Resilience Assignment Framework using System Dynamics and Fuzzy Logic.

This paper is concerned with the development of a conceptual framework that measures the resilience of the transport network under climate change related events. However, the conceptual framework could be adapted and quantified to suit each disruption’s unique impacts. The proposed resilience framework evaluates the changes in transport network performance in multi-stage processes; pre, during and after the disruption. The framework will be of use to decision makers in understanding the dynamic nature of resilience under various events. Furthermore, it could be used as an evaluation tool to gauge transport network performance and highlight weaknesses in the network. In this paper, the system dynamics approach and fuzzy logic theory are integrated and employed to study three characteristics of network resilience. The proposed methodology has been selected to overcome two dominant problems in transport modelling, namely complexity and uncertainty. The system dynamics approach is intended to overcome the double counting effect of extreme events on various resilience characteristics because of its ability to model the feedback process and time delay. On the other hand, fuzzy logic is used to model the relationships among different variables that are difficult to express in numerical form such as redundancy and mobility

A network mobility indicator using a fuzzy logic approach

This paper introduces a methodology to assess the mobility of a road transport network from the 3 network perspective. In this research, the mobility of the road transport network is defined as the 4 ability of the road transport network to connect all the origin-destination pairs within the network with 5 an acceptable level of service. Two mobility attributes are therefore introduced to assess the physical 6 connectivity and the road transport network level of service. Furthermore, a simple technique based 7 on a fuzzy logic approach is used to combine mobility attributes into a single mobility indicator in 8 order to measure the impact of disruptive events on road transport network functionality. 9 The application of the proposed methodology on a hypothetical Delft city network shows the ability of the technique to estimate variation in the level of mobility under different scenarios. The method allows the study of demand and supply side variations on overall network mobility, providing a new tool for decision makers in understanding the dynamic nature of mobility under various events. The method can also be used as an evaluation tool to gauge the highway network mobility level, and to highlight weaknesses in the network

Using Non-Parametric Tests to Evaluate Traffic Forecasting Performance.

This paper proposes the use of a number of nonparametric comparison methods for evaluating traffic flow forecasting techniques. The advantage to these methods is that they are free of any distributional assumptions and can be legitimately used on small datasets. To demonstrate the applicability of these tests, a number of models for the forecasting of traffic flows are developed. The one-step-ahead forecasts produced are then assessed using nonparametric methods. Consideration is given as to whether a method is universally good or good at reproducing a particular aspect of the original series. That choice will be dictated, to a degree, by the user’s purpose for assessing traffic flow

Analysing ride behaviours of shared e-scooter users – a case study of Liverpool

[EN] The shared e-scooter is a relatively new form of Micromobility service in urban transit. A better understanding of the use of the scheme will help operators and stakeholders promote this travel mode, contributing to a more sustainable, resilient, environmentally friendly and inclusive transportation system. The availability of high resolution sensor-based location data, when co-analysed with socio-demographic survey data allows insights on where, how, and by whom the service is used. This study focuses on analysing the usage pattern of a recently introduced shared e-scooter scheme in Liverpool, UK, combining survey data of users’ sociodemographic attributes and their full trip records at a fine spatiotemporal granularity. Recency-Frequency (RF) segmentation is used to categorise user behaviour based on their frequency and recency of usage, and a Functional Signatures (FS) dataset is used to enrich contextual information on the origin and destination of e-scooter trips. Overall, this study provides insights into the behaviour of users of shared e-scooters and how the behaviours might vary in different user groups regarding sociodemographic characteristics. The developed analysis framework is also readily transferable to other cities.This research has been sponsored by the Alan Turing Institute under grant number R-LEE006.Yang, Y.; Grant-Muller, S. (2023). Analysing ride behaviours of shared e-scooter users – a case study of Liverpool. Editorial Universitat Politècnica de València. 289-296. https://doi.org/10.4995/CARMA2023.2023.1642228929

An optimal portfolio and capital management strategy for basel III compliant commercial banks

We model a Basel III compliant commercial bank that operates in a financial market consisting of a treasury security, a marketable security, and a loan and we regard the interest rate in the market as being stochastic. We find the investment strategy that maximizes an expected utility of the bank’s asset portfolio at a future date. This entails obtaining formulas for the optimal amounts of bank capital invested in different assets. Based on the optimal investment strategy, we derive a model for the Capital Adequacy Ratio (CAR), which the Basel Committee on Banking Supervision (BCBS) introduced as a measure against banks’ susceptibility to failure. Furthermore, we consider the optimal investment strategy subject to a constant CAR at the minimum prescribed level. We derive a formula for the bank’s asset portfolio at constant (minimum) CAR value and present numerical simulations on different scenarios. Under the optimal investment strategy, the CAR is above the minimum prescribed level. The value of the asset portfolio is improved if the CAR is at its (constant) minimum value

An operational indicator for network mobility using fuzzy logic.

