Modeling Asymmetries in Financial Data with Multiplicative Error Models

This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

Similar solutions for the incompressible laminar boundary layer with pressure gradient in micropolar

This paper presents the similarity solution for the steady incompressible laminar boundary layer flow of a micropolar fluid past an infinite wedge. The governing equations have been solved numerically using fourth orderRunge-Kutta-Gill method. The results indicate the extent to which the velocity and microrotation profiles, and the surface shear stress are influenced by coupling, microrotation, and pressure gradient parameters. The important role played by the standard length of the micropolar fluid in determining the structure of the boundary layer has also been discussed.

Development of a transient gradient enhanced non local continuum damage mechanics model for masonry

Due to the advent of varied types of masonry systems a comprehensive failure mechanism of masonry essential for the understanding of its behaviour is impossible to be determined from experimental testing. As masonry is predominantly used in wall structures a biaxial stress state dominates its failure mechanism. Biaxial testing will therefore be necessary for each type of masonry, which is expensive and time consuming. A computational method would be advantageous; however masonry is complex to model which requires advanced computational modelling methods. This thesis has formulated a damage mechanics inspired modelling method and has shown that the method effectively determines the failure mechanisms and deformation characteristics of masonry under biaxial states of loading.

Application of the Conjugate Gradient Method to a Problem on Minimum Time Orbit Transfer

This correspondence considers the problem of optimally controlling the thrust steering angle of an ion-propelled spaceship so as to effect a minimum time coplanar orbit transfer from the mean orbital distance of Earth to mean Martian and Venusian orbital distances. This problem has been modelled as a free terminal time-optimal control problem with unbounded control variable and with state variable equality constraints at the final time. The problem has been solved by the penalty function approach, using the conjugate gradient algorithm. In general, the optimal solution shows a significant departure from earlier work. In particular, the optimal control in the case of Earth-Mars orbit transfer, during the initial phase of the spaceship's flight, is found to be negative, resulting in the motion of the spaceship within the Earth's orbit for a significant fraction of the total optimized orbit transfer time. Such a feature exhibited by the optimal solution has not been reported at all by earlier investigators of this problem.

Non-linear systems with quadratic and cubic damping - an analytical approach

The possible equivalence of second-order non-linear systems having quadratic and cubic damping with third-order linear systems is studied in this paper. It is shown that this equivalence can be established through transformation techniques under certain constraints on the form of the non-linearity of the given system.

Human error risk management methodology for rail crack incidents

The paper presents an innovative approach to modelling the causal relationships of human errors in rail crack incidents (RCI) from a managerial perspective. A Bayesian belief network is developed to model RCI by considering the human errors of designers, manufactures, operators and maintainers (DMOM) and the causal relationships involved. A set of dependent variables whose combinations express the relevant functions performed by each DMOM participant is used to model the causal relationships. A total of 14 RCI on Hong Kong’s mass transit railway (MTR) from 2008 to 2011 are used to illustrate the application of the model. Bayesian inference is used to conduct an importance analysis to assess the impact of the participants’ errors. Sensitivity analysis is then employed to gauge the effect the increased probability of occurrence of human errors on RCI. Finally, strategies for human error identification and mitigation of RCI are proposed. The identification of ability of maintainer in the case study as the most important factor influencing the probability of RCI implies the priority need to strengthen the maintenance management of the MTR system and that improving the inspection ability of the maintainer is likely to be an effective strategy for RCI risk mitigation.

The life cycle and genetic structure of the red alga Furcellaria lumbricalis on a salinity gradient

The life cycle and genetic diversity of the red alga Furcellaria lumbricalis (Hudson) Lamouroux were investigated in 15 populations in northern Europe. The occurrence of different life cycle phases and seasonality of reproduction were studied in four brackish populations in the northern Baltic Sea. Furthermore, a new method, based on genome screening with ISSR markers combined with a restriction-ligation method, was developed to discover microsatellite markers for population genetic analyses. The mitochondrial DNA cox2-3 spacer sequence and four microsatellite markers were used to examine the genetic diversity and differentiation of red algal populations in northern Europe. In addition, clonality and small-scale genetic structure of one Irish and four Baltic Sea populations were studied with microsatellite markers. It was discovered that at the low salinities of the northern Baltic Sea, only tetrasporophytes and males were present in the populations of F. lumbricalis and that winter was the main season for tetrasporangial production. Furthermore, the population occurring at the lowest salinity (3.6 practical salinity units, psu) did not produce spores. The size of the tetraspores was smaller in the Baltic Sea populations than that in the Irish population, and there were more deformed spores in the Baltic Sea populations than in the Irish populations. Studies with microsatellite markers indicated that clonality is a common phenomenon in the Baltic Sea populations of F. lumbricalis, although the proportion of clonal individuals varied among populations. Some genetic divergence occurred within locations both in Ireland and in the northern Baltic Sea. Even though no carpogonia were detected in the field samples during the study, the microsatellite data indicated that sexual reproduction occurs at least occasionally in the northern Baltic Sea. The genetic diversity of F. lumbricalis was highest in Brittany, France. Since no variation was discovered in the mtDNA cox2-3 spacer sequence, which is generally regarded as an informative phylogeographic marker in red algae, it can be assumed that the studied populations probably share the same origin.

