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.

Models@run.time:foundations, applications, and roadmaps

Traditionally, research on model-driven engineering (MDE) has mainly focused on the use of models at the design, implementation, and verification stages of development. This work has produced relatively mature techniques and tools that are currently being used in industry and academia. However, software models also have the potential to be used at runtime, to monitor and verify particular aspects of runtime behavior, and to implement self-* capabilities (e.g., adaptation technologies used in self-healing, self-managing, self-optimizing systems). A key benefit of using models at runtime is that they can provide a richer semantic base for runtime decision-making related to runtime system concerns associated with autonomic and adaptive systems. This book is one of the outcomes of the Dagstuhl Seminar 11481 on models@run.time held in November/December 2011, discussing foundations, techniques, mechanisms, state of the art, research challenges, and applications for the use of runtime models. The book comprises four research roadmaps, written by the original participants of the Dagstuhl Seminar over the course of two years following the seminar, and seven research papers from experts in the area. The roadmap papers provide insights to key features of the use of runtime models and identify the following research challenges: the need for a reference architecture, uncertainty tackled by runtime models, mechanisms for leveraging runtime models for self-adaptive software, and the use of models at runtime to address assurance for self-adaptive systems.

Modeling Pulsatility in the Human Cardiovascular System

AMS Subj. Classification: 92C30

A nested Petri net framework for modeling and analyzing multi-agent systems

In the past two decades, multi-agent systems (MAS) have emerged as a new paradigm for conceptualizing large and complex distributed software systems. A multi-agent system view provides a natural abstraction for both the structure and the behavior of modern-day software systems. Although there were many conceptual frameworks for using multi-agent systems, there was no well established and widely accepted method for modeling multi-agent systems. This dissertation research addressed the representation and analysis of multi-agent systems based on model-oriented formal methods. The objective was to provide a systematic approach for studying MAS at an early stage of system development to ensure the quality of design. ^ Given that there was no well-defined formal model directly supporting agent-oriented modeling, this study was centered on three main topics: (1) adapting a well-known formal model, predicate transition nets (PrT nets), to support MAS modeling; (2) formulating a modeling methodology to ease the construction of formal MAS models; and (3) developing a technique to support machine analysis of formal MAS models using model checking technology. PrT nets were extended to include the notions of dynamic structure, agent communication and coordination to support agent-oriented modeling. An aspect-oriented technique was developed to address the modularity of agent models and compositionality of incremental analysis. A set of translation rules were defined to systematically translate formal MAS models to concrete models that can be verified through the model checker SPIN (Simple Promela Interpreter). ^ This dissertation presents the framework developed for modeling and analyzing MAS, including a well-defined process model based on nested PrT nets, and a comprehensive methodology to guide the construction and analysis of formal MAS models.^

A Metamodel for Collaboration Formalization

Part 11: Reference and Conceptual Models

Generalized Sznajd model for opinion propagation

In the last decade the Sznajd model has been successfully employed in modeling some properties and scale features of both proportional and majority elections. We propose a version of the Sznajd model with a generalized bounded confidence rule-a rule that limits the convincing capability of agents and that is essential to allow coexistence of opinions in the stationary state. With an appropriate choice of parameters it can be reduced to previous models. We solved this model both in a mean-field approach (for an arbitrary number of opinions) and numerically in a Barabaacutesi-Albert network (for three and four opinions), studying the transient and the possible stationary states. We built the phase portrait for the special cases of three and four opinions, defining the attractors and their basins of attraction. Through this analysis, we were able to understand and explain discrepancies between mean-field and simulation results obtained in previous works for the usual Sznajd model with bounded confidence and three opinions. Both the dynamical system approach and our generalized bounded confidence rule are quite general and we think it can be useful to the understanding of other similar models.

Modeling the kinetics of the coalescence of water droplets in crude oil emulsions subject to an electric field, with the cellular automata technique

In this study, the concept of cellular automata is applied in an innovative way to simulate the separation of phases in a water/oil emulsion. The velocity of the water droplets is calculated by the balance of forces acting on a pair of droplets in a group, and cellular automata is used to simulate the whole group of droplets. Thus, it is possible to solve the problem stochastically and to show the sequence of collisions of droplets and coalescence phenomena. This methodology enables the calculation of the amount of water that can be separated from the emulsion under different operating conditions, thus enabling the process to be optimized. Comparisons between the results obtained from the developed model and the operational performance of an actual desalting unit are carried out. The accuracy observed shows that the developed model is a good representation of the actual process. (C) 2010 Published by Elsevier Ltd.

