Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

Portfolio-optimization models for small investors

Since 2010, the client base of online-trading service providers has grown significantly. Such companies enable small investors to access the stock market at advantageous rates. Because small investors buy and sell stocks in moderate amounts, they should consider fixed transaction costs, integral transaction units, and dividends when selecting their portfolio. In this paper, we consider the small investor’s problem of investing capital in stocks in a way that maximizes the expected portfolio return and guarantees that the portfolio risk does not exceed a prescribed risk level. Portfolio-optimization models known from the literature are in general designed for institutional investors and do not consider the specific constraints of small investors. We therefore extend four well-known portfolio-optimization models to make them applicable for small investors. We consider one nonlinear model that uses variance as a risk measure and three linear models that use the mean absolute deviation from the portfolio return, the maximum loss, and the conditional value-at-risk as risk measures. We extend all models to consider piecewise-constant transaction costs, integral transaction units, and dividends. In an out-of-sample experiment based on Swiss stock-market data and the cost structure of the online-trading service provider Swissquote, we apply both the basic models and the extended models; the former represent the perspective of an institutional investor, and the latter the perspective of a small investor. The basic models compute portfolios that yield on average a slightly higher return than the portfolios computed with the extended models. However, all generated portfolios yield on average a higher return than the Swiss performance index. There are considerable differences between the four risk measures with respect to the mean realized portfolio return and the standard deviation of the realized portfolio return.

Dynamic response of hydro power plants for providing secondary regulation reserves considering elastic water column effects

In this paper, the dynamic response of a hydro power plant for providing secondary regulation reserve is studied in detail. Special emphasis is given to the elastic water column effects both in the penstock and the tailrace tunnel. For this purpose, a nonlinear model based on the analogy between mass and momentum conservation equations of a water conduit and those of wave propagation in transmission lines is used. The influence of the plant configuration and design parameters on the fulfilment of the Spanish Electrical System Operator requirements is analysed

A Coreference Service for Enterprise Application Integration using Linked Data

The use of semantic and Linked Data technologies for Enterprise Application Integration (EAI) is increasing in recent years. Linked Data and Semantic Web technologies such as the Resource Description Framework (RDF) data model provide several key advantages over the current de-facto Web Service and XML based integration approaches. The flexibility provided by representing the data in a more versatile RDF model using ontologies enables avoiding complex schema transformations and makes data more accessible using Web standards, preventing the formation of data silos. These three benefits represent an edge for Linked Data-based EAI. However, work still has to be performed so that these technologies can cope with the particularities of the EAI scenarios in different terms, such as data control, ownership, consistency, or accuracy. The first part of the paper provides an introduction to Enterprise Application Integration using Linked Data and the requirements imposed by EAI to Linked Data technologies focusing on one of the problems that arise in this scenario, the coreference problem, and presents a coreference service that supports the use of Linked Data in EAI systems. The proposed solution introduces the use of a context that aggregates a set of related identities and mappings from the identities to different resources that reside in distinct applications and provide different views or aspects of the same entity. A detailed architecture of the Coreference Service is presented explaining how it can be used to manage the contexts, identities, resources, and applications which they relate to. The paper shows how the proposed service can be utilized in an EAI scenario using an example involving a dashboard that integrates data from different systems and the proposed workflow for registering and resolving identities. As most enterprise applications are driven by business processes and involve legacy data, the proposed approach can be easily incorporated into enterprise applications.

The influence of the outer bath in the dynamics of axisymmetric liquid bridges

The main effects on the dynamics of a liquid bridge due to the presence of an outer liquid, as occur in experiments using the Plateau-tank technique, are considered. The one-dimensional nonlinear model developed here allows us to perform the computation of both breaking processes and oscillatory motions of slender liquid bridges, although in this paper only the results concerning breaking processes are reported. Additionally,the oscillatory motions are studied both experimentally and by using a new linear model. Results from both sources show good agreement

Огляд наукових досліджень в галузі вивчення напружено-деформованого стану трубобетонних конструкцій

The paper presents an analytical review of the literature, which reflects the results of national and foreign scientific researches aimed to studying the features of the composition and dosage of components of self compacting concrete as one of the most promising aggregate for modern composite structures. In addition, the results of numerical and experimental researches of stress-strain state of composite structures (concrete-filled tubes) under the influence of various power factors, have been considered. The description and features of existing analytical methods for the determination of the bearing capacity of the considered structures under compression and bendings, have been given. The analysis of deformation model of confined concrete in a composition of the composite structure, as well as non-linear models of steel works with their distinctive features, has been carried out. The main approaches to the finite element modeling of composite structures have been determined.

