Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Hydrodynamic modeling of mineral wool fiber suspensions in a two-dimensional flow

A consequence of a loss of coolant accident is that the local insulation material is damaged and maybe transported to the containment sump where it can penetrate and/or block the sump strainers. An experimental and theoretical study, which examines the transport of mineral wool fibers via single and multi-effect experiments is being performed. This paper focuses on the experiments and simulations performed for validation of numerical models of sedimentation and resuspension of mineral wool fiber agglomerates in a racetrack type channel. Three velocity conditions are used to test the response of two dispersed phase fiber agglomerates to two drag correlations and to two turbulent dispersion coefficients. The Eulerian multiphase flow model is applied with either one or two dispersed phases.

Packet switching in wide area broadband private networks

B-ISDN is a universal network which supports diverse mixes of service, applications and traffic. ATM has been accepted world-wide as the transport technique for future use in B-ISDN. ATM, being a simple packet oriented transfer technique, provides a flexible means for supporting a continuum of transport rates and is efficient due to possible statistical sharing of network resources by multiple users. In order to fully exploit the potential statistical gain, while at the same time provide diverse service and traffic mixes, an efficient traffic control must be designed. Traffic controls which include congestion and flow control are a fundamental necessity to the success and viability of future B-ISDN. Congestion and flow control is difficult in the broadband environment due to the high speed link, the wide area distance, diverse service requirements and diverse traffic characteristics. Most congestion and flow control approaches in conventional packet switched networks are reactive in nature and are not applicable in the B-ISDN environment. In this research, traffic control procedures mainly based on preventive measures for a private ATM-based network are proposed and their performance evaluated. The various traffic controls include CAC, traffic flow enforcement, priority control and an explicit feedback mechanism. These functions operate at call level and cell level. They are carried out distributively by the end terminals, the network access points and the internal elements of the network. During the connection set-up phase, the CAC decides the acceptance or denial of a connection request and allocates bandwidth to the new connection according to three schemes; peak bit rate, statistical rate and average bit rate. The statistical multiplexing rate is based on a `bufferless fluid flow model' which is simple and robust. The allocation of an average bit rate to data traffic at the expense of delay obviously improves the network bandwidth utilisation.

Comparative analysis of experimental and modelling of gas-solid flow hydrodynamics:effect of friction and interparticle cohesion forces

The effect of friction and interparticle cohesion forces on the gas-solid flow hydrodynamics was discussed. A proposed interparticle cohesion and frictional force terms have been tested in a continuum fully developed flow model to investigate their effect on the general hydrodynamic features of vertical duct flow. It was observed that both terms have direct effect on lowering the material carryover, which implies a reduced bed expansion in freely bubbling column. The parametric analysis shows that cohesion and frictional forces are high when compared to kinetic stress and hence it can play a major role in describing the hydrodynamics features of the flow.

A finite element approach to modelling the hydrological regime in horizontal subsurface flow constructed wetlands for wastewater treatment

A Finite Element Analysis (FEA) model is used to explore the relationship between clogging and hydraulics that occurs in Horizontal Subsurface Flow Treatment Wetlands (HSSF TWs) in the United Kingdom (UK). Clogging is assumed to be caused by particle transport and an existing single collector efficiency model is implemented to describe this behaviour. The flow model was validated against HSSF TW survey results obtained from the literature. The model successfully simulated the influence of overland flow on hydrodynamics, and the interaction between vertical flow through the low permeability surface layer and the horizontal flow of the saturated water table. The clogging model described the development of clogging within the system but under-predicted the extent of clogging which occurred over 15 years. This is because important clogging mechanisms were not considered by the model, such as biomass growth and vegetation establishment. The model showed the usefulness of FEA for linking hydraulic and clogging phenomenon in HSSF TWs and could be extended to include treatment processes. © 2011 Springer Science+Business Media B.V.

