Monte Carlo Hypothesis Testing with The Sharpe Ratio

The purpose of this master thesis was to perform simulations that involve use of random number while testing hypotheses especially on two samples populations being compared weather by their means, variances or Sharpe ratios. Specifically, we simulated some well known distributions by Matlab and check out the accuracy of an hypothesis testing. Furthermore, we went deeper and check what could happen once the bootstrapping method as described by Effrons is applied on the simulated data. In addition to that, one well known RobustSharpe hypothesis testing stated in the paper of Ledoit and Wolf was applied to measure the statistical significance performance between two investment founds basing on testing weather there is a statistically significant difference between their Sharpe Ratios or not. We collected many literatures about our topic and perform by Matlab many simulated random numbers as possible to put out our purpose; As results we come out with a good understanding that testing are not always accurate; for instance while testing weather two normal distributed random vectors come from the same normal distribution. The Jacque-Berra test for normality showed that for the normal random vector r1 and r2, only 94,7% and 95,7% respectively are coming from normal distribution in contrast 5,3% and 4,3% failed to shown the truth already known; but when we introduce the bootstrapping methods by Effrons while estimating pvalues where the hypothesis decision is based, the accuracy of the test was 100% successful. From the above results the reports showed that bootstrapping methods while testing or estimating some statistics should always considered because at most cases the outcome are accurate and errors are minimized in the computation. Also the RobustSharpe test which is known to use one of the bootstrapping methods, studentised one, were applied first on different simulated data including distribution of many kind and different shape secondly, on real data, Hedge and Mutual funds. The test performed quite well to agree with the existence of statistical significance difference between their Sharpe ratios as described in the paper of Ledoit andWolf.

Evidence of mixed persistent infections in calves born to cows challenged with a pool of bovine viral diarrhea virus isolates

Pregnant cows infected with noncytopathic (NCP) isolates of bovine viral diarrhea virus (BVDV) between days 40 and 120 days of gestation frequently deliver immunotolerant, persistently infected (PI) calves. We herein report the characterization of PI calves produced experimentally through inoculation of pregnant cows with a pool of Brazilian BVDV-1 (n=2) and BVDV-2 isolates (n=2) between days 60 and 90 of gestation. Two calves were born virus positive, lacked BVDV antibodies, but died 7 and 15 days after birth, respectively. Six other calves were born healthy, seronegative to BVDV, harbored and shed virus in secretions for up to 210 days. Analysis of the antigenic profile of viruses infecting these calves at birth and 30 days later with a panel of monoclonal antibodies indicated two patterns of infection. Whereas three calves apparently harbored only one isolate (either a BVDV-1 or BVDV-2), co-infection by two antigenically distinct challenge viruses was demonstrated in three PI calves. Moreover, testing the viruses obtained from the blood of PI calves by an RT-PCR able to differentiate between BVDV-1 and BVDV-2 confirmed the presence/persistence of two co-infecting viruses of different genotypes (BVDV-1 and BVDV-2) in these animals. These findings indicate that persistent infection of fetuses/calves - a well characterized consequence of fetal infection by BVDV - may be established concomitantly by more than one isolate, upon experimental inoculation. In this sense, mixed persistent infections with antigenically distinct isolates may help in understanding the immunological and molecular basis of BVDV immunotolerance and persistence.

Testing Platform Development for Large Scale Solar Integration

Currently, a high penetration level of Distributed Generations (DGs) has been observed in the Danish distribution systems, and even more DGs are foreseen to be present in the upcoming years. How to utilize them for maintaining the security of the power supply under the emergency situations, has been of great interest for study. This master project is intended to develop a control architecture for studying purposes of distribution systems with large scale integration of solar power. As part of the EcoGrid EU Smart Grid project, it focuses on the system modelling and simulation of a Danish representative LV network located in Bornholm island. Regarding the control architecture, two types of reactive control techniques are implemented and compare. In addition, a network voltage control based on a tap changer transformer is tested. The optimized results after applying a genetic algorithm to five typical Danish domestic loads are lower power losses and voltage deviation using Q(U) control, specially with large consumptions. Finally, a communication and information exchange system is developed with the objective of regulating the reactive power and thereby, the network voltage remotely and real-time. Validation test of the simulated parameters are performed as well.

