959 resultados para CAPM zero-bet


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The health effects of environmental hazards are often examined using time series of the association between a daily response variable (e.g., death) and a daily level of exposure (e.g., temperature). Exposures are usually the average from a network of stations. This gives each station equal importance, and negates the opportunity for some stations to be better measures of exposure. We used a Bayesian hierarchical model that weighted stations using random variables between zero and one. We compared the weighted estimates to the standard model using data on health outcomes (deaths and hospital admissions) and exposures (air pollution and temperature) in Brisbane, Australia. The improvements in model fit were relatively small, and the estimated health effects of pollution were similar using either the standard or weighted estimates. Spatial weighted exposures would be probably more worthwhile when there is either greater spatial detail in the health outcome, or a greater spatial variation in exposure.

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The identification of the primary drivers of stock returns has been of great interest to both financial practitioners and academics alike for many decades. Influenced by classical financial theories such as the CAPM (Sharp, 1964; Lintner, 1965) and APT (Ross, 1976), a linear relationship is conventionally assumed between company characteristics as derived from their financial accounts and forward returns. Whilst this assumption may be a fair approximation to the underlying structural relationship, it is often adopted for the purpose of convenience. It is actually quite rare that the assumptions of distributional normality and a linear relationship are explicitly assessed in advance even though this information would help to inform the appropriate choice of modelling technique. Non-linear models have nevertheless been applied successfully to the task of stock selection in the past (Sorensen et al, 2000). However, their take-up by the investment community has been limited despite the fact that researchers in other fields have found them to be a useful way to express knowledge and aid decision-making...

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The mining environment, being complex, irregular and time varying, presents a challenging prospect for stereo vision. The objective is to produce a stereo vision sensor suited to close-range scenes consisting primarily of rocks. This sensor should be able to produce a dense depth map within real-time constraints. Speed and robustness are of foremost importance for this investigation. A number of area based matching metrics have been implemented, including the SAD, SSD, NCC, and their zero-meaned versions. The NCC and the zero meaned SAD and SSD were found to produce the disparity maps with the highest proportion of valid matches. The plain SAD and SSD were the least computationally expensive, due to all their operations taking place in integer arithmetic, however, they were extremely sensitive to radiometric distortion. Non-parametric techniques for matching, in particular, the rank and the census transform, have also been investigated. The rank and census transforms were found to be robust with respect to radiometric distortion, as well as being able to produce disparity maps with a high proportion of valid matches. An additional advantage of both the rank and the census transform is their amenability to fast hardware implementation.

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In this paper, we analyse the impact of a (small) heterogeneity of jump type on the most simple localized solutions of a 3-component FitzHugh–Nagumo-type system. We show that the heterogeneity can pin a 1-front solution, which travels with constant (non-zero) speed in the homogeneous setting, to a fixed, explicitly determined, distance from the heterogeneity. Moreover, we establish the stability of this heterogeneous pinned 1-front solution. In addition, we analyse the pinning of 1-pulse, or 2-front, solutions. The paper is concluded with simulations in which we consider the dynamics and interactions of N-front patterns in domains with M heterogeneities of jump type (N = 3, 4, M ≥ 1).

