Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Computational modeling of intermediate temperature proton exchange membrane (PEM) fuel cells

A two-phase three-dimensional computational model of an intermediate temperature (120--190°C) proton exchange membrane (PEM) fuel cell is presented. This represents the first attempt to model PEM fuel cells employing intermediate temperature membranes, in this case, phosphoric acid doped polybenzimidazole (PBI). To date, mathematical modeling of PEM fuel cells has been restricted to low temperature operation, especially to those employing Nafion ® membranes; while research on PBI as an intermediate temperature membrane has been solely at the experimental level. This work is an advancement in the state of the art of both these fields of research. With a growing trend toward higher temperature operation of PEM fuel cells, mathematical modeling of such systems is necessary to help hasten the development of the technology and highlight areas where research should be focused.^ This mathematical model accounted for all the major transport and polarization processes occurring inside the fuel cell, including the two phase phenomenon of gas dissolution in the polymer electrolyte. Results were presented for polarization performance, flux distributions, concentration variations in both the gaseous and aqueous phases, and temperature variations for various heat management strategies. The model predictions matched well with published experimental data, and were self-consistent.^ The major finding of this research was that, due to the transport limitations imposed by the use of phosphoric acid as a doping agent, namely low solubility and diffusivity of dissolved gases and anion adsorption onto catalyst sites, the catalyst utilization is very low (∼1--2%). Significant cost savings were predicted with the use of advanced catalyst deposition techniques that would greatly reduce the eventual thickness of the catalyst layer, and subsequently improve catalyst utilization. The model also predicted that an increase in power output in the order of 50% is expected if alternative doping agents to phosphoric acid can be found, which afford better transport properties of dissolved gases, reduced anion adsorption onto catalyst sites, and which maintain stability and conductive properties at elevated temperatures.^

Eulerian-Lagrangian two phase debris flow model

The main objective of this work is to develop a quasi three-dimensional numerical model to simulate stony debris flows, considering a continuum fluid phase, composed by water and fine sediments, and a non-continuum phase including large particles, such as pebbles and boulders. Large particles are treated in a Lagrangian frame of reference using the Discrete Element Method, the fluid phase is based on the Eulerian approach, using the Finite Element Method to solve the depth-averaged Navier-Stokes equations in two horizontal dimensions. The particle’s equations of motion are in three dimensions. The model simulates particle-particle collisions and wall-particle collisions, taking into account that particles are immersed in a fluid. Bingham and Cross rheological models are used for the continuum phase. Both formulations provide very stable results, even in the range of very low shear rates. Bingham formulation is better able to simulate the stopping stage of the fluid when applied shear stresses are low. Results of numerical simulations have been compared with data from laboratory experiments on a flume-fan prototype. Results show that the model is capable of simulating the motion of big particles moving in the fluid flow, handling dense particulate flows and avoiding overlap among particles. An application to simulate debris flow events that occurred in Northern Venezuela in 1999 shows that the model could replicate the main boulder accumulation areas that were surveyed by the USGS. Uniqueness of this research is the integration of mud flow and stony debris movement in a single modeling tool that can be used for planning and management of debris flow prone areas.

Eulerian-Lagrangian Two Phase Debris Flow Model

The main objective of this work is to develop a quasi three-dimensional numerical model to simulate stony debris flows, considering a continuum fluid phase, composed by water and fine sediments, and a non-continuum phase including large particles, such as pebbles and boulders. Large particles are treated in a Lagrangian frame of reference using the Discrete Element Method, the fluid phase is based on the Eulerian approach, using the Finite Element Method to solve the depth-averaged Navier–Stokes equations in two horizontal dimensions. The particle’s equations of motion are in three dimensions. The model simulates particle-particle collisions and wall-particle collisions, taking into account that particles are immersed in a fluid. Bingham and Cross rheological models are used for the continuum phase. Both formulations provide very stable results, even in the range of very low shear rates. Bingham formulation is better able to simulate the stopping stage of the fluid when applied shear stresses are low. Results of numerical simulations have been compared with data from laboratory experiments on a flume-fan prototype. Results show that the model is capable of simulating the motion of big particles moving in the fluid flow, handling dense particulate flows and avoiding overlap among particles. An application to simulate debris flow events that occurred in Northern Venezuela in 1999 shows that the model could replicate the main boulder accumulation areas that were surveyed by the USGS. Uniqueness of this research is the integration of mud flow and stony debris movement in a single modeling tool that can be used for planning and management of debris flow prone areas.

