Estimating and forecasting generalized fractional Long memory stochastic volatility models

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the statistical properties of the new model, suggest using the spectral likelihood estimation for long memory processes, and investigate the finite sample properties via Monte Carlo experiments. We apply the model to three exchange rate return series. Overall, the results of the out-of-sample forecasts show the adequacy of the new GLMSV model.

Numerical evaluation of the vibration reduction index for structural joints

The present paper addresses the analysis of structural vibration transmission in the presence of structural joints. The problem is tackled from a numerical point of view, analyzing some scenarios by using finite element models. The numerical results obtained making use of this process are then compared with those evaluated using the EN 12354 standard vibration reduction index concept. It is shown that, even for the simplest cases, the behavior of a structural joint is complex and evidences the frequency dependence. Comparison with results obtained by empirical formulas reveals that those of the standards cannot accurately reproduce the expected behavior, and thus indicate that alternative complementary calculation procedures are required. A simple methodology to estimate the difference between numerical and standard predictions is here proposed allowing the calculation of an adaptation term that makes both approaches converge. This term was found to be solution-dependent, and thus should be evaluated for each structure.

Exact and analytic-numerical solutions of lagging models of heat transfer in a semi-infinite medium

Different non-Fourier models of heat conduction have been considered in recent years, in a growing area of applications, to model microscale and ultrafast, transient, nonequilibrium responses in heat and mass transfer. In this work, using Fourier transforms, we obtain exact solutions for different lagging models of heat conduction in a semi-infinite domain, which allow the construction of analytic-numerical solutions with prescribed accuracy. Examples of numerical computations, comparing the properties of the models considered, are presented.

Using the damage from 2010 Haiti earthquake for calibrating vulnerability models of typical structures in Port-au-Prince (Haiti)

After the 2010 Haiti earthquake, that hits the city of Port-au-Prince, capital city of Haiti, a multidisciplinary working group of specialists (seismologist, geologists, engineers and architects) from different Spanish Universities and also from Haiti, joined effort under the SISMO-HAITI project (financed by the Universidad Politecnica de Madrid), with an objective: Evaluation of seismic hazard and risk in Haiti and its application to the seismic design, urban planning, emergency and resource management. In this paper, as a first step for a structural damage estimation of future earthquakes in the country, a calibration of damage functions has been carried out by means of a two-stage procedure. After compiling a database with observed damage in the city after the earthquake, the exposure model (building stock) has been classified and through an iteratively two-step calibration process, a specific set of damage functions for the country has been proposed. Additionally, Next Generation Attenuation Models (NGA) and Vs30 models have been analysed to choose the most appropriate for the seismic risk estimation in the city. Finally in a next paper, these functions will be used to estimate a seismic risk scenario for a future earthquake.

Integration of modular process simulators under the Generalized Disjunctive Programming framework for the structural flowsheet optimization

The optimization of chemical processes where the flowsheet topology is not kept fixed is a challenging discrete-continuous optimization problem. Usually, this task has been performed through equation based models. This approach presents several problems, as tedious and complicated component properties estimation or the handling of huge problems (with thousands of equations and variables). We propose a GDP approach as an alternative to the MINLP models coupled with a flowsheet program. The novelty of this approach relies on using a commercial modular process simulator where the superstructure is drawn directly on the graphical use interface of the simulator. This methodology takes advantage of modular process simulators (specially tailored numerical methods, reliability, and robustness) and the flexibility of the GDP formulation for the modeling and solution. The optimization tool proposed is successfully applied to the synthesis of a methanol plant where different alternatives are available for the streams, equipment and process conditions.

Introduction to Coding Theory for Flow Equations of Complex Systems Models

The modeling of complex dynamic systems depends on the solution of a differential equations system. Some problems appear because we do not know the mathematical expressions of the said equations. Enough numerical data of the system variables are known. The authors, think that it is very important to establish a code between the different languages to let them codify and decodify information. Coding permits us to reduce the study of some objects to others. Mathematical expressions are used to model certain variables of the system are complex, so it is convenient to define an alphabet code determining the correspondence between these equations and words in the alphabet. In this paper the authors begin with the introduction to the coding and decoding of complex structural systems modeling.

Large scale optimization of a sour water stripping plant using surrogate models

In this work, we propose a new methodology for the large scale optimization and process integration of complex chemical processes that have been simulated using modular chemical process simulators. Units with significant numerical noise or large CPU times are substituted by surrogate models based on Kriging interpolation. Using a degree of freedom analysis, some of those units can be aggregated into a single unit to reduce the complexity of the resulting model. As a result, we solve a hybrid simulation-optimization model formed by units in the original flowsheet, Kriging models, and explicit equations. We present a case study of the optimization of a sour water stripping plant in which we simultaneously consider economics, heat integration and environmental impact using the ReCiPe indicator, which incorporates the recent advances made in Life Cycle Assessment (LCA). The optimization strategy guarantees the convergence to a local optimum inside the tolerance of the numerical noise.

