A two-phase composite in simple shear: Effective mechanical anisotropy development and localization potential

We present a combined shape and mechanical anisotropy evolution model for a two-phase inclusion-bearing rock subject to large deformation. A single elliptical inclusion embedded in a homogeneous but anisotropic matrix is used to represent a simplified shape evolution enforced on all inclusions. The mechanical anisotropy develops due to the alignment of elongated inclusions. The effective anisotropy is quantified using the differential effective medium (DEM) approach. The model can be run for any deformation path and an arbitrary viscosity ratio between the inclusion and host phase. We focus on the case of simple shear and weak inclusions. The shape evolution of the representative inclusion is largely insensitive to the anisotropy development and to parameter variations in the studied range. An initial hardening stage is observed up to a shear strain of gamma = 1 irrespective of the inclusion fraction. The hardening is followed by a softening stage related to the developing anisotropy and its progressive rotation toward the shear direction. The traction needed to maintain a constant shear rate exhibits a fivefold drop at gamma = 5 in the limiting case of an inviscid inclusion. Numerical simulations show that our analytical model provides a good approximation to the actual evolution of a two-phase inclusion-host composite. However, the inclusions develop complex sigmoidal shapes resulting in the formation of an S-C fabric. We attribute the observed drop in the effective normal viscosity to this structural development. We study the localization potential in a rock column bearing varying fraction of inclusions. In the inviscid inclusion case, a strain jump from gamma = 3 to gamma = 100 is observed for a change of the inclusion fraction from 20% to 33%.

Essays in equilibrium asset pricing

Introduction This dissertation consists of three essays in equilibrium asset pricing. The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence. The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models. Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.

Anàlisi d'un treball de força explosiva combinant màquines vibratòries i màquines inercials

L’objectiu d’aquest estudi és comparar els efectes de dos mitjans de treball sobre la força explosiva en 9 atletes de nivell autonòmic i nacional (19,6 ± 2,6 anys, 1,76 ± 7 m i 68,9 ± 3,5 kg) que entrenaren durant el període competitiu, 6 setmanes amb una freqüència de 2 cops per setmana, seguint una periodització creixent. Els subjectes varen ser dividits en 3 grups de 3 atletes cada un, però utilitzant diferents mitjans d’entrenament: el grup experimental combinant la plataforma vibratòria i les màquines inercials (1), amb un temps d’exposició a la vibració de 30’’, a una intensitat de 45 Hz i una amplitud de 5 mm amb una pausa d’1’. I de 3 sèries de 8 repeticions executades a màxima velocitat en la fase concèntrica i controlant aquesta en la fase excèntrica, amb una pausa de 3’ en les màquines io-io. El grup experimental de pesos lliures (2), va realitzar 4 exercicis: ½ squat, pliometria (CEE), multisalts horitzontals i acceleracions, seguint les pautes d’un treball de força explosiva proposat per Badillo i Gorostiaga (1995). I un grup control (3), que no realitzà cap entrenament de força. Abans i després del període d’intervenció és realitzaren els següents tests: salt sense contramoviment (SJ) i salt amb contramoviment (CMJ). Els resultats indicaren que el grup (1), (2) i (3) disminuïren significativament el SJ i el CMJ. Es conclou que l’entrenament, tant en el de combinació d’estímuls vibratoris amb màquines inercials com el de pesos lliures pareix ser un mitja que s’ha de controlar i perioditzar molt bé ja que en el període competitiu l’atleta acumula uns nivells de fatiga tant muscular com fisiològics molt superiors que en altres períodes de la temporada.

