Analysis of stock market indices with multidimensional scaling and wavelets

Stock market indices SMIs are important measures of financial and economical performance. Considerable research efforts during the last years demonstrated that these signals have a chaotic nature and require sophisticated mathematical tools for analyzing their characteristics. Classical methods, such as the Fourier transform, reveal considerable limitations in discriminating different periods of time. This paper studies the dynamics of SMI by combining the wavelet transform and the multidimensional scaling MDS . Six continuous wavelets are tested for analyzing the information content of the stock signals. In a first phase, the real Shannon wavelet is adopted for performing the evaluation of the SMI dynamics, while their comparison is visualized by means of the MDS. In a second phase, the other wavelets are also tested, and the corresponding MDS plots are analyzed.

Application of continuous wavelet transform to the analysis of the modulus of the fractional Fourier transform bands for resolving two component mixture

In this paper, the fractional Fourier transform (FrFT) is applied to the spectral bands of two component mixture containing oxfendazole and oxyclozanide to provide the multicomponent quantitative prediction of the related substances. With this aim in mind, the modulus of FrFT spectral bands are processed by the continuous Mexican Hat family of wavelets, being denoted by MEXH-CWT-MOFrFT. Four modulus sets are obtained for the parameter a of the FrFT going from 0.6 up to 0.9 in order to compare their effects upon the spectral and quantitative resolutions. Four linear regression plots for each substance were obtained by measuring the MEXH-CWT-MOFrFT amplitudes in the application of the MEXH family to the modulus of the FrFT. This new combined powerful tool is validated by analyzing the artificial samples of the related drugs, and it is applied to the quality control of the commercial veterinary samples.

Analysis of stock market indices through multidimensional scaling

We propose a graphical method to visualize possible time-varying correlations between fifteen stock market values. The method is useful for observing stable or emerging clusters of stock markets with similar behaviour. The graphs, originated from applying multidimensional scaling techniques (MDS), may also guide the construction of multivariate econometric models.

Application of Continuous Wavelet Transform to the Analysis of the Modulus of the Fractional Fourier Transform Bands for Resolving Two Component Mixture

In this paper, the fractional Fourier transform (FrFT) is applied to the spectral bands of two component mixture containing oxfendazole and oxyclozanide to provide the multicomponent quantitative prediction of the related substances. With this aim in mind, the modulus of FrFT spectral bands are processed by the continuous Mexican Hat family of wavelets, being denoted by MEXH-CWT-MOFrFT. Four modulus sets are obtained for the parameter a of the FrFT going from 0.6 up to 0.9 in order to compare their effects upon the spectral and quantitative resolutions. Four linear regression plots for each substance were obtained by measuring the MEXH-CWT-MOFrFT amplitudes in the application of the MEXH family to the modulus of the FrFT. This new combined powerful tool is validated by analyzing the artificial samples of the related drugs, and it is applied to the quality control of the commercial veterinary samples.

Multidimensional Scaling Analysis of Stock Market Indexes

This paper applies multidimensional scaling techniques and Fourier transform for visualizing possible time-varying correlations between 25 stock market values. The method is useful for observing clusters of stock markets with similar behavior.

Factor analysis in the stock market: An application to statistical arbitrage

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

A compositional statistical analysis of capital stock

Most of economic literature has presented its analysis under the assumption of homogeneous capital stock.However, capital composition differs across countries. What has been the pattern of capital compositionassociated with World economies? We make an exploratory statistical analysis based on compositional datatransformed by Aitchinson logratio transformations and we use tools for visualizing and measuring statisticalestimators of association among the components. The goal is to detect distinctive patterns in the composition.As initial findings could be cited that:1. Sectorial components behaved in a correlated way, building industries on one side and , in a lessclear view, equipment industries on the other.2. Full sample estimation shows a negative correlation between durable goods component andother buildings component and between transportation and building industries components.3. Countries with zeros in some components are mainly low income countries at the bottom of theincome category and behaved in a extreme way distorting main results observed in the fullsample.4. After removing these extreme cases, conclusions seem not very sensitive to the presence ofanother isolated cases

Development of Performance Properties of Ternary Mixtures and Concrete Pavement Mixture Design and Analysis (MDA): Effect of Paste Quality on Fresh and Hardened Properties of Ternary Mixtures, TPF-5(117), 2012

The purpose of this study was to investigate the effect of cement paste quality on the concrete performance, particularly fresh properties, by changing the water-to-cementitious materials ratio (w/cm), type and dosage of supplementary cementitious materials (SCM), and airvoid system in binary and ternary mixtures. In this experimental program, a total matrix of 54 mixtures with w/cm of 0.40 and 0.45; target air content of 2%, 4%, and 8%; a fixed cementitious content of 600 pounds per cubic yard (pcy), and the incorporation of three types of SCMs at different dosages was prepared. The fine aggregate-to- total aggregate ratio was fixed at 0.42. Workability, rheology, air-void system, setting time, strength, Wenner Probe surface resistivity, and shrinkage were determined. The effects of paste variables on workability are more marked at the higher w/cm. The compressive strength is strongly influenced by the paste quality, dominated by w/cm and air content. Surface resistivity is improved by inclusion of Class F fly ash and slag cement, especially at later ages. Ternary mixtures performed in accordance with their ingredients. The data collected will be used to develop models that will be part of an innovative mix proportioning procedure.

Concrete Pavement Mixture Design and Analysis (MDA) Guide Specification for Highway Concrete Pavements: Commentary, TPF-5(205), 2012

This guide specification and commentary for concrete pavements presents current state-of-the art thinking with respect to materials and mixture selection, proportioning, and acceptance. This document takes into account the different environments, practices, and materials in use across the United States and allows optional inputs for local application. The following concrete pavement types are considered: jointed plain concrete pavement, the most commonly used pavement type and may be doweled or non-doweled at transverse joints; and continuously reinforced concrete pavement, typically constructed without any transverse joints, typically used for locations with high truck traffic loads and/or poor support conditions.