Evaluation of different models to describe egg and pupal development of Xyleborus fornicatus Eichh. (Coleoptera: Scolytidae), the shot-hole borer of tea in Sri Lanka

Abstract Development data of eggs and pupae of Xyleborus fornicatus Eichh. (Coleoptera: Scolytidae), the shot-hole borer of tea in Sri Lanka, at constant temperatures were used to evaluate a linear and seven nonlinear models for insect development. Model evaluation was based on fit to data (residual sum of squares and coefficient of determination or coefficient of nonlinear regression), number of measurable parameters, the biological value of the fitted coefficients and accuracy in the estimation of thresholds. Of the nonlinear models, the Lactin model fitted experimental data well and along with the linear model, can be used to describe the temperature-dependent development of this species.

Third-derivative filters predict edge locations in spatial vision

Edge detection is crucial in visual processing. Previous computational and psychophysical models have often used peaks in the gradient or zero-crossings in the 2nd derivative to signal edges. We tested these approaches using a stimulus that has no such features. Its luminance profile was a triangle wave, blurred by a rectangular function. Subjects marked the position and polarity of perceived edges. For all blur widths tested, observers marked edges at or near 3rd derivative maxima, even though these were not 1st derivative maxima or 2nd derivative zero-crossings, at any scale. These results are predicted by a new nonlinear model based on 3rd derivative filtering. As a critical test, we added a ramp of variable slope to the blurred triangle-wave luminance profile. The ramp has no effect on the (linear) 2nd or higher derivatives, but the nonlinear model predicts a shift from seeing two edges to seeing one edge as the ramp gradient increases. Results of two experiments confirmed such a shift, thus supporting the new model. [Supported by the Engineering and Physical Sciences Research Council].

Contrast discrimination with simultaneous monocular and dichoptic masks

In experiments reported elsewhere at this conference, we have revealed two striking results concerning binocular interactions in a masking paradigm. First, at low mask contrasts, a dichoptic masking grating produces a small facilitatory effect on the detection of a similar test grating. Second, the psychometric slope for dichoptic masking starts high (Weibull ß~4) at detection threshold, becomes low (ß~1.2) in the facilitatory region, and then unusually steep at high mask contrasts (ß~5.5). Neither of these results is consistent with Legge's (1984 Vision Research 24 385 - 394) model of binocular summation, but they are predicted by a two-stage gain control model in which interocular suppression precedes binocular summation. Here, we pose a further challenge for this model by using a 'twin-mask' paradigm (cf Foley, 1994 Journal of the Optical Society of America A 11 1710 - 1719). In 2AFC experiments, observers detected a patch of grating (1 cycle deg-1, 200 ms) presented to one eye in the presence of a pedestal in the same eye and a spatially identical mask in the other eye. The pedestal and mask contrasts varied independently, producing a two-dimensional masking space in which the orthogonal axes (10X10 contrasts) represent conventional dichoptic and monocular masking. The resulting surface (100 thresholds) confirmed and extended the observations above, and fixed the six parameters in the model, which fitted the data well. With no adjustment of parameters, the model described performance in a further experiment where mask and test were presented to both eyes. Moreover, in both model and data, binocular summation was greater than a factor of v2 at detection threshold. We conclude that this two-stage nonlinear model, with interocular suppression, gives a good account of early binocular processes in the perception of contrast. [Supported by EPSRC Grant Reference: GR/S74515/01]

Forecasting the UK/US exchange rate with divisia monetary models and neural networks

This paper compares the UK/US exchange rate forecasting performance of linear and nonlinear models based on monetary fundamentals, to a random walk (RW) model. Structural breaks are identified and taken into account. The exchange rate forecasting framework is also used for assessing the relative merits of the official Simple Sum and the weighted Divisia measures of money. Overall, there are four main findings. First, the majority of the models with fundamentals are able to beat the RW model in forecasting the UK/US exchange rate. Second, the most accurate forecasts of the UK/US exchange rate are obtained with a nonlinear model. Third, taking into account structural breaks reveals that the Divisia aggregate performs better than its Simple Sum counterpart. Finally, Divisia-based models provide more accurate forecasts than Simple Sum-based models provided they are constructed within a nonlinear framework.

