Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

This paper applies the vector AR-DCC-FIAPARCH model to eight national stock market indices' daily returns from 1988 to 2010, taking into account the structural breaks of each time series linked to the Asian and the recent Global financial crisis. We find significant cross effects, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks, and the power of returns that best fits the volatility pattern. One of the main findings of the model analysis is the higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets. The fact that during the crisis the conditional correlations remain on a high level indicates a continuous herding behaviour during these periods of increased market volatility. Finally, during the recent Global financial crisis the correlations remain on a much higher level than during the Asian financial crisis.

Thermal modelling for dynamic transformer rating in low carbon distribution network operation

Dynamic asset rating is one of a number of techniques that could be used to facilitate low carbon electricity network operation. This paper focusses on distribution level transformer dynamic rating under this context. The models available for use with dynamic asset rating are discussed and compared using measured load and weather conditions from a trial Network area within Milton Keynes. The paper then uses the most appropriate model to investigate, through simulation, the potential gains in dynamic rating compared to static rating under two transformer cooling methods to understand the potential gain to the Network Operator.

Signal Processing under Active Monitoring

This paper describes a method of signal preprocessing under active monitoring. Suppose we want to solve the inverse problem of getting the response of a medium to one powerful signal, which is equivalent to obtaining the transmission function of the medium, but do not have an opportunity to conduct such an experiment (it might be too expensive or harmful for the environment). Practically the problem can be reduced to obtaining the transmission function of the medium. In this case we can conduct a series of experiments of relatively low power and superpose the response signals. However, this method is conjugated with considerable loss of information (especially in the high frequency domain) due to fluctuations of the phase, the frequency and the starting time of each individual experiment. The preprocessing technique presented in this paper allows us to substantially restore the response of the medium and consequently to find a better estimate for the transmission function. This technique is based on expanding the initial signal into the system of orthogonal functions.

Information Modelling of Two-Dimensional Optical Parameters Measurement

A method for measurement and visualization of the complex transmission coefficient of 2-D micro- objects is proposed. The method is based on calculation of the transmission coefficient from the diffraction pattern and the illumination aperture function for monochromatic light. A phase-stepping method was used for diffracted light phase determination.

Certain Properties of Fractional Calculus Operators Associated with Generalized Mittag-Leffler Function

Mathematics Subject Classification: 26A33, 33E12, 33C20.

A hybrid molecular dynamics/fluctuating hydrodynamics method for modelling liquids at multiple scales in space and time

A new 3D implementation of a hybrid model based on the analogy with two-phase hydrodynamics has been developed for the simulation of liquids at microscale. The idea of the method is to smoothly combine the atomistic description in the molecular dynamics zone with the Landau-Lifshitz fluctuating hydrodynamics representation in the rest of the system in the framework of macroscopic conservation laws through the use of a single "zoom-in" user-defined function s that has the meaning of a partial concentration in the two-phase analogy model. In comparison with our previous works, the implementation has been extended to full 3D simulations for a range of atomistic models in GROMACS from argon to water in equilibrium conditions with a constant or a spatially variable function s. Preliminary results of simulating the diffusion of a small peptide in water are also reported.

Novel evaluation procedure for internal and extraction efficiency of high-power blue LEDs