State-space modelling of geolocation data reveals sex differences in the use of management areas by breeding northern fulmars

We thank Orkney Islands Council for access to Eynhallow and Talisman Energy (UK) Ltd and Marine Scotland for fieldwork and equipment support. Handling and tagging of fulmars was conducted under licences from the British Trust for Ornithology and the UK Home Office. EE was funded by a Marine Alliance for Science and Technology for Scotland/University of Aberdeen College of Life Sciences and Medicine studentship and LQ was supported by a NERC Studentship. Thanks also to the many colleagues who assisted with fieldwork during the project, and to Helen Bailey and Arliss Winship for advice on implementing the state-space model.

State-space modelling of geolocation data reveals sex differences in the use of management areas by breeding northern fulmars

We thank Orkney Islands Council for access to Eynhallow and Talisman Energy (UK) Ltd and Marine Scotland for fieldwork and equipment support. Handling and tagging of fulmars was conducted under licences from the British Trust for Ornithology and the UK Home Office. EE was funded by a Marine Alliance for Science and Technology for Scotland/University of Aberdeen College of Life Sciences and Medicine studentship and LQ was supported by a NERC Studentship. Thanks also to the many colleagues who assisted with fieldwork during the project, and to Helen Bailey and Arliss Winship for advice on implementing the state-space model.

Integrability for Relativistic Spin Networks

The evaluation of relativistic spin networks plays a fundamental role in the Barrett-Crane state sum model of Lorentzian quantum gravity in 4 dimensions. A relativistic spin network is a graph labelled by unitary irreducible representations of the Lorentz group appearing in the direct integral decomposition of the space of L^2 functions on three-dimensional hyperbolic space. To `evaluate' such a spin network we must do an integral; if this integral converges we say the spin network is `integrable'. Here we show that a large class of relativistic spin networks are integrable, including any whose underlying graph is the 4-simplex (the complete graph on 5 vertices). This proves a conjecture of Barrett and Crane, whose validity is required for the convergence of their state sum model.

Análisis y simulación de un rectificador trifásico controlado Active Front End (AFE)

Este artículo presenta un resultado de investigación financiado con recursos propios en el que se expone un modelo en espacio de estados de un rectificador trifásico controlado active front end. Utilizando este modelo se deriva una ley de control orientado al voltaje (VOC), enfocado en el comportamiento como carga resistiva, factor de potencia unitario, el cual es probado mediante simulación usando el Toolbox SimPowerSystem en Simulink de Matlab®.

A numerical model for prediction of oil, trajectory due to extraction activity in the north coasts of the Persian Gulf

This thesis considers a three- dimensional numerical model based on 3-D Navier— Stokes and continuity equations involving various wind speeds (North west), water surface levels, horizontal shier stresses, eddy viscosity, densities of oil and gas condensate- water mixture flows. The model is used to simulate the prediction of the surface movement of oil and gas condensate slicks from spill accident in the north coasts of Persian Gulf.

Three dimensional numerical simulation of thermohaline currents of the Persian Gulf

Observational data and a three dimensional numerical model (POM) are used to investigate the Persian Gulf outflow structure and its spreading pathway into the Oman Sea. The model is based on orthogonal curvilinear coordinate system in horizontal and train following coordinate (sigma coordinate) system in vertical. In the simulation, the horizontal diffusivity coefficients are calculated form Smogorinsky diffusivity formula and the eddy vertical diffusivities are obtained from a second turbulence closure model (namely Mellor-Yamada level 2.5 model of turbulence). The modeling area includes the east of the Persian Gulf, the Oman Sea and a part of the north-east of the Indian Ocean. In the model, the horizontal grid spacing was assumed to be about 3.5 km and the number of vertical levels was set to 32. The simulations show that the mean salinity of the PG outflow does not change substantially during the year and is about 39 psu, while its temperature exhibits seasonal variations. These lead to variations in outflow density in a way that is has its maximum density in late winter (March) and its minimum in mid-summer (August). At the entrance to the Oman Sea, the PG outflow turns to the right due to Coriolis Effect and falls down on the continental slope until it gains its equilibrium depth. The highest density of the outflow during March causes it to sink more into the deeper depths in contrast to that of August which the density is the lowest one. Hence, the neutral buoyancy depths of the outflow are about 500 m and 250 m for March and August respectively. Then, the outflow spreads in its equilibrium depths in the Oman Sea in vicinity of western and southern boundaries until it approach the Ras al Hamra Cape where the water depth suddenly begins to increase. Therefore, during March, the outflow that is deeper and wider relative to August, is more affected by the steep slope topography and as a result of vortex stretching mechanism and conservation of potential vorticity it separates from the lateral boundaries and finally forms an anti-cyclonic eddy in the Oman Sea. But during August the outflow moves as before in vicinity of lateral boundaries. In addition, the interaction of the PG outflow with tide in the Strait of Hormuz leads to intermittency in outflow movement into the Oman Sea and it could be the major reason for generations of Peddy (Peddies) in the Oman Sea.

