An Empirical Investigation of Value-at-Risk in Long and Short Trading Positions

This paper uses the Value-at-Risk approach to define the risk in both long and short trading positions. The investigation is done on some major market indices(Japanese, UK, German and US). The performance of models that takes into account skewness and fat-tails are compared to symmetric models in relation to both the specific model for estimating the variance, and the distribution of the variance estimate used as input in the VaR estimation. The results indicate that more flexible models not necessarily perform better in predicting the VaR forecast; the reason for this is most probably the complexity of these models. A general result is that different methods for estimating the variance are needed for different confidence levels of the VaR, and for the different indices. Also, different models are to be used for the left respectively the right tail of the distribution.

Stochastic models of IEEE 802.11e wireless net works with multimedia applications

We provide a survey of some of our recent results ([9], [13], [4], [6], [7]) on the analytical performance modeling of IEEE 802.11 wireless local area networks (WLANs). We first present extensions of the decoupling approach of Bianchi ([1]) to the saturation analysis of IEEE 802.11e networks with multiple traffic classes. We have found that even when analysing WLANs with unsaturated nodes the following state dependent service model works well: when a certain set of nodes is nonempty, their channel attempt behaviour is obtained from the corresponding fixed point analysis of the saturated system. We will present our experiences in using this approximation to model multimedia traffic over an IEEE 802.11e network using the enhanced DCF channel access (EDCA) mechanism. We have found that we can model TCP controlled file transfers, VoIP packet telephony, and streaming video in the IEEE802.11e setting by this simple approximation.

Framework for enabling highly available distributed applications for utility computing

The move towards IT outsourcing is the first step towards an environment where compute infrastructure is treated as a service. In utility computing this IT service has to honor Service Level Agreements (SLA) in order to meet the desired Quality of Service (QoS) guarantees. Such an environment requires reliable services in order to maximize the utilization of the resources and to decrease the Total Cost of Ownership (TCO). Such reliability cannot come at the cost of resource duplication, since it increases the TCO of the data center and hence the cost per compute unit. We, in this paper, look into aspects of projecting impact of hardware failures on the SLAs and techniques required to take proactive recovery steps in case of a predicted failure. By maintaining health vectors of all hardware and system resources, we predict the failure probability of resources based on observed hardware errors/failure events, at runtime. This inturn influences an availability aware middleware to take proactive action (even before the application is affected in case the system and the application have low recoverability). The proposed framework has been prototyped on a system running HP-UX. Our offline analysis of the prediction system on hardware error logs indicate no more than 10% false positives. This work to the best of our knowledge is the first of its kind to perform an end-to-end analysis of the impact of a hardware fault on application SLAs, in a live system.

Integrating strong and weak discontinuities without integration subcells and example applications in an XFEM/GFEM framework

Partition of unity methods, such as the extended finite element method, allows discontinuities to be simulated independently of the mesh (Int. J. Numer. Meth. Engng. 1999; 45:601-620). This eliminates the need for the mesh to be aligned with the discontinuity or cumbersome re-meshing, as the discontinuity evolves. However, to compute the stiffness matrix of the elements intersected by the discontinuity, a subdivision of the elements into quadrature subcells aligned with the discontinuity is commonly adopted. In this paper, we use a simple integration technique, proposed for polygonal domains (Int. J. Nuttier Meth. Engng 2009; 80(1):103-134. DOI: 10.1002/nme.2589) to suppress the need for element subdivision. Numerical results presented for a few benchmark problems in the context of linear elastic fracture mechanics and a multi-material problem show that the proposed method yields accurate results. Owing to its simplicity, the proposed integration technique can be easily integrated in any existing code. Copyright (C) 2010 John Wiley & Sons, Ltd.

Multicriterion differential games with applications to combat problems

In this paper a theory for two-person zero sum multicriterion differential games is presented. Various solution concepts based upon the notions of Pareto optimality (efficiency), security and equilibrium are defined. These are shown to have interesting applications in the formulation and analysis of two target or combat differential games. The methods for obtaining outcome regions in the state space, feedback strategies for the players and the mode of play has been discussed in the framework of bicriterion zero sum differential games. The treatment is conceptual rather than rigorous.

Characterization of compact ICP ion source for focused ion beam applications

A compact, high brightness 13.56 MHz inductively coupled plasma ion source without any axial or radial multicusp magnetic fields is designed for the production of a focused ion beam. Argon ion current of density more than 30 mA/cm(2) at 4 kV potential is extracted from this ion source and is characterized by measuring the ion energy spread and brightness. Ion energy spread is measured by a variable-focusing retarding field energy analyzer that minimizes the errors due t divergence of ion beam inside the analyzer. Brightness of the ion beam is determined from the emittance measured by a fully automated and locally developed electrostatic sweep scanner. By optimizing various ion source parameters such as RF power, gas pressure and Faraday shield, ion beams with energy spread of less than 5 eV and brightness of 7100 Am(-2)sr(-1)eV(-1) have been produced. Here, we briefly report the details of the ion source, measurement and optimization of energy spread and brightness of the ion beam. (C) 2010 Elsevier B.V. All rights reserved.

Computation-Based Reliability Analysis in Real Time Applications

Reliability analysis for computing systems in aerospace applications must account for actual computations the system performs in the use environment. This paper introduces a theoretical nonhomogeneous Markov model for such applications.

