A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Avoiding Overfitting in Inverse Modeling of Chloride Migration in Concrete

Inverse analysis for reactive transport of chlorides through concrete in the presence of electric field is presented. The model is solved using MATLAB’s built-in solvers “pdepe.m” and “ode15s.m”. The results from the model are compared with experimental measurements from accelerated migration test and a function representing the lack of fit is formed. This function is optimised with respect to varying amount of key parameters defining the model. Levenberg-Marquardt trust-region optimisation approach is employed. The paper presents a method by which the degree of inter-dependency between parameters and sensitivity (significance) of each parameter towards model predictions can be studied on models with or without clearly defined governing equations. Eigen value analysis of the Hessian matrix was employed to investigate and avoid over-parametrisation in inverse analysis. We investigated simultaneous fitting of parameters for diffusivity, chloride binding as defined by Freundlich isotherm (thermodynamic) and binding rate (kinetic parameter). Fitting of more than 2 parameters, simultaneously, demonstrates a high degree of parameter inter-dependency. This finding is significant as mathematical models for representing chloride transport rely on several parameters for each mode of transport (i.e., diffusivity, binding, etc.), which combined may lead to unreliable simultaneous estimation of parameters.

Field Evaluation of a Competitive Lateral-flow Assay for Detection of Alternaria brassicae in Vegetable Brassica Crops

On-site detection of inoculum of polycyclic plant pathogens could potentially contribute to management of disease outbreaks. A 6-min, in-field competitive immunochromatographic lateral flow device (CLFD) assay was developed for detection of Alternaria brassicae (the cause of dark leaf spot in brassica crops) in air sampled above the crop canopy. Visual recording of the test result by eye provides a detection threshold of approximately 50 dark leaf spot conidia. Assessment using a portable reader improved test sensitivity. In combination with a weather-driven infection model, CLFD assays were evaluated as part of an in-field risk assessment to identify periods when brassica crops were at risk from A. brassicae infection. The weather-driven model overpredicted A. brassicae infection. An automated 7-day multivial cyclone air sampler combined with a daily in-field CLFD assay detected A. brassicae conidia air samples from above the crops. Integration of information from an in-field detection system (CLFD) with weather-driven mathematical models predicting pathogen infection have the potential for use within disease management systems.

Exciton-mediated photothermal cooling in GaAs membranes

Cooling of the mechanical motion of a GaAs nano-membrane using the photothermal effect mediated by excitons was recently demonstrated by some of the authors (Usami et al 2012 Nature Phys. 8 168) and provides a clear example of the use of thermal forces to cool down mechanical motion. Here, we report on a single-free-parameter theoretical model to explain the results of this experiment which matches the experimental data remarkably well.

A Bayesian network dealing with measurements and residuals for system monitoring

International audience

Subfilter-scale Stress Modelling for Large Eddy Simulations

A subfilter-scale (SFS) stress model is developed for large-eddy simulations (LES) and is tested on various benchmark problems in both wall-resolved and wall-modelled LES. The basic ingredients of the proposed model are the model length-scale, and the model parameter. The model length-scale is defined as a fraction of the integral scale of the flow, decoupled from the grid. The portion of the resolved scales (LES resolution) appears as a user-defined model parameter, an advantage that the user decides the LES resolution. The model parameter is determined based on a measure of LES resolution, the SFS activity. The user decides a value for the SFS activity (based on the affordable computational budget and expected accuracy), and the model parameter is calculated dynamically. Depending on how the SFS activity is enforced, two SFS models are proposed. In one approach the user assigns the global (volume averaged) contribution of SFS to the transport (global model), while in the second model (local model), SFS activity is decided locally (locally averaged). The models are tested on isotropic turbulence, channel flow, backward-facing step and separating boundary layer. In wall-resolved LES, both global and local models perform quite accurately. Due to their near-wall behaviour, they result in accurate prediction of the flow on coarse grids. The backward-facing step also highlights the advantage of decoupling the model length-scale from the mesh. Despite the sharply refined grid near the step, the proposed SFS models yield a smooth, while physically consistent filter-width distribution, which minimizes errors when grid discontinuity is present. Finally the model application is extended to wall-modelled LES and is tested on channel flow and separating boundary layer. Given the coarse resolution used in wall-modelled LES, near the wall most of the eddies become SFS and SFS activity is required to be locally increased. The results are in very good agreement with the data for the channel. Errors in the prediction of separation and reattachment are observed in the separated flow, that are somewhat improved with some modifications to the wall-layer model.

Canopy-scale biophysical controls of transpiration and evaporation in the Amazon Basin.

