Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

Exploring location-dependency in process modeling

Purpose – Context-awareness has emerged as an important principle in the design of flexible business processes. The goal of the research is to develop an approach to extend context-aware business process modeling toward location-awareness. The purpose of this paper is to identify and conceptualize location-dependencies in process modeling. Design/methodology/approach – This paper uses a pattern-based approach to identify location-dependency in process models. The authors design specifications for these patterns. The authors present illustrative examples and evaluate the identified patterns through a literature review of published process cases. Findings – This paper introduces location-awareness as a new perspective to extend context-awareness in BPM research, by introducing relevant location concepts such as location-awareness and location-dependencies. The authors identify five basic location-dependent control-flow patterns that can be captured in process models. And the authors identify location-dependencies in several existing case studies of business processes. Research limitations/implications – The authors focus exclusively on the control-flow perspective of process models. Further work needs to extend the research to address location-dependencies in process data or resources. Further empirical work is needed to explore determinants and consequences of the modeling of location-dependencies. Originality/value – As existing literature mostly focusses on the broad context of business process, location in process modeling still is treated as “second class citizen” in theory and in practice. This paper discusses the vital role of location-dependencies within business processes. The proposed five basic location-dependent control-flow patterns are novel and useful to explain location-dependency in business process models. They provide a conceptual basis for further exploration of location-awareness in the management of business processes.

Maternal concern about her toddler undereating and becoming underweight and use of feeding practices - analysis of the NOURISH and SAIDI cohorts using structural equation modeling

The chubby baby who eats well is desirable in our culture. Perceived low weight gains and feeding concerns are common reasons mothers seek advice in the early years. In contrast, childhood obesity is a global public health concern. Use of coercive feeding practices, prompted by maternal concern about weight, may disrupt a child’s innate self regulation of energy intake, promoting overeating and overweight. This study describes predictors of maternal concern about her child undereating/becoming underweight and feeding practices. Mothers in the control group of the NOURISH and South Australian Infants Dietary Intake studies (n = 332) completed a self-administered questionnaire when the child was aged 12–16 months. Weight-for-age z-score (WAZ)was derived from weight measured by study staff. Mean age (SD) was 13.8 (1.3) months, mean WAZ (SD), 0.58 (0.86) and 49% were male. WAZ and two questions describing food refusal were combined in a structural equation model with four items from the Infant feeding Questionnaire (IFQ) to form the factor ‘Concern about undereating/weight’. Structural relationships were drawn between concern and IFQ factors ‘awareness of infant’s hunger and satiety cues’, ‘use of food to calm infant’s fussiness’ and ‘feeding infant on a schedule’, resulting in a model of acceptable fit. Lower WAZ and higher frequency of food refusal predicted higher maternal concern. Higher maternal concern was associated with lower awareness of infant cues (r = −.17, p = .01) and greater use of food to calm (r = .13, p = .03). In a cohort of healthy children, maternal concern about undereating and underweight was associated with practices that have the potential to disrupt self-regulation.

A tag-based personalized item recommendation system using tensor modeling and topic model approaches

This research falls in the area of enhancing the quality of tag-based item recommendation systems. It aims to achieve this by employing a multi-dimensional user profile approach and by analyzing the semantic aspects of tags. Tag-based recommender systems have two characteristics that need to be carefully studied in order to build a reliable system. Firstly, the multi-dimensional correlation, called as tag assignment , should be appropriately modelled in order to create the user profiles [1]. Secondly, the semantics behind the tags should be considered properly as the flexibility with their design can cause semantic problems such as synonymy and polysemy [2]. This research proposes to address these two challenges for building a tag-based item recommendation system by employing tensor modeling as the multi-dimensional user profile approach, and the topic model as the semantic analysis approach. The first objective is to optimize the tensor model reconstruction and to improve the model performance in generating quality rec-ommendation. A novel Tensor-based Recommendation using Probabilistic Ranking (TRPR) method [3] has been developed. Results show this method to be scalable for large datasets and outperforming the benchmarking methods in terms of accuracy. The memory efficient loop implements the n-mode block-striped (matrix) product for tensor reconstruction as an approximation of the initial tensor. The probabilistic ranking calculates the probabil-ity of users to select candidate items using their tag preference list based on the entries generated from the reconstructed tensor. The second objective is to analyse the tag semantics and utilize the outcome in building the tensor model. This research proposes to investigate the problem using topic model approach to keep the tags nature as the “social vocabulary” [4]. For the tag assignment data, topics can be generated from the occurrences of tags given for an item. However there is only limited amount of tags availa-ble to represent items as collection of topics, since an item might have only been tagged by using several tags. Consequently, the generated topics might not able to represent the items appropriately. Furthermore, given that each tag can belong to any topics with various probability scores, the occurrence of tags cannot simply be mapped by the topics to build the tensor model. A standard weighting technique will not appropriately calculate the value of tagging activity since it will define the context of an item using a tag instead of a topic.

