Implied Adjusted Volatility by Leland Option Pricing Models: Evidence from Australian Index Options

With the implied volatility as an important factor in financial decision-making, in particular in option pricing valuation, and also the given fact that the pricing biases of Leland option pricing models and the implied volatility structure for the options are related, this study considers examining the implied adjusted volatility smile patterns and term structures in the S&P/ASX 200 index options using the different Leland option pricing models. The examination of the implied adjusted volatility smiles and term structures in the Australian index options market covers the global financial crisis in the mid-2007. The implied adjusted volatility was found to escalate approximately triple the rate prior the crisis.

Graphic Analysis of Genotype by Environment Interaction for Maize Hybrid Yield Using Site Regression Stability Model

Selection of maize (Zea mays) hybrids with wide adaptability across diverse farming environments is important, prior to recommending them to achieve a high rate of hybrid adoption. Grain yield of 14 maize hybrids, tested in a randomized completeblock design with four replicates across 22 environments in Iran, was analyzed using site regression (SREG) stability model. The biplot technique facilitates a visual evaluation of superior genotypes, which is useful for cultivar recommendation and mega-environment identification. The objectives of this study were (i) identification of suitable hybrids with both high mean performance and high stability (ii) to determine mega-environments for maize production in Iran. Biplot analysis identifies two mega-environments in this study. The first mega-environments included KRM, KSH, MGN, DZF A, KRJ, DRB, DZF B, SHZ B, and KHM, where G10 hybrid was the best performing hybrid. The second mega-environment included ESF B, ESF A, and SHZ A, where G4 hybrid was the best hybrid. According to the ideal-hybrid biplot, G10 hybrid was better than all other hybrids, followed by the G1 and G3 hybrids. These hybrids were identified as best hybrids that have high grain yield and high yield stability. GGE biplot analysis provided a framework for identifying the target testing locations that discriminates genotypes that are high yielding and stable.

A Study on the Effect of Valve Timing on the Combustion and Emission Characteristics for a 4-cylinder PCCI Diesel Engine

PCCI engines can reduce NOx and PM emissions simultaneously without sacrificing thermal efficiency, but a low combustion temperature resulting from early fuel injection, and ignition occurring prior to TDC, can cause higher THC and CO emissions and fuel consumption. In conclusion, it was found that the PCCI combustion achieved by the 2-stage injection strategy with optimized calibration factors (e.g. EGR rate, injection pressure, swirl ratio, intake pressure, injection timing) can reduce NOx and PM emissions simultaneously. This research works are expected to provide valuable information conducive to a development of an innovative combustion engine that can fulfill upcoming stringent emission standards.

A New Approach for Prioritization of Failure Modes in Design FMEA using ANOVA

The traditional Failure Mode and Effects Analysis (FMEA) uses Risk Priority Number (RPN) to evaluate the risk level of a component or process. The RPN index is determined by calculating the product of severity, occurrence and detection indexes. The most critically debated disadvantage of this approach is that various sets of these three indexes may produce an identical value of RPN. This research paper seeks to address the drawbacks in traditional FMEA and to propose a new approach to overcome these shortcomings. The Risk Priority Code (RPC) is used to prioritize failure modes, when two or more failure modes have the same RPN. A new method is proposed to prioritize failure modes, when there is a disagreement in ranking scale for severity, occurrence and detection. An Analysis of Variance (ANOVA) is used to compare means of RPN values. SPSS (Statistical Package for the Social Sciences) statistical analysis package is used to analyze the data. The results presented are based on two case studies. It is found that the proposed new methodology/approach resolves the limitations of traditional FMEA approach.

A Study on the Differential Diagnostic Model for Newborn Hearing Loss Screening

According to the statistics, the prevalence of congenital hearing loss in Taiwan is approximately six thousandths; furthermore, one thousandths of infants have severe hearing impairment. Hearing ability during infancy has significant impact in the development of children-s oral expressions, language maturity, cognitive performance, education ability and social behaviors in the future. Although most children born with hearing impairment have sensorineural hearing loss, almost every child more or less still retains some residual hearing. If provided with a hearing aid or cochlear implant (a bionic ear) timely in addition to hearing speech training, even severely hearing-impaired children can still learn to talk. On the other hand, those who failed to be diagnosed and thus unable to begin hearing and speech rehabilitations on a timely manner might lose an important opportunity to live a complete and healthy life. Eventually, the lack of hearing and speaking ability will affect the development of both mental and physical functions, intelligence, and social adaptability. Not only will this problem result in an irreparable regret to the hearing-impaired child for the life time, but also create a heavy burden for the family and society. Therefore, it is necessary to establish a set of computer-assisted predictive model that can accurately detect and help diagnose newborn hearing loss so that early interventions can be provided timely to eliminate waste of medical resources. This study uses information from the neonatal database of the case hospital as the subjects, adopting two different analysis methods of using support vector machine (SVM) for model predictions and using logistic regression to conduct factor screening prior to model predictions in SVM to examine the results. The results indicate that prediction accuracy is as high as 96.43% when the factors are screened and selected through logistic regression. Hence, the model constructed in this study will have real help in clinical diagnosis for the physicians and actually beneficial to the early interventions of newborn hearing impairment.

