Modelling and Analysis of Some Time Series

The thesis deals with some of the non-linear Gaussian and non-Gaussian time models and mainly concentrated in studying the properties and application of a first order autoregressive process with Cauchy marginal distribution. In this thesis some of the non-linear Gaussian and non-Gaussian time series models and mainly concentrated in studying the properties and application of a order autoregressive process with Cauchy marginal distribution. Time series relating to prices, consumptions, money in circulation, bank deposits and bank clearing, sales and profit in a departmental store, national income and foreign exchange reserves, prices and dividend of shares in a stock exchange etc. are examples of economic and business time series. The thesis discuses the application of a threshold autoregressive(TAR) model, try to fit this model to a time series data. Another important non-linear model is the ARCH model, and the third model is the TARCH model. The main objective here is to identify an appropriate model to a given set of data. The data considered are the daily coconut oil prices for a period of three years. Since it is a price data the consecutive prices may not be independent and hence a time series based model is more appropriate. In this study the properties like ergodicity, mixing property and time reversibility and also various estimation procedures used to estimate the unknown parameters of the process.

Analysis of Some Single and Two Commodity Inventory Problems

This thesis is devoted to the study of some stochastic models in inventories. An inventory system is a facility at which items of materials are stocked. In order to promote smooth and efficient running of business, and to provide adequate service to the customers, an inventory materials is essential for any enterprise. When uncertainty is present, inventories are used as a protection against risk of stock out. It is advantageous to procure the item before it is needed at a lower marginal cost. Again, by bulk purchasing, the advantage of price discounts can be availed. All these contribute to the formation of inventory. Maintaining inventories is a major expenditure for any organization. For each inventory, the fundamental question is how much new stock should be ordered and when should the orders are replaced. In the present study, considered several models for single and two commodity stochastic inventory problems. The thesis discusses two models. In the first model, examined the case in which the time elapsed between two consecutive demand points are independent and identically distributed with common distribution function F(.) with mean  (assumed finite) and in which demand magnitude depends only on the time elapsed since the previous demand epoch. The time between disasters has an exponential distribution with parameter . In Model II, the inter arrival time of disasters have general distribution (F.) with mean  ( ) and the quantity destructed depends on the time elapsed between disasters. Demands form compound poison processes with inter arrival times of demands having mean 1/. It deals with linearly correlated bulk demand two Commodity inventory problem, where each arrival demands a random number of items of each commodity C1 and C2, the maximum quantity demanded being a (< S1) and b(

ANALYSIS, MODIFICATION, AND EVALUATION OF THE COLD FLOW PROPERTIES OF VEGETABLE OILS AS BASE OIL FOR INDUSTRIAL LUBRICANTS

Poor cold flow properties of vegetable oils are a major problem preventing the usage of many abundantly available vegetable oils as base stocks for industrial lubricants. The major objective of this research is to improve the cold flow properties of vegetable oils by various techniques like additive addition and different chemical modification processes. Conventional procedure for determining pour point is ASTM D97 method. ASTM D97 method is time consuming and reproducibility of pour point temperatures is poor between laboratories. Differential Scanning Calorimetry (DSC) is a fast, accurate and reproducible method to analyze the thermal activities during cooling/heating of oil. In this work coconut oil has been chosen as representative vegetable oil for the analysis and improvement cold flow properties since it is abundantly available in the tropics and has a very high pour point of 24 °C. DSC is used for the analysis of unmodified and modified vegetable oil. The modified oils (with acceptable pour points) were then subjected to different tests for the valuation of important lubricant properties such as viscometric, tribological (friction and wear properties), oxidative and corrosion properties.A commercial polymethacrylate based PPD was added in different percentages and the pour points were determined in each case. Styrenated phenol(SP) was added in different concentration to coconut oil and each solution was subjected to ASTM D97 test and analysis by DSC. Refined coconut oil and other oils like castor oil, sunflower oil and keranja oil were mixed in different proportions and interesterification procedure was carried out. Interesterification of coconut oil with other vegetable oils was not found to be effective in lowering the pour point of coconut oil as the reduction attained was only to the extent of 2 to 3 °C.Chemical modification by acid catalysed condensation reaction with coconut oil castor oil mixture resulted in significant reduction of pour point (from 24 ºC to -3 ºC). Instead of using triacylglycerols, when their fatty acid derivatives (lauric acid- the major fatty acid content of coconut oil and oleic acid- the major fatty acid constituents of monoand poly- unsaturated vegetable oils like olive oil, sunflower oil etc.) were used for the synthesis , the pour point could be brought down to -42 ºC. FTIR and NMR spectroscopy confirmed the ester structure of the product which is fundamental to the biodegradability of vegetable oils. The tribological performance of the synthesised product with a suitable AW/EP additive was comparable to the commercial SAE20W30 oil. The viscometric properties (viscosity and viscosity index) were also (with out additives) comparable to commercial lubricants. The TGA experiment confirmed the better oxidative performance of the product compared to vegetable oils. The sample passed corrosion test as per ASTM D130 method.