This paper proposes a fuzzy logic model for assessing the mobility of road transport networks from a network perspective. Two mobility attributes are introduced to account for the physical connectivity and road transport network level of service. The relative importance of the two mobility attributes has been established through the fuzzy inference reasoning procedure that was implemented to estimate a single mobility indicator. The advantage of quantifying two mobility attributes is that it improves the ability of the mobility indicator developed to assess the level of mobility under different types of disruptive events. A case study of real traffic data from seven British cities shows a strong correlation between the proposed mobility indicator and the Geo distance per minute, demonstrating the applicability of the proposed fuzzy logic model. The second case study of a synthetic road transport network for Delft city illustrates the ability of the proposed network mobility indicator to reflect variation in the demand side (i.e. departure rate) and supply side (i.e. network capacity and link closure). Overall, the proposed mobility indicator offers a new tool for decision makers in understanding the dynamic nature of mobility under various disruptive events

Empirical investigation of a tradable credits scheme on travel demand: a household utility based approach incorporating travel money and travel time budgets

We investigate the influence of a new mobility management measure, the tradable credits scheme (TCS), on the daily travel mode choices of individuals. Generally, we assume the individuals’ travel consists of different modes, e.g. private car mode and mass transit mode. In order to control the rapid increase in use of the private car mode in an area, policy makers may wish to implement a TCS basing on the VKT (vehicle kilometre travelled). The effects of the TCS are investigated in this paper based on a utility-theory travel demand model proposed by Golob et al. (1981), a household utility based model incorporating proposed travel money and travel time budgets. The empirical investigation is based on comparison studies of the short-term response and long-term effects with and without TCS. It finds that the implementation of TCS has not a clear impact to the value of time of household in the short-term, and the presence of TCS will not affect the linear relationship between travel time budget and travel money budget over long term. Numerical results demonstrate that the TCS will affect the travel distance of the available transport modes differentially, according to different levels of annual household income

Optimal asset allocation and capital adequacy management strategies for Basel III compliant banks

Philosophiae Doctor - PhDIn this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial bank’s total non-risk-weighted assets (TNRWAs) in terms of terminal time utility maximization. This entails finding optimal amounts of Total capital for investment in different bank assets. Based on the optimal capital allocation strategy derived for the first problem, we derive stochastic models for respectively the bank’s capital adequacy and liquidity ratios in the second and third problems. The Basel Committee on Banking Supervision (BCBS) introduced these ratios in an attempt to improve the regulation of the international banking industry in terms of capital adequacy and liquidity management. As a fourth problem we derive a multi-period deposit insurance pricing model which incorporates the optimal capital allocation strategy, the BCBS’ latest capital standard, capital forbearance and moral hazard. In the fifth and final problem we show how the values of LIBOR-in-arrears and vanilla interest rate swaps, typically used by commercial banks and other financial institutions to reduce risk, can be derived under a specialized version of the affine interest rate model originally considered by the bank in question. More specifically, in the first problem we assume that the bank invests its Total capital in a stochastic interest rate financial market consisting of three assets, viz., a treasury security, a marketable security and a loan. We assume that the interest rate in the market is described by an affine model, and that the value of the loan follows a jump-diffusion process. We wish to find the optimal capital allocation strategy that maximizes an expected logarithmic utility of the bank’s TNRWAs at a future date. Generally, analytical solutions to stochastic optimal control problems in the jump setting are very difficult to obtain. We propose an approximation method that exploits a similarity between the forms of the control problems of the jump-diffusion model and the diffusion model obtained by removing the jump. With the jump assumed sufficiently small, the analytical solution of the diffusion model then serves as a proxy to the solution of the control problem with the jump. In the second problem we construct models for the bank’s capital adequacy ratios in terms of the proxy. We present numerical simulations to characterize the behaviour of the capital adequacy ratios. Furthermore, in this chapter, we consider the approximate optimal capital allocation strategy subject to a constant Leverage Ratio, which is a specific non-risk-based capital adequacy ratio, at the minimum prescribed level. We derive a formula for the bank’s TNRWAs at constant (minimum) Leverage Ratio value and present numerical simulations based on the modified TNRWAs formula. In the third problem we model the bank’s liquidity ratios and we monitor the levels of the liquidity ratios under the proxy numerically. In the fourth problem we derive a multi-period deposit insurance pricing model, the latest capital standard a la Basel III, capital forbearance and moral hazard behaviour. The deposit insurance pricing method utilizes an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies. We perform numerical computations with our model to study its implications. In the final problem, we specialize the affine interest rate model considered previously to the Cox-Ingersoll-Ross (CIR) interest rate dynamic. We consider fixed-for-floating interest rate swaps under the CIR model. We show how analytical expressions for the values of both a LIBOR-in-arrears swap and a vanilla swap can be derived using a Green’s function approach. We employ Monte Carlo simulation methods to compute the values of the swaps for different scenarios. We wish to make explicit the contributions of this project to the literature. A research article titled “An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks” by Grant E. Muller and Peter J. Witbooi [1] has been published in an accredited scientific journal. In the aforementioned paper we solve an optimal capital allocation problem for diffusion banking models. We propose using the solution of the Brownian motions control problem of [1] as the proxy in problems two to four of this thesis. Furthermore, we wish to note that the methodology employed on the final problem of this study is actually from the paper [2] of Mallier and Alobaidi. In the paper [2] the authors did not present simulation studies to characterize their pricing models. We contribute a simulation study in which the values of the swaps are computed via Monte Carlo simulation methods

