapore stock markets with the world market. Kalman Filter (KF) methodology is used on the International Capital Asset Pricing Model (ICAPM) and the pricing errors estimated within the framework of ICAPM are used as a measure of market integration or segmentation. The advantage of the KF technique is that it allows for time-varying coefficients in estimating ICAPM and hence able to capture the varying degree of market integration. Empirical results show clear evidence of varying degree of market integration for both case of Malaysia and Singapore. Furthermore, the results show that the changes in the level of market integration are found to coincide with certain economic events that have taken placed. The findings certainly provide evidence on the practicability of the KF technique to estimate stock markets integration. In the comparison between Malaysia and Singapore stock market, the result shows that the trends of the market integration indices for Malaysia and Singapore look similar through time but the magnitude is notably different with the Malaysia stock market showing greater degree of market integration. Finally, significant evidence of varying degree of market integration shows the inappropriate use of OLS in estimating the level of market integration.

Keywords: ICAPM, Kalman filter, stock market integration.

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Authors: A. Satour, F. Boubenider, R. Halimi, A. Badidibouda

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Sandwich plates are finding an increasing range of application in the aircraft industry. The inspection of honeycomb composite structure by conventional ultrasonic technique is complex and very time consuming. The present study demonstrates a technique using guided Lamb waves at low frequencies to predict de-bond defects in aluminum skin-honeycomb core sandwich structure used in aeronautics. The numerical method was investigated for drawing the dispersion and displacement curves of ultrasonic Lamb wave propagated in Aluminum plate. An experimental study was carried out to check the theoretical prediction. The detection of unsticking between the skin and the core was tested by the two first modes for a low frequency. It was found that A0 mode is more sensitive to delamination defect compared to S0 mode.

Keywords: Damage detection, delamination, guided waves, Sandwich structure.

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Authors: Larisa N. Pop, Irina M. Ban

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This paper aims to present the main instruments used in the economic literature for measuring the price risk, pointing out on the advantages brought by the conditional variance in this respect. The theoretical approach will be exemplified by elaborating an EGARCH model for the price returns of wheat, both on Romanian and on international market. To our knowledge, no previous empirical research, either on price risk measurement for the Romanian markets or studies that use the ARIMA-EGARCH methodology, have been conducted. After estimating the corresponding models, the paper will compare the estimated conditional variance on the two markets.

Keywords: conditional variance, GARCH models, price risk, volatility

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