On plane-wave propagation in a uniform pipe in the presence of a mean flow and a temperature gradient

A theoretical study on the propagation of plane waves in the presence of a hot mean flow in a uniform pipe is presented. The temperature variation in the pipe is taken to be a linear temperature gradient along the axis. The theoretical studies include the formulation of a wave equation based on continuity, momentum, and state equation, and derivation of a general four-pole matrix, which is shown to yield the well-known transfer matrices for several other simpler cases.

An FETI-preconditioned conjuerate gradient method for large-scale stochastic finite element problems

In the spectral stochastic finite element method for analyzing an uncertain system. the uncertainty is represented by a set of random variables, and a quantity of Interest such as the system response is considered as a function of these random variables Consequently, the underlying Galerkin projection yields a block system of deterministic equations where the blocks are sparse but coupled. The solution of this algebraic system of equations becomes rapidly challenging when the size of the physical system and/or the level of uncertainty is increased This paper addresses this challenge by presenting a preconditioned conjugate gradient method for such block systems where the preconditioning step is based on the dual-primal finite element tearing and interconnecting method equipped with a Krylov subspace reusage technique for accelerating the iterative solution of systems with multiple and repeated right-hand sides. Preliminary performance results on a Linux Cluster suggest that the proposed Solution method is numerically scalable and demonstrate its potential for making the uncertainty quantification Of realistic systems tractable.

Determination of skin friction in strong pressure-gradient equilibrium and near-equilibrium turbulent boundary layers

The conventional Clauser-chart method for determination of local skin friction in zero or weak pressure-gradient turbulent boundary layer flows fails entirely in strong pressure-gradient situations. This failure occurs due to the large departure of the mean velocity profile from the universal logarithmic law upon which the conventional Clauser-chart method is based. It is possible to extend this method,even for strong pressure-gradient situations involving equilibrium or near-equilibrium turbulent boundary layers by making use of the so-called non-universal logarithmic laws. These non-universal log laws depend on the local strength of the pressure gradient and may be regarded as perturbations of the universal log law.The present paper shows that the modified Clauser-chart method, so developed, yields quit satisfactory results in terms of estimation of local skin friction in strongly accelerated or retarded equilibrium and near-equilibrium turbulent boundary layers that are not very close to relaminarization or separation.

Preoperative visual acuity of cataract patients. Repeatability of visual acuity and refractive error measurements in clinical settings

Visual acuities at the time of referral and on the day before surgery were compared in 124 patients operated on for cataract in Vaasa Central Hospital, Finland. Preoperative visual acuity and the occurrence of ocular and general disease were compared in samples of consecutive cataract extractions performed in 1982, 1985, 1990, 1995 and 2000 in two hospitals in the Vaasa region in Finland. The repeatability and standard deviation of random measurement error in visual acuity and refractive error determination in a clinical environment in cataractous, pseudophakic and healthy eyes were estimated by re-examining visual acuity and refractive error of patients referred to cataract surgery or consultation by ophthalmic professionals. Altogether 99 eyes of 99 persons (41 cataractous, 36 pseudophakic and 22 healthy eyes) with a visual acuity range of Snellen 0.3 to 1.3 (0.52 to -0.11 logMAR) were examined. During an average waiting time of 13 months, visual acuity in the study eye decreased from 0.68 logMAR to 0.96 logMAR (from 0.2 to 0.1 in Snellen decimal values). The average decrease in vision was 0.27 logMAR per year. In the fastest quartile, visual acuity change per year was 0.75 logMAR, and in the second fastest 0.29 logMAR, the third and fourth quartiles were virtually unaffected. From 1982 to 2000, the incidence of cataract surgery increased from 1.0 to 7.2 operations per 1000 inhabitants per year in the Vaasa region. The average preoperative visual acuity in the operated eye increased by 0.85 logMAR (in decimal values from 0.03to 0.2) and in the better eye 0.27 logMAR (in decimal values from 0.23 to 0.43) over this period. The proportion of patients profoundly visually handicapped (VA in the better eye <0.1) before the operation fell from 15% to 4%, and that of patients less profoundly visually handicapped (VA in the better eye 0.1 to <0.3) from 47% to 15%. The repeatability visual acuity measurement estimated as a coefficient of repeatability for all 99 eyes was ±0.18 logMAR, and the standard deviation of measurement error was 0.06 logMAR. Eyes with the lowest visual acuity (0.3-0.45) had the largest variability, the coefficient of repeatability values being ±0.24 logMAR and eyes with a visual acuity of 0.7 or better had the smallest, ±0.12 logMAR. The repeatability of refractive error measurement was studied in the same patient material as the repeatability of visual acuity. Differences between measurements 1 and 2 were calculated as three-dimensional vector values and spherical equivalents and expressed by coefficients of repeatability. Coefficients of repeatability for all eyes for vertical, torsional and horisontal vectors were ±0.74D, ±0.34D and ±0.93D, respectively, and for spherical equivalent for all eyes ±0.74D. Eyes with lower visual acuity (0.3-0.45) had larger variability in vector and spherical equivalent values (±1.14), but the difference between visual acuity groups was not statistically significant. The difference in the mean defocus equivalent between measurements 1 and 2 was, however, significantly greater in the lower visual acuity group. If a change of ±0.5D (measured in defocus equivalents) is accepted as a basis for change of spectacles for eyes with good vision, the basis for eyes in the visual acuity range of 0.3 - 0.65 would be ±1D. Differences in repeated visual acuity measurements are partly explained by errors in refractive error measurements.