Discrete and continuous time methods of optimization in pension fund management

>Magister Scientiae - MScPensions are essentially the only source of income for many retired workers. It is thus critical that the pension fund manager chooses the right type of plan for his/her workers.Every pension scheme follows its own set of rules when calculating the benefits of the fund’s members at retirement. Whichever plan the manager chooses for the members,he/she will have to invest their contributions in the financial market. The manager is therefore faced with the daunting task of selecting the most appropriate investment strat-egy as to maximize the returns from the financial assets. Due to the volatile nature of stock markets, some pension companies have attached minimum guarantees to pension contracts. These guarantees come at a price, but ensure that the member does not suffer a loss due to poorly performing equities.In this thesis we study four types of mathematical problems in pension fund management,of which three are essentially optimization problems. Firstly, following Blake [5], we show in a discrete time setting how to decompose a pension benefit into a combination of Euro-pean options. We also model the pension plan preferences of workers, sponsors and fund managers. We make a number of contributions additional to the paper by Blake [5]. In particular, we contribute graphic illustrations of the expected values of the pension fund assets, liabilities and the actuarial surplus processes. In more detail than in the original source, we derive the variance of the assets of a defined benefit pension plan. Secondly,we dedicate Chapter 6 to the problem of minimizing the cost of a minimum guarantee included in defined contribution (DC) pension contracts. Here we work in discrete time and consider multi-period guarantees similar to those in Hipp [25]. This entire chapter is original work. Using a standard optimization method, we propose a strategy that cal- culates an optimal sequence of guarantees that minimizes the sum of the squares of the present value of the total price of the guarantee. Graphic illustrations are included to in-dicate the minimum value and corresponding optimal sequence of guarantees. Thirdly, we derive an optimal investment strategy for a defined contribution fund with three financial assets in the presence of a minimum guarantee. We work in a continuous time setting and in particular contribute simulations of the dynamics of the short interest rate process and the assets in the financial market of Deelstra et al. [19]. We also derive an optimal investment strategy of the surplus process introduced in Deelstra et al. [19]. The results regarding the surplus are then converted to consider the actual investment portfolio per- taining to the wealth of the fund. We note that the aforementioned paper does not use optimal control theory. In order to illustrate the method of stochastic optimal control, we study a fourth problem by including a discussion of the paper by Devolder et al. [21] in Chapter 3. We enhance the work in the latter paper by including some simulations. The specific portfolio management strategies are applicable to banking as well (and is being pursued independently)

UNIETD – Assessment of Third Party Data as Information Source for Drivers and Road Operators

The paper deals with the assessment of third party data such as crowd sourced/social media and floating vehicle data as information source for road operators in addition to traditional infrastructure-based techniques. For purposes of quality assessment of different types of data and available ground truths existing test/evaluation methodologies have been assessed. A new methodology has been designed for assessment of speeds and travel times using normalized (between 0 and 1) quality indicators that can distinguish between “detection rate” and “false alarm rate” concepts. In terms of harvesting social media the relevance of social media content has been assessed against a range of traffic management requirements. Furthermore the level of content that will be available has been estimated as well as commercial sources and business models for road authorities. Analyses cover unstructured data from Twitter and Facebook both historical data and three months of contemporary data. In addition surveys are conducted in England and Austria to retrieve information from the public in terms of which social media platforms are commonly used to share information about traffic related incidents