Modeling upper eyelid kinematics during spontaneous and reflex blinks

To test a mathematical model for measuring blinking kinematics. Spontaneous and reflex blinks of 23 healthy subjects were recorded with two different temporal resolutions. A magnetic search coil was used to record 77 blinks sampled at 200 Hz and 2 kHz in 13 subjects. A video system with low temporal resolution (30 Hz) was employed to register 60 blinks of 10 other subjects. The experimental data points were fitted with a model that assumes that the upper eyelid movement can be divided into two parts: an impulsive accelerated motion followed by a damped harmonic oscillation. All spontaneous and reflex blinks, including those recorded with low resolution, were well fitted by the model with a median coefficient of determination of 0.990. No significant difference was observed when the parameters of the blinks were estimated with the under-damped or critically damped solutions of the harmonic oscillator. On the other hand, the over-damped solution was not applicable to fit any movement. There was good agreement between the model and numerical estimation of the amplitude but not of maximum velocity. Spontaneous and reflex blinks can be mathematically described as consisting of two different phases. The down-phase is mainly an accelerated movement followed by a short time that represents the initial part of the damped harmonic oscillation. The latter is entirely responsible for the up-phase of the movement. Depending on the instantaneous characteristics of each movement, the under-damped or critically damped oscillation is better suited to describe the second phase of the blink. (C) 2010 Elsevier B.V. All rights reserved.

Specification, refinement and verification of concurrent systems - An integration of Object-Z and CSP

This paper presents a method of formally specifying, refining and verifying concurrent systems which uses the object-oriented state-based specification language Object-Z together with the process algebra CSP. Object-Z provides a convenient way of modelling complex data structures needed to define the component processes of such systems, and CSP enables the concise specification of process interactions. The basis of the integration is a semantics of Object-Z classes identical to that of CSP processes. This allows classes specified in Object-Z to he used directly within the CSP part of the specification. In addition to specification, we also discuss refinement and verification in this model. The common semantic basis enables a unified method of refinement to be used, based upon CSP refinement. To enable state-based techniques to be used fur the Object-Z components of a specification we develop state-based refinement relations which are sound and complete with respect to CSP refinement. In addition, a verification method for static and dynamic properties is presented. The method allows us to verify properties of the CSP system specification in terms of its component Object-Z classes by using the laws of the the CSP operators together with the logic for Object-Z.

MDAI: Model based Design in Automobile Industry

It is proposed a new approach based on a methodology, assisted by a tool, to create new products in the automobile industry based on previous defined processes and experiences inspired on a set of best practices or principles: it is based on high-level models or specifications; it is component-based architecture centric; it is based on generative programming techniques. This approach follows in essence the MDA (Model Driven Architecture) philosophy with some specific characteristics. We propose a repository that keeps related information, such as models, applications, design information, generated artifacts and even information concerning the development process itself (e.g., generation steps, tests and integration milestones). Generically, this methodology receives the users' requirements to a new product (e.g., functional, non-functional, product specification) as its main inputs and produces a set of artifacts (e.g., design parts, process validation output) as its main output, that will be integrated in the engineer design tool (e.g. CAD system) facilitating the work.

Exploração do UML para a derivação automática de requisitos arquitecturais. Uma abordagem orientada a modelos

O desenvolvimento de software orientado a modelos defende a utilização dos modelos como um artefacto que participa activamente no processo de desenvolvimento. O modelo ocupa uma posição que se encontra ao mesmo nível do código. Esta é uma abordagem importante que tem sido alvo de atenção crescente nos últimos tempos. O Object Management Group (OMG) é o responsável por uma das principais especificações utilizadas na definição da arquitectura dos sistemas cujo desenvolvimento é orientado a modelos: o Model Driven Architecture (MDA). Os projectos que têm surgido no âmbito da modelação e das linguagens específicas de domínio para a plataforma Eclipse são um bom exemplo da atenção dada a estas áreas. São projectos totalmente abertos à comunidade, que procuram respeitar os standards e que constituem uma excelente oportunidade para testar e por em prática novas ideias e abordagens. Nesta dissertação foram usadas ferramentas criadas no âmbito do Amalgamation Project, desenvolvido para a plataforma Eclipse. Explorando o UML e usando a linguagem QVT, desenvolveu-se um processo automático para extrair elementos da arquitectura do sistema a partir da definição de requisitos. Os requisitos são representados por modelos UML que são transformados de forma a obter elementos para uma aproximação inicial à arquitectura do sistema. No final, obtêm-se um modelo UML que agrega os componentes, interfaces e tipos de dados extraídos a partir dos modelos dos requisitos. É uma abordagem orientada a modelos que mostrou ser exequível, capaz de oferecer resultados práticos e promissora no que concerne a trabalho futuro.