Valoració de la capacitat de salt i sincronització temporal intergrupal en la Gimnàstica Estètica de Grup

La Gimnàstica Estètica de Grup (GEG) és un esport emergent del qual no existeix gairebé cap treball de camp i/o publicació. En relació al codi de puntuació d’aquesta modalitat, tant les capacitats de salt com la unitat de moviment del cos i la sincronització entre els membres del conjunt, tenen un pes molt important en la puntuació del valor tècnic i de l’execució. En aquest estudi s’ha realitzat la mesura, avaluació i comparació de les manifestacions de la força explosiva, elàstica i reactiva d’un grup de gimnàstica d’estètica d’alt nivell al principi i al final del període competitiu, mitjançant la bateria de tests de salts verticals de Bosco, concretament SJ, CMJ, CMJas i RJ (15” CMJas). També s’ha analitzat la sincronització i/o coordinació temporal intergrupal d’execució de les dificultats tècniques de salt de les coreografies competitives, al llarg del període competitiu d’un conjunt de gimnàstica estètica d’alt nivell, tenint en compte la sincronització en començar la dificultat i en acabar-la. Els resultats obtinguts demostren que la manifestació de força elàsticoexplosiva en CMJ ha disminuït un 0,46 % i la força explosiva SJ (sense reutilització d'energia elàstica ni aprofitament del reflex miotàtic) ha augmentat un 4,63 %. Durant el període competitiu del conjunt sènior de gimnàstica estètica del Club Muntanyenc Sant Cugat, la influència dels braços en la capacitat de salt ha augmentat un 1,32% i la potència anaeròbica alàctica un 4,76%. Tot i que en la majoria de tests, els resultats han estat positius, no es considera que la mostra hagi assolit una millora significativa, atès que no ha superat el 10% proposat en començar l’estudi, i els valors obtinguts són totalment inestables. S’ha vist que en un mateix test el % de pèrdues i de guanys ha estat molt variat, de manera que no es pot establir una relació de millora de la capacitat de salt en funció de l’entrenament. Pel que fa a la sincronització temporal intergrupal, ha millorat entre un 37,50% (sincronització temps inicial) i un 50,00% (sincronització temps final) en relació a les dificultats tècniques. Fet que és relaciona directament amb l’automatització de mecanismes d’execució al llarg de la temporada competitiva. Tot i així no s’ha igualat o superat la millora d’un 70% proposada per les hipòtesis inicials de l’estudi.

Creation and Validation of Chronojump-Boscosystem: A Free Tool to Measure Vertical Jumps

Measuring the height of the vertical jump is an indicator of the strength and power of the lower body. The technological tools available to measure the vertical jump are black boxes and are not open to third-party verification or adaptation. We propose the creation of a measurement system called Chronojump-Boscosystem, consisting of open hardware and free software. Methods: A microcontroller was created and validated using a square wave generator and an oscilloscope. Two types of contact platforms were developed using different materials. These platforms were validated by the minimum pressure required for activation at different points by a strain gauge, together with the on/off time of our platforms in respect of the Ergojump-Boscosystem platform by a sample of 8 subjects performing submaximal jumps with one foot on each platform. Agile methodologies were used to develop and validate the software. Results: All the tools fall under the free software / open hardware guidelines and are, in that sense, free. The microcontroller margin of error is 0.1%. The validity of the fiberglass platform is 0.95 (ICC). The management software contains nearly 113.000 lines of code and is available in 7 languages.

Physical determinants of tennis performance in competitive teenage players

It is unclear how physical attributes influence tennis-specific performance in teenage players. The aims of this study were (a) to examine the relationships between speed, explosive power, leg stiffness, and muscular strength of upper and lower limbs; and (b) to determine to what extent these physical qualities relate to tournament play performance in a group of competitive teenage tennis players. A total of 12 male players aged 13.6 +/- 1.4 years performed a series of physical tests: a 5-m, 10-m, and 20-m sprint; squat jump (SJ); countermovement jump (CMJ); drop jump (DJ); multi-rebound jumps; maximum voluntary contraction of isometric grip strength; and plantar flexor of the dominant and nondominant side. Speed (r = 0.69, 0.63, and 0.74 for 5-, 10-, and 20-m sprints, respectively), vertical power abilities (r = -0.71, -0.80 and -0.66 for SJ, CMJ, and DJ, respectively), and maximal strength in the dominant side (r = -0.67 and -0.73 for handgrip and plantar flexor, respectively) were significantly correlated with tennis performance. However, strength in the nondominant side (r = -0.29 and -0.42 for handgrip and plantar flexor) and leg stiffness (r = -0.15) were not correlated with the performance ranking of the players. It seems that physical attributes have a strong influence on tennis performance in this age group and that an important asymmetry is already observed. By monitoring regularly such physical abilities during puberty, the conditioning coach can modify a program to compensate for the imbalances. This would in turn minimize the risks of injuries during this critical period.

