Forecasting time-varying value-at-risk

In this thesis we are interested in financial risk and the instrument we want to use is Value-at-Risk (VaR). VaR is the maximum loss over a given period of time at a given confidence level. Many definitions of VaR exist and some will be introduced throughout this thesis. There two main ways to measure risk and VaR: through volatility and through percentiles. Large volatility in financial returns implies greater probability of large losses, but also larger probability of large profits. Percentiles describe tail behaviour. The estimation of VaR is a complex task. It is important to know the main characteristics of financial data to choose the best model. The existing literature is very wide, maybe controversial, but helpful in drawing a picture of the problem. It is commonly recognised that financial data are characterised by heavy tails, time-varying volatility, asymmetric response to bad and good news, and skewness. Ignoring any of these features can lead to underestimating VaR with a possible ultimate consequence being the default of the protagonist (firm, bank or investor). In recent years, skewness has attracted special attention. An open problem is the detection and modelling of time-varying skewness. Is skewness constant or there is some significant variability which in turn can affect the estimation of VaR? This thesis aims to answer this question and to open the way to a new approach to model simultaneously time-varying volatility (conditional variance) and skewness. The new tools are modifications of the Generalised Lambda Distributions (GLDs). They are four-parameter distributions, which allow the first four moments to be modelled nearly independently: in particular we are interested in what we will call para-moments, i.e., mean, variance, skewness and kurtosis. The GLDs will be used in two different ways. Firstly, semi-parametrically, we consider a moving window to estimate the parameters and calculate the percentiles of the GLDs. Secondly, parametrically, we attempt to extend the GLDs to include time-varying dependence in the parameters. We used the local linear regression to estimate semi-parametrically conditional mean and conditional variance. The method is not efficient enough to capture all the dependence structure in the three indices —ASX 200, S&P 500 and FT 30—, however it provides an idea of the DGP underlying the process and helps choosing a good technique to model the data. We find that GLDs suggest that moments up to the fourth order do not always exist, there existence appears to vary over time. This is a very important finding, considering that past papers (see for example Bali et al., 2008; Hashmi and Tay, 2007; Lanne and Pentti, 2007) modelled time-varying skewness, implicitly assuming the existence of the third moment. However, the GLDs suggest that mean, variance, skewness and in general the conditional distribution vary over time, as already suggested by the existing literature. The GLDs give good results in estimating VaR on three real indices, ASX 200, S&P 500 and FT 30, with results very similar to the results provided by historical simulation.

Analysis of higher-order aberrations in a large clinical population

Purpose: To use a large wavefront database of a clinical population to investigate relationships between refractions and higher order aberrations and between aberrations of right and left eyes. Methods: Third and fourth-order aberration coefficients and higher-order root-mean-squared aberrations (HO RMS), scaled to a pupil size of 4.5 mm diameter, were analysed in a population of about 24,000 patients from Carl Zeiss Vision's European wavefront database. Correlations were determined between the aberrations and the variables of refraction, near addition and cylinder. Results: Most aberration coefficients were significantly dependent upon these variables, but the proportions of aberrations that could be explained by these factors were less than 2% except for spherical aberration (12%), horizontal coma (9%) and HO RMS (7%). Near addition was the major contributor for horizontal coma (8.5% out of 9.5%) and spherical equivalent was the major contributor for spherical aberration (7.7% out of 11.6%). Interocular correlations were highly significant for all aberration coefficients, varying between 0.16 and 0.81. Anisometropia was a variable of significance for three aberrations (vertical coma, secondary astigmatism and tetrafoil), but little importance can be placed on this because of the small proportions of aberrations that can be explained by refraction (all less than 1.0 %). Conclusions: Most third- and fourth-order aberration coefficients were significantly dependent upon spherical equivalent, near addition and cylinder, but only horizontal coma (9%) and spherical aberration (12%) showed dependencies of greater than 2%. Interocular correlations were highly significant for all aberration coefficients, but anisometropia had little influence on aberration coefficients.

