Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

Dynamic critical behavior of percolation observables in the 2d Ising model

We present preliminary results of our numerical study of the critical dynamics of percolation observables for the two-dimensional Ising model. We consider the (Monte-Carlo) short-time evolution of the system obtained with a local heat-bath method and with the global Swendsen-Wang algorithm. In both cases, we find qualitatively different dynamic behaviors for the magnetization and Omega, the order parameter of the percolation transition. This may have implications for the recent attempts to describe the dynamics of the QCD phase transition using cluster observables.

Dynamic behavior of cluster observables for the 2d Ising model

We present results of our numerical study of the critical dynamics of percolation observables for the two-dimensional Ising model. We consider the (Monte Carlo) short-time evolution of the system with small initial magnetization and heat-bath dynamics. We find qualitatively different dynamic behaviors for the magnetization M and for Ω, the so-called strength of the percolating cluster, which is the order parameter of the percolation transition. More precisely, we obtain a (leading) exponential form for Ω as a function of the Monte Carlo time t, to be compared with the power-law increase encountered for M at short times. Our results suggest that, although the descriptions in terms of magnetic or percolation order parameters may be equivalent in the equilibrium regime, greater care must be taken to interpret percolation observables at short times.

Interaction between fiscal and monetary policy in a dynamic nonlinear model

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

A Novel Method of Evaluating Ureteropelvic Junction Obstruction: Dynamic Near Infrared Fluorescence Imaging Compared to Standard Modalities to Assess Urinary Obstruction in a Swine Model

Purpose: Dynamic near infrared fluorescence imaging of the urinary tract provides a promising way to diagnose ureteropelvic junction obstruction. Initial studies demonstrated the ability to visualize urine flow and peristalsis in great detail. We analyzed the efficacy of near infrared imaging in evaluating ureteropelvic junction obstruction, renal involvement and the anatomical detail provided compared to conventional imaging modalities. Materials and Methods: Ten swine underwent partial or complete unilateral ureteral obstruction. Groups were survived for the short or the long term. Imaging was performed with mercaptoacetyltriglycine diuretic renogram, magnetic resonance urogram, excretory urogram, ultrasound and near infrared imaging. Scoring systems for ureteropelvic junction obstruction were developed for magnetic resonance urogram and near infrared imaging. Physicians and medical students graded ureteropelvic junction obstruction based on magnetic resonance urogram and near infrared imaging results. Results: Markers of vascular and urinary dynamics were quantitatively consistent among control renal units. The same markers were abnormal in obstructed renal units with significantly different times of renal phase peak, start of pelvic phase and start of renal uptake. Such parameters were consistent with those obtained with mercaptoacetyltriglycine diuretic renography. Near infrared imaging provided live imaging of urinary flow, which was helpful in identifying the area of obstruction for surgical planning. Physicians and medical students categorized the degree of obstruction appropriately for fluorescence imaging and magnetic resonance urogram. Conclusions: Near infrared imaging offers a feasible way to obtain live, dynamic images of urine flow and ureteral peristalsis. Qualitative and quantitative parameters were comparable to those of conventional imaging. Findings support fluorescence imaging as an accurate, easy to use method of diagnosing ureteropelvic junction obstruction.

Numerical Model for the Dynamic Analysis of Pile Foundations

Programa de doctorado: Sistemas Inteligentes y Aplicaciones Numéricas en Ingeniería Instituto Universitario (SIANI)

Dynamic analysis of piled foundations in stratified soils by a BEM-FEM model

[EN] 3D BEM-FEM coupling model is used to study the dynamic behavior of piled foundations in elastic layered soils in presenceof a rigid bedrock. Piles are modelled by FEM as beams according to the Bernoulli hpothesis, and every layer of the soil is modelled by BEM as a cointinuum, semi-infinite, isotropic, homogeneous, linear, viscoelastic medium.

