Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

Porohyperelastic finite element model for the kangaroo humeral head cartilage based on experimental study and the consolidation theory

Solid-extracellular fluid interaction is believed to play an important role in the strain-rate dependent mechanical behaviors of shoulder articular cartilages. It is believed that the kangaroo shoulder joint is anatomically and biomechanically similar to human shoulder joint and it is easy to get in Australia. Therefore, the kangaroo humeral head cartilage was used as the suitable tissue for the study in this paper. Indentation tests from quasi-static (10-4/sec) to moderately high strain-rate (10-2/sec) on kangaroo humeral head cartilage tissues were conduced to investigate the strain-rate dependent behaviors. A finite element (FE) model was then developed, in which cartilage was conceptualized as a porous solid matrix filled with incompressible fluids. In this model, the solid matrix was modeled as an isotropic hyperelastic material and the percolating fluid follows Darcy’s law. Using inverse FE procedure, the constitutive parameters related to stiffness, compressibility of the solid matrix and permeability were obtained from the experimental results. The effect of solid-extracellular fluid interaction and drag force (the resistance to fluid movement) on strain-rate dependent behavior was investigated by comparing the influence of constant, strain dependent and strain-rate dependent permeability on FE model prediction. The newly developed porohyperelastic cartilage model with the inclusion of strain-rate dependent permeability was found to be able to predict the strain-rate dependent behaviors of cartilages.

Adverse weather effects on bus ridership

This study focuses on weather effects on daily bus ridership in Brisbane, given bus’ dominance in this city. The weather pattern of Brisbane varies by season according to its sub-tropical climate characteristics. Bus is prone to inclement weather condition as it shares the road system with general traffic. Moreover, bus stops generally offer less or sometimes no protection from adverse weather. Hence, adverse weather conditions such as rain are conjectured to directly impact on daily travel behaviour patterns. There has been limited Australian research on the impact of weather on daily transit ridership. This study investigates the relationship between rainy day and daily bus ridership for the period of 2010 to 2012. Overall, rainfall affects negatively with varying impacts on different transit groups. However, this analysis confirmed a positive relationship between consecutive rainy days (rain continuing for 3 or more days). A possible explanation could be that people may switch their transport mode to bus to avoid high traffic congestion and higher accident potentiality on rainy days. Also, Brisbane’s segregated busway (BRT) corridor works favourably towards this mode choice. Our study findings enhance the fundamental understanding of traveller behaviour, particularly mode choice behaviour under adverse weather conditions.

Frequency-motivated observer design for the prediction of parametric roll resonance control applications in marine systems

This work deals with estimators for predicting when parametric roll resonance is going to occur in surface vessels. The roll angle of the vessel is modeled as a second-order linear oscillatory system with unknown parameters. Several algorithms are used to estimate the parameters and eigenvalues of the system based on data gathered experimentally on a 1:45 scale model of a tanker. Based on the estimated eigenvalues, the system predicts whether or not parametric roll occurred. A prediction accuracy of 100% is achieved for regular waves, and up to 87.5% for irregular waves.

Natural ventilation heuristics in high-rise residential buildings : evaluation and prediction

Complex behaviour of air flow in the buildings makes it difficult to predict. Consequently, architects use common strategies for designing buildings with adequate natural ventilation. However, each climate needs specific strategies and there are not many heuristics for subtropical climate in literature. Furthermore, most of these common strategies are based on low-rise buildings and their performance for high-rise buildings might be different due to the increase of the wind speed with increase in the height. This study uses Computational Fluid Dynamics (CFD) to evaluate these rules of thumb for natural ventilation for multi-residential buildings in subtropical climate. Four design proposals for multi-residential towers with natural ventilation which were produced in intensive two days charrette were evaluated using CFD. The results show that all the buildings reach acceptable level of wind speed in living areas and poor amount of air flow in sleeping areas.

