4,407 research outputs found

    Value-at-risk for the USD/ZAR exchange rate: The variance-gamma model

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    © University of Pretoria. All rights reserved. A country’s level of exchange risk is closely linked to its financial stability, on a macro-economic scale. South African exchange rates, in particular, have a significant impact on imports, inflation, consumer prices and monetary policies. Consequently, it is imperative for economists and investors to assess accurately the associated exchange risks. Exchange rates, like most financial time series, are leptokurtic and contradict the classical Gaussian assumption. We therefore introduce subclasses of the generalised hyperbolic distribution as alternative models and contrast these with the normal distribution. We conclude that the variance-gamma model is the most robust for describing the log-returns of daily USD/ZAR exchange rates and their related Value-at-Risk (VaR) estimates. The model selection methodologies utilised in our analyses include the robust Kolmogorov-Smirnov test and the Akaike information criterion. Backtesting on the adequacy of VaR estimates is also performed using the Kupiec likelihood ratio test

    Study of the Basic Characteristics of an Interactive TV Service

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    The iTV service was too conceptually nebulous to readily comprehend. It was variously mistaken as referring to a network television service and a digital television service. To avoid further setbacks, it is very important that we clarify the basic characteristics of iTV service for the benefit of the fields of information technology, MIS, broadcasting, commerce and so on. After conducting literature reviews and interviews, we were able to delineate the basic characteristics of iTV service as follows:1. The contents of iTV service; 2.The supply and use process, and components of the iTV service

    Reversible magnetomechanical collapse: virtual touching and detachment of rigid inclusions in a soft elastic matrix

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    Soft elastic composite materials containing particulate rigid inclusions in a soft elastic matrix are candidates for developing soft actuators or tunable damping devices. The possibility to reversibly drive the rigid inclusions within such a composite together to a close-to-touching state by an external stimulus would offer important benefits. Then, a significant tuning of the mechanical properties could be achieved due to the resulting mechanical hardening. For a long time, it has been argued whether a virtual touching of the embedded magnetic particles with subsequent detachment can actually be observed in real materials, and if so, whether the process is reversible. Here, we present experimental results that demonstrate this phenomenon in reality. Our system consists of two paramagnetic nickel particles embedded at finite initial distance in a soft elastic polymeric gel matrix. Magnetization in an external magnetic field tunes the magnetic attraction between the particles and drives the process. We quantify the scenario by different theoretical tools, i.e., explicit analytical calculations in the framework of linear elasticity theory, a projection onto simplified dipole-spring models, as well as detailed finite-element simulations. From these different approaches, we conclude that in our case the cycle of virtual touching and detachment shows hysteretic behavior due to the mutual magnetization between the paramagnetic particles. Our results are important for the design and construction of reversibly tunable mechanical damping devices. Moreover, our projection on dipole-spring models allows the formal connection of our description to various related systems, e.g., magnetosome filaments in magnetotactic bacteria.Comment: 14 pages, 7 figure

    On the Second-Order Statistics of Correlated Cascaded Rayleigh Fading Channels

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    The second-order statistics of two correlated cascaded (double) Rayleigh fading channels are analyzed, where different relevant second-order cross-correlation functions of in-phase and quadrature components of the cascaded Rayleigh channels are derived. The level crossing rate (LCR) and average fade duration (AFD) of the cascaded channels are evaluated, and a single-integral form of the LCR is derived. Numerical results of the LCR and AFD are presented, and the effect of the correlation is illustrated

    Combinatorial optimization problems in self-assembly

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    Self-assembly is the ubiquitous process by which simple objects autonomously assemble into intricate complexes. It has been suggested that intricate self-assembly processes will ultimately be used in circuit fabrication, nano-robotics, DNA computation, and amorphous computing. In this paper, we study two combinatorial optimization problems related to efficient self-assembly of shapes in the Tile Assembly Model of self-assembly proposed by Rothemund and Winfree [18]. The first is the Minimum Tile Set Problem, where the goal is to find the smallest tile system that uniquely produces a given shape. The second is the Tile Concentrations Problem, where the goal is to decide on the relative concentrations of different types of tiles so that a tile system assembles as quickly as possible. The first problem is akin to finding optimum program size, and the second to finding optimum running time for a "program" to assemble the shape.Self-assembly is the ubiquitous process by which simple objects autonomously assemble into intricate complexes. It has been suggested that intricate self-assembly processes will ultimately be used in circuit fabrication, nano-robotics, DNA computation, and amorphous computing. In this paper, we study two combinatorial optimization problems related to efficient self-assembly of shapes in the Tile Assembly Model of self-assembly proposed by Rothemund and Winfree [18]. The first is the Minimum Tile Set Problem, where the goal is to find the smallest tile system that uniquely produces a given shape. The second is the Tile Concentrations Problem, where the goal is to decide on the relative concentrations of different types of tiles so that a tile system assembles as quickly as possible. The first problem is akin to finding optimum program size, and the second to finding optimum running time for a "program" to assemble the shape. We prove that the first problem is NP-complete in general, and polynomial time solvable on trees and squares. In order to prove that the problem is in NP, we present a polynomial time algorithm to verify whether a given tile system uniquely produces a given shape. This algorithm is analogous to a program verifier for traditional computational systems, and may well be of independent interest. For the second problem, we present a polynomial time O(logn)O(\log n)-approximation algorithm that works for a large class of tile systems that we call partial order systems

    Understanding effects of microstructural inhomogeneity on creep response – New approaches to improve the creep resistance in magnesium alloys

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    AbstractPrevious investigations indicate that the creep resistance of magnesium alloys is proportional to the stability of precipitated intermetallic phases at grain boundaries. These stable intermetallic phases were considered to be effective to suppress the deformation by grain boundary sliding, leading to the improvement of creep properties. Based on this point, adding the alloying elements to form the stable intermetallics with high melting point became a popular way to develop the new creep resistant magnesium alloys. The present investigation, however, shows that the creep properties of binary Mg–Sn alloy are still poor even though the addition of Sn possibly results in the precipitation of thermal stable Mg2Sn at grain boundaries. That means other possible mechanisms function to affect the creep response. It is finally found that the poor creep resistance is attributed to the segregation of Sn at dendritic and grain boundaries. Based on this observation, new approaches to improve the creep resistance are suggested for magnesium alloys because most currently magnesium alloys have the commonality with the Mg–Sn alloys
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