States' Responding Behavior in Conflict: Asymmetric Response and Strategic Conflict Avoidance

State responses to external threats and aggression are studied with focus on two different rationales: (1) to make credible deterrent threats to avoid being exploited, and (2) to minimize the risk of escalation to unwanted war. Given external aggression, the target state's responding behavior has three possibilities: concession (under-response), reciprocation, and escalation. This study focuses on the first two possibilities and investigates how the strategic nature of crisis interaction can explain the intentional choice of concession or avoidance of retaliation. I build a two-level bargaining model that accounts for the domestic bargaining situation between the leader and the challenger for each state. The model's equilibrium shows that the responding behavior is determined not only by inter-state level variables (e.g. balance of power between two states, or cost of war that each state is supposed to pay), but also the domestic variables of both states. Next, the strategic interaction is rationally explained by the model: as the responding state believes that the initiating state has strong domestic challenges and, hence, the aggression is believed to be initiated for domestic political purposes (a rally-around-the-flag effect), the response tends to decrease. The concession is also predicted if the target state leader has strong bargaining power against her domestic challengers \emph{and} she believes that the initiating leader suffers from weak domestic standing. To test the model's prediction, I conduct a lab experiment and case studies. The experimental result shows that under an incentivized bargaining situation, individual actors are observed to react to hostile action as the model predicts: if the opponent is believed to suffer from internally driven difficulties, the subject will not punish hostile behavior of the other player as severely as she would without such a belief. The experiment also provides supporting evidence for the choice of concession: when the player finds herself in a favorable situation while the other has disadvantages, the player is more likely to make concessions in the controlled dictator game. Two cases are examined to discuss how the model can explain the choice of either reciprocation or concession. From personal interviews and fieldwork in South Korea, I find that South Korea's reciprocating behavior during the 2010 Yeonpyeong Island incident is explained by a combination of `low domestic power of initiating leader (Kim Jong-il)' and `low domestic power of responding leader (Lee Myung-bak).' On the other hand, the case of EC-121 is understood as a non-response or concession outcome. Declassified documents show that Nixon and his key advisors interpreted the attack as a result of North Korea's domestic political instabilities (low domestic power of initiating leader) and that Nixon did not have difficulties at domestic politics during the first few months of his presidency (high domestic power of responding leader).

Credit risk & forward price models

Doutoramento em Gestão

Design and Implementation of Single phase 230V to Three Phase Inverter Based on the Embedded System STM-32 Applied to motor control

In the field of Power Electronics, several types of motor control systems have been developed using STM microcontroller and power boards. In both industrial power applications and domestic appliances, power electronic inverters are widely used. Inverters are used to control the torque, speed, and position of the rotor in AC motor drives. An inverter delivers constant-voltage and constant-frequency power in uninterruptible power sources. Because inverter power supplies have a high-power consumption and low transfer efficiency rate, a three-phase sine wave AC power supply was created using the embedded system STM32, which has low power consumption and efficient speed. It has the capacity of output frequency of 50 Hz and the RMS of line voltage. STM32 embedded based Inverter is a power supply that integrates, reduced, and optimized the power electronics application that require hardware system, software, and application solution, including power architecture, techniques, and tools, approaches capable of performance on devices and equipment. Power inverters are currently used and implemented in green energy power system with low energy system such as sensors or microcontroller to perform the operating function of motors and pumps. STM based power inverter is efficient, less cost and reliable. My thesis work was based on STM motor drives and control system which can be implemented in a gas analyser for operating the pumps and motors. It has been widely applied in various engineering sectors due to its ability to respond to adverse structural changes and improved structural reliability. The present research was designed to use STM Inverter board on low power MCU such as NUCLEO with some practical examples such as Blinking LED, and PWM. Then we have implemented a three phase Inverter model with Steval-IPM08B board, which converter single phase 230V AC input to three phase 380 V AC output, the output will be useful for operating the induction motor.