Model morphisms (MoMo) to enable language independent information models and interoperable business networks

MSc. Dissertation presented at Faculdade de Ciências e Tecnologia of Universidade Nova de Lisboa to obtain the Master degree in Electrical and Computer Engineering

A framework for efficient model transformations

The reported productivity gains while using models and model transformations to develop entire systems, after almost a decade of experience applying model-driven approaches for system development, are already undeniable benefits of this approach. However, the slowness of higher-level, rule based model transformation languages hinders the applicability of this approach to industrial scales. Lower-level, and efficient, languages can be used but productivity and easy maintenance seize to exist. The abstraction penalty problem is not new, it also exists for high-level, object oriented languages but everyone is using them now. Why is not everyone using rule based model transformation languages then? In this thesis, we propose a framework, comprised of a language and its respective environment, designed to tackle the most performance critical operation of high-level model transformation languages: the pattern matching. This framework shows that it is possible to mitigate the performance penalty while still using high-level model transformation languages.

Influence of the hip joint modeling approaches on the kinematics of human gait

The influence of the hip joint formulation on the kinematic response of the model of human gait is investigated throughout this work. To accomplish this goal, the fundamental issues of the modeling process of a planar hip joint under the framework of multibody systems are revisited. In particular, the formulations for the ideal, dry, and lubricated revolute joints are described and utilized for the interaction of femur head inside acetabulum or the hip bone. In this process, the main kinematic and dynamic aspects of hip joints are analyzed. In a simple manner, the forces that are generated during human gait, for both dry and lubricated hip joint models, are computed in terms of the system’s state variables and subsequently introduced into the dynamics equations of motion of the multibody system as external generalized forces. Moreover, a human multibody model is considered, which incorporates the different approaches for the hip articulation, namely ideal joint, dry, and lubricated models. Finally, several computational simulations based on different approaches are performed, and the main results presented and compared to identify differences among the methodologies and procedures adopted in this work. The input conditions to the models correspond to the experimental data capture from an adult male during normal gait. In general, the obtained results in terms of positions do not differ significantly when the different hip joint models are considered. In sharp contrast, the velocity and acceleration plotted vary significantly. The effect of the hip joint modeling approach is clearly measurable and visible in terms of peaks and oscillations of the velocities and accelerations. In general, with the dry hip model, intra-joint force peaks can be observed, which can be associated with the multiple impacts between the femur head and the cup. In turn, when the lubricant is present, the system’s response tends to be smoother due to the damping effects of the synovial fluid.

ARCHITECTING USER-CENTRIC PRIVACY-AS-A-SET-OF-SERVICES: DIGITAL IDENTITY RELATED PRIVACY FRAMEWORK

AbstractDigitalization gives to the Internet the power by allowing several virtual representations of reality, including that of identity. We leave an increasingly digital footprint in cyberspace and this situation puts our identity at high risks. Privacy is a right and fundamental social value that could play a key role as a medium to secure digital identities. Identity functionality is increasingly delivered as sets of services, rather than monolithic applications. So, an identity layer in which identity and privacy management services are loosely coupled, publicly hosted and available to on-demand calls could be more realistic and an acceptable situation. Identity and privacy should be interoperable and distributed through the adoption of service-orientation and implementation based on open standards (technical interoperability). Ihe objective of this project is to provide a way to implement interoperable user-centric digital identity-related privacy to respond to the need of distributed nature of federated identity systems. It is recognized that technical initiatives, emerging standards and protocols are not enough to guarantee resolution for the concerns surrounding a multi-facets and complex issue of identity and privacy. For this reason they should be apprehended within a global perspective through an integrated and a multidisciplinary approach. The approach dictates that privacy law, policies, regulations and technologies are to be crafted together from the start, rather than attaching it to digital identity after the fact. Thus, we draw Digital Identity-Related Privacy (DigldeRP) requirements from global, domestic and business-specific privacy policies. The requirements take shape of business interoperability. We suggest a layered implementation framework (DigldeRP framework) in accordance to model-driven architecture (MDA) approach that would help organizations' security team to turn business interoperability into technical interoperability in the form of a set of services that could accommodate Service-Oriented Architecture (SOA): Privacy-as-a-set-of- services (PaaSS) system. DigldeRP Framework will serve as a basis for vital understanding between business management and technical managers on digital identity related privacy initiatives. The layered DigldeRP framework presents five practical layers as an ordered sequence as a basis of DigldeRP project roadmap, however, in practice, there is an iterative process to assure that each layer supports effectively and enforces requirements of the adjacent ones. Each layer is composed by a set of blocks, which determine a roadmap that security team could follow to successfully implement PaaSS. Several blocks' descriptions are based on OMG SoaML modeling language and BPMN processes description. We identified, designed and implemented seven services that form PaaSS and described their consumption. PaaSS Java QEE project), WSDL, and XSD codes are given and explained.