Catalysis by Transition Metal Modified Ceria and Ceria-Zirconia Mixed Oxides Prepared via Sol-Gel Route

The aim of catalysis research is to apply the catalyst successfully in economically important reactions in an environmentally friendly way. The present work focuses on the modification of structural and surface properties of ceria and ceria-zirconia catalysts by the incorporation of transition metals. The applications of these catalysts in industrially important reactions like ethylbenzene oxidation, alkylation of aromatics are also investigated.Sol-gel method is effective for the preparation of transition metal modified ceria and ceria-zirconia mixed oxide since it produces catalyst with highly dispersed incorporated metal. Unlike that of impregnation method plugging of pores is not prominent for sol-gel derived catalyst materials. This prevents loss of surface area on metal modification as evident for BET surface area measurements.The powder X-ray diffraction analysis confirms the cubic structure of transition metal modified ceria and ceria-zirconia catalysts. The thermal stability is evident from TGA/DTA analysis. DR UV-vis spectra provide information on the coordination environment of the incorporated metal. EPR analysis ofCr, Mn and Cu modified ceria and a ceria-zirconia catalyst reveals the presence of different oxidation states of incorporated metal.Temperature programmed desorption of ammonia and thermogravimetric desorption of 2,6-dimethyl pyridine confirms the enhancement of acidity on metal incorporation. High a-methyl styrene selectivity in cumene cracking reaction implies the presence of comparatively more number of Lewis acid sites with some amount of Bronsted acid sites. The formation of cyclohexanone during cyclohexanol decomposition confirms the presence of basic sites on the catalyst surface.Mn and Cr modified catalysts show better activity towards ethylbenzene oxidation. A redox mechanism through oxometal pathway is suggested.All the catalysts were found to be active towards benzylation of toluene and a-xylene. The selectivity towards monoalkylated products remains almost 100%. The catalytic activity is correlated with the Lewis acidity of the prepared systems.The activity of the catalysts towards methylation of phenols depends on the strength acid sites as well as the redox properties of the catalysts. A strong dependence of methylation activity on the total acidity is illustrated.

Fundamental Approach to Valuation of Securities -A Study with reference to Information Technology(IT) Sector Shares in Indian Stock Market

Department of Applied Economics,Cochin University of Science and Technology

Impact of zinc substitution on the structural and magnetic properties of chemically derived nanosized manganese zinc mixed ferrites

Mn1-xZnxFe2O4 nanoparticles (x=0-1) were synthesized by wet chemical co-precipitation techniques. X-ray diffraction, transmission electron microscopy and high-resolution transmission electron microscopy were effectively utilized to investigate the different structural parameters. The elemental analysis was conducted using energy-dispersive spectrum and inductively coupled plasma analysis. The magnetic properties such as magnetization and coercivity were measured using vibrating sample magnetometer. The observed magnetization values of the nanoparticles were found to be lower compared to the bulk counterpart. The magnetization showed a gradual decrease with zinc substitution except for a small increase from x=0.2 to 0.3. The Curie temperature was found to be enhanced in the case of ferrites in the nanoregime. The variation in lattice constant, reduced magnetization values, variation of magnetization with zinc substitution, the presence of a net magnetic moment for the zinc ferrite and the enhancement in Curie temperature in Mn1-xZnxFe2O4 all provide evidence to the existence of a metastable cation distribution together with possible surface effects at the nanoregime.