Simulating Granite Emplacement and Deformation with Centrifuge Analogue Modelling

The Greater Himalayan leucogranites are a discontinuous suite of intrusions emplaced in a thickened crust during the Miocene southward ductile extrusion of the Himalayan metamorphic core. Melt-induced weakening is thought to have played a critical role in strain localization that facilitated the extrusion. Recent advancements in centrifuge analogue modelling techniques allow for the replication of a broader range of crustal deformation behaviors, enhancing our understanding of large hot orogens. Polydimethylsiloxane (PDMS) is commonly used in centrifuge experiments to model weak melt zones. Difficulties in handling PDMS had, until now, limited its emplacement in models prior to any deformation. A new modelling technique has been developed where PDMS is emplaced into models that have been subjected to some shortening. This technique aims to better understand the effects of melt on strain localization and potential decoupling between structural levels within an evolving orogenic system. Models are subjected to an early stage of shortening, followed by the introduction of PDMS, and then a final stage of shortening. Theoretical percentages of partial melt and their effect on rock strength are considered when adding a specific percentage of PDMS in each model. Due to the limited size of the models, only PDMS sheets of 3 mm thickness were used, which varied in length and width. Within undeformed packages, minimal surface and internal deformation occurred when PDMS is emplaced in the lower layer of the model, showing a vertical volume increase of ~20% within the package; whereas the emplacement of PDMS into the middle layer showed internal dragging of the middle laminations into the lower layer and a vertical volume increase ~30%. Emplacement of PDMS results in ~7% shortening for undeformed and deformed models. Deformed models undergo ~20% additional shortening after two rounds of deformation. Strain localization and decoupling between units occur in deformed models where the degree of deformation changes based on the amount of partial melt present. Surface deformation visible by the formation of a bulge, mode 1 extension cracks and varying surface strain ellipses varies depending if PDMS is present. Better control during emplacement is exhibited when PDMS is added into cooler models, resulting in reduced internal deformation within the middle layer.

La Direttiva 2008/104/CE relativa al lavoro tramite agenzia interinale: aspetti problematici e modelli di implementazione = Directive 2008/104/EC relating to temporary agency work: problematic aspects and implementation models. WP C.S.D.L.E. “Massimo D’Antona”.INT – 101/2013

The problematic gestation of the Directive on temporary agency work shows the presence of several criticalities that there are also in the national transposition in relation to the principle of equal treatment and to the mechanisms for preventing abuse during successive assignments. From a first analysis it can be said that in some EU Member States only the derogations have been implemented and not the general principle of equal treatment. At the same time, the obligation of the Member States, contained in the Directive on temporary agency work, to establish mechanisms for preventing abuse during successive assignments is crucial, especially in the light of the recent case law of the EU Court of Justice in which the Court does not apply to the temporary agency workers the protective rules of the Directive on fixed-term contracts (see C-290/12 , Della Rocca).

Regulation of European Banks and Business Models: Towards a new paradigm? CEPS Paperbacks. June 2012

Amidst talks of establishing an EU-wide banking union, the recent changes in the regulatory framework and the rethinking of the future of European banking structure, the future of EU bank regulation is inextricably linked to banks’ business models. Using a sample of over 70 banks, which overlaps with those subjected to the EBA’s 2011 stress tests, this report emphasizes the key regulatory gaps that emerge from a comprehensive analysis of the soundness and performance of bank business models and provides policy-makers with guidance to reinforce the evolving regulatory framework in European banking.

Comparing fiscal multipliers across models and countries in Europe. National Bank of Belgium Working Paper No. 278, March 2015

This paper employs fifteen dynamic macroeconomic models maintained within the European System of Central Banks to assess the size of fiscal multipliers in European countries. Using a set of common simulations, we consider transitory and permanent shocks to government expenditures and different taxes. We investigate how the baseline multipliers change when monetary policy is transitorily constrained by the zero nominal interest rate bound, certain crisis-related structural features of the economy such as the share of liquidity-constrained households change, and the endogenous fiscal rule that ensures fiscal sustainability in the long run is specified in terms of labour income taxes instead of lump-sum taxes.