Modeling and mitigation of supply-demand mismatches

In this thesis, I develop analytical models to price the value of supply chain investments under demand uncer¬tainty. This thesis includes three self-contained papers. In the first paper, we investigate the value of lead-time reduction under the risk of sudden and abnormal changes in demand forecasts. We first consider the risk of a complete and permanent loss of demand. We then provide a more general jump-diffusion model, where we add a compound Poisson process to a constant-volatility demand process to explore the impact of sudden changes in demand forecasts on the value of lead-time reduction. We use an Edgeworth series expansion to divide the lead-time cost into that arising from constant instantaneous volatility, and that arising from the risk of jumps. We show that the value of lead-time reduction increases substantially in the intensity and/or the magnitude of jumps. In the second paper, we analyze the value of quantity flexibility in the presence of supply-chain dis- intermediation problems. We use the multiplicative martingale model and the "contracts as reference points" theory to capture both positive and negative effects of quantity flexibility for the downstream level in a supply chain. We show that lead-time reduction reduces both supply-chain disintermediation problems and supply- demand mismatches. We furthermore analyze the impact of the supplier's cost structure on the profitability of quantity-flexibility contracts. When the supplier's initial investment cost is relatively low, supply-chain disin¬termediation risk becomes less important, and hence the contract becomes more profitable for the retailer. We also find that the supply-chain efficiency increases substantially with the supplier's ability to disintermediate the chain when the initial investment cost is relatively high. In the third paper, we investigate the value of dual sourcing for the products with heavy-tailed demand distributions. We apply extreme-value theory and analyze the effects of tail heaviness of demand distribution on the optimal dual-sourcing strategy. We find that the effects of tail heaviness depend on the characteristics of demand and profit parameters. When both the profit margin of the product and the cost differential between the suppliers are relatively high, it is optimal to buffer the mismatch risk by increasing both the inventory level and the responsive capacity as demand uncertainty increases. In that case, however, both the optimal inventory level and the optimal responsive capacity decrease as the tail of demand becomes heavier. When the profit margin of the product is relatively high, and the cost differential between the suppliers is relatively low, it is optimal to buffer the mismatch risk by increasing the responsive capacity and reducing the inventory level as the demand uncertainty increases. In that case, how¬ever, it is optimal to buffer with more inventory and less capacity as the tail of demand becomes heavier. We also show that the optimal responsive capacity is higher for the products with heavier tails when the fill rate is extremely high.

Digitalización del sistema de control de nivel en calentadores y tanques de drenaje de una Central Nuclear

Contexto Una central nuclear, al igual que cualquier otro tipo de central generadora de energía eléctrica, mediante turbinas de vapor, está basada en un proceso termodinámico. El rendimiento de las mismas es función del salto entálpico del vapor, para mejorarlo las centrales están constituidas por un ciclo compound formado por turbina de alta presión y turbinas de baja presión, y un ciclo regenerativo consistente en calentar el agua de alimentación antes de su introducción a los generadores de vapor. Un ciclo regenerativo está basado en etapas de calentadores o cambiadores de calor para aprovechar al máximo la energía térmica del vapor, este proyecto está basado en la mejora y optimización del proceso de control de estos para contribuir a mejorar el rendimiento de la central. Objetivo Implementar un sistema de control que nos permita modernizar los clásicos sistemas basados en controles locales y comunicaciones analógicas. Mejorar el rendimiento del ciclo regenerativo de la central, aprovechando las mejoras tecnológicas que ofrece el mercado, tanto en el hardware como en el software de los sistemas de instrumentación y control. Optimizar el rendimiento de los lazos de control de cada uno de los elementos del ciclo regenerativo mediante estrategias de control. Procedimiento Desarrollo de un sistema de control actualizado considerando, como premisa principal, la fiabilidad del sistema, el análisis de fallos y la jerarquización del riesgo. Análisis y cálculo de los lazos de control considerando las premisas establecidas. Configuración de los lazos mediante estrategias de control que nos permitan optimizar y minimizar los efectos del fallo. Para ello se han utilizado parámetros y datos extraídos de la Central Nuclear de Ascó. Conclusiones Se ha modernizado y optimizado el sistema de control mejorando el rendimiento del ciclo regenerativo. Se ha conseguido un sistema más fiable, reduciendo el riesgo del fallo y disminuyendo los efectos de los mismos. El coste de un proyecto de estas características es inferior al de un sistema convencional y ofrece más posibilidades. Es un sistema abierto que permite utilizar e interconectar equipos de diferentes fabricantes, lo que favorece tanto el mantenimiento como las posibles ampliaciones futuras del sistema.