Concrete Pavement Mixture Design and Analysis (MDA) Guide Specification for Highway Concrete Pavements, TPF-5(205), 2012

A guide specification and commentary have been prepared that lay out current state-of-the art thinking with respect to materials and mixture selection, proportioning, and acceptance. These documents take into account the different environments, practices, and materials in use across the US and allow optional inputs for local application.

Concrete Pavement Mixture Design and Analysis (MDA): Effect of Aggregate Systems on Concrete Properties, TPF-5(205), 2012

For years, specifications have focused on the water to cement ratio (w/cm) and strength of concrete, despite the majority of the volume of a concrete mixture consisting of aggregate. An aggregate distribution of roughly 60% coarse aggregate and 40% fine aggregate, regardless of gradation and availability of aggregates, has been used as the norm for a concrete pavement mixture. Efforts to reduce the costs and improve sustainability of concrete mixtures have pushed owners to pay closer attention to mixtures with a well-graded aggregate particle distribution. In general, workability has many different variables that are independent of gradation, such as paste volume and viscosity, aggregate’s shape, and texture. A better understanding of how the properties of aggregates affect the workability of concrete is needed. The effects of aggregate characteristics on concrete properties, such as ability to be vibrated, strength, and resistivity, were investigated using mixtures in which the paste content and the w/cm were held constant. The results showed the different aggregate proportions, the maximum nominal aggregate sizes, and combinations of different aggregates all had an impact on the performance in the strength, slump, and box test.

Concrete Pavement Mixture Design and Analysis (MDA): Assessment of Air Void System Requirements for Durable Concrete, TPF-5(205), 2012

Concrete will suffer frost damage when saturated and subjected to freezing temperatures. Frost-durable concrete can be produced if a specialized surfactant, also known as an air-entraining admixture (AEA), is added during mixing to stabilize microscopic air voids. Small and well-dispersed air voids are critical to produce frost-resistant concrete. Work completed by Klieger in 1952 found the minimum volume of air required to consistently ensure frost durability in a concrete mixture subjected to rapid freezing and thawing cycles. He suggested that frost durability was provided if 18 percent air was created in the paste. This is the basis of current practice despite the tests being conducted on materials that are no longer available using tests that are different from those in use today. Based on the data presented, it was found that a minimum air content of 3.5 percent in the concrete and 11.0 percent in the paste should yield concrete durable in the ASTM C 666 with modern AEAs and low or no lignosulfonate water reducers (WRs). Limited data suggests that mixtures with a higher dosage of lignosulfonate will need about 1 percent more air in the concrete or 3 percent more air in the paste for the materials and procedures used. A spacing factor of 0.008 in. was still found to be necessary to provide frost durability for the mixtures investigated.

Concrete Pavement Mixture Design and Analysis (MDA): Application of a Portable X-Ray Fluorescence Technique to Assess Concrete Mix Proportions , TPF-5(205), 2012

Any transportation infrastructure system is inherently concerned with durability and performance issues. The proportioning and uniformity control of concrete mixtures are critical factors that directly affect the longevity and performance of the portland cement concrete pavement systems. At present, the only means available to monitor mix proportions of any given batch are to track batch tickets created at the batch plant. However, this does not take into account potential errors in loading materials into storage silos, calibration errors, and addition of water after dispatch. Therefore, there is a need for a rapid, cost-effective, and reliable field test that estimates the proportions of as-delivered concrete mixtures. In addition, performance based specifications will be more easily implemented if there is a way to readily demonstrate whether any given batch is similar to the proportions already accepted based on laboratory performance testing. The goal of the present research project is to investigate the potential use of a portable x-ray fluorescence (XRF) technique to assess the proportions of concrete mixtures as they are delivered. Tests were conducted on the raw materials, paste and mortar samples using a portable XRF device. There is a reasonable correlation between the actual and calculated mix proportions of the paste samples, but data on mortar samples was less reliable.

Concrete Pavement Mixture Design and Analysis (MDA): Factors Influencing Drying Shrinkage, TPF-5(205), 2014

This literature review focuses on factors influencing drying shrinkage of concrete. Although the factors are normally interrelated, they can be categorized into three groups: paste quantity, paste quality, and other factors.

Concrete Pavement Mixture Design and Analysis (MDA): Development and Evaluation of Vibrating Kelly Ball Test (VKelly Test) for the Workability of Concrete, 2015

Due to the low workability of slipform concrete mixtures, the science of rheology is not strictly applicable for such concrete. However, the concept of rheological behavior may still be considered useful. A novel workability test method (Vibrating Kelly Ball or VKelly test) that would quantitatively assess the responsiveness of a dry concrete mixture to vibration, as is desired of a mixture suitable for slipform paving, was developed and evaluated. The objectives of this test method are for it to be cost-effective, portable, and repeatable while reporting the suitability of a mixture for use in slipform paving. The work to evaluate and refine the test was conducted in three phases: 1. Assess whether the VKelly test can signal variations in laboratory mixtures with a range of materials and proportions 2. Run the VKelly test in the field at a number of construction sites 3. Validate the VKelly test results using the Box Test developed at Oklahoma State University for slipform paving concrete The data collected to date indicate that the VKelly test appears to be suitable for assessing a mixture’s response to vibration (workability) with a low multiple operator variability. A unique parameter, VKelly Index, is introduced and defined that seems to indicate that a mixture is suitable for slipform paving when it falls in the range of 0.8 to 1.2 in./√s.