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Amongst the most prominent uses of Twitter at present is its role in the discussion of widely televised events: Twitter’s own statistics for 2011, for example, list major entertainment spectacles (the MTV Music Awards, the BET Awards) and sports matches (the UEFA Champions League final, the FIFA Women’s World Cup final) amongst the events generating the most tweets per second during the year (Twitter, 2011). User activities during such televised events constitute a specific, unique category of Twitter use, which differs clearly from the other major events which generate a high rate of tweets per second (such as crises and breaking news, from the Japanese earthquake and tsunami to the death of Steve Jobs), as preliminary research has shown. During such major media events, by contrast, Twitter is used most predominantly as a technology of fandom instead: it serves in the first place as a backchannel to television and other streaming audiovisual media, enabling users offer their own running commentary on the universally shared media text of the event broadcast as it unfolds live. Centrally, this communion of fans around the shared text is facilitated by the use of Twitter hashtags – unifying textual markers which are now often promoted to prospective audiences by the broadcasters well in advance of the live event itself. This paper examines the use of Twitter as a technology for the expression of shared fandom in the context of a major, internationally televised annual media event: the Eurovision Song Contest. It constitutes a highly publicised, highly choreographed media spectacle whose eventual outcomes are unknown ahead of time and attracts a diverse international audience. Our analysis draws on comprehensive datasets for the ‘official’ event hashtags, #eurovision, #esc, and #sbseurovision. Using innovative methods which combine qualitative and quantitative approaches to the analysis of Twitter datasets containing several hundreds of thousands, we examine overall patterns of participation to discover how audiences express their fandom throughout the event. Minute-by-minute tracking of Twitter activity during the live broadcasts enables us to identify the most resonant moments during each event; we also examine the networks of interaction between participants to detect thematically or geographically determined clusters of interaction, and to identify the most visible and influential participants in each network. Such analysis is able to provide a unique insight into the use of Twitter as a technology for fandom and for what in cultural studies research is called ‘audiencing’: the public performance of belonging to the distributed audience for a shared media event. Our work thus contributes to the examination of fandom practices led by Henry Jenkins (2006) and other scholars, and points to Twitter as an important new medium facilitating the connection and communion of such fans.

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Stronger investor interest in commodities may create closer integration with conventional asset markets. We estimate sudden and gradual changes in correlation between stocks, bonds and commodity futures returns driven by observable financial variables and time, using double smooth transition conditional correlation (DSTCC–GARCH) models. Most correlations begin the 1990s near zero but closer integration emerges around the early 2000s and reaches peaks during the recent crisis. Diversification benefits to investors across equity, bond and stock markets were significantly reduced. Increases in VIX and financial traders’ short open interest raise futures returns volatility for many commodities. Higher VIX also increases commodity returns correlation with equity returns for about half the pairs, indicating closer integration.

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YBCO wires which consist of well oriented plate-like fine grains are fabricated using a moving furnace to achieve higher mechanical strength. Melt-texturing experiments have been undertaken on YBCO wires with two different compositions: YBa1.5Cu2.9O7-x, and YBa1.8Cu3.0O7-x. Wires are extruded from a mixture of precursor powders (formed by a coprecipitation process) then textured by firing in a moving furnace. Size of secondary phases such as barium cuprate and copper oxide, and overall composition of the sample affect the orientation of the fine grains. At zero magnetic field, the YBa1.5Cu2.9O7-x wire shows the highest critical current density of 1,450 Acm-2 and 8,770 Acm-2 at 77K and 4.2K, respectively. At 1 T, critical current densities of 30 Acm-2 and 200 Acm-2, respectively, are obtained at 77K and 4.2K. Magnetisation curves are also obtained for one sample to evaluate critical current density using the Bean model. Analysis of the microstructure indicates that the starting composition of the green body significantly affects the achievement of grain alignment via melt-texturing processes.

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A new control method for battery storage to maintain acceptable voltage profile in autonomous microgrids is proposed in this article. The proposed battery control ensures that the bus voltages in the microgrid are maintained during disturbances such as load change, loss of micro-sources, or distributed generations hitting power limit. Unlike the conventional storage control based on local measurements, the proposed method is based on an advanced control technique, where the reference power is determined based on the voltage drop profile at the battery bus. An artificial neural network based controller is used to determine the reference power needed for the battery to hold the microgrid voltage within regulation limits. The pattern of drop in the local bus voltage during power imbalance is used to train the controller off-line. During normal operation, the battery floats with the local bus voltage without any power injection. The battery is charged or discharged during the transients with a high gain feedback loop. Depending on the rate of voltage fall, it is switched to power control mode to inject the reference power determined by the proposed controller. After a defined time period, the battery power injection is reduced to zero using slow reverse-droop characteristics, ensuring a slow rate of increase in power demand from the other distributed generations. The proposed control method is simulated for various operating conditions in a microgrid with both inertial and converter interfaced sources. The proposed battery control provides a quick load pick up and smooth load sharing with the other micro-sources in a disturbance. With various disturbances, maximum voltage drop over 8% with conventional energy storage is reduced within 2.5% with the proposed control method.

