The relationship between kurtosis- and envelope-based indexes for the diagnostic of rolling element bearings

The coupling of kurtosis based-indexes and envelope analysis represents one of the most successful and widespread procedures for the diagnostics of incipient faults on rolling element bearings. Kurtosis-based indexes are often used to select the proper demodulation band for the application of envelope-based techniques. Kurtosis itself, in slightly different formulations, is applied for the prognostic and condition monitoring of rolling element bearings, as a standalone tool for a fast indication of the development of faults. This paper shows for the first time the strong analytical connection which holds for these two families of indexes. In particular, analytical identities are shown for the squared envelope spectrum (SES) and the kurtosis of the corresponding band-pass filtered analytic signal. In particular, it is demonstrated how the sum of the peaks in the SES corresponds to the raw 4th order moment. The analytical results show as well a link with an another signal processing technique: the cepstrum pre-whitening, recently used in bearing diagnostics. The analytical results are the basis for the discussion on an optimal indicator for the choice of the demodulation band, the ratio of cyclic content (RCC), which endows the kurtosis with selectivity in the cyclic frequency domain and whose performance is compared with more traditional kurtosis-based indicators such as the protrugram. A benchmark, performed on numerical simulations and experimental data coming from two different test-rigs, proves the superior effectiveness of such an indicator. Finally a short introduction to the potential offered by the newly proposed index in the field of prognostics is given in an additional experimental example. In particular the RCC is tested on experimental data collected on an endurance bearing test-rig, showing its ability to follow the development of the damage with a single numerical index.

Transfer pricing and multinational financial institutions : the case for replacing arm’s length price with a unitary approach

The international tax system, designed a century ago, has not kept pace with the modern multinational entity rendering it ineffective in taxing many modern businesses according to economic activity. One of those modern multinational entities is the multinational financial institution (MNFI). The recent global financial crisis provides a particularly relevant and significant example of the failure of the current system on a global scale. The modern MNFI is increasingly undertaking more globalised and complex trading operations. A primary reason for the globalisation of financial institutions is that they typically ‘follow-the-customer’ into jurisdictions where international capital and international investors are required. The International Monetary Fund (IMF) recently reported that from 1995-2009, foreign bank presence in developing countries grew by 122 per cent. The same study indicates that foreign banks have a 20 per cent market share in OECD countries and 50 per cent in emerging markets and developing countries. Hence, most significant is that fact that MNFIs are increasingly undertaking an intermediary role in developing economies where they are financing core business activities such as mining and tourism. IMF analysis also suggests that in the future, foreign bank expansion will be greatest in emerging economies. The difficulties for developing countries in applying current international tax rules, especially the current traditional transfer pricing regime, are particularly acute in relation to MNFIs, which are the biggest users of tax havens and offshore finance. This paper investigates whether a unitary taxation approach which reflects economic reality would more easily and effectively ensure that the profits of MNFIs are taxed in the jurisdictions which give rise to those profits. It has previously been argued that the uniqueness of MNFIs results in a failure of the current system to accurately allocate profits and that unitary tax as an alternative could provide a sounder allocation model for international tax purposes. This paper goes a step further, and examines the practicalities of the implementation of unitary taxation for MNFIs in terms of the key components of such a regime, along with their their implications. This paper adopts a two-step approach in considering the implications of unitary taxation as a means of improved corporate tax coordination which requires international acceptance and agreement. First, the definitional issues of the unitary MNFI are examined and second, an appropriate allocation formula for this sector is investigated. To achieve this, the paper asks first, how the financial sector should be defined for the purposes of unitary taxation and what should constitute a unitary business for that sector and second, what is the ‘best practice’ model of an allocation formula for the purposes of the apportionment of the profits of the unitary business of a financial institution.

Demand-side response model to avoid spike of electricity price

The aim of this work is to develop a demand-side-response model, which assists electricity consumers exposed to the market price to independently and proactively manage air-conditioning peak electricity demand. The main contribution of this research is to show how consumers can optimize the energy cost caused by the air conditioning load considering to several cases e.g. normal price, spike price, and the probability of a price spike case. This model also investigated how air-conditioning applies a pre-cooling method when there is a substantial risk of a price spike. The results indicate the potential of the scheme to achieve financial benefits for consumers and target the best economic performance for electrical generation distribution and transmission. The model was tested with Queensland electricity market data from the Australian Energy Market Operator and Brisbane temperature data from the Bureau of Statistics regarding hot days from 2011 to 2012.

Defining expected cost for the air conditioning to avoid a price spike of electricity market under DSR model

This work presents a demand side response model (DSR) which assists small electricity consumers, through an aggregator, exposed to the market price to proactively mitigate price and peak impact on the electrical system. The proposed model allows consumers to manage air-conditioning when as a function of possible price spikes. The main contribution of this research is to demonstrate how consumers can minimise the total expected cost by optimising air-conditioning to account for occurrences of a price spike in the electricity market. This model investigates how pre-cooling method can be used to minimise energy costs when there is a substantial risk of an electricity price spike. The model was tested with Queensland electricity market data from the Australian Energy Market Operator and Brisbane temperature data from the Bureau of Statistics during hot days on weekdays in the period 2011 to 2012.