BEM-FEM coupling model for the dynamic analysis of piles and pile groups

[EN] This paper shows a BEM-FEM coupling model for the time harmonic dynamic analysis of piles and pile groups embeddes in an elastic half-space. Piles are modelled using Finite Elements (FEM) as a beam according to the Bernoulli hypothesis, while the soil modelled using  Boundary Elements (BEM) as a continuum, semi-infinite, isotropic, homogeneous or zoned homogeneous, linear, viscoelastic medium.

Dynamic structure-soil-structure interaction between nearby piled buildings under seismic excitation by BEM-FEM model

[EN]The dynamic throug-soil interaction between nearby pile supported structures in a viscoelastic half-space, under incident S and Rayleigh waves, is numerically studied. To this end, a three-dimensional viscoelastic BEM-FEM formulation for the dynamic analysis of piles and pile groups in the frequency domain is used, where soil is modelled by BEM and piles are simulated by one-dimensional finite elements as Bernouilli beams.

A BEM-FEM model for the dynamic analysis of building structures founded on elastic or poroelastic soils.

[EN]This work presents a time-harmonic boundary elementfinite element three-dimensional model for the dynamic analysis of building structures founded on elastic or porelastic soils. The building foundation and soil domains are modelled as homogeneous, isotropic, elastic or poroelastic media using boundary elements.

Dynamic identification of structures: experimental assessment of modal parameteres through methods in frequency domain, in time-frequency domain and model updating

Among the experimental methods commonly used to define the behaviour of a full scale system, dynamic tests are the most complete and efficient procedures. A dynamic test is an experimental process, which would define a set of characteristic parameters of the dynamic behaviour of the system, such as natural frequencies of the structure, mode shapes and the corresponding modal damping values associated. An assessment of these modal characteristics can be used both to verify the theoretical assumptions of the project, to monitor the performance of the structural system during its operational use. The thesis is structured in the following chapters: The first introductive chapter recalls some basic notions of dynamics of structure, focusing the discussion on the problem of systems with multiply degrees of freedom (MDOF), which can represent a generic real system under study, when it is excited with harmonic force or in free vibration. The second chapter is entirely centred on to the problem of dynamic identification process of a structure, if it is subjected to an experimental test in forced vibrations. It first describes the construction of FRF through classical FFT of the recorded signal. A different method, also in the frequency domain, is subsequently introduced; it allows accurately to compute the FRF using the geometric characteristics of the ellipse that represents the direct input-output comparison. The two methods are compared and then the attention is focused on some advantages of the proposed methodology. The third chapter focuses on the study of real structures when they are subjected to experimental test, where the force is not known, like in an ambient or impact test. In this analysis we decided to use the CWT, which allows a simultaneous investigation in the time and frequency domain of a generic signal x(t). The CWT is first introduced to process free oscillations, with excellent results both in terms of frequencies, dampings and vibration modes. The application in the case of ambient vibrations defines accurate modal parameters of the system, although on the damping some important observations should be made. The fourth chapter is still on the problem of post processing data acquired after a vibration test, but this time through the application of discrete wavelet transform (DWT). In the first part the results obtained by the DWT are compared with those obtained by the application of CWT. Particular attention is given to the use of DWT as a tool for filtering the recorded signal, in fact in case of ambient vibrations the signals are often affected by the presence of a significant level of noise. The fifth chapter focuses on another important aspect of the identification process: the model updating. In this chapter, starting from the modal parameters obtained from some environmental vibration tests, performed by the University of Porto in 2008 and the University of Sheffild on the Humber Bridge in England, a FE model of the bridge is defined, in order to define what type of model is able to capture more accurately the real dynamic behaviour of the bridge. The sixth chapter outlines the necessary conclusions of the presented research. They concern the application of a method in the frequency domain in order to evaluate the modal parameters of a structure and its advantages, the advantages in applying a procedure based on the use of wavelet transforms in the process of identification in tests with unknown input and finally the problem of 3D modeling of systems with many degrees of freedom and with different types of uncertainty.