Controlled Growth of ZnO Tetrapods: Influence of Temperature and Temperature Gradient

Though it has been established that ZnO tetrapods can be synthesized by heating Zn in air, it is advantageous to grow tetrapods with legs of different morphologies with different lengths. Here, we report the large scale synthesis of ZnO tetrapods by heating Zn in air ambient. The parameters that control the diameter, length, and morphology of tetrapods are identified. It is shown that the morphology and dimensions of the tetrapods depend not only on the vaporization temperature but also on the temperature gradient of the furnace. The controlled synthesis procedure and the key parameters that influence the morphology are discussed.

Characterization of anomalous relaxation using the time-fractional Bloch equation and multiple echo T2 *-weighted magnetic resonance imaging at 7T

PURPOSE To study the utility of fractional calculus in modeling gradient-recalled echo MRI signal decay in the normal human brain. METHODS We solved analytically the extended time-fractional Bloch equations resulting in five model parameters, namely, the amplitude, relaxation rate, order of the time-fractional derivative, frequency shift, and constant offset. Voxel-level temporal fitting of the MRI signal was performed using the classical monoexponential model, a previously developed anomalous relaxation model, and using our extended time-fractional relaxation model. Nine brain regions segmented from multiple echo gradient-recalled echo 7 Tesla MRI data acquired from five participants were then used to investigate the characteristics of the extended time-fractional model parameters. RESULTS We found that the extended time-fractional model is able to fit the experimental data with smaller mean squared error than the classical monoexponential relaxation model and the anomalous relaxation model, which do not account for frequency shift. CONCLUSIONS We were able to fit multiple echo time MRI data with high accuracy using the developed model. Parameters of the model likely capture information on microstructural and susceptibility-induced changes in the human brain.

False Error Study of On-line Soft Error Detection Mechanisms

With technology scaling, vulnerability to soft errors in random logic is increasing. There is a need for on-line error detection and protection for logic gates even at sea level. The error checker is the key element for an on-line detection mechanism. We compare three different checkers for error detection from the point of view of area, power and false error detection rates. We find that the double sampling checker (used in Razor), is the simplest and most area and power efficient, but suffers from very high false detection rates of 1.15 times the actual error rates. We also find that the alternate approaches of triple sampling and integrate and sample method (I&S) can be designed to have zero false detection rates, but at an increased area, power and implementation complexity. The triple sampling method has about 1.74 times the area and twice the power as compared to the Double Sampling method and also needs a complex clock generation scheme. The I&S method needs about 16% more power with 0.58 times the area as double sampling, but comes with more stringent implementation constraints as it requires detection of small voltage swings.

Quadratic Nonlinearity of One- and Two-Electron Oxidized Metalloporphyrins and Their Switching in Solution

We report the quadratic nonlinearity of one- and two-electron oxidation products of the first series of transition metal complexes of meso-tetraphenylporphyrin (TPP). Among many MTPP complexes, only CuTPP and ZnTPP show reversible oxidation/reduction cycles as seen from cyclic voltammetry experiments. While centrosymmetric neutral metalloporphyrins have zero first hyperpolarizability, β, as expected, the cation radicals and dications of CuTPP and ZnTPP have very high β values. The one- and two-electron oxidation of the MTPPs leads to symmetry-breaking of the metal−porphyrin core, resulting in a large β value that is perhaps aided in part by contributions from the two-photon resonance enhancement. The calculated static first hyperpolarizabilities, β0, which are evaluated in the framework of density functional theory by a coupled perturbed Hartree−Fock method, support the experimental trend. The switching of optical nonlinearity has been achieved between the neutral and the one-electron oxidation products but not between the one- and the two-electron oxidation products since dications that are electrochemically reversible are unstable due to the formation of stable isoporphyrins in the presence of nucleophiles such as halides.