Indexes of insulin resistance and secretion in obese children and adolescents : a validation study

OBJECTIVE To assess the concurrent validity of fasting indexes of insulin sensitivity and secretion in - obese prepubertal (Tanner stage 1) children and pubertal (Tanner stages 2-5) glucose tolerance test (FSIVGTT) as a criterion measure. RESEARCH DESIGN AND METHODS Eighteen obese children and adolescents (11 girls and 7 boys, mean age 12.2 +/- 2.4 years, mean BMI 35.4 +/- 6.2 kg/m(2), mean BMI-SDS 3.5 +/- 0.5, 7 prepubertal and I I pubertal) participated in the study. All participants underwent an insulin-modified FSIVGTT on two occasions, and 15 repeated this test a third time (mean 12.9 and 12.0 weeks apart). S-i measured by the FSIVGTT was compared with homeostasis model assessment (HOMA) of insulin resistance (HOMA-IR), quantitative insulin-sensitivity check index (QUICKI), fasting glucose-to-insulin ratio (FGIR), and fasting insulin (estimates of insulin sensitivity derived from fasting samples). The acute insulin response (AIR) measured by the FSIVGTT was compared with HOMA of percent beta-cell function (HOMA-beta%), FGIR, and fasting insulin (estimates of insulin secretion derived from fasting samples). RESULTS There was a significant negative correlation between HOMA-IR and S-i (r = -0.89, r = -0.90, and r = -0.81, P < 0.01) and a significant positive correlation between QUICKI and S-i (r = 0.89, r = 0.90, and r = 0.81, P < 0.01) at each time point. There was a significant positive correlation between FGIR and S-i (r = 0.91, r = 0.91, and r = 0.82, P < 0.01) and a significant negative correlation between fasting insulin and S-i (r = -90, r = -0.90, and r = -0.88, P < 0.01). HOMA-beta% was not as strongly correlated with AIR (r = 0.60, r = 0.54, and r = 0.61, P < 0.05). CONCLUSIONS HOMA-IR, QUICKI, FGIR, and fasting insulin correlate strongly with S-i assessed by the FSIVGTT in obese children and adolescents. Correlations between HOMA-β% FGIR and fasting insulin, and AIR were not as strong. Indexes derived from fasting samples are a valid tool for assessing insulin sensitivity in prepubertal and pubertal obese children.

Parameter estimation of structural commodity price models

Commodity price modeling is normally approached in terms of structural time-series models, in which the different components (states) have a financial interpretation. The parameters of these models can be estimated using maximum likelihood. This approach results in a non-linear parameter estimation problem and thus a key issue is how to obtain reliable initial estimates. In this paper, we focus on the initial parameter estimation problem for the Schwartz-Smith two-factor model commonly used in asset valuation. We propose the use of a two-step method. The first step considers a univariate model based only on the spot price and uses a transfer function model to obtain initial estimates of the fundamental parameters. The second step uses the estimates obtained in the first step to initialize a re-parameterized state-space-innovations based estimator, which includes information related to future prices. The second step refines the estimates obtained in the first step and also gives estimates of the remaining parameters in the model. This paper is part tutorial in nature and gives an introduction to aspects of commodity price modeling and the associated parameter estimation problem.

A securities market operator's use of the "please explain" price query and its impact on compliance

Market operators in New Zealand and Australia, such as the New Zealand Exchange (NZX) and the Australian Securities Exchange (ASX), have the regulatory power in their listing rules to issue queries to their market participants to explain unusual fluctuations in trading price and/or volume in the market. The operator will issue a price query where it believes that the market has not been fully informed as to price relevant information. Responsive regulation theory has informed much of the regulatory debate in securities laws in the region. Price queries map onto the lower level of the enforcement pyramid envisaged by responsive regulation and are one strategy that a market operator can use in communicating its compliance expectations to its stakeholders. The issue of a price query may be a precursor to more severe enforcement activities. The aim of this study is to investigate whether increased use of price queries by the securities market operator in New Zealand corresponded with an increase in disclosure frequency by all participating companies. The study finds that an increased use of price queries did correspond with an increase in disclosure frequency. A possible explanation for this finding is that price queries are an effective means of appealing to the factors that motivate corporations, and the individuals who control them, to comply with the law and regulatory requirements. This finding will have implications for both the NZX and the ASX as well as for regulators and policy makers generally.

Review: "Measuring and evaluating sustainability : ethics in sustainability indexes" by Sarah E. Fredericks, New York, Routledge, Routledge Studies in Sustainable Development, 2014

The concept of ‘sustainability’ has been pushed to the forefront of policy-making and politics as the world wakes up to the impacts of climate change and the effects of the rapid urbanisation and modern urban lifestyles (Yigitcanlar and Teriman 2014). Climate change and fossil fuel-based energy policy have emerged as the biggest challenges for our planet, threatening both built and natural systems with long-term consequences. However, the threats are not limited to the impacts of climate change and unsustainable energy system only – e.g., impacts of rapid urbanisation, socioeconomic crises and governance hiccups are just to name a few (Yigitcanlar 2010a). Along with these challenges, successfully coping with the enormous transformations that our cities, societies and the environment have been going through during the last few decades, and their...