Canopy and aerodynamic conductances (gC and gA) are two of the key land surface biophysical variables that control the land surface response of land surface schemes in climate models. Their representation is crucial for predicting transpiration (λET) and evaporation (λEE) flux components of the terrestrial latent heat flux (λE), which has important implications for global climate change and water resource management. By physical integration of radiometric surface temperature (TR) into an integrated framework of the Penman?Monteith and Shuttleworth?Wallace models, we present a novel approach to directly quantify the canopy-scale biophysical controls on λET and λEE over multiple plant functional types (PFTs) in the Amazon Basin. Combining data from six LBA (Large-scale Biosphere-Atmosphere Experiment in Amazonia) eddy covariance tower sites and a TR-driven physically based modeling approach, we identified the canopy-scale feedback-response mechanism between gC, λET, and atmospheric vapor pressure deficit (DA), without using any leaf-scale empirical parameterizations for the modeling. The TR-based model shows minor biophysical control on λET during the wet (rainy) seasons where λET becomes predominantly radiation driven and net radiation (RN) determines 75 to 80 % of the variances of λET. However, biophysical control on λET is dramatically increased during the dry seasons, and particularly the 2005 drought year, explaining 50 to 65 % of the variances of λET, and indicates λET to be substantially soil moisture driven during the rainfall deficit phase. Despite substantial differences in gA between forests and pastures, very similar canopy?atmosphere "coupling" was found in these two biomes due to soil moisture-induced decrease in gC in the pasture. This revealed the pragmatic aspect of the TR-driven model behavior that exhibits a high sensitivity of gC to per unit change in wetness as opposed to gA that is marginally sensitive to surface wetness variability. Our results reveal the occurrence of a significant hysteresis between λET and gC during the dry season for the pasture sites, which is attributed to relatively low soil water availability as compared to the rainforests, likely due to differences in rooting depth between the two systems. Evaporation was significantly influenced by gA for all the PFTs and across all wetness conditions. Our analytical framework logically captures the responses of gC and gA to changes in atmospheric radiation, DA, and surface radiometric temperature, and thus appears to be promising for the improvement of existing land?surface?atmosphere exchange parameterizations across a range of spatial scales.

Canopy-scale biophysical controls of transpiration and evaporation in the Amazon Basin.

Canopy and aerodynamic conductances (gC and gA) are two of the key land surface biophysical variables that control the land surface response of land surface schemes in climate models. Their representation is crucial for predicting transpiration (?ET) and evaporation (?EE) flux components of the terrestrial latent heat flux (?E), which has important implications for global climate change and water resource management. By physical integration of radiometric surface temperature (TR) into an integrated framework of the Penman?Monteith and Shuttleworth?Wallace models, we present a novel approach to directly quantify the canopy-scale biophysical controls on ?ET and ?EE over multiple plant functional types (PFTs) in the Amazon Basin. Combining data from six LBA (Large-scale Biosphere-Atmosphere Experiment in Amazonia) eddy covariance tower sites and a TR-driven physically based modeling approach, we identified the canopy-scale feedback-response mechanism between gC, ?ET, and atmospheric vapor pressure deficit (DA), without using any leaf-scale empirical parameterizations for the modeling. The TR-based model shows minor biophysical control on ?ET during the wet (rainy) seasons where ?ET becomes predominantly radiation driven and net radiation (RN) determines 75 to 80?% of the variances of ?ET. However, biophysical control on ?ET is dramatically increased during the dry seasons, and particularly the 2005 drought year, explaining 50 to 65?% of the variances of ?ET, and indicates ?ET to be substantially soil moisture driven during the rainfall deficit phase. Despite substantial differences in gA between forests and pastures, very similar canopy?atmosphere "coupling" was found in these two biomes due to soil moisture-induced decrease in gC in the pasture. This revealed the pragmatic aspect of the TR-driven model behavior that exhibits a high sensitivity of gC to per unit change in wetness as opposed to gA that is marginally sensitive to surface wetness variability. Our results reveal the occurrence of a significant hysteresis between ?ET and gC during the dry season for the pasture sites, which is attributed to relatively low soil water availability as compared to the rainforests, likely due to differences in rooting depth between the two systems. Evaporation was significantly influenced by gA for all the PFTs and across all wetness conditions. Our analytical framework logically captures the responses of gC and gA to changes in atmospheric radiation, DA, and surface radiometric temperature, and thus appears to be promising for the improvement of existing land?surface?atmosphere exchange parameterizations across a range of spatial scales.