Prediction of activity type in preschool children using machine learning techniques

Objectives Recent research has shown that machine learning techniques can accurately predict activity classes from accelerometer data in adolescents and adults. The purpose of this study is to develop and test machine learning models for predicting activity type in preschool-aged children. Design Participants completed 12 standardised activity trials (TV, reading, tablet game, quiet play, art, treasure hunt, cleaning up, active game, obstacle course, bicycle riding) over two laboratory visits. Methods Eleven children aged 3–6 years (mean age = 4.8 ± 0.87; 55% girls) completed the activity trials while wearing an ActiGraph GT3X+ accelerometer on the right hip. Activities were categorised into five activity classes: sedentary activities, light activities, moderate to vigorous activities, walking, and running. A standard feed-forward Artificial Neural Network and a Deep Learning Ensemble Network were trained on features in the accelerometer data used in previous investigations (10th, 25th, 50th, 75th and 90th percentiles and the lag-one autocorrelation). Results Overall recognition accuracy for the standard feed forward Artificial Neural Network was 69.7%. Recognition accuracy for sedentary activities, light activities and games, moderate-to-vigorous activities, walking, and running was 82%, 79%, 64%, 36% and 46%, respectively. In comparison, overall recognition accuracy for the Deep Learning Ensemble Network was 82.6%. For sedentary activities, light activities and games, moderate-to-vigorous activities, walking, and running recognition accuracy was 84%, 91%, 79%, 73% and 73%, respectively. Conclusions Ensemble machine learning approaches such as Deep Learning Ensemble Network can accurately predict activity type from accelerometer data in preschool children.

Numerical studies on CFRP strengthened steel columns under transverse impact

Strengthening of metallic structures using carbon fibre reinforced polymer (CFRP) has become a smart strengthening option over the conventional strengthening method. Transverse impact loading due to accidental vehicular collision can lead to the failure of existing steel hollow tubular columns. However, knowledge is very limited on the behaviour of CFRP strengthened steel members under dynamic impact loading condition. This paper deals with the numerical simulation of CFRP strengthened square hollow section (SHS) steel columns under transverse impact loading to predict the behaviour and failure modes. The transverse impact loading is simulated using finite element (FE) analysis based on numerical approach. The accuracy of the FE modelling is ensured by comparing the predicted results with available experimental tests. The effects of impact velocity, impact mass, support condition, axial loading and CFRP thickness are examined through detail parametric study. The impact simulation results indicate that the strengthening technique shows an improved impact resistance capacity by reducing lateral displacement of the strengthened column about 58% compared to the bare steel column. Axial loading plays an important role on the failure behaviour of tubular column.

Durability performance of carbon fibre-reinforced polymer strengthened circular hollow steel members under cold weather

The use of circular hollow steel members has attracted a great deal of attention during past few years because of having excellent structural properties, aesthetic appearance, corrosion and fire protection capability. However, no one can deny the structural deficiency of such structures due to reduction of strength when they are exposed to severe environmental conditions such as marine environment, cold and hot weather. Hence strengthening and retrofitting of structural steel members is now very imperative. This paper presents the findings of a research program that was conducted to study the bond durability of carbon fibre-reinforced polymer (CFRP) strengthened steel tubular members under cold weather and tested under four-point bending. Six number of CFRP-strengthened specimens and one unstrengthened specimen were considered in this program. The three specimens having sand blasted surface to be strengthened was pre-treated with MBrace primer and other three were remained untreated and then cured under ambient temperature at least four weeks and cold weather (3 C) for three and six months period of time. Quasi-static tests were then performed on beams to failure under four-point bending. The structural response of each specimen was predicted in terms of failure load, mid-span deflection, composite beam behaviour and failure mode. The research outcomes show that the cold weather immersion had an adverse effect on durability of CFRP-strengthened steel structures. Moreover, the epoxy based adhesion promoter was found to enhance the bond durability in plastic range. The analytical models presented in this study were found to be in good agreement in terms of predicting ultimate load and deflection. Finally, design factors are proposed to address the short-terms durability performance under cold weather.

Numerical investigation of deformation and failure mechanisms of osteopontin-hydroxyapatite interfaces and mineralized collagen fibril arrays

This thesis is a comprehensive study of deformation and failure mechanisms in bone at nano- and micro-scale levels. It explores the mechanical behaviour of osteopontin-hydroxyapatite interfaces and mineralized collagen fibril arrays, through atomistic molecular dynamics and finite element simulations. This thesis shows some main factors contributing to the excellent material properties of bone and provides some guidelines for development of new artificial biological materials and medical implants.

