Self excitation in equity indices

A "self-exciting" market is one in which the probability of observing a crash increases in response to the occurrence of a crash. It essentially describes cases where the initial crash serves to weaken the system to some extent, making subsequent crashes more likely. This thesis investigates if equity markets possess this property. A self-exciting extension of the well-known jump-based Bates (1996) model is used as the workhorse model for this thesis, and a particle-filtering algorithm is used to facilitate estimation by means of maximum likelihood. The estimation method is developed so that option prices are easily included in the dataset, leading to higher quality estimates. Equilibrium arguments are used to price the risks associated with the time-varying crash probability, and in turn to motivate a risk-neutral system for use in option pricing. The option pricing function for the model is obtained via the application of widely-used Fourier techniques. An application to S&P500 index returns and a panel of S&P500 index option prices reveals evidence of self excitation.

A fuzzy TOPSIS based multi criteria performance measurement model for lean supply chain

Increasing global competition, rapid technological changes, advances in manufacturing and information technology and discerning customers are forcing supply chains to adopt improvement practices that enable them to deliver high quality products at a lower cost and in a shorter period of time. A lean initiative is one of the most effective approaches toward achieving this goal. In the lean improvement process, it is critical to measure current and desired performance level in order to clearly evaluate the lean implementation efforts. Many attempts have tried to measure supply chain performance incorporating both quantitative and qualitative measures but failed to provide an effective method of measuring improvements in performances for dynamic lean supply chain situations. Therefore, the necessity of appropriate measurement of lean supply chain performance has become imperative. There are many lean tools available for supply chains; however, effectiveness of a lean tool depends on the type of the product and supply chain. One tool may be highly effective for a supply chain involved in high volume products but may not be effective for low volume products. There is currently no systematic methodology available for selecting appropriate lean strategies based on the type of supply chain and market strategy This thesis develops an effective method to measure the performance of supply chain consisting of both quantitative and qualitative metrics and investigates the effects of product types and lean tool selection on the supply chain performance Supply chain performance matrices and the effects of various lean tools over performance metrics mentioned in the SCOR framework have been investigated. A lean supply chain model based on the SCOR metric framework is then developed where non- lean and lean as well as quantitative and qualitative metrics are incorporated in appropriate metrics. The values of appropriate metrics are converted into triangular fuzzy numbers using similarity rules and heuristic methods. Data have been collected from an apparel manufacturing company for multiple supply chain products and then a fuzzy based method is applied to measure the performance improvements in supply chains. Using the fuzzy TOPSIS method, which chooses an optimum alternative to maximise similarities with positive ideal solutions and to minimise similarities with negative ideal solutions, the performances of lean and non- lean supply chain situations for three different apparel products have been evaluated. To address the research questions related to effective performance evaluation method and the effects of lean tools over different types of supply chains; a conceptual framework and two hypotheses are investigated. Empirical results show that implementation of lean tools have significant effects over performance improvements in terms of time, quality and flexibility. Fuzzy TOPSIS based method developed is able to integrate multiple supply chain matrices onto a single performance measure while lean supply chain model incorporates qualitative and quantitative metrics. It can therefore effectively measure the improvements for supply chain after implementing lean tools. It is demonstrated that product types involved in the supply chain and ability to select right lean tools have significant effect on lean supply chain performance. Future study can conduct multiple case studies in different contexts.

Non-invasive assessment of corneal crosslinking changes using polarization sensitive optical coherence tomography

Collagen crosslinking (CXL) has shown promising results in the prevention of the progression of keratoconus and corneal ectasia. However, techniques for in vivo and in situ assessment of the treatment are limited. In this study, ex vivo porcine eyes were treated with a chemical CXL agent (glutaraldehyde), during which polarization sensitive optical coherence tomography (PS-OCT) recordings were acquired simultaneously to assess the sensitivity of the technique to assess changes in the cornea. The results obtained in this study suggest that PS-OCT may be a suitable technique to measure CXL changes in situ and to assess the local changes in the treated region of the cornea.

