Structural stability of slender aerospace vehicles: Part I Mathematical modeling

A detailed mechanics based model is developed to analyze the problem of structural instability in slender aerospace vehicles. Coupling among the rigid-body modes, the longitudinal vibrational modes and the transverse vibrational modes due to asymmetric lifting-body cross-section are considered. The model also incorporates the effects of aerodynamic pressure and the propulsive thrust of the vehicle. The model is one-dimensional, and it can be employed to idealized slender vehicles with complex shapes. Condition under which a flexible body with internal stress waves behaves like a perfect rigid body is derived. Two methods are developed for finite element discretization of the system: (1) A time-frequency Fourier spectral finite element method and (2) h-p finite element method. Numerical results using the above methods are presented in Part II of this paper. (C) 2010 Elsevier Ltd. All rights reserved.

Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Modeling and Forecasting Implied Volatility: Implications for Trading, Pricing, and Risk Management

Modeling and forecasting of implied volatility (IV) is important to both practitioners and academics, especially in trading, pricing, hedging, and risk management activities, all of which require an accurate volatility. However, it has become challenging since the 1987 stock market crash, as implied volatilities (IVs) recovered from stock index options present two patterns: volatility smirk(skew) and volatility term-structure, if the two are examined at the same time, presents a rich implied volatility surface (IVS). This implies that the assumptions behind the Black-Scholes (1973) model do not hold empirically, as asset prices are mostly influenced by many underlying risk factors. This thesis, consists of four essays, is modeling and forecasting implied volatility in the presence of options markets’ empirical regularities. The first essay is modeling the dynamics IVS, it extends the Dumas, Fleming and Whaley (DFW) (1998) framework; for instance, using moneyness in the implied forward price and OTM put-call options on the FTSE100 index, a nonlinear optimization is used to estimate different models and thereby produce rich, smooth IVSs. Here, the constant-volatility model fails to explain the variations in the rich IVS. Next, it is found that three factors can explain about 69-88% of the variance in the IVS. Of this, on average, 56% is explained by the level factor, 15% by the term-structure factor, and the additional 7% by the jump-fear factor. The second essay proposes a quantile regression model for modeling contemporaneous asymmetric return-volatility relationship, which is the generalization of Hibbert et al. (2008) model. The results show strong negative asymmetric return-volatility relationship at various quantiles of IV distributions, it is monotonically increasing when moving from the median quantile to the uppermost quantile (i.e., 95%); therefore, OLS underestimates this relationship at upper quantiles. Additionally, the asymmetric relationship is more pronounced with the smirk (skew) adjusted volatility index measure in comparison to the old volatility index measure. Nonetheless, the volatility indices are ranked in terms of asymmetric volatility as follows: VIX, VSTOXX, VDAX, and VXN. The third essay examines the information content of the new-VDAX volatility index to forecast daily Value-at-Risk (VaR) estimates and compares its VaR forecasts with the forecasts of the Filtered Historical Simulation and RiskMetrics. All daily VaR models are then backtested from 1992-2009 using unconditional, independence, conditional coverage, and quadratic-score tests. It is found that the VDAX subsumes almost all information required for the volatility of daily VaR forecasts for a portfolio of the DAX30 index; implied-VaR models outperform all other VaR models. The fourth essay models the risk factors driving the swaption IVs. It is found that three factors can explain 94-97% of the variation in each of the EUR, USD, and GBP swaption IVs. There are significant linkages across factors, and bi-directional causality is at work between the factors implied by EUR and USD swaption IVs. Furthermore, the factors implied by EUR and USD IVs respond to each others’ shocks; however, surprisingly, GBP does not affect them. Second, the string market model calibration results show it can efficiently reproduce (or forecast) the volatility surface for each of the swaptions markets.

Essays on Risk Modeling. Applications to Portfolio and Risk Management (summary section only)

