210 research outputs found

    Essays on Conditional Quantile Estimation and Equity Market Downside Risk

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    Fully aware of the importance of effective risk management, we develop the HYBRID-quantile model aimed at enhancing the accuracy of conditional quantile predictions. In the first essay, we validate that the model has a strong performance when applied to various GARCH-type processes. We use conditional asymmetry measures derived from the conditional quantile predictions to design portfolio allocation strategies. We identify two portfolios that could improve upon the risk-return trade-off of the benchmarks. In the second essay, we study the downside risk in the Chinese equity market. A wide range of investors, both domestic and foreign, have paid more attention to the Chinese stock market because of the growing significance of the Chinese economy. Downside risk has been a focal point, particularly considering the large price movements and the regulatory changes that took place over time. We use the 1% and 5% conditional quantiles of equity index returns to study the pattern of downside risk, and discover several break dates linked to major financial crises and trading reforms. Furthermore, our findings indicate that breaks in the B shares and the H shares downside risk tend to appear earlier than those corresponding to the A shares tails. Lastly, the revised Qualified Foreign Institutional Investor (QFII) program in 2006 and government share purchasing actions in 2015 have shown to be effective at alleviating downside risks in the Shanghai A shares. In the third essay, a joint work with Eric Ghysels and Steve Raymond, we examine granularity in the U.S. stock market. The U.S. equities market price process is largely driven by large institutional investors. We use quarterly 13-F holdings reported by institutional investors and focus on the Herfindahl-Hirschman Index (HHI) as the measure of granularity. We provide a comprehensive study of how granularity affects: (1) the cross-section of returns, (2) conditional variances across stocks and (3) downside risk. We find that constructing a low-HHI minus high-HHI portfolio produces an annualized return of 5.6%, and a 6.2% liquidity risk-adjusted return. We document the adverse impact that investor ownership concentration has on both conditional volatility, and critically, a robust set of downside risk measures at both the portfolio and the firm level.Doctor of Philosoph

    Effects of wear ring clearance on hydraulically generated vibration and noise of a centrifugal pump volute

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    The wear ring clearance of centrifugal pumps is of significant importance for numbers of effects. In the paper, these effects including the performance, pressure pulsations, hydraulically generated vibration and noise level are investigated. For the purpose, a numerical method combined the FEM and BEM analysis was developed to predict the vibration and sound radiation of the volute. The numerical simulations with and without leakage flow paths being considered were compared. Additionally, the simulation results were validated by the vibration acceleration of the monitoring points on the volute. On this basis, the effects of wear ring clearance were analyzed. The results show that the quality of vibration simulation for centrifugal pumps can be improved by involving the leakage flow paths in simulations. Based on an overall consideration of the performance, pressure pulsations, vibration and noise, the optimum wear ring clearance is supposed to be 0.6 mm for the centrifugal pump (nqSI= 26.7). The results can be used to guide the optimum design of the pump wear ring clearance

    A Review of Intelligent Music Generation Systems

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    With the introduction of ChatGPT, the public's perception of AI-generated content (AIGC) has begun to reshape. Artificial intelligence has significantly reduced the barrier to entry for non-professionals in creative endeavors, enhancing the efficiency of content creation. Recent advancements have seen significant improvements in the quality of symbolic music generation, which is enabled by the use of modern generative algorithms to extract patterns implicit in a piece of music based on rule constraints or a musical corpus. Nevertheless, existing literature reviews tend to present a conventional and conservative perspective on future development trajectories, with a notable absence of thorough benchmarking of generative models. This paper provides a survey and analysis of recent intelligent music generation techniques, outlining their respective characteristics and discussing existing methods for evaluation. Additionally, the paper compares the different characteristics of music generation techniques in the East and West as well as analysing the field's development prospects

    Effects of wear ring clearance on hydraulically generated vibration and noise of a centrifugal pump volute

    Get PDF
    The wear ring clearance of centrifugal pumps is of significant importance for numbers of effects. In the paper, these effects including the performance, pressure pulsations, hydraulically generated vibration and noise level are investigated. For the purpose, a numerical method combined the FEM and BEM analysis was developed to predict the vibration and sound radiation of the volute. The numerical simulations with and without leakage flow paths being considered were compared. Additionally, the simulation results were validated by the vibration acceleration of the monitoring points on the volute. On this basis, the effects of wear ring clearance were analyzed. The results show that the quality of vibration simulation for centrifugal pumps can be improved by involving the leakage flow paths in simulations. Based on an overall consideration of the performance, pressure pulsations, vibration and noise, the optimum wear ring clearance is supposed to be 0.6 mm for the centrifugal pump (nqSI= 26.7). The results can be used to guide the optimum design of the pump wear ring clearance

    A Novel STAP Algorithm for Airborne MIMO Radar Based on Temporally Correlated Multiple Sparse Bayesian Learning