Claims about women's use of non-fatal force in intimate relationships : A contextual review of Canadian research

Claims that violence is gender-neutral are increasingly becoming “common sense” in Canada. Antifeminist groups assert that the high rates of woman abuse uncovered by major Canadian national surveys conducted in the early 1990s are greatly exaggerated and that women are as violent as men. The production of degendered rhetoric about “intimate partner violence” contributes to claims that women’s and men’s violence is symmetrical and mutual. This article critically evaluates common claims about Canadian women’s use of nonlethal force in heterosexual intimate relationships in the context of the political struggle over the hegemonic frame for violence and abuse. The extant Canadian research documenting significant sex differences in violence and abuse against adult intimate partners is reviewed.

Non-covalent surface modification of boron nitride nanotubes for enhanced catalysis

Boron nitride nanotubes were functionalized by microperoxidase-11 in aqueous media, showing improved catalytic performance due to a strong electron coupling 10 between the active centre of microperoxidase-11 and boron nitride nanotubes. One main application challenge of enzymes as biocatalysts is molecular aggregation in the aqueous solution. This issue is addressed by immobilization of enzymes on solid supports which 15 can enhance enzyme stability and facilitate separation, and recovery for reuse while maintaining catalytic activity and selectivity. The protein-nanoparticle interactions play a key role in bio-nanotechnology and emerge with the development of nanoparticle-protein “corona”. Bio-molecular coronas provide a 20 unique biological identity of nanosized materials.1, 2 As a structural analogue to carbon nanotubes (CNTs), Boron nitride nanotubes have boron and nitrogen atoms distributed equally in hexagonal rings and exhibit excellent mechanical strength, unique physical properties, and chemical stability at high-temperatures. 25 The chemical inertness of BN materials suits to work in hazardous environments, making them an optimal candidate in practical applications in biological and medical field.3, 4

A nanometre-scale non-periodic structural variation in high temperature superconducting ceramics and the implications for properties

Non-periodic structural variation has been found in the high Tc cuprates, YBa2Cu3O7-x and Hg0.67Pb0.33Ba2Ca2Cu 3O8+δ, by image analysis of high resolution transmission electron microscope (HRTEM) images. We use two methods for analysis of the HRTEM images. The first method is a means for measuring the bending of lattice fringes at twin planes. The second method is a low-pass filter technique which enhances information contained by diffuse-scattered electrons and reveals what appears to be an interference effect between domains of differing lattice parameter in the top and bottom of the thin foil. We believe that these methods of image analysis could be usefully applied to the many thousands of HRTEM images that have been collected by other workers in the high temperature superconductor field. This work provides direct structural evidence for phase separation in high Tc cuprates, and gives support to recent stripes models that have been proposed to explain various angle resolved photoelectron spectroscopy and nuclear magnetic resonance data. We believe that the structural variation is a response to an opening of an electronic solubility gap where holes are not uniformly distributed in the material but are confined to metallic stripes. Optimum doping may occur as a consequence of the diffuse boundaries between stripes which arise from spinodal decomposition. Theoretical ideas about the high Tc cuprates which treat the cuprates as homogeneous may need to be modified in order to take account of this type of structural variation.

Regulation of the Fear Network by Mediators of Stress: Norepinephrine Alters the Balance between Cortical and Subcortical Afferent Excitation of the Lateral Amygdala

Pavlovian auditory fear conditioning involves the integration of information about an acoustic conditioned stimulus (CS) and an aversive unconditioned stimulus in the lateral nucleus of the amygdala (LA). The auditory CS reaches the LA subcortically via a direct connection from the auditory thalamus and also from the auditory association cortex itself. How neural modulators, especially those activated during stress, such as norepinephrine (NE), regulate synaptic transmission and plasticity in this network is poorly understood. Here we show that NE inhibits synaptic transmission in both the subcortical and cortical input pathway but that sensory processing is biased toward the subcortical pathway. In addition binding of NE to β-adrenergic receptors further dissociates sensory processing in the LA. These findings suggest a network mechanism that shifts sensory balance toward the faster but more primitive subcortical input

Power system stability enhancement using flux control for excitation system

This paper proposes a new controller for the excitation system to improve rotor angle stability. The proposed controller uses energy function to predict desired flux for the generator to achieve improved first swing stability and enhanced system damping. The controller is designed through predicting the desired value of flux for the future step of the system and then obtaining appropriate supplementary control input for the excitation system. The simulations are performed on Single-Machine-Infinite-Bus system and the results verify the efficiency of the controller. The proposed method facilitates the excitation system with a feasible and reliable controller for severe disturbances.