Testing pigs of non-technified rearing farms for serum antibodies against Taenia solium in a region of the state of São Paulo, Brazil

Abstract: Taenia solium is a zoonotic tapeworm of great importance in developing countries, due to the occurrence of human taeniasis and cysticercosis. Pigs have an important role in the biological cycle of the parasite as intermediate hosts. The scientific literature has been describing risk factors associated with the occurrence of this disease that must be avoided in countries with poor sanitation, in order to reduce the exposure of swine to the parasite eggs. This research focused on testing pigs of non-technified rearing farms for serum antibodies against Taenia solium in the region of Jaboticabal municipality, in the state of São Paulo, Brazil. The found prevalence was 6.82% (CI 95% 4.18 - 9.45) at animal level and 28.87% (CI 95% 16.74 - 40.40) at herd level. These figures are probably associated with low technification adoption during animal rearing in the studied area, which increased the exposure of the animals to risk factors associated with the occurrence of Taenia solium complex. The results found based on serological evidences of swine cysticercosis in the studied region serves as a warning to public sanitary authorities to improve public health and control T. solium.

Panel Method Formulation for Oscillating Airfoils in Sonic Flow

The mathematical model for two-dimensional unsteady sonic flow, based on the classical diffusion equation with imaginary coefficient, is presented and discussed. The main purpose is to develop a rigorous formulation in order to bring into light the correspondence between the sonic, supersonic and subsonic panel method theory. Source and doublet integrals are obtained and Laplace transformation demonstrates that, in fact, the source integral is the solution of the doublet integral equation. It is shown that the doublet-only formulation reduces to a Volterra integral equation of the first kind and a numerical method is proposed in order to solve it. To the authors' knowledge this is the first reported solution to the unsteady sonic thin airfoil problem through the use of doublet singularities. Comparisons with the source-only formulation are shown for the problem of a flat plate in combined harmonic heaving and pitching motion.

Testing and simulation of fractionary electromechanical rotative drives

This paper concerns the development of drives that use electromechanical rotative motor systems. It is proposed an experimental drive test structure integrated to simulation softwares. The objective of this work is to show that an affordable model validation procedure can be obtained by combining a precision data acquisition with well tuned state-of-the-art simulation packages. This is required for fitting, in the best way, a drive to its load or, inversely, to adapt loads to given drive characteristics.

Design and testing of an armature-reaction-compensated permanent magnet synchronous generator for island operation

At present, permanent magnet synchronous generators (PMSGs) are of great interest. Since they do not have electrical excitation losses, the highly efficient, lightweight and compact PMSGs equipped with damper windings work perfectly when connected to a network. However, in island operation, the generator (or parallel generators) alone is responsible for the building up of the network and maintaining its voltage and reactive power level. Thus, in island operation, a PMSG faces very tight constraints, which are difficult to meet, because the flux produced by the permanent magnets (PMs) is constant and the voltage of the generator cannot be controlled. Traditional electrically excited synchronous generators (EESGs) can easily meet these constraints, because the field winding current is controllable. The main drawback of the conventional EESG is the relatively high excitation loss. This doctoral thesis presents a study of an alternative solution termed as a hybrid excitation synchronous generator (HESG). HESGs are a special class of electrical machines, where the total rotor current linkage is produced by the simultaneous action of two different excitation sources: the electrical and permanent magnet (PM) excitation. An overview of the existing HESGs is given. Several HESGs are introduced and compared with the conventional EESG from technical and economic points of view. In the study, the armature-reaction-compensated permanent magnet synchronous generator with alternated current linkages (ARC-PMSG with ACL) showed a better performance than the other options. Therefore, this machine type is studied in more detail. An electromagnetic design and a thermal analysis are presented. To verify the operation principle and the electromagnetic design, a down-sized prototype of 69 kVA apparent power was built. The experimental results are demonstrated and compared with the predicted ones. A prerequisite for an ARC-PMSG with ACL is an even number of pole pairs (p = 2, 4, 6, …) in the machine. Naturally, the HESG technology is not limited to even-pole-pair machines. However, the analysis of machines with p = 3, 5, 7, … becomes more complicated, especially if analytical tools are used, and is outside the scope of this thesis. The contribution of this study is to propose a solution where an ARC-PMSG replaces an EESG in electrical power generation while meeting all the requirements set for generators given for instance by ship classification societies, particularly as regards island operation. The maximum power level when applying the technology studied here is mainly limited by the economy of the machine. The larger the machine is, the smaller is the efficiency benefit. However, it seems that machines up to ten megawatts of power could benefit from the technology. However, in low-power applications, for instance in the 500 kW range, the efficiency increase can be significant.

