Fractional Integration of the Price-Dividend Ratio in a Present-Value Model of Stock Prices

We re-examine the dynamics of returns and dividend growth within the present-value framework of stock prices. We find that the finite sample order of integration of returns is approximately equal to the order of integration of the first-differenced price-dividend ratio. As such, the traditional return forecasting regressions based on the price-dividend ratio are invalid. Moreover, the nonstationary long memory behaviour of the price-dividend ratio induces antipersistence in returns. This suggests that expected returns should be modelled as an AFIRMA process and we show this improves the forecast ability of the present-value model in-sample and out-of-sample.

Hours worked - Productivity puzzle: identification in fractional integration settings

A recent finding of the structural VAR literature is that the response of hours worked to a technology shock depends on the assumption on the order of integration of the hours. In this work we relax this assumption, allowing for fractional integration and long memory in the process for hours and productivity. We find that the sign and magnitude of the estimated impulse responses of hours to a positive technology shock depend crucially on the assumptions applied to identify them. Responses estimated with short-run identification are positive and statistically significant in all datasets analyzed. Long-run identification results in negative often not statistically significant responses. We check validity of these assumptions with the Sims (1989) procedure, concluding that both types of assumptions are appropriate to recover the impulse responses of hours in a fractionally integrated VAR. However, the application of longrun identification results in a substantial increase of the sampling uncertainty. JEL Classification numbers: C22, E32. Keywords: technology shock, fractional integration, hours worked, structural VAR, identification

Structural Brain Connectivity in School-Age Preterm Infants Provides Evidence for Impaired Networks Relevant for Higher Order Cognitive Skills and Social Cognition.

Extreme prematurity and pregnancy conditions leading to intrauterine growth restriction (IUGR) affect thousands of newborns every year and increase their risk for poor higher order cognitive and social skills at school age. However, little is known about the brain structural basis of these disabilities. To compare the structural integrity of neural circuits between prematurely born controls and children born extreme preterm (EP) or with IUGR at school age, long-ranging and short-ranging connections were noninvasively mapped across cortical hemispheres by connection matrices derived from diffusion tensor tractography. Brain connectivity was modeled along fiber bundles connecting 83 brain regions by a weighted characterization of structural connectivity (SC). EP and IUGR subjects, when compared with controls, had decreased fractional anisotropy-weighted SC (FAw-SC) of cortico-basal ganglia-thalamo-cortical loop connections while cortico-cortical association connections showed both decreased and increased FAw-SC. FAw-SC strength of these connections was associated with poorer socio-cognitive performance in both EP and IUGR children.

Unequal Teeth Widths for Torque Ripple Reduction in Permanent Magnet Synchronous Machines With Fractional-Slot Non-Overlapping Windings

Permanent magnet synchronous machines with fractional-slot non-overlapping windings (FSPMSM), also known as tooth-coil winding permanent magnet synchronous machines (TCW PMSM), have been under intensive research during the latest decade. There are many optimization routines explained and implemented in the literature in order to improve the characteristics of this machine type. This paper introduces a new technique for torque ripple minimization in TCW PMSM. The source of torque harmonics is also described. The low order torque harmonics can be harmful for a variety of applications, such as direct drive wind generators, direct drive light vehicle electrical motors, and for some high precision servo applications. The reduction of the torque ripple harmonics with the lowest orders (6th and 12th) is realized by machine geometry optimization technique using finite element analysis (FEA). The presented optimization technique includes the stator geometry adjustment in TCW PMSMs with rotor surface permanent magnets and with rotor embedded permanent magnets. Influence of the permanent magnet skewing on the torque ripple reduction and cogging torque elimination was also investigated. It was implemented separately and together with the stator optimization technique. As a result, the reduction of some torque ripple harmonics was attained.

Fractional polynomial response surface models

Second-order polynomial models have been used extensively to approximate the relationship between a response variable and several continuous factors. However, sometimes polynomial models do not adequately describe the important features of the response surface. This article describes the use of fractional polynomial models. It is shown how the models can be fitted, an appropriate model selected, and inference conducted. Polynomial and fractional polynomial models are fitted to two published datasets, illustrating that sometimes the fractional polynomial can give as good a fit to the data and much more plausible behavior between the design points than the polynomial model. © 2005 American Statistical Association and the International Biometric Society.

A prelude to the fractional calculus applied to tumor dynamic

In order to refine the solution given by the classical logistic equation and extend its range of applications in the study of tumor dynamics, we propose and solve a generalization of this equation, using the so-called Fractional Calculus, i.e., we replace the ordinary derivative of order 1, in one version of the usual equation, by a non-integer derivative of order 0 < α < 1, and recover the classical solution as a particular case. Finally, we analyze the applicability of this model to describe the growth of cancer tumors.

Estimating and forecasting generalized fractional Long memory stochastic volatility models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.

Local probe of fractional edge states of S=1 Heisenberg spin chains

Spin chains are among the simplest physical systems in which electron-electron interactions induce novel states of matter. Here we propose to combine atomic scale engineering and spectroscopic capabilities of state of the art scanning tunnel microscopy to probe the fractionalized edge states of individual atomic scale S=1 spin chains. These edge states arise from the topological order of the ground state in the Haldane phase. We also show that the Haldane gap and the spin-spin correlation length can be measured with the same technique.

Vector Combinatorial Problems in a Space of Combinations with Linear Fractional Functions of Criteria

The paper considers vector discrete optimization problem with linear fractional functions of criteria on a feasible set that has combinatorial properties of combinations. Structural properties of a feasible solution domain and of Pareto–optimal (efficient), weakly efficient, strictly efficient solution sets are examined. A relation between vector optimization problems on a combinatorial set of combinations and on a continuous feasible set is determined. One possible approach is proposed in order to solve a multicriteria combinatorial problem with linear- fractional functions of criteria on a set of combinations.

An Algorithm for Fresnel Diffraction Computing Based on Fractional Fourier Transform

The fractional Fourier transform (FrFT) is used for the solution of the diffraction integral in optics. A scanning approach is proposed for finding the optimal FrFT order. In this way, the process of diffraction computing is speeded up. The basic algorithm and the intermediate results at each stage are demonstrated.

Fractional Calculus of the Generalized Wright Function

Mathematics Subject Classification: 26A33, 33C20.

Polynomial Expansions for Solutions of Higher-Order Bessel Heat Equation in Quantum Calculus

Mathematics Subject Class.: 33C10,33D60,26D15,33D05,33D15,33D90

Nonexistence Results of Solutions of Semilinear Differential Inequalities with Temperal Fractional Derivative on the Heinsenberg Group

2000 Mathematics Subject Classification: 26A33, 33C60, 44A15, 35K55

Well-Posedness of Diffusion-Wave Problem with Arbitrary Finite Number of Time Fractional Derivatives in Sobolev Spaces H^s

Mathematics Subject Classification 2010: 26A33, 33E12, 35S10, 45K05.

Mixed Fractional Integration Operators in Mixed Weighted Hölder Spaces

MSC 2010: 26A33