Exit times in non-Markovian drifting continuous-time random-walk processes

By appealing to renewal theory we determine the equations that the mean exit time of a continuous-time random walk with drift satisfies both when the present coincides with a jump instant or when it does not. Particular attention is paid to the corrections ensuing from the non-Markovian nature of the process. We show that when drift and jumps have the same sign the relevant integral equations can be solved in closed form. The case when holding times have the classical Erlang distribution is considered in detail.

"Live High-Train Low and High" Hypoxic Training Improves Team-Sport Performance.

PURPOSE: This study aims to investigate physical performance and hematological changes in 32 elite male team-sport players after 14 d of "live high-train low" (LHTL) training in normobaric hypoxia (≥14 h·d at 2800-3000 m) combined with repeated-sprint training (six sessions of four sets of 5 × 5-s sprints with 25 s of passive recovery) either in normobaric hypoxia at 3000 m (LHTL + RSH, namely, LHTLH; n = 11) or in normoxia (LHTL + RSN, namely, LHTL; n = 12) compared with controlled "live low-train low" (LLTL; n = 9) training. METHODS: Before (Pre), immediately after (Post-1), and 3 wk after (Post-2) the intervention, hemoglobin mass (Hbmass) was measured in duplicate [optimized carbon monoxide (CO) rebreathing method], and vertical jump, repeated-sprint (8 × 20 m-20 s recovery), and Yo-Yo Intermittent Recovery level 2 (YYIR2) performances were tested. RESULTS: Both hypoxic groups similarly increased their Hbmass at Post-1 and Post-2 in reference to Pre (LHTLH: +4.0%, P < 0.001 and +2.7%, P < 0.01; LHTL: +3.0% and +3.0%, both P < 0.001), whereas no change occurred in LLTL. Compared with Pre, YYIR2 performance increased by ∼21% at Post-1 (P < 0.01) and by ∼45% at Post-2 (P < 0.001), with no difference between the two intervention groups (vs no change in LLTL). From Pre to Post-1, cumulated sprint time decreased in LHTLH (-3.6%, P < 0.001) and LHTL (-1.9%, P < 0.01), but not in LLTL (-0.7%), and remained significantly reduced at Post-2 (-3.5%, P < 0.001) in LHTLH only. Vertical jump performance did not change. CONCLUSIONS: "Live high-train low and high" hypoxic training interspersed with repeated sprints in hypoxia for 14 d (in season) increases the Hbmass, YYIR2 performance, and repeated-sprint ability of elite field team-sport players, with benefits lasting for at least 3 wk postintervention.

Asymptotic analysis of stock price densities and implied volatilities in mixed stochastic models

In this paper, we obtain sharp asymptotic formulas with error estimates for the Mellin con- volution of functions de ned on (0;1), and use these formulas to characterize the asymptotic behavior of marginal distribution densities of stock price processes in mixed stochastic models. Special examples of mixed models are jump-di usion models and stochastic volatility models with jumps. We apply our general results to the Heston model with double exponential jumps, and make a detailed analysis of the asymptotic behavior of the stock price density, the call option pricing function, and the implied volatility in this model. We also obtain similar results for the Heston model with jumps distributed according to the NIG law.