Mathematical modelling of LiFePO4 cathodes

LiFePO4 is a commercially available battery material with good theoretical discharge capacity, excellent cycle life and increased safety compared with competing Li-ion chemistries. It has been the focus of considerable experimental and theoretical scrutiny in the past decade, resulting in LiFePO4 cathodes that perform well at high discharge rates. This scrutiny has raised several questions about the behaviour of LiFePO4 material during charge and discharge. In contrast to many other battery chemistries that intercalate homogeneously, LiFePO4 can phase-separate into highly and lowly lithiated phases, with intercalation proceeding by advancing an interface between these two phases. The main objective of this thesis is to construct mathematical models of LiFePO4 cathodes that can be validated against experimental discharge curves. This is in an attempt to understand some of the multi-scale dynamics of LiFePO4 cathodes that can be difficult to determine experimentally. The first section of this thesis constructs a three-scale mathematical model of LiFePO4 cathodes that uses a simple Stefan problem (which has been used previously in the literature) to describe the assumed phase-change. LiFePO4 crystals have been observed agglomerating in cathodes to form a porous collection of crystals and this morphology motivates the use of three size-scales in the model. The multi-scale model developed validates well against experimental data and this validated model is then used to examine the role of manufacturing parameters (including the agglomerate radius) on battery performance. The remainder of the thesis is concerned with investigating phase-field models as a replacement for the aforementioned Stefan problem. Phase-field models have recently been used in LiFePO4 and are a far more accurate representation of experimentally observed crystal-scale behaviour. They are based around the Cahn-Hilliard-reaction (CHR) IBVP, a fourth-order PDE with electrochemical (flux) boundary conditions that is very stiff and possesses multiple time and space scales. Numerical solutions to the CHR IBVP can be difficult to compute and hence a least-squares based Finite Volume Method (FVM) is developed for discretising both the full CHR IBVP and the more traditional Cahn-Hilliard IBVP. Phase-field models are subject to two main physicality constraints and the numerical scheme presented performs well under these constraints. This least-squares based FVM is then used to simulate the discharge of individual crystals of LiFePO4 in two dimensions. This discharge is subject to isotropic Li+ diffusion, based on experimental evidence that suggests the normally orthotropic transport of Li+ in LiFePO4 may become more isotropic in the presence of lattice defects. Numerical investigation shows that two-dimensional Li+ transport results in crystals that phase-separate, even at very high discharge rates. This is very different from results shown in the literature, where phase-separation in LiFePO4 crystals is suppressed during discharge with orthotropic Li+ transport. Finally, the three-scale cathodic model used at the beginning of the thesis is modified to simulate modern, high-rate LiFePO4 cathodes. High-rate cathodes typically do not contain (large) agglomerates and therefore a two-scale model is developed. The Stefan problem used previously is also replaced with the phase-field models examined in earlier chapters. The results from this model are then compared with experimental data and fit poorly, though a significant parameter regime could not be investigated numerically. Many-particle effects however, are evident in the simulated discharges, which match the conclusions of recent literature. These effects result in crystals that are subject to local currents very different from the discharge rate applied to the cathode, which impacts the phase-separating behaviour of the crystals and raises questions about the validity of using cathodic-scale experimental measurements in order to determine crystal-scale behaviour.

Higher-order non-linear analysis of steel structures. Part I : elastic second-order formulation

This paper presents a higher-order beam-column formulation that can capture the geometrically non-linear behaviour of steel framed structures which contain a multiplicity of slender members. Despite advances in computational frame software, analyses of large frames can still be problematic from a numerical standpoint and so the intent of the paper is to fulfil a need for versatile, reliable and efficient non-linear analysis of general steel framed structures with very many members. Following a comprehensive review of numerical frame analysis techniques, a fourth-order element is derived and implemented in an updated Lagrangian formulation, and it is able to predict flexural buckling, snap-through buckling and large displacement post-buckling behaviour of typical structures whose responses have been reported by independent researchers. The solutions are shown to be efficacious in terms of a balance of accuracy and computational expediency. The higher-order element forms a basis for augmenting the geometrically non-linear approach with material non-linearity through the refined plastic hinge methodology described in the companion paper.

Theory of Non-linear Waves in Multi-dimensions: with Special Reference to Surface Water Waves

The surface water waves are "modal" waves in which the "physical space" (t, x, y, z) is the product of a propagation space (t, x, y) and a cross space, the z-axis in the vertical direction. We have derived a new set of equations for the long waves in shallow water in the propagation space. When the ratio of the amplitude of the disturbance to the depth of the water is small, these equations reduce to the equations derived by Whitham (1967) by the variational principle. Then we have derived a single equation in (t, x, y)-space which is a generalization of the fourth order Boussinesq equation for one-dimensional waves. In the neighbourhood of a wave froat, this equation reduces to the multidimensional generalization of the KdV equation derived by Shen & Keller (1973). We have also included a systematic discussion of the orders of the various non-dimensional parameters. This is followed by a presentation of a general theory of approximating a system of quasi-linear equations following one of the modes. When we apply this general method to the surface water wave equations in the propagation space, we get the Shen-Keller equation.