Quantifying the effects of temperature and concentration on variable-density flow in numerical modeling of groundwater systems: Implications for predictive uncertainty and data collection

Groundwater systems of different densities are often mathematically modeled to understand and predict environmental behavior such as seawater intrusion or submarine groundwater discharge. Additional data collection may be justified if it will cost-effectively aid in reducing the uncertainty of a model's prediction. The collection of salinity, as well as, temperature data could aid in reducing predictive uncertainty in a variable-density model. However, before numerical models can be created, rigorous testing of the modeling code needs to be completed. This research documents the benchmark testing of a new modeling code, SEAWAT Version 4. The benchmark problems include various combinations of density-dependent flow resulting from variations in concentration and temperature. The verified code, SEAWAT, was then applied to two different hydrological analyses to explore the capacity of a variable-density model to guide data collection. ^ The first analysis tested a linear method to guide data collection by quantifying the contribution of different data types and locations toward reducing predictive uncertainty in a nonlinear variable-density flow and transport model. The relative contributions of temperature and concentration measurements, at different locations within a simulated carbonate platform, for predicting movement of the saltwater interface were assessed. Results from the method showed that concentration data had greater worth than temperature data in reducing predictive uncertainty in this case. Results also indicated that a linear method could be used to quantify data worth in a nonlinear model. ^ The second hydrological analysis utilized a model to identify the transient response of the salinity, temperature, age, and amount of submarine groundwater discharge to changes in tidal ocean stage, seasonal temperature variations, and different types of geology. The model was compared to multiple kinds of data to (1) calibrate and verify the model, and (2) explore the potential for the model to be used to guide the collection of data using techniques such as electromagnetic resistivity, thermal imagery, and seepage meters. Results indicated that the model can be used to give insight to submarine groundwater discharge and be used to guide data collection. ^

Advanced control of managed pressure drilling

Automation of managed pressure drilling (MPD) enhances the safety and increases efficiency of drilling and that drives the development of controllers and observers for MPD. The objective is to maintain the bottom hole pressure (BHP) within the pressure window formed by the reservoir pressure and fracture pressure and also to reject kicks. Practical MPD automation solutions must address the nonlinearities and uncertainties caused by the variations in mud flow rate, choke opening, friction factor, mud density, etc. It is also desired that if pressure constraints are violated the controller must take appropriate actions to reject the ensuing kick. The objectives are addressed by developing two controllers: a gain switching robust controller and a nonlinear model predictive controller (NMPC). The robust gain switching controller is designed using H1 loop shaping technique, which was implemented using high gain bumpless transfer and 2D look up table. Six candidate controllers were designed in such a way they preserve robustness and performance for different choke openings and flow rates. It is demonstrated that uniform performance is maintained under different operating conditions and the controllers are able to reject kicks using pressure control and maintain BHP during drill pipe extension. The NMPC was designed to regulate the BHP and contain the outlet flow rate within certain tunable threshold. The important feature of that controller is that it can reject kicks without requiring any switching and thus there is no scope for shattering due to switching between pressure and flow control. That is achieved by exploiting the constraint handling capability of NMPC. Active set method was used for computing control inputs. It is demonstrated that NMPC is able to contain kicks and maintain BHP during drill pipe extension.