Modelling Long-Run Relationship between Spot and Future Prices of Different Commodities

The purpose of this study is to investigate whether there exists any kind of relationship between the spot and future prices of the different commodities or not. Commodities like cocoa, coffee, crude oil, gold, natural gas and silver are considered from January 3, 2000 to December 31, 2012. For this purpose, ADF test and KPSS test are used in testing the stationarity whereas Johansen Cointegration test is used in testing the long-run relationship. Johansen co-integration test exhibits that there at least 5 co-integrating pairs out of 6 except crude oil. Moreover, the result of Granger Causality supports the fact that if two or more than two time series tend to be co-integrated there exists either uni-directional or bi-directional relationship. However, our results reveled that although there exists the co-integration between the variable, one might not granger causes another .VAR model is also used to measure the proportion of effects. These findings will help the derivative market and arbitragers in developing the strategies to gain the maximum profit in the financial market.

Intended Quality: Relationships between Development, Testing and Quality

An empirical study was conducted in the area of software engineering to study relationships between development, testing and intended software quality. International standards served as a starting point of the study. For analysis a round of interviews was kept and transcribed. It was found that interaction between humans is critical, especially in transferring knowledge and standards’ processes. The standards are communicated through interaction and learning processes are involved before compliance. One of the results was that testing is the key to sufficient quality. The outcome was that successful interaction, sufficient testing and compliance with the standards combined with good motivation may provide most repeatable intended quality.

Empirical study on the adoption, use and effects of cloud-based testing

Cloud computing is a practically relevant paradigm in computing today. Testing is one of the distinct areas where cloud computing can be applied. This study addressed the applicability of cloud computing for testing within organizational and strategic contexts. The study focused on issues related to the adoption, use and effects of cloudbased testing. The study applied empirical research methods. The data was collected through interviews with practitioners from 30 organizations and was analysed using the grounded theory method. The research process consisted of four phases. The first phase studied the definitions and perceptions related to cloud-based testing. The second phase observed cloud-based testing in real-life practice. The third phase analysed quality in the context of cloud application development. The fourth phase studied the applicability of cloud computing in the gaming industry. The results showed that cloud computing is relevant and applicable for testing and application development, as well as other areas, e.g., game development. The research identified the benefits, challenges, requirements and effects of cloud-based testing; and formulated a roadmap and strategy for adopting cloud-based testing. The study also explored quality issues in cloud application development. As a special case, the research included a study on applicability of cloud computing in game development. The results can be used by companies to enhance the processes for managing cloudbased testing, evaluating practical cloud-based testing work and assessing the appropriateness of cloud-based testing for specific testing needs.

Panel: Leveraging Agile & Resourcing for Success - Hydramata, Avalon, Fedora 4 and Islandora

Panel at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014

DSpace Metadata Panel

Panel at Open Repositories 2014, Helsinki, Finland, June 9-13, 2014