The Correlation between Peer Aggression and Peer Victimization: Are Aggressors Victims Too?

To investigate the possible correlation between peer aggression and peer victimization, 148 sixth-graders were asked to respond to the Reduced Aggression and Victimization Scales (RAVS). RAVS measures the frequency of reporting aggressive behaviors or of being victimized during the previous week prior to the survey. The scales are composed of six items each. Each point represents one instance of aggression or victimization. Specifically, the Pearson Product-Moment Correlation Coefficient (PMCC) was used to determine the correlations between the scores of the sixthgraders in the two scales, both in individual items and total scores. Positive correlations were established and correlations were significant at the 0.01 levels.

An Algorithm of Finite Capacity Material Requirement Planning System for Multi-stage Assembly Flow Shop

This paper aims to develop an algorithm of finite capacity material requirement planning (FCMRP) system for a multistage assembly flow shop. The developed FCMRP system has two main stages. The first stage is to allocate operations to the first and second priority work centers and also determine the sequence of the operations on each work center. The second stage is to determine the optimal start time of each operation by using a linear programming model. Real data from a factory is used to analyze and evaluate the effectiveness of the proposed FCMRP system and also to guarantee a practical solution to the user. There are five performance measures, namely, the total tardiness, the number of tardy orders, the total earliness, the number of early orders, and the average flow-time. The proposed FCMRP system offers an adjustable solution which is a compromised solution among the conflicting performance measures. The user can adjust the weight of each performance measure to obtain the desired performance. The result shows that the combination of FCMRP NP3 and EDD outperforms other combinations in term of overall performance index. The calculation time for the proposed FCMRP system is about 10 minutes which is practical for the planners of the factory.

Using Ultrasonic and Infrared Sensors for Distance Measurement

The amplitude response of infrared (IR) sensors depends on the reflectance properties of the target. Therefore, in order to use IR sensor for measuring distances accurately, prior knowledge of the surface must be known. This paper describes the Phong Illumination Model for determining the properties of a surface and subsequently calculating the distance to the surface. The angular position of the IR sensor is computed as normal to the surface for simplifying the calculation. Ultrasonic (US) sensor can provide the initial information on distance to obtain the parameters for this method. In addition, the experimental results obtained by using LabView are discussed. More care should be taken when placing the objects from the sensors during acquiring data since the small change in angle could show very different distance than the actual one. Since stereo camera vision systems do not perform well under some environmental conditions such as plain wall, glass surfaces, or poor lighting conditions, the IR and US sensors can be used additionally to improve the overall vision systems of mobile robots.

Outlier Pulse Detection and Feature Extraction for Wrist Pulse Analysis

Wrist pulse analysis for identification of health status is found in Ancient Indian as well as Chinese literature. The preprocessing of wrist pulse is necessary to remove outlier pulses and fluctuations prior to the analysis of pulse pressure signal. This paper discusses the identification of irregular pulses present in the pulse series and intricacies associated with the extraction of time domain pulse features. An approach of Dynamic Time Warping (DTW) has been utilized for the identification of outlier pulses in the wrist pulse series. The ambiguity present in the identification of pulse features is resolved with the help of first derivative of Ensemble Average of wrist pulse series. An algorithm for detecting tidal and dicrotic notch in individual wrist pulse segment is proposed.

The Establishment of Cause-System of Poor Construction Site Safety and Priority Analysis from Different Perspectives

Construction site safety in China has aroused comprehensive concern all over the world. It is imperative to investigate the main causes of poor construction site safety. This paper divides all the causes into four aspects, namely the factors of workers, object, environment and management and sets up the accident causes element system based on Delphi Method. This is followed by the application of structural equation modeling to examine the importance of each aspect of causes from the standpoints of different roles related to the construction respectively. The results indicate that all the four aspects of factors are in need of improvement, and different roles have different ideas considering the priority of those factors. The paper has instructive significance for the practitioners to take measures to improve construction site safety in China accordingly.

