Performance of Heterogeneous Autoregressive Models of Realized Volatility: Evidence from U.S. Stock Market

This paper deals with heterogeneous autoregressive models of realized volatility (HAR-RV models) on high-frequency data of stock indices in the USA. Its aim is to capture the behavior of three groups of market participants trading on a daily, weekly and monthly basis and assess their role in predicting the daily realized volatility. The benefits of this work lies mainly in the application of heterogeneous autoregressive models of realized volatility on stock indices in the USA with a special aim to analyze an impact of the global financial crisis on applied models forecasting performance. We use three data sets, the first one from the period before the global financial crisis occurred in the years 2006-2007, the second one from the period when the global financial crisis fully hit the U.S. financial market in 2008-2009 years, and the last period was defined over 2010-2011 years. The model output indicates that estimated realized volatility in the market is very much determined by daily traders and in some cases excludes the impact of those market participants who trade on monthly basis.

Beating Phenomenon of Multi-Harmonics Defect Frequencies in a Rolling Element Bearing: Case Study from Water Pumping Station

Rolling element bearings are widely used in industry, especially where high load capacity is required. The diagnosis of their conditions is essential matter for downtime reduction and saving cost of maintenance. Therefore, an intensive analysis of frequency spectrum of their faults must be carried out in order to determine the main reason of the fault. This paper focus on a beating phenomena observed in the waveform (time domain) of a cylindrical rolling element bearing. The beating frequencies were not related to any sources nearby the machine nor any other malfunctions (unbalance, misalignment ...etc). More investigation on the spike energy and the frequency spectrum indicated a problem with races of the bearing. Multi-harmonics of the fundamental defects frequencies were observed. Two of them were close to each other in magnitude those were the source of the beating phenomena.

Feasibility Analysis Studies on New National R&D Programs in Korea

As a part of evaluation system for R&D program, the Korean government has applied feasibility analysis since 2008. Various professionals put forth a great effort in order to catch up the high degree of freedom of R&D programs, and make contributions to evolving the feasibility analysis. We analyze diverse R&D programs from various viewpoints, such as technology, policy, and Economics, integrate the separate analysis, and finally arrive at a definite result; whether a program is feasible or unfeasible. This paper describes the concept and method of the feasibility analysis as a decision making tool. The analysis unit and content of each criterion, which are key elements in a comprehensive decision making structure, are examined

Patterned Growth of ZnO Nanowire Arrays on Zinc Foil by Thermal Oxidation

A simple approach is demonstrated for growing large scale, nearly vertically aligned ZnO nanowire arrays by thermal oxidation method. To reveal effect of temperature on growth and physical properties of the ZnO nanowires, gold coated zinc substrates were annealed at 300 °C and 400 °C for 4 hours duration in air. Xray diffraction patterns of annealed samples indicated a set of well defined diffraction peaks, indexed to the wurtzite hexagonal phase of ZnO. The scanning electron microscopy studies show formation of ZnO nanowires having length of several microns and average of diameter less than 500 nm. It is found that the areal density of wires is relatively higher, when the annealing is carried out at higher temperature i.e. at 400°C. From the field emission studies, the values of the turn-on and threshold field, required to draw emission current density of 10 μA/cm2 and 100 μA/cm2 are observed to be 1.2 V/μm and 1.7 V/μm for the samples annealed at 300 °C and 2.9 V/μm and 3.7 V/μm for that annealed at 400 °C, respectively. The field emission current stability, investigated over duration of more than 2 hours at the preset value of 1 μA, is found to be fairly good in both cases. The simplicity of the synthesis route coupled with the promising field emission properties offer unprecedented advantage for the use of ZnO field emitters for high current density applications.

Some Properties of Superfuzzy Subset of a Fuzzy Subset

In this paper, we define permutable and mutually permutable fuzzy subgroups of a group. Then we study their relation with permutable and mutually permutable subgroups of a group. Also we study some properties of fuzzy quasinormal subgroup. We define superfuzzy subset of a fuzzy subset and we study some properties of superfuzzy subset of a fuzzy subset.