E-service quality:development of a hierarchical model

Using survey data from 358 online customers, the study finds that the e-service quality construct conforms to the structure of a third-order factor model that links online service quality perceptions to distinct and actionable dimensions, including (1) website design, (2) fulfilment, (3) customer service, and (4) security/privacy. Each dimension is found to consist of several attributes that define the basis of e-service quality perceptions. A comprehensive specification of the construct, which includes attributes not covered in existing scales, is developed. The study contrasts a formative model consisting of 4 dimensions and 16 attributes against a reflective conceptualization. The results of this comparison indicate that studies using an incorrectly specified model overestimate the importance of certain e-service quality attributes. Global fit criteria are also found to support the detection of measurement misspecification. Meta-analytic data from 31,264 online customers are used to show that the developed measurement predicts customer behavior better than widely used scales, such as WebQual and E-S-Qual. The results show that the new measurement enables managers to assess e-service quality more accurately and predict customer behavior more reliably.

The design, evaluation and costing of biomass gasifiers

The objective of this study has been to enable a greater understanding of the biomass gasification process through the development and use of process and economic models. A new theoretical equilibrium model of gasification is described using the operating condition called the adiabatic carbon boundary. This represents an ideal gasifier working at the point where the carbon in the feedstock is completely gasified. The model can be used as a `target' against which the results of real gasifiers can be compared, but it does not simulate the results of real gasifiers. A second model has been developed which uses a stagewise approach in order to model fluid bed gasification, and its results have indicated that pyrolysis and the reactions of pyrolysis products play an important part in fluid bed gasifiers. Both models have been used in sensitivity analyses: the biomass moisture content and gasifying agent composition were found to have the largest effects on performance, whilst pressure and heat loss had lesser effects. Correlations have been produced to estimate the total installed capital cost of gasification systems and have been used in an economic model of gasification. This has been used in a sensitivity analysis to determine the factors which most affect the profitability of gasification. The most important influences on gasifier profitability have been found to be feedstock cost, product selling price and throughput. Given the economic conditions of late 1985, refuse gasification for the production of producer gas was found to be viable at throughputs of about 2.5 tonnes/h dry basis and above, in the metropolitan counties of the United Kingdom. At this throughput and above, the largest element of product gas cost is the feedstock cost, the cost element which is most variable.

Modelling nonlinear stochastic dynamics in financial time series

For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.

Modelling vortex formation in an unbaffled stirred tank reactors

Agitating liquids in unbaffled stirred tank leads to the formation of a vortex in the region of the impeller shaft when operating in the turbulent flow regime. A numerical model is presented here that captures such a vortex. The volume of fluid model, a multiphase flow model was employed in conjunction with a multiple reference frame model and the shear stress turbulence model. The dimensions of the tank considered here, were 0.585 m for the liquid depth and tank diameter with a 0.2925 m diameter impeller at a height of 0.2925 m. The impeller considered was an eight-bladed paddle type agitator that was rotating with an angular velocity of 7.54 rad s (72 rpm) giving a Reynolds number of 10 and Froude number of 0.043. Preliminary results of a second investigation into the effect of liquid phase properties on the vortex formed are also presented. © 2006 Elsevier B.V. All rights reserved.

Medición del valor de marca desde un enfoque formativo

Companies need to measure brand equity to make the best tactical and strategic decisions related to this intangible asset. Therefore, this paper develops a measure of brand equity using a formative approach. Unlike previous research, this study proposes a second-order formative model and empirically validates this in two countries, Spain and the United Kingdom. With this aim, in addition to carrying out an individual analysis for each country, the measurement invariance is assessed following the recent procedure suggested by Diamantopoulos and Papadopoulos (2010). Results show that brand equity construct is characterised by some variations in its composition in the countries analysed.