In this thesis we deal with the concept of risk. The objective is to bring together and conclude on some normative information regarding quantitative portfolio management and risk assessment. The first essay concentrates on return dependency. We propose an algorithm for classifying markets into rising and falling. Given the algorithm, we derive a statistic: the Trend Switch Probability, for detection of long-term return dependency in the first moment. The empirical results suggest that the Trend Switch Probability is robust over various volatility specifications. The serial dependency in bear and bull markets behaves however differently. It is strongly positive in rising market whereas in bear markets it is closer to a random walk. Realized volatility, a technique for estimating volatility from high frequency data, is investigated in essays two and three. In the second essay we find, when measuring realized variance on a set of German stocks, that the second moment dependency structure is highly unstable and changes randomly. Results also suggest that volatility is non-stationary from time to time. In the third essay we examine the impact from market microstructure on the error between estimated realized volatility and the volatility of the underlying process. With simulation-based techniques we show that autocorrelation in returns leads to biased variance estimates and that lower sampling frequency and non-constant volatility increases the error variation between the estimated variance and the variance of the underlying process. From these essays we can conclude that volatility is not easily estimated, even from high frequency data. It is neither very well behaved in terms of stability nor dependency over time. Based on these observations, we would recommend the use of simple, transparent methods that are likely to be more robust over differing volatility regimes than models with a complex parameter universe. In analyzing long-term return dependency in the first moment we find that the Trend Switch Probability is a robust estimator. This is an interesting area for further research, with important implications for active asset allocation.

Examining and Modeling the Dynamics of the Volatility Surface

The objective of this paper is to investigate and model the characteristics of the prevailing volatility smiles and surfaces on the DAX- and ESX-index options markets. Continuing on the trend of Implied Volatility Functions, the Standardized Log-Moneyness model is introduced and fitted to historical data. The model replaces the constant volatility parameter of the Black & Scholes pricing model with a matrix of volatilities with respect to moneyness and maturity and is tested out-of-sample. Considering the dynamics, the results show support for the hypotheses put forward in this study, implying that the smile increases in magnitude when maturity and ATM volatility decreases and that there is a negative/positive correlation between a change in the underlying asset/time to maturity and implied ATM volatility. Further, the Standardized Log-Moneyness model indicates an improvement to pricing accuracy compared to previous Implied Volatility Function models, however indicating that the parameters of the models are to be re-estimated continuously for the models to fully capture the changing dynamics of the volatility smiles.

On the complexity of finding stopping set size in Tanner Graphs

The problem of determining whether a Tanner graph for a linear block code has a stopping set of a given size is shown to be NT-complete.

Distributed space-time codes with reduced decoding complexity

We address the problem of distributed space-time coding with reduced decoding complexity for wireless relay network. The transmission protocol follows a two-hop model wherein the source transmits a vector in the first hop and in the second hop the relays transmit a vector, which is a transformation of the received vector by a relay-specific unitary transformation. Design criteria is derived for this system model and codes are proposed that achieve full diversity. For a fixed number of relay nodes, the general system model considered in this paper admits code constructions with lower decoding complexity compared to codes based on some earlier system models.

Minimum-Decoding-Complexity, maximum-rate Space-Time Block Codes from Clifford algebras

It is well known that Alamouti code and, in general, Space-Time Block Codes (STBCs) from complex orthogonal designs (CODs) are single-symbol decodable/symbolby-symbol decodable (SSD) and are obtainable from unitary matrix representations of Clifford algebras. However, SSD codes are obtainable from designs that are not CODs. Recently, two such classes of SSD codes have been studied: (i) Coordinate Interleaved Orthogonal Designs (CIODs) and (ii) Minimum-Decoding-Complexity (MDC) STBCs from Quasi-ODs (QODs). In this paper, we obtain SSD codes with unitary weight matrices (but not CON) from matrix representations of Clifford algebras. Moreover, we derive an upper bound on the rate of SSD codes with unitary weight matrices and show that our codes meet this bound. Also, we present conditions on the signal sets which ensure full-diversity and give expressions for the coding gain.

Non-unitary-weight Space-Time Block Codes with Minimum Decoding Complexity

Space-Time Block Codes (STBCs) from Complex Orthogonal Designs (CODs) are single-symbol decodable/symbol-by-symbol decodable (SSD); however, SSD codes are obtainable from designs that are not CODs. Recently, two such classes of SSD codes have been studied: (i) Coordinate Interleaved Orthogonal Designs (CIODs) and (ii) Minimum-Decoding-Complexity (MDC) STBCs from Quasi-ODs (QODs). The class of CIODs have non-unitary weight matrices when written as a Linear Dispersion Code (LDC) proposed by Hassibi and Hochwald, whereas the other class of SSD codes including CODs have unitary weight matrices. In this paper, we construct a large class of SSD codes with nonunitary weight matrices. Also, we show that the class of CIODs is a special class of our construction.