Internal quantum efficiency (IQE) of a high-brightness blue LED has been evaluated from the external quantum efficiency measured as a function of current at room temperature. Processing the data with a novel evaluation procedure based on the ABC-model, we have determined separately IQE of the LED structure and light extraction efficiency (LEE) of UX:3 chip. Full text Nowadays, understanding of LED efficiency behavior at high currents is quite critical to find ways for further improve­ment of III-nitride LED performance [1]. External quantum ef­ficiency ηe (EQE) provides integral information on the recom­bination and photon emission processes in LEDs. Meanwhile EQE is the product of IQE ηi and LEE ηext at negligible car­rier leakage from the active region. Separate determination of IQE and LEE would be much more helpful, providing correla­tion between these parameters and specific epi-structure and chip design. In this paper, we extend the approach of [2,3] to the whole range of the current/optical power variation, provid­ing an express tool for separate evaluation of IQE and LEE. We studied an InGaN-based LED fabricated by Osram OS. LED structure grown by MOCVD on sapphire substrate was processed as UX:3 chip and mounted into the Golden Dragon package without molding. EQE was measured with Labsphere CDS-600 spectrometer. Plotting EQE versus output power P and finding the power Pm corresponding to EQE maximum ηm enables comparing the measurements with the analytical rela­tionships ηi = Q/(Q+p1/2+p-1/2) ,p = P/Pm , and Q = B/(AC) 1/2 where A, Band C are recombination constants [4]. As a result, maximum IQE value equal to QI(Q+2) can be found from the ratio ηm/ηe plotted as a function of p1/2 +p1-1/2 (see Fig.la) and then LEE calculated as ηext = ηm (Q+2)/Q . Experimental EQE as a function of normalized optical power p is shown in Fig. 1 b along with the analytical approximation based on the ABC­model. The approximation fits perfectly the measurements in the range of the optical power (or operating current) variation by eight orders of magnitude. In conclusion, new express method for separate evaluation of IQE and LEE of III-nitride LEDs is suggested and applied to characterization of a high-brightness blue LED. With this method, we obtained LEE from the free chip surface to the air as 69.8% and IQE as 85.7% at the maximum and 65.2% at the operation current 350 rnA. [I] G. Verzellesi, D. Saguatti, M. Meneghini, F. Bertazzi, M. Goano, G. Meneghesso, and E. Zanoni, "Efficiency droop in InGaN/GaN blue light-emitting diodes: Physical mechanisms and remedies," 1. AppL Phys., vol. 114, no. 7, pp. 071101, Aug., 2013. [2] C. van Opdorp and G. W. 't Hooft, "Method for determining effective non radiative lifetime and leakage losses in double-heterostructure las­ers," 1. AppL Phys., vol. 52, no. 6, pp. 3827-3839, Feb., 1981. [3] M. Meneghini, N. Trivellin, G. Meneghesso, E. Zanoni, U. Zehnder, and B. Hahn, "A combined electro-optical method for the determination of the recombination parameters in InGaN-based light-emitting diodes," 1. AppL Phys., vol. 106, no. II, pp. 114508, Dec., 2009. [4] Qi Dai, Qifeng Shan, ling Wang, S. Chhajed, laehee Cho, E. F. Schubert, M. H. Crawford, D. D. Koleske, Min-Ho Kim, and Yongjo Park, "Carrier recombination mechanisms and efficiency droop in GalnN/GaN light-emitting diodes," App/. Phys. Leu., vol. 97, no. 13, pp. 133507, Sept., 2010. © 2014 IEEE.

Optimization of Advertising Resources over Time: A Strategic Analysis

AMS subject classification: 90B60, 90B50, 90A80.

NLSE-based modelling of a random distributed feedback fiber laser

Random distributed feedback (DFB) fiber lasers have attracted a great attention since first demonstration [1]. Despite big advance in practical laser systems, random DFB fiber laser spectral properties are far away to be understood or even numerically modelled. Up to date, only generation power could be calculated and optimized numerically [1,2] or analytically [3] within the power balance model. However, spectral and statistical properties of random DFB fiber laser can not be found in this way. Here we present first numerical modelling of the random DFB fiber laser, including its spectral and statistical properties, using NLSE-based model. © 2013 IEEE.

Exploration of a simple, low cost, micro gas turbine recuperator solution for a domestic combined heat and power unit

For micro gas turbines (MGT) of around 1 kW or less, a commercially suitable recuperator must be used to produce a thermal efficiency suitable for use in UK Domestic Combined Heat and Power (DCHP). This paper uses computational fluid dynamics (CFD) to investigate a recuperator design based on a helically coiled pipe-in-pipe heat exchanger which utilises industry standard stock materials and manufacturing techniques. A suitable mesh strategy was established by geometrically modelling separate boundary layer volumes to satisfy y + near wall conditions. A higher mesh density was then used to resolve the core flow. A coiled pipe-in-pipe recuperator solution for a 1 kW MGT DCHP unit was established within the volume envelope suitable for a domestic wall-hung boiler. Using a low MGT pressure ratio (necessitated by using a turbocharger oil cooled journal bearing platform) meant unit size was larger than anticipated. Raising MGT pressure ratio from 2.15 to 2.5 could significantly reduce recuperator volume. Dimensional reasoning confirmed the existence of optimum pipe diameter combinations for minimum pressure drop. Maximum heat exchanger effectiveness was achieved using an optimum or minimum pressure drop pipe combination with large pipe length as opposed to a large pressure drop pipe combination with shorter pipe length. © 2011 Elsevier Ltd. All rights reserved.