Free vibration of rectangular plates of arbitrary thickness with one or more edges clamped

Frequencies of free vibration of rectangular plates of arbitrary thickness, with different support conditions, are calculated by using the Method of Initial Functions (MIF), proposed by Vlasov. Sixth and fourth order MIF theories are used for the solution. Numerical results are presented for three square plates for three thickness ratios. The support conditions considered are (i) three sides simply supported and one side clamped, (ii) two opposite sides simply supported and the other two sides clamped and (iii) all sides clamped. It is found that the results produced by the MIF method are in fair agreement with those obtained by using other methods. The classical theory gives overestimates of the frequencies and the departures from the MIF results increase for higher modes and larger thickness ratios.

Two-dimensional flow past circular cylinders using finite volume lattice Boltzmann formulation

In this article, an extension to the total variation diminishing finite volume formulation of the lattice Boltzmann equation method on unstructured meshes was presented. The quadratic least squares procedure is used for the estimation of first-order and second-order spatial gradients of the particle distribution functions. The distribution functions were extrapolated quadratically to the virtual upwind node. The time integration was performed using the fourth-order RungeKutta procedure. A grid convergence study was performed in order to demonstrate the order of accuracy of the present scheme. The formulation was validated for the benchmark two-dimensional, laminar, and unsteady flow past a single circular cylinder. These computations were then investigated for the low Mach number simulations. Further validation was performed for flow past two circular cylinders arranged in tandem and side-by-side. Results of these simulations were extensively compared with the previous numerical data. Copyright (C) 2011 John Wiley & Sons, Ltd.

Non-rotating beams isospectral to a given rotating uniform beam

In this paper, we seek to find non-rotating beams with continuous mass and flexural stiffness distributions, that are isospectral to a given uniform rotating beam. The Barcilon-Gottlieb transformation is used to convert the fourth order governing equation of a non-rotating beam, to a canonical fourth order eigenvalue problem. If the coefficients in this canonical equation match with the coefficients of the uniform rotating beam equation, then the non-rotating beam is isospectral to the given rotating beam. The conditions on matching the coefficients leads to a pair of coupled differential equations. We solve these coupled differential equations for a particular case, and thereby obtain a class of non-rotating beams that are isospectral to a uniform rotating beam. However, to obtain isospectral beams, the transformation must leave the boundary conditions invariant. We show that the clamped end boundary condition is always invariant, and for the free end boundary condition to be invariant, we impose certain conditions on the beam characteristics. We also verify numerically that the frequencies of the non-rotating beam obtained using the finite element method (FEM) are the exact frequencies of the uniform rotating beam. Finally, the example of beams having a rectangular cross-section is presented to show the application of our analysis. Since experimental determination of rotating beam frequencies is a difficult task, experiments can be easily conducted on these rectangular non-rotating beams, to calculate the frequencies of the rotating beam. (c) 2012 Elsevier Ltd. All rights reserved.

Exponential compact higher order scheme and their stability analysis for unsteady convection-diffusion equations

Exponential compact higher-order schemes have been developed for unsteady convection-diffusion equation (CDE). One of the developed scheme is sixth-order accurate which is conditionally stable for the Peclet number 0 <= Pe <= 2.8 and the other is fourth-order accurate which is unconditionally stable. Schemes for two-dimensional (2D) problems are made to use alternate direction implicit (ADI) algorithm. Example problems are solved and the numerical solutions are compared with the analytical solutions for each case.

Chaotic dynamic analysis of viscoelastic plates

The dynamic buckling of viscoelastic plates with large deflection is investigated in this paper by using chaotic and fractal theory. The material behavior is given in terms of the Boltzmann superposition principle. in order to obtain accurate computation results, the nonlinear integro-differential dynamic equation is changed into an autonomic four-dimensional dynamical system. The numerical time integrations of equations are performed by using the fourth-order Runge-Kutta method. And the Lyapunov exponent spectrum, the fractal dimension of strange attractors and the time evolution of deflection are obtained. The influence of geometry nonlinearity and viscoelastic parameter on the dynamic buckling of viscoelastic plates is discussed.

Numerical solution of the incompressible Navier-Stokes equations with an upwind compact difference scheme

A new finite difference method for the discretization of the incompressible Navier-Stokes equations is presented. The scheme is constructed on a staggered-mesh grid system. The convection terms are discretized with a fifth-order-accurate upwind compact difference approximation, the viscous terms are discretized with a sixth-order symmetrical compact difference approximation, the continuity equation and the pressure gradient in the momentum equations are discretized with a fourth-order difference approximation on a cell-centered mesh. Time advancement uses a three-stage Runge-Kutta method. The Poisson equation for computing the pressure is solved with preconditioning. Accuracy analysis shows that the new method has high resolving efficiency. Validation of the method by computation of Taylor's vortex array is presented.