Protein sequence design on the basis of topology optimization techniques -Using continuous modeling of discrete amino acid types

The notion of optimization is inherent in protein design. A long linear chain of twenty types of amino acid residues are known to fold to a 3-D conformation that minimizes the combined inter-residue energy interactions. There are two distinct protein design problems, viz. predicting the folded structure from a given sequence of amino acid monomers (folding problem) and determining a sequence for a given folded structure (inverse folding problem). These two problems have much similarity to engineering structural analysis and structural optimization problems respectively. In the folding problem, a protein chain with a given sequence folds to a conformation, called a native state, which has a unique global minimum energy value when compared to all other unfolded conformations. This involves a search in the conformation space. This is somewhat akin to the principle of minimum potential energy that determines the deformed static equilibrium configuration of an elastic structure of given topology, shape, and size that is subjected to certain boundary conditions. In the inverse-folding problem, one has to design a sequence with some objectives (having a specific feature of the folded structure, docking with another protein, etc.) and constraints (sequence being fixed in some portion, a particular composition of amino acid types, etc.) while obtaining a sequence that would fold to the desired conformation satisfying the criteria of folding. This requires a search in the sequence space. This is similar to structural optimization in the design-variable space wherein a certain feature of structural response is optimized subject to some constraints while satisfying the governing static or dynamic equilibrium equations. Based on this similarity, in this work we apply the topology optimization methods to protein design, discuss modeling issues and present some initial results.

Synthesis, X-ray structure and catalytic properties of a copper(II) Schiff base complex modeling the activity of the Cu-B site of dopamine beta-hydroxylase

The copper(II) complex [Cu(salgly) (bpy)] . 4H(2)O (1), where salgly is a tridentate glycinatosalicylaldimine Schiffbase Ligand, is prepared and structurally characterized. The complex is found to be catalytically active in the oxidation of ascorbic acid by dioxygen and the process is also effective in the presence of benzylamine giving benzaldehyde as a product, thus modeling the activity of the Cu-B site of dopamine beta-hydroxylase. (C) 2000 Elsevier Science S.A. All rights reserved.

Low-Complexity Near-ML Decoding of Large Non-Orthogonal STBCs using Reactive Tabu Search

Non-orthogonal space-time block codes (STBC) with large dimensions are attractive because they can simultaneously achieve both high spectral efficiencies (same spectral efficiency as in V-BLAST for a given number of transmit antennas) as well as full transmit diversity. Decoding of non-orthogonal STBCs with large dimensions has been a challenge. In this paper, we present a reactive tabu search (RTS) based algorithm for decoding non-orthogonal STBCs from cyclic division algebras (CDA) having largedimensions. Under i.i.d fading and perfect channel state information at the receiver (CSIR), our simulation results show that RTS based decoding of 12 X 12 STBC from CDA and 4-QAM with 288 real dimensions achieves i) 10(-3) uncoded BER at an SNR of just 0.5 dB away from SISO AWGN performance, and ii) a coded BER performance close to within about 5 dB of the theoretical MIMO capacity, using rate-3/4 turbo code at a spectral efficiency of 18 bps/Hz. RTS is shown to achieve near SISO AWGN performance with less number of dimensions than with LAS algorithm (which we reported recently) at some extra complexity than LAS. We also report good BER performance of RTS when i.i.d fading and perfect CSIR assumptions are relaxed by considering a spatially correlated MIMO channel model, and by using a training based iterative RTS decoding/channel estimation scheme.

Low-Complexity Near-MAP Decoding of Large Non-Orthogonal STBCs Using PDA

Non-orthogonal space-time block codes (STBC) from cyclic division algebras (CDA) are attractive because they can simultaneously achieve both high spectral efficiencies (same spectral efficiency as in V-BLAST for a given number of transmit antennas) as well as full transmit diversity. Decoding of non-orthogonal STBCs with hundreds of dimensions has been a challenge. In this paper, we present a probabilistic data association (PDA) based algorithm for decoding non-orthogonal STBCs with large dimensions. Our simulation results show that the proposed PDA-based algorithm achieves near SISO AWGN uncoded BER as well as near-capacity coded BER (within 5 dB of the theoretical capacity) for large non-orthogonal STBCs from CDA. We study the effect of spatial correlation on the BER, and show that the performance loss due to spatial correlation can be alleviated by providing more receive spatial dimensions. We report good BER performance when a training-based iterative decoding/channel estimation is used (instead of assuming perfect channel knowledge) in channels with large coherence times. A comparison of the performances of the PDA algorithm and the likelihood ascent search (LAS) algorithm (reported in our recent work) is also presented.