Model thrombi formed under flow reveal the role of factor XIII-mediated cross-linking in resistance to fibrinolysis

Background: Activated factor XIII (FXIIIa), a transglutaminase, introduces fibrin-fibrin and fibrin-inhibitor cross-links, resulting in more mechanically stable clots. The impact of cross-linking on resistance to fibrinolysis has proved challenging to evaluate quantitatively. Methods: We used a whole blood model thrombus system to characterize the role of cross-linking in resistance to fibrinolytic degradation. Model thrombi, which mimic arterial thrombi formed in vivo, were prepared with incorporated fluorescently labeled fibrinogen, in order to allow quantification of fibrinolysis as released fluorescence units per minute. Results: A site-specific inhibitor of transglutaminases, added to blood from normal donors, yielded model thrombi that lysed more easily, either spontaneously or by plasminogen activators. This was observed both in the cell/platelet-rich head and fibrin-rich tail. Model thrombi from an FXIII-deficient patient lysed more quickly than normal thrombi; replacement therapy with FXIII concentrate normalized lysis. In vitro addition of purified FXIII to the patient's preprophylaxis blood, but not to normal control blood, resulted in more stable thrombi, indicating no further efficacy of supraphysiologic FXIII. However, addition of tissue transglutaminase, which is synthesized by endothelial cells, generated thrombi that were more resistant to fibrinolysis; this may stabilize mural thrombi in vivo. Conclusions: Model thrombi formed under flow, even those prepared as plasma 'thrombi', reveal the effect of FXIII on fibrinolysis. Although very low levels of FXIII are known to produce mechanical clot stability, and to achieve ?-dimerization, they appear to be suboptimal in conferring full resistance to fibrinolysis.

Modeling equity market integration using smooth transition analysis:a study of Eastern European stock markets

This paper assesses the extent to which the equity markets of Hungary, Poland the Czech Republic and Russia have become less segmented. Using a variety of tests it is shown there has been a consistent increase in the co-movement of some Eastern European markets and developed markets. Using the variance decompositions from a vector autoregressive representation of returns it is shown that for Poland and Hungary global factors are having an increasing influence on equity returns, suggestive of increased equity market integration. In this paper we model a system of bivariate equity market correlations as a smooth transition logistic trend model in order to establish how rapidly the countries of Eastern Europe are moving away from market segmentation. We find that Hungary is the country which is becoming integrated the most quickly. © 2005 ELsevier Ltd. All rights reserved.

Single-cell ELISA and flow cytometry as methods for highlighting potential neuronal and astrocytic toxicant specificity

The timeline imposed by recent worldwide chemical legislation is not amenable to conventional in vivo toxicity testing, requiring the development of rapid, economical in vitro screening strategies which have acceptable predictive capacities. When acquiring regulatory neurotoxicity data, distinction on whether a toxic agent affects neurons and/or astrocytes is essential. This study evaluated neurofilament (NF) and glial fibrillary acidic protein (GFAP) directed single-cell (S-C) ELISA and flow cytometry as methods for distinguishing cell-specific cytoskeletal responses, using the established human NT2 neuronal/astrocytic (NT2.N/A) co-culture model and a range of neurotoxic (acrylamide, atropine, caffeine, chloroquine, nicotine) and non-neurotoxic (chloramphenicol, rifampicin, verapamil) test chemicals. NF and GFAP directed flow cytometry was able to identify several of the test chemicals as being specifically neurotoxic (chloroquine, nicotine) or astrocytoxic (atropine, chloramphenicol) via quantification of cell death in the NT2.N/A model at cytotoxic concentrations using the resazurin cytotoxicity assay. Those neurotoxicants with low associated cytotoxicity are the most significant in terms of potential hazard to the human nervous system. The NF and GFAP directed S-C ELISA data predominantly demonstrated the known neurotoxicants only to affect the neuronal and/or astrocytic cytoskeleton in the NT2.N/A cell model at concentrations below those affecting cell viability. This report concluded that NF and GFAP directed S-C ELISA and flow cytometric methods may prove to be valuable additions to an in vitro screening strategy for differentiating cytotoxicity from specific neuronal and/or astrocytic toxicity. Further work using the NT2.N/A model and a broader array of toxicants is appropriate in order to confirm the applicability of these methods.