Empirical vehicle-to-vehicle pathloss modeling in highway, suburban and urban environments at 5.8GHz

In this paper, we present a pathloss characterization for vehicle-to-vehicle (V2V) communications based on empirical data collected from extensive measurement campaign performed under line-of-sight (LOS), non-line-of-sight (NLOS) and varying traffic densities. The experiment was conducted in three different V2V propagation environments: highway, suburban and urban at 5.8GHz. We developed pathloss models for each of the three different V2V environments considered. Based on a log-distance power law model, the values for the pathloss exponent and the standard deviation of shadowing were reported. The average pathloss exponent ranges from 1.77 for highway, 1.68 for the urban to 1.53 for the suburban environment. The reported results can contribute to vehicular network (VANET) simulators and can be used by system designers to develop, evaluate and validate new protocols and system designs under realistic propagation conditions.

Component modeling for SCADA network mapping

Supervisory Control and Data Acquisition systems (SCADA) are widely used to control critical infrastructure automatically. Capturing and analyzing packet-level traffic flowing through such a network is an essential requirement for problems such as legacy network mapping and fault detection. Within the framework of captured network traffic, we present a simple modeling technique, which supports the mapping of the SCADA network topology via traffic monitoring. By characterizing atomic network components in terms of their input-output topology and the relationship between their data traffic logs, we show that these modeling primitives have good compositional behaviour, which allows complex networks to be modeled. Finally, the predictions generated by our model are found to be in good agreement with experimentally obtained traffic.

Stochastic output feedback model predictive control

This paper addresses the issue of output feedback model predictive control for linear systems with input constraints and stochastic disturbances. We show that the optimal policy uses the Kalman filter for state estimation, but the resultant state estimates are not utilized in a certainty equivalence control law

An interpretative structural modeling based network reconfiguration strategy for power systems

The network reconfiguration is an important stage of restoring a power system after a complete blackout or a local outage. Reasonable planning of the network reconfiguration procedure is essential for rapidly restoring the power system concerned. An approach for evaluating the importance of a line is first proposed based on the line contraction concept. Then, the interpretative structural modeling (ISM) is employed to analyze the relationship among the factors having impacts on the network reconfiguration. The security and speediness of restoring generating units are considered with priority, and a method is next proposed to select the generating unit to be restored by maximizing the restoration benefit with both the generation capacity of the restored generating unit and the importance of the line in the restoration path considered. Both the start-up sequence of generating units and the related restoration paths are optimized together in the proposed method, and in this way the shortcomings of separately solving these two issues in the existing methods are avoided. Finally, the New England 10-unit 39-bus power system and the Guangdong power system in South China are employed to demonstrate the basic features of the proposed method.

Modeling conditional correlations of asset returns : a smooth transition approach

In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM–test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five frequently traded stocks in the S&P 500 stock index completes the paper.

Stochastic ranking method for thermostatically controllable appliances to provide regulation services

Demand response can be used for providing regulation services in the electricity markets. The retailers can bid in a day-ahead market and respond to real-time regulation signal by load control. This paper proposes a new stochastic ranking method to provide regulation services via demand response. A pool of thermostatically controllable appliances (TCAs) such as air conditioners and water heaters are adjusted using direct load control method. The selection of appliances is based on a probabilistic ranking technique utilizing attributes such as temperature variation and statuses of TCAs. These attributes are stochastically forecasted for the next time step using day-ahead information. System performance is analyzed with a sample regulation signal. Network capability to provide regulation services under various seasons is analyzed. The effect of network size on the regulation services is also investigated.

A critical review of structural equation modeling applications in construction research

Structural equation modeling (SEM) is a versatile multivariate statistical technique, and applications have been increasing since its introduction in the 1980s. This paper provides a critical review of 84 articles involving the use of SEM to address construction related problems over the period 1998–2012 including, but not limited to, seven top construction research journals. After conducting a yearly publication trend analysis, it is found that SEM applications have been accelerating over time. However, there are inconsistencies in the various recorded applications and several recurring problems exist. The important issues that need to be considered are examined in research design, model development and model evaluation and are discussed in detail with reference to current applications. A particularly important issue concerns the construct validity. Relevant topics for efficient research design also include longitudinal or cross-sectional studies, mediation and moderation effects, sample size issues and software selection. A guideline framework is provided to help future researchers in construction SEM applications.