A poroviscohyperelastic model for numerical analysis of mechanical behavior of single chondrocyte

The aim of this paper is to utilize a poroviscohyperelastic (PVHE) model which is developed based on the porohyperelastic (PHE) model to explore the mechanical deformation properties of single chondrocytes. Both creep and relaxation responses are investigated by using FEM models of micropipette aspiration and AFM experiments, respectively. The newly developed PVHE model is compared thoroughly with the SnHS and PHE models. It has been found that the PVHE can accurately capture both creep and stress relaxation behaviors of chondrocytes better than other two models. Hence, the PVHE is a promising model to investigate mechanical properties of single chondrocytes.

Porous versus porthole fuel injection in a radical farming scramjet: A numerical analysis

Numerically computed engine performance of a nominally two-dimensional radical farming scramjet with porous (permeable C/C ceramic) and porthole fuel injection is presented. Inflow conditions with Mach number, stagnation pressure, and enthalpy of 6.44, 40.2MPa, and 4.31 MJ/kg respectively, and fuel/air equivalence ratio of 0.44 were maintained, along with engine geometry. Hydrogen fuel was injected at an axial location of 92.33mm downstream of the leading edge for each investigated injection method. Results from this study show that porous fuel injection results in enhanced mixing and combustion compared to porthole fuel injection. This is particularly evident within the first half of the combustion chamber where porous fuel injection resulted in mixing and combustion efficiencies of 76% and 63% respectively. At the same location, porthole fuel injection resulted in efficiencies respectively of 58% and 46%. Key mechanisms contributing to the observed improved performance were the formation of an attached oblique fuel injection shock and associated stronger shock-expansion train ingested by the engine, enhanced spreading of the fuel in all directions and a more rapidly growing mixing layer.

Numerical investigation of upstream fuel injection through porous media for scramjet engines via surrogate-assisted evolutionary algorithms

A multi-objective design optimization study has been conducted for upstream fuel injection through porous media applied to the first ramp of a two-dimensional scramjet intake. The optimization has been performed by coupling evolutionary algorithms assisted by surrogate modeling and computational fluid dynamics with respect to three design criteria, that is, the maximization of the absolute mixing quantity, total pressure saving, and fuel penetration. A distinct Pareto optimal front has been obtained, highlighting the counteracting behavior of the total pressure against the mixing efficiency and fuel penetration. The injector location and size have been identified as the key design parameters as a result of a sensitivity analysis, with negligible influence of the porous properties in the configurations and conditions considered in the present study. Flowfield visualization has revealed the underlying physics associated with the effects of these dominant parameters on the shock structure and intensity.

Fouling of waste heat recovery : numerical and experimental results

Numerical results are presented to investigate the performance of a partly-filled porous heat exchanger for waste heat recovery units. A parametric study was conducted to investigate the effects of inlet velocity and porous block height on the pressure drop of the heat exchanger. The focus of this work is on modelling the interface of a porous and non-porous region. As such, numerical simulation of the problem is conducted along with hot-wire measurements to better understand the physics of the problem. Results from the two sources are then compared to existing theoretical predictions available in the literature which are unable to predict the existence of two separation regions before and after the porous block. More interestingly, a non-uniform interface velocity was observed along the streamwise direction based on both numerical and experimental data.

Transport and health in China : recent collaborative research relating to vehicle factors and pollution

