Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Monitoring and preventing numerical oscillations in 3D simulations with coupled Monte Carlo codes

Previous studies have reported that different schemes for coupling Monte Carlo (MC) neutron transport with burnup and thermal hydraulic feedbacks may potentially be numerically unstable. This issue can be resolved by application of implicit methods, such as the stochastic implicit mid-point (SIMP) methods. In order to assure numerical stability, the new methods do require additional computational effort. The instability issue however, is problem-dependent and does not necessarily occur in all cases. Therefore, blind application of the unconditionally stable coupling schemes, and thus incurring extra computational costs, may not always be necessary. In this paper, we attempt to develop an intelligent diagnostic mechanism, which will monitor numerical stability of the calculations and, if necessary, switch from simple and fast coupling scheme to more computationally expensive but unconditionally stable one. To illustrate this diagnostic mechanism, we performed a coupled burnup and TH analysis of a single BWR fuel assembly. The results indicate that the developed algorithm can be easily implemented in any MC based code for monitoring of numerical instabilities. The proposed monitoring method has negligible impact on the calculation time even for realistic 3D multi-region full core calculations. © 2014 Elsevier Ltd. All rights reserved.

Computational study of viscous effects on lobed mixer flow features and performance

This article describes a computational study of viscous effects on lobed mixer flowfields. The computations, which were carried out using a compressible, three-dimensional, unstructured-mesh Navier-Stokes solver, were aimed at assessing the impacts on mixer performance of inlet boundary-layer thickness and boundary-layer separation within the lobe. The geometries analyzed represent a class of lobed mixer configurations used in turbofan engines. Parameters investigated included lobe penetration angles from 22 to 45 deg, stream-to-stream velocity ratios from 0.5 to 1.0, and two inlet boundary-layer displacement thicknesses. The results show quantitatively the increasing influence of viscous effects as lobe penetration angle is increased. It is shown that the simple estimate of shed circulation given by Skebe et al. (Experimental Investigation of Three-Dimensional Forced Mixer Lobe Flow Field, AIAA Paper 88-3785, July, 1988) can be extended even to situations in which the flow is separated, provided an effective mixer exit angle and height are defined. An examination of different loss sources is also carried out to illustrate the relative contributions of mixing loss and of boundary-layer viscous effects in cases of practical interest.

Mixing ventilation can reduce energy costs

The article provides information on a study on the potential of mixing ventilation in reducing energy costs in buildings such as theaters and schools. The study found that neither Manchester’s Contact Theatre and the Garrick Theatre in Lichfield in England is operating according to the displacement-ventilation principle upon which they were designed. Hybrid mixing ventilation has an important impact on both the ventilation rate and the thermal comfort of the theatres.