A Simulated Design and Analysis of a Solar Thermal Parabolic Trough Concentrator

In recent years Malaysia has included renewable energy as an alternative fuel to help in diversifying the country-s energy reliance on oil, natural gas, coal and hydropower with biomass and solar energy gaining priority. The scope of this paper is to look at the designing procedures and analysis of a solar thermal parabolic trough concentrator by simulation utilizing meteorological data in several parts of Malaysia. Parameters which include the aperture area, the diameter of the receiver and the working fluid may be varied to optimize the design. Aperture area is determined by considering the width and the length of the concentrator whereas the geometric concentration ratio (CR) is obtained by considering the width and diameter of the receiver. Three types of working fluid are investigated. Theoretically, concentration ratios can be very high in the range of 10 to 40 000 depending on the optical elements used and continuous tracking of the sun. However, a thorough analysis is essential as discussed in this paper where optical precision and thermal analysis must be carried out to evaluate the performance of the parabolic trough concentrator as the theoretical CR is not the only factor that should be considered.

Effect of High Injection Pressure on Mixture Formation, Burning Process and Combustion Characteristics in Diesel Combustion

The mixture formation prior to the ignition process plays as a key element in the diesel combustion. Parametric studies of mixture formation and ignition process in various injection parameter has received considerable attention in potential for reducing emissions. Purpose of this study is to clarify the effects of injection pressure on mixture formation and ignition especially during ignition delay period, which have to be significantly influences throughout the combustion process and exhaust emissions. This study investigated the effects of injection pressure on diesel combustion fundamentally using rapid compression machine. The detail behavior of mixture formation during ignition delay period was investigated using the schlieren photography system with a high speed camera. This method can capture spray evaporation, spray interference, mixture formation and flame development clearly with real images. Ignition process and flame development were investigated by direct photography method using a light sensitive high-speed color digital video camera. The injection pressure and air motion are important variable that strongly affect to the fuel evaporation, endothermic and prolysis process during ignition delay. An increased injection pressure makes spray tip penetration longer and promotes a greater amount of fuel-air mixing occurs during ignition delay. A greater quantity of fuel prepared during ignition delay period thus predominantly promotes more rapid heat release.

Sustainability Strategy and Firm Performance in Residential Trade and Industry: A Conceptual Analysis

The request for a sustainable development challenges both managers and consumers to rethink habitual practices and activities. While consumers are challenged to develop sustainable consumption patterns, companies are asked to establish managerial systems and structures considering economical, ecological, and social issues. As this is in particular true for housing associations, this paper aims first, at providing an understanding of sustainability strategy in residential trade and industry (RTI) by identifying relevant facets of this construct and second, at conceptually analyzing the impact of sustainability strategy in RTI on operational efficiency and performance of municipal housing companies. The author develops a model of sustainability strategy in RTI and its effects and further, sheds light in priorities for future research.

Analysis of Message Authentication in Turbo Coded Halftoned Images using Exit Charts

Considering payload, reliability, security and operational lifetime as major constraints in transmission of images we put forward in this paper a steganographic technique implemented at the physical layer. We suggest transmission of Halftoned images (payload constraint) in wireless sensor networks to reduce the amount of transmitted data. For low power and interference limited applications Turbo codes provide suitable reliability. Ensuring security is one of the highest priorities in many sensor networks. The Turbo Code structure apart from providing forward error correction can be utilized to provide for encryption. We first consider the Halftoned image and then the method of embedding a block of data (called secret) in this Halftoned image during the turbo encoding process is presented. The small modifications required at the turbo decoder end to extract the embedded data are presented next. The implementation complexity and the degradation of the BER (bit error rate) in the Turbo based stego system are analyzed. Using some of the entropy based crypt analytic techniques we show that the strength of our Turbo based stego system approaches that found in the OTPs (one time pad).