Computer simulation of liquid flow patterns on distillation trays

This thesis describes work carried out to improve the fundamental modelling of liquid flows on distillation trays. A mathematical model is presented based on the principles of computerised fluid dynamics. It models the liquid flow in the horizontal directions allowing for the effects of the vapour through the use of an increased liquid turbulence, modelled by an eddy viscosity, and a resistance to liquid flow caused by the vapour being accelerated horizontally by the liquid. The resultant equations are similar to the Navier-Stokes equations with the addition of a resistance term.A mass-transfer model is used to calculate liquid concentration profiles and tray efficiencies. A heat and mass transfer analogy is used to compare theoretical concentration profiles to experimental water-cooling data obtained from a 2.44 metre diameter air-water distillation simulation rig. The ratios of air to water flow rates are varied in order to simulate three pressures: vacuum, atmospheric pressure and moderate pressure.For simulated atmospheric and moderate pressure distillation, the fluid mechanical model constantly over-predicts tray efficiencies with an accuracy of between +1.7% and +11.3%. This compares to -1.8% to -10.9% for the stagnant regions model (Porter et al. 1972) and +12.8% to +34.7% for the plug flow plus back-mixing model (Gerster et al. 1958). The model fails to predict the flow patterns and tray efficiencies for vacuum simulation due to the change in the mechanism of liquid transport, from a liquid continuous layer to a spray as the liquid flow-rate is reduced. This spray is not taken into account in the development of the fluid mechanical model. A sensitivity analysis carried out has shown that the fluid mechanical model is relatively insensitive to the prediction of the average height of clear liquid, and a reduction in the resistance term results in a slight loss of tray efficiency. But these effects are not great. The model is quite sensitive to the prediction of the eddy viscosity term. Variations can produce up to a 15% decrease in tray efficiency. The fluid mechanical model has been incorporated into a column model so that statistical optimisation techniques can be employed to fit a theoretical column concentration profile to experimental data. Through the use of this work mass-transfer data can be obtained.

Flow field analysis of some mixing and conveying screw element regions, within a closely intermeshing, co-rotating twin-screw extruder.

Grafting of antioxidants and other modifiers onto polymers by reactive extrusion, has been performed successfully by the Polymer Processing and Performance Group at Aston University. Traditionally the optimum conditions for the grafting process have been established within a Brabender internal mixer. Transfer of this batch process to a continuous processor, such as an extruder, has, typically, been empirical. To have more confidence in the success of direct transfer of the process requires knowledge of, and comparison between, residence times, mixing intensities, shear rates and flow regimes in the internal mixer and in the continuous processor.The continuous processor chosen for the current work in the closely intermeshing, co-rotating twin-screw extruder (CICo-TSE). CICo-TSEs contain screw elements that convey material with a self-wiping action and are widely used for polymer compounding and blending. Of the different mixing modules contained within the CICo-TSE, the trilobal elements, which impose intensive mixing, and the mixing discs, which impose extensive mixing, are of importance when establishing the intensity of mixing. In this thesis, the flow patterns within the various regions of the single-flighted conveying screw elements and within both the trilobal element and mixing disc zones of a Betol BTS40 CICo-TSE, have been modelled using the computational fluid dynamics package Polyflow. A major obstacle encountered when solving the flow problem within all of these sets of elements, arises from both the complex geometry and the time-dependent flow boundaries as the elements rotate about their fixed axes. Simulation of the time dependent boundaries was overcome by selecting a number of sequential 2D and 3D geometries, used to represent partial mixing cycles. The flow fields were simulated using the ideal rheological properties of polypropylene and characterised in terms of velocity vectors, shear stresses generated and a parameter known as the mixing efficiency. The majority of the large 3D simulations were performed on the Cray J90 supercomputer situated at the Rutherford-Appleton laboratories, with pre- and postprocessing operations achieved via a Silicon Graphics Indy workstation. A mechanical model was constructed consisting of various CICo-TSE elements rotating within a transparent outer barrel. A technique has been developed using coloured viscous clays whereby the flow patterns and mixing characteristics within the CICo-TSE may be visualised. In order to test and verify the simulated predictions, the patterns observed within the mechanical model were compared with the flow patterns predicted by the computational model. The flow patterns within the single-flighted conveying screw elements in particular, showed good agreement between the experimental and simulated results.