Ventilation behavior in trained and untrained men during incremental test: evidence of one metabolic transition point

This study aimed to describe and compare the ventilation behavior during an incremental test utilizing three mathematical models and to compare the feature of ventilation curve fitted by the best mathematical model between aerobically trained (TR) and untrained ( UT) men. Thirty five subjects underwent a treadmill test with 1 km.h(-1) increases every minute until exhaustion. Ventilation averages of 20 seconds were plotted against time and fitted by: bi-segmental regression model (2SRM); three-segmental regression model (3SRM); and growth exponential model (GEM). Residual sum of squares (RSS) and mean square error (MSE) were calculated for each model. The correlations between peak VO2 (VO2PEAK), peak speed (Speed(PEAK)), ventilatory threshold identified by the best model (VT2SRM) and the first derivative calculated for workloads below (moderate intensity) and above (heavy intensity) VT2SRM were calculated. The RSS and MSE for GEM were significantly higher (p < 0.01) than for 2SRM and 3SRM in pooled data and in UT, but no significant difference was observed among the mathematical models in TR. In the pooled data, the first derivative of moderate intensities showed significant negative correlations with VT2SRM (r = -0.58; p < 0.01) and Speed(PEAK) (r = -0.46; p < 0.05) while the first derivative of heavy intensities showed significant negative correlation with VT2SRM (r = -0.43; p < 0.05). In UT group the first derivative of moderate intensities showed significant negative correlations with VT2SRM (r = -0.65; p < 0.05) and Speed(PEAK) (r = -0.61; p < 0.05), while the first derivative of heavy intensities showed significant negative correlation with VT2SRM (r= -0.73; p < 0.01), Speed(PEAK) (r = -0.73; p < 0.01) and VO2PEAK (r = -0.61; p < 0.05) in TR group. The ventilation behavior during incremental treadmill test tends to show only one threshold. UT subjects showed a slower ventilation increase during moderate intensities while TR subjects showed a slower ventilation increase during heavy intensities.

Lignin phenols used to infer organic matter sources to Sepetiba Bay - RJ, Brasil

Lignin phenols were measured in the sediments of Sepitiba Bay, Rio de Janeiro, Brazil and in bedload sediments and suspended sediments of the four major fluvial inputs to the bay: Sao Francisco and Guandu Channels and the Guarda and Cacao Rivers. Fluvial suspended lignin yields (Sigma 8 3.5-14.6 mgC 10 g dw(-1)) vary little between the wet and dry seasons and are poorly correlated with fluvial chlorophyll concentrations (0.8-50.2 mu gC L(-1)). Despite current land use practices that favor grassland agriculture or industrial uses, fluvial lignin compositions are dominated by a degraded leaf-sourced material. The exception is the Guarda River, which has a slight influence from grasses. The Lignin Phenol Vegetation Index, coupled with acid/aldehyde and 3.5 Db/V ratios, indicate that degraded leaf-derived phenols are also the primary preserved lignin component in the bay. The presence of fringe Typha sp. and Spartina sp. grass beds surrounding portions of the Bay are not reflected in the lignin signature. Instead, lignin entering the bay appears to reflect the erosion of soils containing a degraded signature from the former Atlantic rain forest that once dominated the watershed, instead of containing a significant signature derived from current agricultural uses. A three-component mixing model using the LPVI, atomic N:C ratios, and stable carbon isotopes (which range between -26.8 and -21.8 parts per thousand) supports the hypothesis that fluvial inputs to the bay are dominated by planktonic matter (78% of the input), with lignin dominated by leaf (14% of the input) over grass (6%). Sediments are composed of a roughly 50-50 mixture of autochthonous material and terrigenous material, with lignin being primarily sourced from leaf. (C) 2010 Elsevier Ltd. All rights reserved.