The nature of the transport system contributes to public health outcomes in a range of ways. The clearest contribution to public health is in the area of traffic crashes, because of their direct impact on individual death and disability and their direct costs to the health system. Other papers in this conference address these issues. This paper outlines some collaborative research between the Centre for Accident Research and Road Safety - Queensland (CARRS-Q) at QUT and Chinese researchers in areas that have indirect health impacts. Heavy vehicle dynamics: The integrity of the road surface influences crash risk, with ruts, pot-holes and other forms of road damage contributing to increased crash risks. The great majority of damage to the road surface from vehicles is caused by heavy trucks and buses, rather than cars or smaller vehicles. In some cases this damage is due to deliberate overloading, but in other cases it is due to vehicle suspension characteristics that lead to occasional high loads on particular wheels. Together with a visiting researcher and his colleagues, we have used both Queensland and Chinese data to model vehicle suspension systems that reduce the level of load, and hence the level of road damage and resulting crash risk(1-5). Toll worker exposure to vehicle emissions: The increasing construction of highways in China has also involved construction of a large number of toll roads. Tollbooth workers are potentially exposed to high levels of pollutants from vehicles, however the extent of this exposure and how it relates to standards for exposure are not well known. In a study led by a visiting researcher, we conducted a study to model these levels of exposure for a tollbooth in China(6). Noise pollution: The increasing presence of high speed roads in China has contributed to an increase in noise levels. In this collaborative study we modelled noise levels associated with a freeway widening near a university campus, and measures to reduce the noise(7). Along with these areas of research, there are many other areas of transport with health implications that are worthy of exploration. Traffic, noise and pollution contribute to a difficult environment for pedestrians, especially in an ageing society where there are health benefits to increasing physical activity. By building on collaborations such as those outlined, there is potential for a contribution to improved public health by addressing transport issues such as vehicle factors and pollution, and extending the research to other areas of travel activity. 1. Chen, Y., He, J., King, M., Chen, W. and Zhang, W. (2014). Stiffness-damping matching method of an ECAS system based on LQG control. Journal of Central South University, 21:439-446. DOI: 10.1007/s1177101419579 2. Chen, Y., He, J., King, M., Feng, Z. and Chang, W. (2013). Comparison of two suspension control strategies for multi-axle heavy truck. Journal of Central South University, 20(2): 550-562. 3. Chen, Y., He, J., King, M., Chen, W. and Zhang, W. (2013). Effect of driving conditions and suspension parameters on dynamic load-sharing of longitudinal-connected air suspensions. Science China Technological Sciences, 56(3): 666-676. DOI: 10.1007/s11431-012-5091-3 4. Chen, Y., He., J., King, M., Chen, W. and Zhang, W. (2013). Model development and dynamic load-sharing analysis of longitudinal-connected air suspensions. Strojniški Vestnik - Journal of Mechanical Engineering, 59(1):14-24. 5. Chen, Y., He, J., King, M., Liu, H. and Zhang, W. (2013). Dynamic load-sharing of longitudinal-connected air suspensions of a tri-axle semi-trailer. Proceedings of Transportation Research Board Annual Conference, Washington DC, 13-17 January 2013, paper no. 13-1117. 6. He, J., Qi, Z., Hang, W., King, M., and Zhao, C. (2011). Numerical evaluation of pollutant dispersion at a toll plaza based on system dynamics and Computational Fluid Dynamics models. Transportation Research Part C, 19(2011):510-520. 7. Zhang, C., He, J., Wang, Z., Yin, R. and King, M. (2013). Assessment of traffic noise level before and after freeway widening using traffic microsimulation and a refined classic noise prediction method. Proceedings of Transportation Research Board Annual Conference, Washington DC, 13-17 January 2013, paper no. 13-2016.

A numerical method for the fractional Fitzhugh–Nagumo monodomain model

A fractional FitzHugh–Nagumo monodomain model with zero Dirichlet boundary conditions is presented, generalising the standard monodomain model that describes the propagation of the electrical potential in heterogeneous cardiac tissue. The model consists of a coupled fractional Riesz space nonlinear reaction-diffusion model and a system of ordinary differential equations, describing the ionic fluxes as a function of the membrane potential. We solve this model by decoupling the space-fractional partial differential equation and the system of ordinary differential equations at each time step. Thus, this means treating the fractional Riesz space nonlinear reaction-diffusion model as if the nonlinear source term is only locally Lipschitz. The fractional Riesz space nonlinear reaction-diffusion model is solved using an implicit numerical method with the shifted Grunwald–Letnikov approximation, and the stability and convergence are discussed in detail in the context of the local Lipschitz property. Some numerical examples are given to show the consistency of our computational approach.