A Rank Approach to Equity Forecast Construction

The purpose of this paper is to present a rank based approach to cross-sectionallinear factor modelling. The emphasis is on approximating factor exposures in aconsistent manner in order to facilitate the merging of subjective information(from professional investors) with objective information (from accounting dataand/or state of the art quantitative models) in a statistically rigorous way withoutneeding to impose the unrealistic simplifying assumptions typical of more standardtime series models. We deal with the problems of identifying country and sectorreturns by an innovative hierarchical factor structure. This is all discussed fromthe perspective that investment models are not immutable but rather need to bedesigned with characteristics that are fit for their purpose; for example, returningaggregate county and sector forecasts that are consistent by construction

Modelling of subgrid-scale phenomena in supercritical transitional mixing layers: an a priori study

A database of transitional direct numerical simulation (DNS) realizations of a supercritical mixing layer is analysed for understanding small-scale behaviour and examining subgrid-scale (SGS) models duplicating that behaviour. Initially, the mixing layer contains a single chemical species in each of the two streams, and a perturbation promotes roll-up and a double pairing of the four spanwise vortices initially present. The database encompasses three combinations of chemical species, several perturbation wavelengths and amplitudes, and several initial Reynolds numbers specifically chosen for the sole purpose of achieving transition. The DNS equations are the Navier-Stokes, total energy and species equations coupled to a real-gas equation of state; the fluxes of species and heat include the Soret and Dufour effects. The large-eddy simulation (LES) equations are derived from the DNS ones through filtering. Compared to the DNS equations, two types of additional terms are identified in the LES equations: SGS fluxes and other terms for which either assumptions or models are necessary. The magnitude of all terms in the LES conservation equations is analysed on the DNS database, with special attention to terms that could possibly be neglected. It is shown that in contrast to atmospheric-pressure gaseous flows, there are two new terms that must be modelled: one in each of the momentum and the energy equations. These new terms can be thought to result from the filtering of the nonlinear equation of state, and are associated with regions of high density-gradient magnitude both found in DNS and observed experimentally in fully turbulent high-pressure flows. A model is derived for the momentum-equation additional term that performs well at small filter size but deteriorates as the filter size increases, highlighting the necessity of ensuring appropriate grid resolution in LES. Modelling approaches for the energy-equation additional term are proposed, all of which may be too computationally intensive in LES. Several SGS flux models are tested on an a priori basis. The Smagorinsky (SM) model has a poor correlation with the data, while the gradient (GR) and scale-similarity (SS) models have high correlations. Calibrated model coefficients for the GR and SS models yield good agreement with the SGS fluxes, although statistically, the coefficients are not valid over all realizations. The GR model is also tested for the variances entering the calculation of the new terms in the momentum and energy equations; high correlations are obtained, although the calibrated coefficients are not statistically significant over the entire database at fixed filter size. As a manifestation of the small-scale supercritical mixing peculiarities, both scalar-dissipation visualizations and the scalar-dissipation probability density functions (PDF) are examined. The PDF is shown to exhibit minor peaks, with particular significance for those at larger scalar dissipation values than the mean, thus significantly departing from the Gaussian behaviour

A Tractable Product Channel Model for Line-of-Sight Scenarios

We present a general and tractable fading model for line-of-sight (LOS) scenarios, which is based on the product of two independent and non-identically distributed $\kappa$-$\mu$ shadowed random variables. Simple closed-form expressions for the probability density function, cumulative distribution function and moment-generating function are derived, which are as tractable as the corresponding expressions derived from a product of Nakagami-$m$ random variables. This model simplifies the challenging characterization of LOS product channels, as well as combinations of LOS channels with non-LOS ones. We leverage these results to analyze performance measures of interest in the contexts of wireless powered and backscatter communications, where both forward and reverse links are inherently of LOS nature, as well as in device-to-device communications subject to composite fading. In these contexts, the model shows a higher flexibility when fitting field measurements with respect to conventional approaches based on product distributions with deterministic LOS, together with a more complete physical interpretation of the underlying propagation characteristics.Comment: This work has been submitted to the IEEE for possible publication. Copyright may be transferred without notice, after which this version may no longer be accessibl

Modeling Fixed Bed Membrane Reactors for Hydrogen Production through Steam Reforming Reactions: A Critical Analysis

Membrane reactors for hydrogen production have been extensively studied in the past years due to the interest in developing systems that are adequate for the decentralized production of high-purity hydrogen. Research in this field has been both experimental and theoretical. The aim of this work is two-fold. On the one hand, modeling work on membrane reactors that has been carried out in the past is presented and discussed, along with the constitutive equations used to describe the different phenomena characterizing the behavior of the system. On the other hand, an attempt is made to shed some light on the meaning and usefulness of models developed with different degrees of complexity. The motivation has been that, given the different ways and degrees in which transport models can be simplified, the process is not always straightforward and, in some cases, leads to conceptual inconsistencies that are not easily identifiable or identified

Simplified Pair Copula Constructions --- Limits and Extensions

So called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models. To keep them tractable for inference and model selection, the simplifying assumption that copulas of conditional distributions do not depend on the values of the variables which they are conditioned on is popular. In this paper, we show for which classes of distributions such a simplification is applicable, significantly extending the discussion of Hob{\ae}k Haff et al. (2010). In particular, we show that the only Archimedean copula in dimension d \geq 4 which is of the simplified type is that based on the gamma Laplace transform or its extension, while the Student-t copula is the only one arising from a scale mixture of Normals. Further, we illustrate how PCCs can be adapted for situations where conditional copulas depend on values which are conditioned on