Does the price of oil interact with clean energy prices in the stock market?

In this paper, we analyze the relationships among oil prices, clean energy stock prices, and technology stock prices, endogenously controlling for structural changes in the market. To this end, we apply Markov-switching vector autoregressive models to the economic system consisting of oil prices, clean energy and technology stock prices, and interest rates. The results indicate that there was a structural change in late 2007, a period in which there was a significant increase in the price of oil. In contrast to the previous studies, we find a positive relationship between oil prices and clean energy prices after structural breaks. There also appears to be a similarity in terms of the market response to both clean energy stock prices and technology stock prices. © 2013 Elsevier B.V.

Effect of Oil Price on Emissions Trading Market: VAR Analysis

In this study, we investigated the relationship of European Union carbon dioxide CO2 allowances EUAs prices and oil prices by employing a VAR analysis, Granger causality test and impulse response function. If oil price continues increasing, companies will decrease dependency on fossil fuels because of an increase in energy costs. Therefore, the price of EUAs may be affected by variations in oil prices if the greenhouse gases discharged by the consumption of alternative energy are less than that of fossil fuels. There are no previous studies that investigated these relationships. In this study, we analyzed eight types of EUAs EUA05 to EUA12 with a time series daily data set during 2005-2007 collected from a European Climate Exchange time series data set. Differentiations in these eight types were redemption period. We used the New York Mercantile Exchange light sweet crude price as an oil price. From our examination, we found that only the EUA06 and EUA07 types of EUAs Granger-cause oil prices and vice versa and other six types of EUAs do not Granger-cause oil price. These results imply that the earlier redemption period types of EUAs are more sensitive to oil price. In employing the impulse response function, the results showed that a shock to oil price has a slightly positive effect on all types of EUAs for a very short period. On the other hand, we found that a shock to price of EUA has a slightly negative effect on oil price following a positive effect in only EUA06 and EUA07 types. Therefore, these results imply that fluctuations in EUAs prices and oil prices have little effect on each other. Lastly, we did not consider the substitute energy prices in this study, so we plan to include the prices of coal and natural gas in future analyses.

Tests on price linkage between the U.S. and Japanese gold and silver futures markets

We tested the price linkage, the law of one price (LOP) condition, and the causality of the price linkage between the U.S. and Japanese gold and silver futures markets with consideration of structural breaks in the price series. The LOP condition did not hold for both the gold and silver markets when structural breaks were not considered but it sustained in some periods when it was tested for the break periods. We found from the causality test that the price linkage between the U.S. and Japanese gold and silver futures markets were led by the U.S. market.

Do socially responsible investment indexes outperform conventional indexes?

The question of whether more Socially Responsible (SR) firms outperform or underperform other conventional firms has been debated in the economic literature. In this study, using the Socially Responsible Investment (SRI) indexes and conventional stock indexes in the US, the UK and Japan, first and second moments of firm performance distributions are estimated based on the Markov Switching (MS) model. We find two distinct regimes (bear and bull) in the SRI markets as well as the stock markets for all the three countries. These regimes occur with the same timing in both types of market. No statistical difference in means and volatilities generated from the SRI indexes and conventional indexes in either region was found. Furthermore, we find strong comovements between the two indexes in both the regimes.

Price linkages in the copper futures, primary, and scrap markets

This study investigates how markets for different levels of copper purity are interrelated by testing the long-run price linkage and causalities among the copper futures, primary, copper scrap, and brass scrap markets. It is expected that copper markets that deal with high purity levels, such as the futures, primary, and copper scrap markets, have a long-run relationship. However, brass scrap markets where copper with a lower purity is traded may not have a price linkage with other copper markets. The results reveal that a long-run relationship holds between the futures, primary, and copper scrap markets but the brass scrap market does not have a long-run relationship with the other markets. From the short-run and long-run causality tests, we determine that the futures market plays an important role in transmitting price information to other copper markets while such information flow is not found for the brass scrap market.

Energy price-induced and exogenous technological change : Assessing the economic and environmental outcomes

In this paper, we distinguish between factor/output substitution and shifts in the production technology frontier. Our model includes the by-products of carbon dioxide and sulfur dioxide emissions where the function requires the simultaneous expansion of good outputs and reductions in emissions. We estimate a directional output distance function for 80 countries over the period 1971-2000 to measure the exogenous and oil price-induced technological change. On average, we find substantial oil price-induced technological progress at the world level when long-term oil prices are rising, although the growth rate is more volatile in developed countries than in developing countries. The results also show that developed countries experience higher exogenous technological progress in comparison with developing countries, and the gap between the two has increased during the period of our study.