Machine learning and data decompositions for complex networked dynamical systems

Thesis (Ph.D.)--University of Washington, 2016-08

MODELING OF TRANSFER PATH FOR DETERMINATION OF COMBUSTION AND NOISE METRICS ON DIESEL ENGINES

Determination of combustion metrics for a diesel engine has the potential of providing feedback for closed-loop combustion phasing control to meet current and upcoming emission and fuel consumption regulations. This thesis focused on the estimation of combustion metrics including start of combustion (SOC), crank angle location of 50% cumulative heat release (CA50), peak pressure crank angle location (PPCL), and peak pressure amplitude (PPA), peak apparent heat release rate crank angle location (PACL), mean absolute pressure error (MAPE), and peak apparent heat release rate amplitude (PAA). In-cylinder pressure has been used in the laboratory as the primary mechanism for characterization of combustion rates and more recently in-cylinder pressure has been used in series production vehicles for feedback control. However, the intrusive measurement with the in-cylinder pressure sensor is expensive and requires special mounting process and engine structure modification. As an alternative method, this work investigated block mounted accelerometers to estimate combustion metrics in a 9L I6 diesel engine. So the transfer path between the accelerometer signal and the in-cylinder pressure signal needs to be modeled. Depending on the transfer path, the in-cylinder pressure signal and the combustion metrics can be accurately estimated - recovered from accelerometer signals. The method and applicability for determining the transfer path is critical in utilizing an accelerometer(s) for feedback. Single-input single-output (SISO) frequency response function (FRF) is the most common transfer path model; however, it is shown here to have low robustness for varying engine operating conditions. This thesis examines mechanisms to improve the robustness of FRF for combustion metrics estimation. First, an adaptation process based on the particle swarm optimization algorithm was developed and added to the single-input single-output model. Second, a multiple-input single-output (MISO) FRF model coupled with principal component analysis and an offset compensation process was investigated and applied. Improvement of the FRF robustness was achieved based on these two approaches. Furthermore a neural network as a nonlinear model of the transfer path between the accelerometer signal and the apparent heat release rate was also investigated. Transfer path between the acoustical emissions and the in-cylinder pressure signal was also investigated in this dissertation on a high pressure common rail (HPCR) 1.9L TDI diesel engine. The acoustical emissions are an important factor in the powertrain development process. In this part of the research a transfer path was developed between the two and then used to predict the engine noise level with the measured in-cylinder pressure as the input. Three methods for transfer path modeling were applied and the method based on the cepstral smoothing technique led to the most accurate results with averaged estimation errors of 2 dBA and a root mean square error of 1.5dBA. Finally, a linear model for engine noise level estimation was proposed with the in-cylinder pressure signal and the engine speed as components.

Commande prédictive non linéaire d’un séchoir à lit fluidisé pour granules pharmaceutiques

Avec la disponibilité de capteurs fiables de teneur en eau exploitant la spectroscopie proche infrarouge (NIR pour near-infrared) et les outils chimiométriques, il est maintenant possible d’appliquer des stratégies de commande en ligne sur plusieurs procédés de séchage dans l’industrie pharmaceutique. Dans cet ouvrage, le séchage de granules pharmaceutiques avec un séchoir à lit fluidisé discontinu (FBD pour fluidized bed dryer) de taille pilote est étudié à l’aide d’un capteur d’humidité spectroscopique. Des modifications électriques sont d’abord effectuées sur le séchoir instrumenté afin d’acheminer les signaux mesurés et manipulés à un périphérique d’acquisition. La conception d’une interface homme-machine permet ensuite de contrôler directement le séchoir à l’aide d’un ordinateur portable. Par la suite, un algorithme de commande prédictive (NMPC pour nonlinear model predictive control), basée sur un modèle phénoménologique consolidé du FBD, est exécuté en boucle sur ce même ordinateur. L’objectif est d’atteindre une consigne précise de teneur en eau en fin de séchage tout en contraignant la température des particules ainsi qu’en diminuant le temps de lot. De plus, la consommation énergétique du FBD est explicitement incluse dans la fonction objectif du NMPC. En comparant à une technique d’opération typique en industrie (principalement en boucle ouverte), il est démontré que le temps de séchage et la consommation énergétique peuvent être efficacement gérés sur le procédé pilote tout en limitant plusieurs problèmes d’opération comme le sous-séchage, le surséchage ou le surchauffage des granules.