Parameterizing Unconditional Skewness in Models for Financial Time Series

In this paper we consider the third-moment structure of a class of time series models. It is often argued that the marginal distribution of financial time series such as returns is skewed. Therefore it is of importance to know what properties a model should possess if it is to accommodate unconditional skewness. We consider modeling the unconditional mean and variance using models that respond nonlinearly or asymmetrically to shocks. We investigate the implications of these models on the third-moment structure of the marginal distribution as well as conditions under which the unconditional distribution exhibits skewness and nonzero third-order autocovariance structure. In this respect, an asymmetric or nonlinear specification of the conditional mean is found to be of greater importance than the properties of the conditional variance. Several examples are discussed and, whenever possible, explicit analytical expressions provided for all third-order moments and cross-moments. Finally, we introduce a new tool, the shock impact curve, for investigating the impact of shocks on the conditional mean squared error of return series.

Modeling chickpea growth and development: Nitrogen accumulation and use

Quantitative information regarding nitrogen (N) accumulation and its distribution to leaves, stems and grains under varying environmental and growth conditions are limited for chickpea (Cicer arietinum L.). The information is required for the development of crop growth models and also for assessment of the contribution of chickpea to N balances in cropping systems. Accordingly, these processes were quantified in chickpea under different environmental and growth conditions (still without water or N deficit) using four field experiments and 1325 N measurements. N concentration ([N]) in green leaves was 50 mg g-1 up to beginning of seed growth, and then it declined linearly to 30 mg g-1 at the end of seed growth phase. [N] in senesced leaves was 12 mg g-1. Stem [N] decreased from 30 mg g-1 early in the season to 8 mg g-1 in senesced stems at maturity. Pod [N] was constant (35 mg g-1), but grain [N] decreased from 60 mg g-1 early in seed growth to 43 mg g-1 at maturity. Total N accumulation ranged between 9 and 30 g m-2. N accumulation was closely linked to biomass accumulation until maturity. N accumulation efficiency (N accumulation relative to biomass accumulation) was 0.033 g g-1 where total biomass was -2 and during early growth period, but it decreased to 0.0176 g g-1 during the later growth period when total biomass was >218 g m-2. During vegetative growth (up to first-pod), 58% of N was partitioned to leaves and 42% to stems. Depending on growth conditions, 37-72% of leaf N and 12-56% of stem N was remobilized to the grains. The parameter estimates and functions obtained in this study can be used in chickpea simulation models to simulate N accumulation and distribution.

Modeling growth of hydrogen bubbles in aluminum castings using the level-set method

A new approach is proposed to solve for the growth as well as the movement of hydrogen bubbles during solidification in aluminum castings. A level-set methodology has been adopted to handle this multiphase phenomenon. A microscale domain is considered and the growth and movement of hydrogen bubbles in this domain has been studied. The growth characteristics of hydrogen bubbles have been evaluated under free growth conditions in a melt having a hydrogen input caused b solidification occurring around the microdomain.

Business process performance mining with staged process flows

Existing process mining techniques provide summary views of the overall process performance over a period of time, allowing analysts to identify bottlenecks and associated performance issues. However, these tools are not de- signed to help analysts understand how bottlenecks form and dissolve over time nor how the formation and dissolution of bottlenecks – and associated fluctua- tions in demand and capacity – affect the overall process performance. This paper presents an approach to analyze the evolution of process performance via a notion of Staged Process Flow (SPF). An SPF abstracts a business process as a series of queues corresponding to stages. The paper defines a number of stage character- istics and visualizations that collectively allow process performance evolution to be analyzed from multiple perspectives. The approach has been implemented in the ProM process mining framework. The paper demonstrates the advantages of the SPF approach over state-of-the-art process performance mining tools using two real-life event logs publicly available.

Constitutive modeling of shape memory alloy wire with non-local rate kinetics

A constitutive modeling approach for shape memory alloy (SMA) wire by taking into account the microstructural phase inhomogeneity and the associated solid-solid phase transformation kinetics is reported in this paper. The approach is applicable to general thermomechanical loading. Characterization of various scales in the non-local rate sensitive kinetics is the main focus of this paper. Design of SMA materials and actuators not only involve an optimal exploitation of the hysteresis loops during loading-unloading, but also accounts for fatigue and training cycle identifications. For a successful design of SMA integrated actuator systems, it is essential to include the microstructural inhomogeneity effects and the loading rate dependence of the martensitic evolution, since these factors play predominant role in fatigue. In the proposed formulation, the evolution of new phase is assumed according to Weibull distribution. Fourier transformation and finite difference methods are applied to arrive at the analytical form of two important scaling parameters. The ratio of these scaling parameters is of the order of 10(6) for stress-free temperature-induced transformation and 10(4) for stress-induced transformation. These scaling parameters are used in order to study the effect of microstructural variation on the thermo-mechanical force and interface driving force. It is observed that the interface driving force is significant during the evolution. Increase in the slopes of the transformation start and end regions in the stress-strain hysteresis loop is observed for mechanical loading with higher rates.