On the use of weather radar for mesoscale applications in northern conditions

Mesoscale weather phenomena, such as the sea breeze circulation or lake effect snow bands, are typically too large to be observed at one point, yet too small to be caught in a traditional network of weather stations. Hence, the weather radar is one of the best tools for observing, analyzing and understanding their behavior and development. A weather radar network is a complex system, which has many structural and technical features to be tuned, from the location of each radar to the number of pulses averaged in the signal processing. These design parameters have no universal optimal values, but their selection depends on the nature of the weather phenomena to be monitored as well as on the applications for which the data will be used. The priorities and critical values are different for forest fire forecasting, aviation weather service or the planning of snow ploughing, to name a few radar-based applications. The main objective of the work performed within this thesis has been to combine knowledge of technical properties of the radar systems and our understanding of weather conditions in order to produce better applications able to efficiently support decision making in service duties for modern society related to weather and safety in northern conditions. When a new application is developed, it must be tested against ground truth . Two new verification approaches for radar-based hail estimates are introduced in this thesis. For mesoscale applications, finding the representative reference can be challenging since these phenomena are by definition difficult to catch with surface observations. Hence, almost any valuable information, which can be distilled from unconventional data sources such as newspapers and holiday shots is welcome. However, as important as getting data is to obtain estimates of data quality, and to judge to what extent the two disparate information sources can be compared. The presented new applications do not rely on radar data alone, but ingest information from auxiliary sources such as temperature fields. The author concludes that in the future the radar will continue to be a key source of data and information especially when used together in an effective way with other meteorological data.

Applications of Treatment Effects Models and Semiparametric Estimation

This thesis is composed of an introductory chapter and four applications each of them constituting an own chapter. The common element underlying each of the chapters is the econometric methodology. The applications rely mostly on the leading econometric techniques related to estimation of causal effects. The first chapter introduces the econometric techniques that are employed in the remaining chapters. Chapter 2 studies the effects of shocking news on student performance. It exploits the fact that the school shooting in Kauhajoki in 2008 coincided with the matriculation examination period of that fall. It shows that the performance of men declined due to the news of the school shooting. For women the similar pattern remains unobserved. Chapter 3 studies the effects of minimum wage on employment by employing the original Card and Krueger (1994; CK) and Neumark and Wascher (2000; NW) data together with the changes-in-changes (CIC) estimator. As the main result it shows that the employment effect of an increase in the minimum wage is positive for small fast-food restaurants and negative for big fast-food restaurants. Therefore, it shows that the controversial positive employment effect reported by CK is overturned for big fast-food restaurants and that the NW data are shown, in contrast to their original results, to provide support for the positive employment effect. Chapter 4 employs the state-specific U.S. data (collected by Cohen and Einav [2003; CE]) on traffic fatalities to re-evaluate the effects of seat belt laws on the traffic fatalities by using the CIC estimator. It confirms the CE results that on the average an implementation of a mandatory seat belt law results in an increase in the seat belt usage rate and a decrease in the total fatality rate. In contrast to CE, it also finds evidence on compensating-behavior theory, which is observed especially in the states by the border of the U.S. Chapter 5 studies the life cycle consumption in Finland, with the special interest laid on the baby boomers and the older households. It shows that the baby boomers smooth their consumption over the life cycle more than other generations. It also shows that the old households smoothed their life cycle consumption more as a result of the recession in the 1990s, compared to young households.

On methods of calculating successive positions of a shock front

In this paper we have discussed limits of the validity of Whitham's characteristic rule for finding successive positions of a shock in one space dimension. We start with an example for which the exact solution is known and show that the characteristic rule gives correct result only if the state behind the shock is uniform. Then we take the gas dynamic equations in two cases: one of a shock propagating through a stratified layer and other down a nonuniform tube and derive exact equations for the evolution of the shock amplitude along a shock path. These exact results are then compared with the results obtained by the characteristic rule. The characteristic rule not only incorrectly accounts for the deviation of the state behind the shock from a uniform state but also gives a coefficient in the equation which differ significantly from the exact coefficients for a wide range of values of the shock strength.

Design of Single-Input-Single-Output Compliant Mechanisms for Practical Applications Using Selection Maps

We present an interactive map-based technique for designing single-input-single-output compliant mechanisms that meet the requirements of practical applications. Our map juxtaposes user-specifications with the attributes of real compliant mechanisms stored in a database so that not only the practical feasibility of the specifications can be discerned quickly but also modifications can be done interactively to the existing compliant mechanisms. The practical utility of the method presented here exceeds that of shape and size optimizations because it accounts for manufacturing considerations, stress limits, and material selection. The premise for the method is the spring-leverage (SL) model, which characterizes the kinematic and elastostatic behavior of compliant mechanisms with only three SL constants. The user-specifications are met interactively using the beam-based 2D models of compliant mechanisms by changing their attributes such as: (i) overall size in two planar orthogonal directions, separately and together, (ii) uniform resizing of the in-plane widths of all the beam elements, (iii) uniform resizing of the out-of-plane thick-nesses of the beam elements, and (iv) the material. We present a design software program with a graphical user interface for interactive design. A case-study that describes the design procedure in detail is also presented while additional case-studies are posted on a website. DOI:10.1115/1.4001877].

Gauge Field Theories, Quantum Space-Time and Some Applications

In this thesis, the possibility of extending the Quantization Condition of Dirac for Magnetic Monopoles to noncommutative space-time is investigated. The three publications that this thesis is based on are all in direct link to this investigation. Noncommutative solitons have been found within certain noncommutative field theories, but it is not known whether they possesses only topological charge or also magnetic charge. This is a consequence of that the noncommutative topological charge need not coincide with the noncommutative magnetic charge, although they are equivalent in the commutative context. The aim of this work is to begin to fill this gap of knowledge. The method of investigation is perturbative and leaves open the question of whether a nonperturbative source for the magnetic monopole can be constructed, although some aspects of such a generalization are indicated. The main result is that while the noncommutative Aharonov-Bohm effect can be formulated in a gauge invariant way, the quantization condition of Dirac is not satisfied in the case of a perturbative source for the point-like magnetic monopole.