Multiobjective Optimization Solution for Shortest Path Routing Problem

The shortest path routing problem is a multiobjective nonlinear optimization problem with constraints. This problem has been addressed by considering Quality of service parameters, delay and cost objectives separately or as a weighted sum of both objectives. Multiobjective evolutionary algorithms can find multiple pareto-optimal solutions in one single run and this ability makes them attractive for solving problems with multiple and conflicting objectives. This paper uses an elitist multiobjective evolutionary algorithm based on the Non-dominated Sorting Genetic Algorithm (NSGA), for solving the dynamic shortest path routing problem in computer networks. A priority-based encoding scheme is proposed for population initialization. Elitism ensures that the best solution does not deteriorate in the next generations. Results for a sample test network have been presented to demonstrate the capabilities of the proposed approach to generate well-distributed pareto-optimal solutions of dynamic routing problem in one single run. The results obtained by NSGA are compared with single objective weighting factor method for which Genetic Algorithm (GA) was applied.

Feature Reduction of Nearest Neighbor Classifiers using Genetic Algorithm

The design of a pattern classifier includes an attempt to select, among a set of possible features, a minimum subset of weakly correlated features that better discriminate the pattern classes. This is usually a difficult task in practice, normally requiring the application of heuristic knowledge about the specific problem domain. The selection and quality of the features representing each pattern have a considerable bearing on the success of subsequent pattern classification. Feature extraction is the process of deriving new features from the original features in order to reduce the cost of feature measurement, increase classifier efficiency, and allow higher classification accuracy. Many current feature extraction techniques involve linear transformations of the original pattern vectors to new vectors of lower dimensionality. While this is useful for data visualization and increasing classification efficiency, it does not necessarily reduce the number of features that must be measured since each new feature may be a linear combination of all of the features in the original pattern vector. In this paper a new approach is presented to feature extraction in which feature selection, feature extraction, and classifier training are performed simultaneously using a genetic algorithm. In this approach each feature value is first normalized by a linear equation, then scaled by the associated weight prior to training, testing, and classification. A knn classifier is used to evaluate each set of feature weights. The genetic algorithm optimizes a vector of feature weights, which are used to scale the individual features in the original pattern vectors in either a linear or a nonlinear fashion. By this approach, the number of features used in classifying can be finely reduced.

Self-tuned LMS Algorithm for Sinusoidal Time Delay Tracking

In this paper the problem of estimating the time delay between two spatially separated noisy sinusoidal signals by system identification modeling is addressed. The system is assumed to be perturbed by both input and output additive white Gaussian noise. The presence of input noise introduces bias in the time delay estimates. Normally the solution requires a priori knowledge of the input-output noise variance ratio. We utilize the cascade of a self-tuned filter with the time delay estimator, thus making the delay estimates robust to input noise. Simulation results are presented to confirm the superiority of the proposed approach at low input signal-to-noise ratios.

A Comparative Study of Metal Extraction from Spent Catalyst Using Acidithiobacillus ferrooxidans

The recovery of metal values and safe disposal of spent catalyst is gaining interest due to both its hazardous nature and increased regulation associated with disposal methods. Prior to the recovery of the valuable metals, removal of entrained deposits limit the diffusion of lixiviate resulting in low recovery of metals must be taken into consideration. Therefore, petroleum refinery spent catalyst was subjected to acetone washing and roasting at 500oC. The treated samples were investigated for metals bioleaching using Acidithiobacillus ferrooxidans in batch reactors and the leaching efficiencies were compared. It was found out that acetone washed spent catalysts results in better metal recovery compare to roasted spent. About 83% Ni, 20% Al, 50% Mo and 73% V were leached using the acetone washed spent catalyst. In both the cases, Ni, V and Mo was high compared to Al.

Performance Analysis of Wireless Ad-Hoc Network Based on EDCA IEEE802.11e

IEEE 802.11e is the enhanced version of the IEEE 802.11 MAC dedicated to provide Quality of Service of wireless network. It supports QoS by the service differentiation and prioritization mechanism. Data traffic receives different priority based on QoS requirements. Fundamentally, applications are divided into four Access Categories (AC). Each AC has its own buffer queue and behaves as an independent backoff entity. Every frame with a specific priority of data traffic is assigned to one of these access categories. IEEE 802.11e EDCA (Enhanced Distributed Channel Access) is designed to enhance the IEEE 802.11 DCF (Distributed Coordination Function) mechanisms by providing a distributed access method that can support service differentiation among different classes of traffic. Performance of IEEE 802.11e MAC layer with different ACs is evaluated to understand the actual benefits deriving from the MAC enhancements.

On Best Estimation for Parameter Weibull Distribution

The objective of this study is to introduce estimators to the parameters and survival function for Weibull distribution using three different methods, Maximum Likelihood estimation, Standard Bayes estimation and Modified Bayes estimation. We will then compared the three methods using simulation study to find the best one base on MPE and MSE.