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Scientific and programmatic progress toward the development of a cosmic dust collection facility (CDCF) for the proposed space station is documented. Topics addressed include: trajectory sensor concepts; trajectory accuracy and orbital evolution; CDCF pointing direction; development of capture devices; analytical techniques; programmatic progress; flight opportunities; and facility development.

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This paper describes the socio-economic and environmental impacts of battery driven Auto Rickshaw at Rajshahi city in Bangladesh. Unemployment problem is one of the major problems in Bangladesh. The number of unemployed people in Bangladesh is 7 lacks. Auto Rickshaw reduces this unemployment problem near about 2%.In this thesis work various questions were asked to the Auto Rickshaw driver in the different point in the Rajshahi city. Then those data were calculated to know their socio economic condition. The average number of passenger per Auto Rickshaw was determined at various places of Rajshahi city (Talaimari mor, Hadir mor, Alupotti, Shaheb bazar zero point, Shodor Hospital mor, Fire brigade mor, CNB mor, Lakshipur mor, Bondo gate, Bornali, Panir tank, Rail gate, Rail Station, Bhodrar mor, Adorsha School mor). Air pollution is a great threat for human health. One of the major causes of the air pollution is the emission from various vehicles, which are running by the burning of the fossil fuel in different internal combustion(IC) engines. All the data’s about emission from various power plants were collected from internet. Then the amounts of emission (CO2, NOX and PM) from different power plant were calculated in terms of kg/km. The energy required by the Auto Rickshaw per km was also calculated. Then the histogram of emission from different vehicles in terms of kg/km was drawn. By analyzing the data and chart, it was found that, battery driven Auto Rickshaw increases income, social status, comfort and decreases unemployment problems.

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Background: A random QTL effects model uses a function of probabilities that two alleles in the same or in different animals at a particular genomic position are identical by descent (IBD). Estimates of such IBD probabilities and therefore, modeling and estimating QTL variances, depend on marker polymorphism, strength of linkage and linkage disequilibrium of markers and QTL, and the relatedness of animals in the pedigree. The effect of relatedness of animals in a pedigree on IBD probabilities and their characteristics was examined in a simulation study. Results: The study based on nine multi-generational family structures, similar to a pedigree structure of a real dairy population, distinguished by an increased level of inbreeding from zero to 28 % across the studied population. Highest inbreeding level in the pedigree, connected with highest relatedness, was accompanied by highest IBD probabilities of two alleles at the same locus, and by lower relative variation coefficients. Profiles of correlation coefficients of IBD probabilities along the marked chromosomal segment with those at the true QTL position were steepest when the inbreeding coefficient in the pedigree was highest. Precision of estimated QTL location increased with increasing inbreeding and pedigree relatedness. A method to assess the optimum level of inbreeding for QTL detection is proposed, depending on population parameters. Conclusions: An increased overall relationship in a QTL mapping design has positive effects on precision of QTL position estimates. But the relationship of inbreeding level and the capacity for QTL detection depending on the recombination rate of QTL and adjacent informative marker is not linear. © 2010 Freyer et al., licensee BioMed Central Ltd.

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Complex Internet attacks may come from multiple sources, and target multiple networks and technologies. Nevertheless, Collaborative Intrusion Detection Systems (CIDS) emerges as a promising solution by using information from multiple sources to gain a better understanding of objective and impact of complex Internet attacks. CIDS also help to cope with classical problems of Intrusion Detection Systems (IDS) such as zero-day attacks, high false alarm rates and architectural challenges, e. g., centralized designs exposing the Single-Point-of-Failure. Improved complexity on the other hand gives raise to new exploitation opportunities for adversaries. The contribution of this paper is twofold. We first investigate related research on CIDS to identify the common building blocks and to understand vulnerabilities of the Collaborative Intrusion Detection Framework (CIDF). Second, we focus on the problem of anonymity preservation in a decentralized intrusion detection related message exchange scheme. We use techniques from design theory to provide multi-path peer-to-peer communication scheme where the adversary can not perform better than guessing randomly the originator of an alert message.