Predictability Of Share Prices In India: A Study Of The Applicability Of Technical Analysis

In spite of the far longed practices of technical analysis by many participants in Indian stock market, none have arrived at the exact position of technical analysis as a tool for foretelling share prices. There is no evidence supporting that one has established its definite role in predicting the behaviour of share price and also to see the extent of validity (how far reliable) of technical tools in Indian stock market. The problem is the vacuum in the arena of securities market analysis where an unrecognised tool is practised, i.e., whether to hold on to technical analysis or to drop it. Again, as already stated in this chapter, its validity need not continue forever. It may become futile as happened in developed markets. Continuous practice of a tool, which is valid only during discontinuous times is also an error. The efficacy of different market phenomena in terms of their ability to foretell the extent and direction of the price movements and reliability thereof remain as not yet proved in. This requires further study in this area so that this controversy may be settled. A solution to the problem requires enquiring and establishing the applicability of technical analysis, if any, there is in the Indian stock market. The study has the following two broad objectives for the purpose of confirming the applicability, if any, of technical analysis in the Indian stock market. The first objective is to ascertain the current validity of ‘traditional holding with respect to patterns’ and the second objective is to ascertain the ‘consistent superiority’, if any, of technical indicators over non-signal strategies in return generation. The study analyses the five patterns, which are widely known and commonly found in publications. They are: (1) Symmetrical Triangles, (2) Rising Wedges, (3) Falling Wedges, (4) Head and Shoulders Top and (5) Head and Shoulders Bottom.

Arbitrage Pricing Theory and Return Generating Process: A Macroeconomic Approach to Indian Stock Market

A study focusing on the identification of return generating factors and to the extent of their influence on share prices the outcome will be a tool for investment analysis in the hands of investors portfolio managers and mutual funds who are mostly concerned with changing share prices. Since the study takes into account the influence of macroeconomic variables on variations in share returns by using the outcome the government can frame out suitable policies on long term basis and that will help in nurturing a healthy economy and resultant stock market. As every company management tries to maximize the wealth of the share holders a clear idea about the return generating variables and their influence will help the management to frame various policies to maximize the wealth of the shareholders.

Development of Hierarchical Clustering Techniques for Gridded Data from Mixed Data Sequences

Knowledge discovery in databases is the non-trivial process of identifying valid, novel potentially useful and ultimately understandable patterns from data. The term Data mining refers to the process which does the exploratory analysis on the data and builds some model on the data. To infer patterns from data, data mining involves different approaches like association rule mining, classification techniques or clustering techniques. Among the many data mining techniques, clustering plays a major role, since it helps to group the related data for assessing properties and drawing conclusions. Most of the clustering algorithms act on a dataset with uniform format, since the similarity or dissimilarity between the data points is a significant factor in finding out the clusters. If a dataset consists of mixed attributes, i.e. a combination of numerical and categorical variables, a preferred approach is to convert different formats into a uniform format. The research study explores the various techniques to convert the mixed data sets to a numerical equivalent, so as to make it equipped for applying the statistical and similar algorithms. The results of clustering mixed category data after conversion to numeric data type have been demonstrated using a crime data set. The thesis also proposes an extension to the well known algorithm for handling mixed data types, to deal with data sets having only categorical data. The proposed conversion has been validated on a data set corresponding to breast cancer. Moreover, another issue with the clustering process is the visualization of output. Different geometric techniques like scatter plot, or projection plots are available, but none of the techniques display the result projecting the whole database but rather demonstrate attribute-pair wise analysis