A comparison of alternative bankruptcy prediction models

Early models of bankruptcy prediction employed financial ratios drawn from pre-bankruptcy financial statements and performed well both in-sample and out-of-sample. Since then there has been an ongoing effort in the literature to develop models with even greater predictive performance. A significant innovation in the literature was the introduction into bankruptcy prediction models of capital market data such as excess stock returns and stock return volatility, along with the application of the Black–Scholes–Merton option-pricing model. In this note, we test five key bankruptcy models from the literature using an upto- date data set and find that they each contain unique information regarding the probability of bankruptcy but that their performance varies over time. We build a new model comprising key variables from each of the five models and add a new variable that proxies for the degree of diversification within the firm. The degree of diversification is shown to be negatively associated with the risk of bankruptcy. This more general model outperforms the existing models in a variety of in-sample and out-of-sample tests.

Characterizing the signal pattern of a four-cylinder diesel engine using acoustic emission and vibration analysis

Condition monitoring of diesel engines can prevent unpredicted engine failures and the associated consequence. This paper presents an experimental study of the signal characteristics of a 4-cylinder diesel engine under various loading conditions. Acoustic emission, vibration and in-cylinder pressure signals were employed to study the effectiveness of these techniques for condition monitoring and identifying symptoms of incipient failures. An event driven synchronous averaging technique was employed to average the quasi-periodic diesel engine signal in the time domain to eliminate or minimize the effect of engine speed and amplitude variations on the analysis of condition monitoring signal. It was shown that acoustic emission (AE) is a better technique than vibration method for condition monitor of diesel engines due to its ability to produce high quality signals (i.e., excellent signal to noise ratio) in a noisy diesel engine environment. It was found that the peak amplitude of AE RMS signals correlating to the impact-like combustion related events decreases in general due to a more stable mechanical process of the engine as the loading increases. A small shift in the exhaust valve closing time was observed as the engine load increases which indicates a prolong combustion process in the cylinder (to produce more power). On the contrary, peak amplitudes of the AE RMS attributing to fuel injection increase as the loading increases. This can be explained by the increase fuel friction caused by the increase volume flow rate during the injection. Multiple AE pulses during the combustion process were identified in the study, which were generated by the piston rocking motion and the interaction between the piston and the cylinder wall. The piston rocking motion is caused by the non-uniform pressure distribution acting on the piston head as a result of the non-linear combustion process of the engine. The rocking motion ceased when the pressure in the cylinder chamber stabilized.

Experimentally induced diesel engine injector faults and some preliminary acoustic emission signal observations

Diesel engine fuel injector faults can lead to reduced power, increased fuel consumption and greater exhaust emission levels and if left unchecked, can eventually lead to premature engine failure. This paper provides an overview of the Diesel, or compression ignition combustion process, and of the two basic fuel injector nozzle designs used in Diesel engines, namely, the pintle-type and hole-type nozzles. Also described are some common faults associated with these two types of fuel injector nozzles and the techniques previously used to experimentally simulate these faults. This paper also presents a recent experimental campaign undertaken using two different diesel engines whereby various fuel injector nozzle faults were induced into the engines. The first series of tests was undertaken using a turbo-charged 5.9 litre; Cummins Diesel engine whist the second series of tests was undertaken using a naturally aspirated 4 cylinder, 2.216 litre, Perkins Diesel engine. Data corresponding to different injector fault conditions was captured using in-cylinder pressure, and acoustic emission transducers along with both crank-angle encoder and top-dead centre reference signals. Using averaged in-cylinder pressure signals, it was possible to qualify the severity of the faults whilst averaged acoustic emission signals were in turn, used as the basis for wavelets decomposition. Initial observations from this signal decomposition are also presented and discussed.

A study on acoustic emission signal propagation of a small size multi-cylinder diesel engine

Acoustic emission has been found effective in offering earlier fault detection and improving identification capabilities of faults. However, the sensors are inherently uncalibrated. This paper presents a source to sensor paths calibration technique which can lead to diagnosis of faults in a small size multi-cylinder diesel engine. Preliminary analysis of the acoustic emission (AE) signals is outlined, including time domain, time-frequency domain, and the root mean square (RMS) energy. The results reveal how the RMS energy of a source propagates to the adjacent sensors. The findings lead to allocate the source and estimate its inferences to the adjacent sensor, and finally help to diagnose the small size diesel engines by minimising the crosstalk from multiple cylinders.

Mussel-inspired porous SiO2 scaffolds with improved mineralization and cytocompatibility for drug delivery and bone tissue engineering

Porous SiO2 scaffolds with mesopore structure (named as MS scaffolds) have been proposed as suitable for bone tissue engineering due to their excellent drug-delivery ability; however, the mineralization and cytocompatibility of MS scaffolds are far from optimal for bone tissue engineering, and it is also unclear how the delivery of drugs from MS scaffolds affects osteoblastic cells. The aims of the present study were to improve the mineralization and cytocompatibility of MS scaffolds by coating mussel-inspired polydopamine on the pore walls of scaffolds. The effects of polydopamine modification on MS scaffolds was investigated with respect to apatite mineralization and the attachment, proliferation and differentiation of bone marrow stromal cells (BMSCs), as was the release profile of the drug dexamethasone (DEX). Our results show that polydopamine can readily coat the pore walls of MS scaffolds and that polydopamine-modified MS scaffolds have a significantly improved apatite-mineralization ability as well as better attachment and proliferation of BMSCs in the scaffolds, compared to controls. Polydopamine modification did not alter the release profile of DEX from MS scaffolds but the sustained delivery of DEX significantly improved alkaline phosphatase (ALP) activity of BMSCs in the scaffolds. These results suggest that polydopamine modification is a viable option to enhance the bioactivity of bone tissue engineering scaffolds and, further, that DEX-loaded polydopamine MS scaffolds have potential uses as a release system to enhance the osteogenic properties of bone tissue engineering applications.

New variational Bayesian approaches for statistical data mining : with applications to profiling and differentiating habitual consumption behaviour of customers in the wireless telecommunication industry

This thesis investigates profiling and differentiating customers through the use of statistical data mining techniques. The business application of our work centres on examining individuals’ seldomly studied yet critical consumption behaviour over an extensive time period within the context of the wireless telecommunication industry; consumption behaviour (as oppose to purchasing behaviour) is behaviour that has been performed so frequently that it become habitual and involves minimal intentions or decision making. Key variables investigated are the activity initialised timestamp and cell tower location as well as the activity type and usage quantity (e.g., voice call with duration in seconds); and the research focuses are on customers’ spatial and temporal usage behaviour. The main methodological emphasis is on the development of clustering models based on Gaussian mixture models (GMMs) which are fitted with the use of the recently developed variational Bayesian (VB) method. VB is an efficient deterministic alternative to the popular but computationally demandingMarkov chainMonte Carlo (MCMC) methods. The standard VBGMMalgorithm is extended by allowing component splitting such that it is robust to initial parameter choices and can automatically and efficiently determine the number of components. The new algorithm we propose allows more effective modelling of individuals’ highly heterogeneous and spiky spatial usage behaviour, or more generally human mobility patterns; the term spiky describes data patterns with large areas of low probability mixed with small areas of high probability. Customers are then characterised and segmented based on the fitted GMM which corresponds to how each of them uses the products/services spatially in their daily lives; this is essentially their likely lifestyle and occupational traits. Other significant research contributions include fitting GMMs using VB to circular data i.e., the temporal usage behaviour, and developing clustering algorithms suitable for high dimensional data based on the use of VB-GMM.