Family Models of In(ter)dependence: Cultural Change and the Question of Universal Needs

I will start by discussing some aspects of Kagitcibasi’s Theory of Family Change: its current empirical status and, more importantly, its focus on universal human needs and the consequences of this focus. Family Change Theory’s focus on the universality of the basic human needs of autonomy and relatedness and its culture-level emphasis on cultural norms and family values as reflecting a culture’s capacity for fulfilling its members’ respective needs shows that the theory advocates balanced cultural norms of independence and interdependence. As a normative theory it therefore postulates the necessity of a synthetic family model of emotional interdependence as an alternative to extreme models of total independence and total interdependence. Generalizing from this I will sketch a theoretical model where a dynamic and dialectical process of the fit between individual and culture and between culture and universal human needs and related social practices is central. I will discuss this model using a recent cross-cultural project on implicit theories of self/world and primary/secondary control orientations as an example. Implications for migrating families and acculturating individuals are also discussed.

Benchmarking numerical models of brittle thrust wedges

We report quantitative results from three brittle thrust wedge experiments, comparing numerical results directly with each other and with corresponding analogue results. We first test whether the participating codes reproduce predictions from analytical critical taper theory. Eleven codes pass the stable wedge test, showing negligible internal deformation and maintaining the initial surface slope upon horizontal translation over a frictional interface. Eight codes participated in the unstable wedge test that examines the evolution of a wedge by thrust formation from a subcritical state to the critical taper geometry. The critical taper is recovered, but the models show two deformation modes characterised by either mainly forward dipping thrusts or a series of thrust pop-ups. We speculate that the two modes are caused by differences in effective basal boundary friction related to different algorithms for modelling boundary friction. The third experiment examines stacking of forward thrusts that are translated upward along a backward thrust. The results of the seven codes that run this experiment show variability in deformation style, number of thrusts, thrust dip angles and surface slope. Overall, our experiments show that numerical models run with different numerical techniques can successfully simulate laboratory brittle thrust wedge models at the cm-scale. In more detail, however, we find that it is challenging to reproduce sandbox-type setups numerically, because of frictional boundary conditions and velocity discontinuities. We recommend that future numerical-analogue comparisons use simple boundary conditions and that the numerical Earth Science community defines a plasticity test to resolve the variability in model shear zones.

Benchmarking analogue models of brittle thrust wedges

We performed a quantitative comparison of brittle thrust wedge experiments to evaluate the variability among analogue models and to appraise the reproducibility and limits of model interpretation. Fifteen analogue modeling laboratories participated in this benchmark initiative. Each laboratory received a shipment of the same type of quartz and corundum sand and all laboratories adhered to a stringent model building protocol and used the same type of foil to cover base and sidewalls of the sandbox. Sieve structure, sifting height, filling rate, and details on off-scraping of excess sand followed prescribed procedures. Our analogue benchmark shows that even for simple plane-strain experiments with prescribed stringent model construction techniques, quantitative model results show variability, most notably for surface slope, thrust spacing and number of forward and backthrusts. One of the sources of the variability in model results is related to slight variations in how sand is deposited in the sandbox. Small changes in sifting height, sifting rate, and scraping will result in slightly heterogeneous material bulk densities, which will affect the mechanical properties of the sand, and will result in lateral and vertical differences in peak and boundary friction angles, as well as cohesion values once the model is constructed. Initial variations in basal friction are inferred to play the most important role in causing model variability. Our comparison shows that the human factor plays a decisive role, and even when one modeler repeats the same experiment, quantitative model results still show variability. Our observations highlight the limits of up-scaling quantitative analogue model results to nature or for making comparisons with numerical models. The frictional behavior of sand is highly sensitive to small variations in material state or experimental set-up, and hence, it will remain difficult to scale quantitative results such as number of thrusts, thrust spacing, and pop-up width from model to nature.

Comparisons between analogue and numerical models of thrust wedge development

Analogue and finite element numerical models with frictional and viscous properties are used to model thrust wedge development. Comparison between model types yields valuable information about analogue model evolution, scaling laws and the relative strengths and limitations of the techniques. Both model types show a marked contrast in structural style between ‘frictional-viscous domains’ underlain by a thin viscous layer and purely ‘frictional domains’. Closely spaced thrusts form a narrow and highly asymmetric fold-and-thrust belt in the frictional domain, characterized by in-sequence propagation of forward thrusts. In contrast, the frictional-viscous domain shows a wide and low taper wedge and a thrust belt with a more symmetrical vergence, with both forward and back thrusts. The frictional-viscous domain numerical models show that the viscous layer initially simple shears as deformation propagates along it, while localized deformation resulting in the formation of a pop-up structure occurs in the overlying frictional layers. In both domains, thrust shear zones in the numerical model are generally steeper than the equivalent faults in the analogue model, because the finite element code uses a non-associated plasticity flow law. Nevertheless, the qualitative agreement between analogue and numerical models is encouraging. It shows that the continuum approximation used in numerical models can be used to model frictional materials, such as sand, provided caution is taken to properly scale the experiments, and some of the limitations are taken into account.