Inferences on Compound Rayleigh Parameters with Progressively Type-II Censored Samples

This paper considers inference under progressive type II censoring with a compound Rayleigh failure time distribution. The maximum likelihood (ML), and Bayes methods are used for estimating the unknown parameters as well as some lifetime parameters, namely reliability and hazard functions. We obtained Bayes estimators using the conjugate priors for two shape and scale parameters. When the two parameters are unknown, the closed-form expressions of the Bayes estimators cannot be obtained. We use Lindley.s approximation to compute the Bayes estimates. Another Bayes estimator has been obtained based on continuous-discrete joint prior for the unknown parameters. An example with the real data is discussed to illustrate the proposed method. Finally, we made comparisons between these estimators and the maximum likelihood estimators using a Monte Carlo simulation study.

A Numerical Strategy to Design Maneuverable Micro-Biomedical Swimming Robots Based on Biomimetic Flagellar Propulsion

Medical applications are among the most impactful areas of microrobotics. The ultimate goal of medical microrobots is to reach currently inaccessible areas of the human body and carry out a host of complex operations such as minimally invasive surgery (MIS), highly localized drug delivery, and screening for diseases at their very early stages. Miniature, safe and efficient propulsion systems hold the key to maturing this technology but they pose significant challenges. A new type of propulsion developed recently, uses multi-flagella architecture inspired by the motility mechanism of prokaryotic microorganisms. There is a lack of efficient methods for designing this type of propulsion system. The goal of this paper is to overcome the lack and this way, a numerical strategy is proposed to design multi-flagella propulsion systems. The strategy is based on the implementation of the regularized stokeslet and rotlet theory, RFT theory and new approach of “local corrected velocity". The effects of shape parameters and angular velocities of each flagellum on overall flow field and on the robot net forces and moments are considered. Then a multi-layer perceptron artificial neural network is designed and employed to adjust the angular velocities of the motors for propulsion control. The proposed method applied successfully on a sample configuration and useful demonstrative results is obtained.

Efficiency of Post-Tensioning Method for Seismic Retrofitting of Pre-Cast Cylindrical Concrete Reservoirs

Cylindrical concrete reservoirs are appropriate choice for storing liquids as water, oil and etc. By using of the pre-cast concrete reservoirs instead of the in-situ constructed reservoirs, the speed and precision of the construction would considerably increase. In this construction method, wall and roof panels would make in factory with high quality materials and precise controlling. Then, pre-cast wall and roof panels would carry out to the construction site for assembling. This method has a few faults such as: the existing weeks in connection of wall panels together and wall panels to foundation. Therefore, these have to be resisted under applied loads such as seismic load. One of the innovative methods which was successfully applied for seismic retrofitting of numerous pre-cast cylindrical water reservoirs in New Zealand, using of the high tensile cables around the reservoirs and post-tensioning them. In this paper, analytical modeling of wall and roof panels and post-tensioned cables are carried out with finite element method and the effect of height to diameter ratio, post-tensioning force value, liquid level in reservoir, installing position of tendons on seismic response of reservoirs are investigated.

The Experimental Study of the Effect of Flow Pattern Geometry on Performance of Micro Proton Exchange Membrane Fuel Cell

In this research, the flow pattern influence on performance of a micro PEMFC was investigated experimentally. The investigation focused on the impacts of bend angels and rib/channel dimensions of serpentine flow channel pattern on the performance and investigated how they improve the performance. The fuel cell employed for these experiments was a micro single PEMFC with a membrane of 1.44 cm2 Nafion NRE-212. The results show that 60° and 120° bend angles can provide the better performances at 20 and 40 sccm inlet flow rates comparing to that the conventional design. Additionally, wider channel with narrower rib spacing gives better performance. These results may be applied to develop universal heuristics for the design of flow pattern of micro PEMFC.