Distributed plasticity analysis of steel frame structures comprising non-compact sections

Application of 'advanced analysis' methods suitable for non-linear analysis and design of steel frame structures permits direct and accurate determination of ultimate system strengths, without resort to simplified elastic methods of analysis and semi-empirical specification equations. However, the application of advanced analysis methods has previously been restricted to steel frames comprising only compact sections that are not influenced by the effects of local buckling. A research project has been conducted with the aim of developing concentrated plasticity methods suitable for practical advanced analysis of steel frame structures comprising non-compact sections. A primary objective was to produce a comprehensive range of new distributed plasticity analytical benchmark solutions for verification of the concentrated plasticity methods. A distributed plasticity model was developed using shell finite elements to explicitly account for the effects of gradual yielding and spread of plasticity, initial geometric imperfections, residual stresses and local buckling deformations. The model was verified by comparison with large-scale steel frame test results and a variety of existing analytical benchmark solutions. This paper presents a description of the distributed plasticity model and details of the verification study.

Pseudo plastic zone analysis of steel frame structures comprising non-compact sections

Application of `advanced analysis' methods suitable for non-linear analysis and design of steel frame structures permits direct and accurate determination of ultimate system strengths, without resort to simplified elastic methods of analysis and semi-empirical specification equations. However, the application of advanced analysis methods has previously been restricted to steel frames comprising only compact sections that are not influenced by the effects of local buckling. A concentrated plasticity method suitable for practical advanced analysis of steel frame structures comprising non-compact sections is presented in this paper. The pseudo plastic zone method implicitly accounts for the effects of gradual cross-sectional yielding, longitudinal spread of plasticity, initial geometric imperfections, residual stresses, and local buckling. The accuracy and precision of the method for the analysis of steel frames comprising non-compact sections is established by comparison with a comprehensive range of analytical benchmark frame solutions. The pseudo plastic zone method is shown to be more accurate and precise than the conventional individual member design methods based on elastic analysis and specification equations.

Large-scale testing of steel frame structures comprising non-compact sections

Application of 'advanced analysis' methods suitable for non-linear analysis and design of steel frame structures permits direct and accurate determination of ultimate system strengths, without resort to simplified elastic methods of analysis and semi-empirical specification equations. However, the application of advanced analysis methods has previously been restricted to steel frames comprising only compact sections that are not influenced by the effects of local buckling. A research project has been conducted with the aim of developing concentrated plasticity methods suitable for practical advanced analysis of steel frame structures comprising non-compact sections. A series of large-scale tests were performed in order to provide experimental results for verification of the new analytical models. Each of the test frames comprised non-compact sections, and exhibited significant local buckling behaviour prior to failure. This paper presents details of the test program including the test specimens, set-up and instrumentation, procedure, and results.

Surgical resection for non-small cell lung cancer : clinical features and outcomes for a consecutive series at an Irish tertiary referral centre

Background: Few patients diagnosed with lung cancer are still alive 5 years after diagnosis. The aim of the current study was to conduct a 10-year review of a consecutive series of patients undergoing curative-intent surgical resection at the largest tertiary referral centre to identify prognostic factors. Methods: Case records of all patients operated on for lung cancer between 1998 and 2008 were reviewed. The clinical features and outcomes of all patients with non-small cell lung cancer (NSCLC) stage I-IV were recorded. Results: A total of 654 patients underwent surgical resection with curative intent during the study period. Median overall survival for the entire cohort was 37 months. The median age at operation was 66 years, with males accounting for 62.7 %. Squamous cell type was the most common histological subtype, and lobectomies were performed in 76.5 % of surgical resections. Pneumonectomy rates decreased significantly in the latter half of the study (25 vs. 16.3 %), while sub-anatomical resection more than doubled (2 vs. 5 %) (p < 0.005). Clinico-pathological characteristics associated with improved survival by univariate analysis include younger age, female sex, smaller tumour size, smoking status, lobectomy, lower T and N status and less advanced pathological stage. Age, gender, smoking status and tumour size, as well as T and N descriptors have emerged as independent prognostic factors by multivariate analysis. Conclusion: We identified several factors that predicted outcome for NSCLC patients undergoing curative-intent surgical resection. Survival rates in our series are comparable to those reported from other thoracic surgery centres. © 2012 Royal Academy of Medicine in Ireland.