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Theoretical foundations of higher order spectral analysis are revisited to examine the use of time-varying bicoherence on non-stationary signals using a classical short-time Fourier approach. A methodology is developed to apply this to evoked EEG responses where a stimulus-locked time reference is available. Short-time windowed ensembles of the response at the same offset from the reference are considered as ergodic cyclostationary processes within a non-stationary random process. Bicoherence can be estimated reliably with known levels at which it is significantly different from zero and can be tracked as a function of offset from the stimulus. When this methodology is applied to multi-channel EEG, it is possible to obtain information about phase synchronization at different regions of the brain as the neural response develops. The methodology is applied to analyze evoked EEG response to flash visual stimulii to the left and right eye separately. The EEG electrode array is segmented based on bicoherence evolution with time using the mean absolute difference as a measure of dissimilarity. Segment maps confirm the importance of the occipital region in visual processing and demonstrate a link between the frontal and occipital regions during the response. Maps are constructed using bicoherence at bifrequencies that include the alpha band frequency of 8Hz as well as 4 and 20Hz. Differences are observed between responses from the left eye and the right eye, and also between subjects. The methodology shows potential as a neurological functional imaging technique that can be further developed for diagnosis and monitoring using scalp EEG which is less invasive and less expensive than magnetic resonance imaging.

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Anomaly detection compensates shortcomings of signature-based detection such as protecting against Zero-Day exploits. However, Anomaly Detection can be resource-intensive and is plagued by a high false-positive rate. In this work, we address these problems by presenting a Cooperative Intrusion Detection approach for the AIS, the Artificial Immune System, as an example for an anomaly detection approach. In particular we show, how the cooperative approach reduces the false-positive rate of the detection and how the overall detection process can be organized to account for the resource constraints of the participating devices. Evaluations are carried out with the novel network simulation environment NeSSi as well as formally with an extension to the epidemic spread model SIR

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Small-angle and ultra-small-angle neutron scattering (SANS and USANS), low-pressure adsorption (N2 and CO2), and high-pressure mercury intrusion measurements were performed on a suite of North American shale reservoir samples providing the first ever comparison of all these techniques for characterizing the complex pore structure of shales. The techniques were used to gain insight into the nature of the pore structure including pore geometry, pore size distribution and accessible versus inaccessible porosity. Reservoir samples for analysis were taken from currently-active shale gas plays including the Barnett, Marcellus, Haynesville, Eagle Ford, Woodford, Muskwa, and Duvernay shales. Low-pressure adsorption revealed strong differences in BET surface area and pore volumes for the sample suite, consistent with variability in composition of the samples. The combination of CO2 and N2 adsorption data allowed pore size distributions to be created for micro–meso–macroporosity up to a limit of �1000 Å. Pore size distributions are either uni- or multi-modal. The adsorption-derived pore size distributions for some samples are inconsistent with mercury intrusion data, likely owing to a combination of grain compression during high-pressure intrusion, and the fact that mercury intrusion yields information about pore throat rather than pore body distributions. SANS/USANS scattering data indicate a fractal geometry (power-law scattering) for a wide range of pore sizes and provide evidence that nanometer-scale spatial ordering occurs in lower mesopore–micropore range for some samples, which may be associated with inter-layer spacing in clay minerals. SANS/USANS pore radius distributions were converted to pore volume distributions for direct comparison with adsorption data. For the overlap region between the two methods, the agreement is quite good. Accessible porosity in the pore size (radius) range 5 nm–10 lm was determined for a Barnett shale sample using the contrast matching method with pressurized deuterated methane fluid. The results demonstrate that accessible porosity is pore-size dependent.