Development of a numerical platform for the modeling and optimal control of liquid metal flows

The main purpose of this work is to develop a numerical platform for the turbulence modeling and optimal control of liquid metal flows. Thanks to their interesting thermal properties, liquid metals are widely studied as coolants for heat transfer applications in the nuclear context. However, due to their low Prandtl numbers, the standard turbulence models commonly used for coolants as air or water are inadequate. Advanced turbulence models able to capture the anisotropy in the flow and heat transfer are then necessary. In this thesis, a new anisotropic four-parameter turbulence model is presented and validated. The proposed model is based on explicit algebraic models and solves four additional transport equations for dynamical and thermal turbulent variables. For the validation of the model, several flow configurations are considered for different Reynolds and Prandtl numbers, namely fully developed flows in a plane channel and cylindrical pipe, and forced and mixed convection in a backward-facing step geometry. Since buoyancy effects cannot be neglected in liquid metals-cooled fast reactors, the second aim of this work is to provide mathematical and numerical tools for the simulation and optimization of liquid metals in mixed and natural convection. Optimal control problems for turbulent buoyant flows are studied and analyzed with the Lagrange multipliers method. Numerical algorithms for optimal control problems are integrated into the numerical platform and several simulations are performed to show the robustness, consistency, and feasibility of the method.

Bistable attractors in a model of convection-driven spherical dynamos

The range of existence and the properties of two essentially different chaotic attractors found in a model of nonlinear convection-driven dynamos in rotating spherical shells are investigated. A hysteretic transition between these attractors is established as a function of the rotation parameter t. The width of the basins of attraction is also estimated. © 2012 The Royal Swedish Academy of Sciences.

Urothelial Carcinogen Resistance Driven By Stronger Toll-like Receptor 2 (tlr2) And Uroplakin Iii (up Iii) Defense Mechanisms: A New Model.

The objective of the study was to illustrate the applicability and significance of the novel Lewis urothelial cancer model compared to the classic Fisher 344. Fischer 344 and Lewis females rats, 7 weeks old, were intravesical instilled N-methyl-N-nitrosourea 1.5 mg/kg every other week for a total of four doses. After 15 weeks, animals were sacrificed and bladders analyzed: histopathology (tumor grade and stage), immunohistochemistry (apoptotic and proliferative indices) and blotting (Toll-like receptor 2-TLR2, Uroplakin III-UP III and C-Myc). Control groups received placebo. There were macroscopic neoplastic lesions in 20 % of Lewis strain and 70 % of Fischer 344 strain. Lewis showed hyperplasia in 50 % of animals, normal bladders in 50 %. All Fischer 344 had lesions, 20 % papillary hyperplasia, 30 % dysplasia, 40 % neoplasia and 10 % squamous metaplasia. Proliferative and apoptotic indices were significantly lower in the Lewis strain (p < 0.01). The TLR2 and UP III protein levels were significantly higher in Lewis compared to Fischer 344 strain (70.8 and 46.5 % vs. 49.5 and 16.9 %, respectively). In contrast, C-Myc protein levels were significantly higher in Fischer 344 (22.5 %) compared to Lewis strain (13.7 %). The innovative Lewis carcinogen resistance urothelial model represents a new strategy for translational research. Preservation of TLR2 and UP III defense mechanisms might drive diverse urothelial phenotypes during carcinogenesis in differently susceptible individuals.

Multifractality in the random parameter model for multivariate time series

The Random Parameter model was proposed to explain the structure of the covariance matrix in problems where most, but not all, of the eigenvalues of the covariance matrix can be explained by Random Matrix Theory. In this article, we explore the scaling properties of the model, as observed in the multifractal structure of the simulated time series. We use the Wavelet Transform Modulus Maxima technique to obtain the multifractal spectrum dependence with the parameters of the model. The model shows a scaling structure compatible with the stylized facts for a reasonable choice of the parameter values. (C) 2009 Elsevier B.V. All rights reserved.

Simple Excitation Model for Coaxial Driven Monopole Antennas

A new excitation model for the numerical solution of field integral equation (EFIE) applied to arbitrarily shaped monopole antennas fed by coaxial lines is presented. This model yields a stable solution for the input impedance of such antennas with very low numerical complexity and without the convergence and high parasitic capacitance problems associated with the usual delta gap excitation.

An assumption-driven case-specific model editor

A case sensitive intelligent model editor has been developed for constructing consistent lumped dynamic process models and for simplifying them using modelling assumptions. The approach is based on a systematic assumption-driven modelling procedure and on the syntax and semantics of process,models and the simplifying assumptions.