MCMC Analysis Of Classical Time Series Algorithms

Identification of order of an Autoregressive Moving Average Model (ARMA) by the usual graphical method is subjective. Hence, there is a need of developing a technique to identify the order without employing the graphical investigation of series autocorrelations. To avoid subjectivity, this thesis focuses on determining the order of the Autoregressive Moving Average Model using Reversible Jump Markov Chain Monte Carlo (RJMCMC). The RJMCMC selects the model from a set of the models suggested by better fitting, standard deviation errors and the frequency of accepted data. Together with deep analysis of the classical Box-Jenkins modeling methodology the integration with MCMC algorithms has been focused through parameter estimation and model fitting of ARMA models. This helps to verify how well the MCMC algorithms can treat the ARMA models, by comparing the results with graphical method. It has been seen that the MCMC produced better results than the classical time series approach.

Studies on the Multifaceted Interaction of Atoms and an Electromagnetic Field

In this Thesis the interaction of an electromagnetic field and matter is studied from various aspects in the general framework of cold atoms. Our subjects cover a wide spectrum of phenomena ranging from semiclassical few-level models to fully quantum mechanical interaction with structured reservoirs leading to non-Markovian open quantum system dynamics. Within closed quantum systems, we propose a selective method to manipulate the motional state of atoms in a time-dependent double-well potential and interpret the method in terms of adiabatic processes. Also, we derive a simple wave-packet model, based on distributions of generalized eigenstates, explaining the finite visibility of interference in overlapping continuous-wave atom lasers. In the context of open quantum systems, we develop an unraveling of non-Markovian dynamics in terms of piecewise deterministic quantum jump processes confined in the Hilbert space of the reduced system - the non-Markovian quantum jump method. As examples, we apply it for simple 2- and 3-level systems interacting with a structured reservoir. Also, in the context of ion-cavity QED we study the entanglement generation based on collective Dicke modes in experimentally realistic conditions including photonic losses and an atomic spontaneous decay.

From Fluid Dynamics to Human Psychology.What Drives Financial Markets Towards Extreme Events

For decades researchers have been trying to build models that would help understand price performance in financial markets and, therefore, to be able to forecast future prices. However, any econometric approaches have notoriously failed in predicting extreme events in markets. At the end of 20th century, market specialists started to admit that the reasons for economy meltdowns may originate as much in rational actions of traders as in human psychology. The latter forces have been described as trading biases, also known as animal spirits. This study aims at expressing in mathematical form some of the basic trading biases as well as the idea of market momentum and, therefore, reconstructing the dynamics of prices in financial markets. It is proposed through a novel family of models originating in population and fluid dynamics, applied to an electricity spot price time series. The main goal of this work is to investigate via numerical solutions how well theequations succeed in reproducing the real market time series properties, especially those that seemingly contradict standard assumptions of neoclassical economic theory, in particular the Efficient Market Hypothesis. The results show that the proposed model is able to generate price realizations that closely reproduce the behaviour and statistics of the original electricity spot price. That is achieved in all price levels, from small and medium-range variations to price spikes. The latter were generated from price dynamics and market momentum, without superimposing jump processes in the model. In the light of the presented results, it seems that the latest assumptions about human psychology and market momentum ruling market dynamics may be true. Therefore, other commodity markets should be analyzed with this model as well.

Idiosyncratic volatility around information release date

Several papers document idiosyncratic volatility is time-varying and many attempts have been made to reveal whether idiosyncratic risk is priced. This research studies behavior of idiosyncratic volatility around information release dates and also its relation with return after public announcement. The results indicate that when a company discloses specific information to the market, firm’s specific volatility level shifts and short-horizon event-induced volatility vary significantly however, the category to which the announcement belongs is not important in magnitude of change. This event-induced volatility is not small in size and should not be downplayed in event studies. Moreover, this study shows stocks with higher contemporaneous realized idiosyncratic volatility earn lower return after public announcement consistent with “divergence of opinion hypothesis”. While no significant relation is found between EGARCH estimated idiosyncratic volatility and return and also between one-month lagged idiosyncratic volatility and return presumably due to significant jump around public announcement both may provide some signals regarding future idiosyncratic volatility through their correlations with contemporaneous realized idiosyncratic volatility. Finally, the study show that positive relation between return and idiosyncratic volatility based on under-diversification is inadequate to explain all different scenarios and this negative relation after public announcement may provide a useful trading rule.