A new Heuristic Algorithm for the Dynamic Facility Layout Problem with Budget Constraint

In this research, we have developed a new efficient heuristic algorithm for the dynamic facility layout problem with budget constraint (DFLPB). This heuristic algorithm combines two mathematical programming methods such as discrete event simulation and linear integer programming (IP) to obtain a near optimum solution. In the proposed algorithm, the non-linear model of the DFLP has been changed to a pure integer programming (PIP) model. Then, the optimal solution of the PIP model has been used in a simulation model that has been designed in a similar manner as the DFLP for determining the probability of assigning a facility to a location. After a sufficient number of runs, the simulation model obtains near optimum solutions. Finally, to verify the performance of the algorithm, several test problems have been solved. The results show that the proposed algorithm is more efficient in terms of speed and accuracy than other heuristic algorithms presented in previous works found in the literature.

A Two-Channel Secure Communication Using Fractional Chaotic Systems

In this paper, a two-channel secure communication using fractional chaotic systems is presented. Conditions for chaos synchronization have been investigated theoretically by using Laplace transform. To illustrate the effectiveness of the proposed scheme, a numerical example is presented. The keys, key space, key selection rules and sensitivity to keys are discussed in detail. Results show that the original plaintexts have been well masked in the ciphertexts yet recovered faithfully and efficiently by the present schemes.

XML Data Management in Compressed Relational Database

XML is an important standard of data exchange and representation. As a mature database system, using relational database to support XML data may bring some advantages. But storing XML in relational database has obvious redundancy that wastes disk space, bandwidth and disk I/O when querying XML data. For the efficiency of storage and query XML, it is necessary to use compressed XML data in relational database. In this paper, a compressed relational database technology supporting XML data is presented. Original relational storage structure is adaptive to XPath query process. The compression method keeps this feature. Besides traditional relational database techniques, additional query process technologies on compressed relations and for special structure for XML are presented. In this paper, technologies for XQuery process in compressed relational database are presented..

Assessment the Effect of Setback in Height of Frame on Reinforcement Structures

Ambiguities in effects of earthquake on various structures in all earthquake codes would necessitate more study and research concerning influential factors on dynamic behavior. Previous studies which were done on different features in different buildings play a major role in the type of response a structure makes to lateral vibrations. Diagnosing each of these irregularities can help structure designers in choosing appropriate setbacks for decreasing possible damages. Therefore vertical setback is one of the irregularity factors in the height of the building where can be seen in skyscrapers and hotels. Previous researches reveal notable changes in the place of these setbacks showing dynamic response of the structure. Consequently analyzing 48 models of concrete frames for 3, 6 and 9 stories heights with three different bays in general shape of a surface decline by height have been constructed in ETABS2000 software, and then the shape effect of each and every one of these frames in period scale has been discussed. The result of this study reveals that not only mass, stiffness and height but also shape of the frame is influential.

A Collusion-Resistant Distributed Signature Delegation Based on Anonymous Mobile Agent

This paper presents a novel method that allows an agent host to delegate its signing power to an anonymous mobile agent in such away that the mobile agent does not reveal any information about its host-s identity and, at the same time, can be authenticated by the service host, hence, ensuring fairness of service provision. The solution introduces a verification server to verify the signature generated by the mobile agent in such a way that even if colluding with the service host, both parties will not get more information than what they already have. The solution incorporates three methods: Agent Signature Key Generation method, Agent Signature Generation method, Agent Signature Verification method. The most notable feature of the solution is that, in addition to allowing secure and anonymous signature delegation, it enables tracking of malicious mobile agents when a service host is attacked. The security properties of the proposed solution are analyzed, and the solution is compared with the most related work.