Immunological synapse: a mathematical model of the bond formation process:mathematical modelling of the immature synapse

The cell:cell bond between an immune cell and an antigen presenting cell is a necessary event in the activation of the adaptive immune response. At the juncture between the cells, cell surface molecules on the opposing cells form non-covalent bonds and a distinct patterning is observed that is termed the immunological synapse. An important binding molecule in the synapse is the T-cell receptor (TCR), that is responsible for antigen recognition through its binding with a major-histocompatibility complex with bound peptide (pMHC). This bond leads to intracellular signalling events that culminate in the activation of the T-cell, and ultimately leads to the expression of the immune eector function. The temporal analysis of the TCR bonds during the formation of the immunological synapse presents a problem to biologists, due to the spatio-temporal scales (nanometers and picoseconds) that compare with experimental uncertainty limits. In this study, a linear stochastic model, derived from a nonlinear model of the synapse, is used to analyse the temporal dynamics of the bond attachments for the TCR. Mathematical analysis and numerical methods are employed to analyse the qualitative dynamics of the nonequilibrium membrane dynamics, with the specic aim of calculating the average persistence time for the TCR:pMHC bond. A single-threshold method, that has been previously used to successfully calculate the TCR:pMHC contact path sizes in the synapse, is applied to produce results for the average contact times of the TCR:pMHC bonds. This method is extended through the development of a two-threshold method, that produces results suggesting the average time persistence for the TCR:pMHC bond is in the order of 2-4 seconds, values that agree with experimental evidence for TCR signalling. The study reveals two distinct scaling regimes in the time persistent survival probability density prole of these bonds, one dominated by thermal uctuations and the other associated with the TCR signalling. Analysis of the thermal fluctuation regime reveals a minimal contribution to the average time persistence calculation, that has an important biological implication when comparing the probabilistic models to experimental evidence. In cases where only a few statistics can be gathered from experimental conditions, the results are unlikely to match the probabilistic predictions. The results also identify a rescaling relationship between the thermal noise and the bond length, suggesting a recalibration of the experimental conditions, to adhere to this scaling relationship, will enable biologists to identify the start of the signalling regime for previously unobserved receptor:ligand bonds. Also, the regime associated with TCR signalling exhibits a universal decay rate for the persistence probability, that is independent of the bond length.

A villamos energia áralakulásának egy új modellje (A new model for price movement in electric power)

A tanulmány az aukciós villamosenergia-tőzsdéken kialakuló óránkénti árak statisztikai jellemzőivel foglalkozik. Célja, hogy egyes legújabb kutatási eredmények alapján új megvilágításban mutassa be a villamos energia óránkénti árára jellemző főbb megállapításokat, amelyek a későbbiekben az ár modellezésének alapjául szolgálhatnak. A jelenségeket az EEX és Nord Pool áramtőzsdén kereskedett termékek árainak adatain szemlélteti. Látni fogjuk, hogy át kell értékelnünk több, a villamosenergia-árak statisztikai viselkedéséről alkotott meggondolást. / === / The article concerns the statistical features of the hourly prices on auction-based markets for electric power. The purpose is to use the latest research findings to present the main statements about the hourly price for electric power in a new light, so that they can serve later as a basis for price modelling. The phenomena are viewed through the price data of products traded on the EEX and Nord Pool power exchanges. It emerges that several ideas about the statistical behaviour of electric power prices have to be reviewed.