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    In a heterogeneous environment, to efficiently suppress clutter with only one snapshot, a novel STAP algorithm for multiple-input multiple-output (MIMO) radar based on sparse representation, referred to as MIMOSR-STAP in this paper, is presented. By exploiting the waveform diversity of MIMO radar, each snapshot at the tested range cell can be transformed into multisnapshots for the phased array radar, which can estimate the high-resolution space-time spectrum by using multiple measurement vectors (MMV) technique. The proposed approach is effective in estimating the spectrum by utilizing Temporally Correlated Multiple Sparse Bayesian Learning (TMSBL). In the sequel, the clutter covariance matrix (CCM) and the corresponding adaptive weight vector can be efficiently obtained. MIMOSR-STAP enjoys high accuracy and robustness so that it can achieve better performance of output signal-to-clutter-plus-noise ratio (SCNR) and minimum detectable velocity (MDV) than the single measurement vector sparse representation methods in the literature. Thus, MIMOSR-STAP can deal with badly inhomogeneous clutter scenario more effectively, especially suitable for insufficient independent and identically distributed (IID) samples environment

    Middle Jurassic ooidal ironstones (southern Tibet): Formation processes and implications for the paleoceanography of eastern Neo-Tethys

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    The major facies changes documented in shallow-marine sediments of the northern Indian passive margin of Neo-Tethys throughout the Jurassic, from widespread platform carbonates in the Early Jurassic to organic-rich black shales in the Late Jurassic, imply a substantial turnover in oceanic conditions. All along the Tethys (Tibetan) Himalaya, from the Zanskar Range to southern Tibet, a peculiar interval characterized by ooidal ironstones of Dingjie Formation (Ferruginous Oolite Formation, FOF) marks the base of the organic-rich Spiti Shale. This laterally-extensive ooidal ironstone interval is a fundamental testimony of the mechanisms that led to major paleoceanographic changes that occurred in the eastern Neo-Tethys during the Middle Jurassic. In this article, we illustrate in detail the petrology, mineralogy, and geochemistry of ooidal ironstones and the major element contents of the entire Lanongla section. The FOF is characterized by significantly high contents of Fe2O3 (56.80% ± 9.07%, n = 7) and P2O5 (1.72% ± 1.19%, n = 7). In contrast, the Fe2O3 and P2O5 contents average 3.58% and 0.15% in the overlain carbonates of Lanongla Fm., and 5.55% and 0.16% in the overlying Spiti Shale. The ooidal ironstones are mainly composed of iron ooids with a few quartz grains and bioclasts cemented by sparry calcite. The iron ooids consist of concentric dark layers of francolite (carbonate fluorapatite), hence enriched in Ca, P, and F, and bright layers of chamosite, enriched in Fe, Si, Al, and Mg. Precipitation of francolite ensued from oversaturation of phosphorous ascribed to intensified upwelling, high biogenous productivity, and degradation of organic matter, whereas the formation of chamosite reflects enhanced continental weathering and erosion leading to increased Fe input to the ocean during transgressive stages characterized by low sedimentation rate and scarce oxygenation at the seafloor. Modern upwelling zones in outer shelf or slope areas perform similar geochemical characteristics to those as observed in this study. Under the Mesozoic greenhouse background, fluctuating redox conditions induced the alternate growth of francolite under anoxic conditions and of chamosite under suboxic conditions. Ooids were thus formed on the seafloor during continued resuspension and vertical oscillations of the chemocline rather than from interstitial waters after burial. The mineralogy of iron ooids indicates mainly reducing conditions in the water column, suggesting that extensive upwelling along the continental margin of eastern Neo-Tethys contributed significantly to the transition from carbonate deposits to organic-rich black shales during the Jurassic, as testified by the transition from well-oxygenated in Lanongla Fm. To a reduceing condition in Spiti Shale indicated by the Mn/Al ratios compared to PAAS

    Genome-Wide Association Study for Plant Height and Grain Yield in Rice under Contrasting Moisture Regimes

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    Drought is one of the vitally critical environmental stresses affecting both growth and yield potential in rice. Drought resistance is a complicated quantitative trait that is regulated by numerous small effect loci and hundreds of genes controlling various morphological and physiological responses to drought. For this study, 270 rice landraces and cultivars were analyzed for their drought resistance. This was done via determination of changes in plant height and grain yield under contrasting water regimes, followed by detailed identification of the underlying genetic architecture via genome-wide association study (GWAS). We controlled population structure by setting top two eigenvectors and combining kinship matrix for GWAS in this study. Eighteen, five, and six associated loci were identified for plant height, grain yield per plant, and drought resistant coefficient, respectively. Nine known functional genes were identified, including five for plant height (OsGA2ox3, OsGH3-2, sd-1, OsGNA1 and OsSAP11/OsDOG), two for grain yield per plant (OsCYP51G3 and OsRRMh) and two for drought resistant coefficient (OsPYL2 and OsGA2ox9), implying very reliable results. A previous study reported OsGNA1 to regulate root development, but this study reports additional controlling of both plant height and root length. Moreover, OsRLK5 is a new drought resistant candidate gene discovered in this study. OsRLK5 mutants showed faster water loss rates in detached leaves. This gene plays an important role in the positive regulation of yield-related traits under drought conditions. We furthermore discovered several new loci contributing to the three investigated traits (plant height, grain yield, and drought resistance). These associated loci and genes significantly improve our knowledge of the genetic control of these traits in rice. In addition, many drought resistant cultivars screened in this study can be used as parental genotypes to improve drought resistance of rice by molecular breeding
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