The Effect of Board Composition and Ownership Concentration on Earnings Management: Evidence from IRAN

The role of corporate governance is to reduce the divergence of interests between shareholders and managers. The role of corporate governance is more useful when managers have an incentive to deviate from shareholders- interests. One example of management-s deviation from shareholders- interests is the management of earnings through the use of accounting accruals. This paper examines the association between corporate governance internal mechanisms ownership concentration, board independence, the existence of CEO-Chairman duality and earnings management. Firm size and leverage are control variables. The population used in this study comprises firms listed on the Tehran Stock Exchange (TSE) between 2004 and 2008, the sample comprises 196 firms. Panel Data method is employed as technique to estimate the model. We find that there is negative significant association between ownership concentration and board independence manage earnings with earnings management, there is negative significant association between the existence of CEO-Chairman duality and earnings management. This study also found a positive significant association between control variable (firm size and leverage) and earnings management.

Mass Transfer Modeling of Nitrate in an Ion Exchange Selective Resin

The rate of nitrate adsorption by a nitrate selective ion exchange resin was investigated in a well-stirred batch experiments. The kinetic experimental data were simulated with diffusion models including external mass transfer, particle diffusion and chemical adsorption. Particle pore volume diffusion and particle surface diffusion were taken into consideration separately and simultaneously in the modeling. The model equations were solved numerically using the Crank-Nicholson scheme. An optimization technique was employed to optimize the model parameters. All nitrate concentration decay data were well described with the all diffusion models. The results indicated that the kinetic process is initially controlled by external mass transfer and then by particle diffusion. The external mass transfer coefficient and the coefficients of pore volume diffusion and surface diffusion in all experiments were close to each other with the average value of 8.3×10-3 cm/S for external mass transfer coefficient. In addition, the models are more sensitive to the mass transfer coefficient in comparison with particle diffusion. Moreover, it seems that surface diffusion is the dominant particle diffusion in comparison with pore volume diffusion.

Wireless Sensor Networks:Delay Guarentee and Energy Efficient MAC Protocols

Wireless sensor networks is an emerging technology that serves as environment monitors in many applications. Yet these miniatures suffer from constrained resources in terms of computation capabilities and energy resources. Limited energy resource in these nodes demands an efficient consumption of that resource either by developing the modules itself or by providing an efficient communication protocols. This paper presents a comprehensive summarization and a comparative study of the available MAC protocols proposed for Wireless Sensor Networks showing their capabilities and efficiency in terms of energy consumption and delay guarantee.

Reduction of Emissions of Nitrogen Oxides from Traffic

The value of emission factor was calculated in the older type of Diesel engine operating on an engine testing bench and then compared with the parameters monitored under similar conditions when the EnviroxTM additive was applied. It has been found out that the additive based on CeO2 nanoparticles reduces emission of NOx. The dependencies of NOx emissions on reduced torque, engine power and revolutions have been observed as well.

Classification of Initial Stripe Height Patterns using Radial Basis Function Neural Network for Proportional Gain Prediction

This paper aims to improve a fine lapping process of hard disk drive (HDD) lapping machines by removing materials from each slider together with controlling the strip height (SH) variation to minimum value. The standard deviation is the key parameter to evaluate the strip height variation, hence it is minimized. In this paper, a design of experiment (DOE) with factorial analysis by twoway analysis of variance (ANOVA) is adopted to obtain a statistically information. The statistics results reveal that initial stripe height patterns affect the final SH variation. Therefore, initial SH classification using a radial basis function neural network is implemented to achieve the proportional gain prediction.

Evolutionary Algorithms for the Multiobjective Shortest Path Problem

This paper presents an overview of the multiobjective shortest path problem (MSPP) and a review of essential and recent issues regarding the methods to its solution. The paper further explores a multiobjective evolutionary algorithm as applied to the MSPP and describes its behavior in terms of diversity of solutions, computational complexity, and optimality of solutions. Results show that the evolutionary algorithm can find diverse solutions to the MSPP in polynomial time (based on several network instances) and can be an alternative when other methods are trapped by the tractability problem.