A Study of Composite Beam with Shape Memory Alloy Arbitrarily Embedded under Thermal and Mechanical Loadings

The constitutive relations and kinematic assumptions on the composite beam with shape memory alloy (SMA) arbitrarily embedded are discussed and the results related to the different kinematic assumptions are compared. As the approach of mechanics of materials is to study the composite beam with the SMA layer embedded, the kinematic assumption is vital. In this paper, we systematically study the kinematic assumptions influence on the composite beam deflection and vibration characteristics. Based on the different kinematic assumptions, the equations of equilibrium/motion are different. Here three widely used kinematic assumptions are presented and the equations of equilibrium/motion are derived accordingly. As the three kinematic assumptions change from the simple to the complex one, the governing equations evolve from the linear to the nonlinear ones. For the nonlinear equations of equilibrium, the numerical solution is obtained by using Galerkin discretization method and Newton-Rhapson iteration method. The analysis on the numerical difficulty of using Galerkin method on the post-buckling analysis is presented. For the post-buckling analysis, finite element method is applied to avoid the difficulty due to the singularity occurred in Galerkin method. The natural frequencies of the composite beam with the nonlinear governing equation, which are obtained by directly linearizing the equations and locally linearizing the equations around each equilibrium, are compared. The influences of the SMA layer thickness and the shift from neutral axis on the deflection, buckling and post-buckling are also investigated. This paper presents a very general way to treat thermo-mechanical properties of the composite beam with SMA arbitrarily embedded. The governing equations for each kinematic assumption consist of a third order and a fourth order differential equation with a total of seven boundary conditions. Some previous studies on the SMA layer either ignore the thermal constraint effect or implicitly assume that the SMA is symmetrically embedded. The composite beam with the SMA layer asymmetrically embedded is studied here, in which symmetric embedding is a special case. Based on the different kinematic assumptions, the results are different depending on the deflection magnitude because of the nonlinear hardening effect due to the (large) deflection. And this difference is systematically compared for both the deflection and the natural frequencies. For simple kinematic assumption, the governing equations are linear and analytical solution is available. But as the deflection increases to the large magnitude, the simple kinematic assumption does not really reflect the structural deflection and the complex one must be used. During the systematic comparison of computational results due to the different kinematic assumptions, the application range of the simple kinematic assumption is also evaluated. Besides the equilibrium study of the composite laminate with SMA embedded, the buckling, post-buckling, free and forced vibrations of the composite beam with the different configurations are also studied and compared.

Higher-order analysis of crack-tip fields in power-law hardening materials

In this paper, we present an exact higher-order asymptotic analysis on the near-crack-tip fields in elastic-plastic materials under plane strain, Mode I. A four- or five-term asymptotic series of the solutions is derived. It is found that when 1.6 < n less-than-or-equal-to 2.8 (here, n is the hardening exponent), the elastic effect enters the third-order stress field; but when 2.8< n less-than-or-equal-to 3.7 this effect turns to enter the fourth-order field, with the fifth-order field independent. Moreover, if n>3.7, the elasticity only affects the fields whose order is higher than 4. In this case, the fourth-order field remains independent. Our investigation also shows that as long as n is larger than 1.6, the third-order field is always not independent, whose amplitude coefficient K3 depends either on K1 or on both K1 and K2 (K1 and K2 arc the amplitude coefficients of the first- and second-order fields, respectively). Firmly, good agreement is found between our results and O'Dowd and Shih's numerical ones[8] by comparison.

H4 exponential finite-difference scheme for convective diffusion-equations

Perturbations are applied to the convective coefficients and source term of a convection-diffusion equation so that second-order corrections may be applied to a second-order exponential scheme. The basic Structure of the equations in the resulting fourth-order scheme is identical to that for the second order. Furthermore, the calculations are quite simple as the second-order corrections may be obtained in a single pass using a second-order scheme. For one to three dimensions, the fourth-order exponential scheme is unconditionally stable. As examples, the method is applied to Burgers' and other fluid mechanics problems. Compared with schemes normally used, the accuracies are found to be good and the method is applicable to regions with large gradients.

Effect of microcosmic optical parameters of dopants on the signal-to-noise ratio in doubly doped LiNbO3 crystals

We propose a united theory that describes the two-center recording system by taking scattering noise into account. The temporal evolution of the signal-to-noise ratio in doubly doped photorefractive crystals is described based on jointly solving material equations and coupled-wave equations with the fourth-order Runge-Kutta method. Roles of microcosmic optical parameters of dopants on the signal-to-noise ratio are discussed in detail. The theoretical results can confirm and predict experimental results. (c) 2005 Elsevier GmbH. All rights reserved.