Minimizing overprocessing waste in business processes via predictive activity ordering

Overprocessing waste occurs in a business process when effort is spent in a way that does not add value to the customer nor to the business. Previous studies have identied a recurrent overprocessing pattern in business processes with so-called "knockout checks", meaning activities that classify a case into "accepted" or "rejected", such that if the case is accepted it proceeds forward, while if rejected, it is cancelled and all work performed in the case is considered unnecessary. Thus, when a knockout check rejects a case, the effort spent in other (previous) checks becomes overprocessing waste. Traditional process redesign methods propose to order knockout checks according to their mean effort and rejection rate. This paper presents a more fine-grained approach where knockout checks are ordered at runtime based on predictive machine learning models. Experiments on two real-life processes show that this predictive approach outperforms traditional methods while incurring minimal runtime overhead.

Multifaceted Modelling of Complex Business Enterprises

We formalise and present a new generic multifaceted complex system approach for modelling complex business enterprises. Our method has a strong focus on integrating the various data types available in an enterprise which represent the diverse perspectives of various stakeholders. We explain the challenges faced and define a novel approach to converting diverse data types into usable Bayesian probability forms. The data types that can be integrated include historic data, survey data, and management planning data, expert knowledge and incomplete data. The structural complexities of the complex system modelling process, based on various decision contexts, are also explained along with a solution. This new application of complex system models as a management tool for decision making is demonstrated using a railway transport case study. The case study demonstrates how the new approach can be utilised to develop a customised decision support model for a specific enterprise. Various decision scenarios are also provided to illustrate the versatility of the decision model at different phases of enterprise operations such as planning and control.

SME international performance in Latin America: The role of entrepreneurial and technological capabilities

SMEs from emerging markets in Latin America are increasingly engaging in internationalization. Nevertheless, there is limited research into how these firms achieve international performance. This study proposes and tests a conceptual model that considers managerial and technology-related capabilities and their impact on international performance of SMEs. The model uses confirmatory factor analysis (CFA) to develop the underlying multi-item constructs and structural equation modeling (SEM) to test the model with data from 233 Chilean SMEs. Specifically, the model considers the role of international entrepreneurial orientation and Internet capabilities on international market performance, taking into account the mediating effect of international entrepreneurial opportunity recognition and technology-related international networks. Results show that international entrepreneurial opportunity recognition and international networks mediate the relationship between international entrepreneurial orientation and Internet marketing capabilities on SME international performance.

Complete and interpretable conformance checking of business processes

This article presents a method for checking the conformance between an event log capturing the actual execution of a business process, and a model capturing its expected or normative execution. Given a business process model and an event log, the method returns a set of statements in natural language describing the behavior allowed by the process model but not observed in the log and vice versa. The method relies on a unified representation of process models and event logs based on a well-known model of concurrency, namely event structures. Specifically, the problem of conformance checking is approached by folding the input event log into an event structure, unfolding the process model into another event structure, and comparing the two event structures via an error-correcting synchronized product. Each behavioral difference detected in the synchronized product is then verbalized as a natural language statement. An empirical evaluation shows that the proposed method scales up to real-life datasets while producing more concise and higher-level difference descriptions than state-of-the-art conformance checking methods.

Modeling dynamic demand response using Monte Carlo simulation and interval mathematics for boundary estimation

With the rapid development of various technologies and applications in smart grid implementation, demand response has attracted growing research interests because of its potentials in enhancing power grid reliability with reduced system operation costs. This paper presents a new demand response model with elastic economic dispatch in a locational marginal pricing market. It models system economic dispatch as a feedback control process, and introduces a flexible and adjustable load cost as a controlled signal to adjust demand response. Compared with the conventional “one time use” static load dispatch model, this dynamic feedback demand response model may adjust the load to a desired level in a finite number of time steps and a proof of convergence is provided. In addition, Monte Carlo simulation and boundary calculation using interval mathematics are applied for describing uncertainty of end-user's response to an independent system operator's expected dispatch. A numerical analysis based on the modified Pennsylvania-Jersey-Maryland power pool five-bus system is introduced for simulation and the results verify the effectiveness of the proposed model. System operators may use the proposed model to obtain insights in demand response processes for their decision-making regarding system load levels and operation conditions.

PMU measurement based dynamic load modeling using SVC devices in online environment

Online dynamic load modeling has become possible with the availability of Static Voltage Compensator (SVC) and Phasor Measurement Unit (PMU) devices. The power of the load response to the small random bounded voltage fluctuations caused from SVC can be measured by PMU for modelling purposes. The aim of this paper is to illustrate the capability of identifying an aggregated load model from high voltage substation level in the online environment. The induction motor is used as the main test subject since it contributes the majority of the dynamic loads. A test system representing simple electromechanical generator model serving dynamic loads through the transmission network is used to verify the proposed method. Also, dynamic load with multiple induction motors are modeled to achieve a better realistic load representation.

Gottschalk Family on porch of Kurhaus Brunig; Norderney, Germany. Business Establishments; Hotels

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Crowd lined up in the street for the going-out-of-business sale at Meyerhof am Platze Store; Hildesheim, Germany. Business Establishments; Stores

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