The conflict resolution behaviors of occupational therapy students as a function of the personality types, demographic characteristics and contextual factors

Interpersonal conflicts have the potential for detrimental consequences if not managed successfully. Understanding the factors that contribute to conflict resolution has implications for interpersonal relationships and the workplace. Researchers have suggested that personality plays an important and predictable role in conflict resolution behaviors (Chanin & Schneer, 1984; Kilmann & Thomas, 1975; Mills, Robey & Smith, 1985). However, other investigators have contended that contextual factors are important contributors in triggering the behavioral responses (Shoda & Mischel, 2000; Mischel & Shoda, 1995). The purpose of this study was to investigate the relationships among personality types, demographic characteristics and contextual factors on the conflict resolution behaviors reported by graduate occupational therapy students (n = 125). ^ The study design was correlational. The Myers Briggs Type Indicator (MBTI) and the Thomas-Kilmann (MODE) Instrument were used to establish the personality types and the context independent conflict resolution behaviors respectively. The effects of contextual factors of task vs. relationship and power were measured with the Conflict Case Scenarios Questionnaire (CCSQ). One-way ANOVA and linear regression procedures were used to test the relationships between personality types and demographic characteristics with the context independent conflict behaviors. Chi-Square procedures of the personality types by contextual conditions ascertained the effects of contexts in modifying the resolution modes. Descriptive statistics established a profile of the sample. ^ The results of the hypotheses tests revealed significant relationships between the personality types of feeling-thinking and sensing-intuition with the conflict resolution behaviors. The contextual attributes of task vs. relationship orientation and of peer vs. supervisor relationships were shown to modify the conflict behaviors. Furthermore, demographic characteristics of age, gender, GPA and educational background were shown to have an effect on the conflict resolution behaviors. The knowledge gained has implications for students' training, specifically understanding their styles and use of effective conflict resolution strategies. It also contributes to the knowledge on management approaches and interpersonal competencies and how this might facilitate the students' transition to the clinical role. ^

Modelling the size distribution of cosmic voids

The Standard Cosmological Model is generally accepted by the scientific community, there are still an amount of unresolved issues. From the observable characteristics of the structures in the Universe,it should be possible to impose constraints on the cosmological parameters. Cosmic Voids (CV) are a major component of the LSS and have been shown to possess great potential for constraining DE and testing theories of gravity. But a gap between CV observations and theory still persists. A theoretical model for void statistical distribution as a function of size exists (SvdW) However, the SvdW model has been unsuccesful in reproducing the results obtained from cosmological simulations. This undermines the possibility of using voids as cosmological probes. The goal of our thesis work is to cover the gap between theoretical predictions and measured distributions of cosmic voids. We develop an algorithm to identify voids in simulations,consistently with theory. We inspecting the possibilities offered by a recently proposed refinement of the SvdW (the Vdn model, Jennings et al., 2013). Comparing void catalogues to theory, we validate the Vdn model, finding that it is reliable over a large range of radii, at all the redshifts considered and for all the cosmological models inspected. We have then searched for a size function model for voids identified in a distribution of biased tracers. We find that, naively applying the same procedure used for the unbiased tracers to a halo mock distribution does not provide success- full results, suggesting that the Vdn model requires to be reconsidered when dealing with biased samples. Thus, we test two alternative exten- sions of the model and find that two scaling relations exist: both the Dark Matter void radii and the underlying Dark Matter density contrast scale with the halo-defined void radii. We use these findings to develop a semi-analytical model which gives promising results.

Global relativistic folding optical potential and the relativistic Green's function model

Optical potentials provide critical input for calculations on a wide variety of nuclear reactions, in particular, for neutrino-nucleus reactions, which are of great interest in the light of the new neutrino oscillation experiments. We present the global relativistic folding optical potential (GRFOP) fits to elastic proton scattering data from C-12 nucleus at energies between 20 and 1040 MeV. We estimate observables, such as the differential cross section, the analyzing power, and the spin rotation parameter, in elastic proton scattering within the relativistic impulse approximation. The new GRFOP potential is employed within the relativistic Green's function model for inclusive quasielastic electron scattering and for (anti) neutrino-nucleus scattering at MiniBooNE kinematics.