Modeling interbank relations during the international financial crisis

This paper examines the effects of the current financial crisis on the correlations of four international banking stocks. We find that in the beginning of the crisis banks generally show a transition to a higher correlation followed by a dramatic decline towards the end of 2008. These findings are consistent with both traditional contagion theory and the more recent network theory of contagion.Financial Crises, Contagion, Interbank Markets

Orthogonal Designs of Order 32 and 64 via Computational Algebra

Baumert and Hall describe a Williamson array construction based on quaternions. We extend by analogy this construction to larger arrays, using the multiplication table of the Cayley-Dickson algebras of dimensions 32 and 64. Then we use Gröbner bases to obtain full orthogonal designs of order 32 with 10 variables and of order 64 in 10 and 11 variables. Finally we use OD (32; 1, 1, 2, 4, 4, 4, 4, 4, 4, 4) to search for inequivalent Hadamard matrices of order 96, 160, 224, 288. Such structured matrices are needed in Statistics and Coding Theory applications. This algebraic approach can be extended to larger orders, i.e. 2n, n≥7, provided that the structural properties of the corresponding polynomial ideals and their Gröbner bases are further investigated and understood

Painterly rendering techniques: A state-of-the-art review of current approaches

In this publication we will look at the different methods presented over the past few decades which attempt to recreate digital paintings. While previous surveys concentrate on the broader subject of non-photorealistic rendering, the focus of this paper is firmly placed on painterly rendering techniques. We compare different methods used to produce different output painting styles such as abstract, colour pencil, watercolour, oriental, oil and pastel. Whereas some methods demand a high level of interaction using a skilled artist, others require simple parameters provided by a user with little or no artistic experience. Many methods attempt to provide more automation with the use of varying forms of reference data. This reference data can range from still photographs, video, 3D polygonal meshes or even 3D point clouds. The techniques presented here endeavour to provide tools and styles that are not traditionally available to an artist. Copyright © 2012 John Wiley & Sons, Ltd

Genetic Algorithm for Orthogonal Designs

We show how to use Simple Genetic Algorithm to produce Hadamard matrices of large orders, from teh full orthogonal design or oder 16 with 9 variables, OD(16; 1, 1, 2, 2, 2, 2, 2, 2, 2). The objective functionthat we use in our implementation of Simple Genetic Algorithm, comes from a Computational Algebra formalism of the full orthogonal design equations. In particular, we constructed Hadamard matrices of orders 144, 176, 208, 240, 272, 304 and 336, from the aforementioned orthogonal design. By varying three genetic operator parameters, we computer 62 inequivalent Hadamard matices of order 304 and 4 inequivalent Hadamard matrices of order 336. Therefore we established two new constructive lower bounds for the numbers of Hadamard matrices of order 304 and 336

A note on the effect of expected changes in monetary policy on long-term interest rates

The ability of monetary policy to affect long-term interest rates is of central importance for economics and finance. Several recent studies have shown that long-term interest rates are virtually unaffected by monetary policy. This paper develops a statistical methodology to identify the expected and unexpected changes in monetary policy as measured by the federal funds rate. The empirical evidence shows that expected changes in the funds rate cause stronger and more significant movements in the long-term rates. Further, ignoring such asymmetry can erroneously generate the insignificant responses of long-term interest rates to the changes in the monetary policy.Long-term interest rate, monetary policy, asymmetry

Probabilistic structural analysis of adaptive/smart/intelligent space structures

A three-bay, space, cantilever truss is probabilistically evaluated for adaptive/smart/intelligent behavior. For each behavior, the scatter (ranges) in buckling loads, vibration frequencies, and member axial forces are probabilistically determined. Sensitivities associated with uncertainties in the structure, material and load variables that describe the truss are determined for different probabilities. The relative magnitude for these sensitivities are used to identify significant truss variables that control/classify its behavior to respond as an adaptive/smart/intelligent structure. Results show that the probabilistic buckling loads and vibration frequencies increase for each truss classification, with a substantial increase for intelligent trusses. Similarly, the probabilistic member axial forces reduce for adaptive and intelligent trusses and increase for smart trusses

Probabilistic assessment of space trusses subjected to combined mechanical and thermal loads

A three-bay, space, cantilever truss is probabilistically evaluated to quantify the range of uncertainties of buckling loads and member forces due to nonuniform thermal loads, applied loads and moments (mechanical loads), and combination of both. The truss members are assumed to be made from Aluminum tubes or high modulus graphite-fiber/intermediate modulus epoxy-matrix composite tubes. Cumulative distribution function results show that certain combinations of thermal loads with mechanical loads reduce the probabilistic buckling loads and increase the magnitude of the member axial forces for the aluminum truss. The same trend is observed for the composite truss as well, as however, the thermal effects on the probabilistic buckling loads and member axial forces are not as substantial as that for an aluminum truss. This can be attributed to the large differences in the values of coefficient of thermal expansion. Finally, the sensitivities associated with the uncertainties in the structural, material, and load variables (primitive variables) are investigated. They show that buckling loads and member axial forces are most sensitive to the uncertainties in spacial (geometry) variables

Probabilistic progressive buckling of trusses

A three-bay, space, cantilever truss is probabilistically evaluated to describe progressive buckling and truss collapse in view of the numerous uncertainties associated with the structural, material, and load variables (primitive variables) that describe the truss. Initially, the truss is deterministically analyzed for member forces, and member(s) in which the axial force exceeds the Euler buckling load are identified. These member(s) are then discretized with several intermediate nodes and a probabilistic buckling analysis is performed on the truss to obtain its probabilistic buckling loads and respective mode shapes. Furthermore, sensitivities associated with the uncertainties in the primitive variables are investigated, margin of safety values for the truss are determined, and truss end node displacements are noted. These steps are repeated by sequentially removing the buckled member(s) until onset of truss collapse is reached. Results show that this procedure yields an optimum truss configuration for a given loading and for a specified reliability