Arbitrage Pricing Model; Determining the Number of Factors and Their Consistency Across Markets

Purpose - The discovery of a true financial equilibrium model that could explain the prices of stocks has long been a sought after challenge and a vital area of research in modern financial theory. The concept is based on the fact that the price of the stock is affected by the present value of the future cash flows from the stock, and anything that will affect the discount rate of these future cash flows. Many brokerage firms, financial institutions and financial consulting firms use multi-index models to aid in the investment process Thus the APT model is becoming increasingly popular and has been a subject of several empirical studies. These models have been tested on both developed and developing markets. The purpose of this research is to analyze the Arbitrage Pricing Theory (APT) introduced by Ross (1976), which is a more simplified, multifactor model, with fewer relative assumptions to other models, across different representative markets, giving particular attention to the number of factors. Design/methodology/approach – The research is quantitative in nature and principal component analysis will be used to determine the ideal number of factors that should be included in the model, as well as the identity of these factors. Findings - Results indicate that the ideal number of factors vary from four to five factors across markets, with their identity differing across markets. Findings provide valuable insights for professionals in the market as well as academics who want to gain further knowledge on the number of factors. Research limitations/implications –The application of Principal Component Analysis (PCA) is based only on a sample of stocks and not on the whole population in the stock market, and thus there remains a question of how accurate these approximations actually are. Practical implications –The APT is a popular multi-index model that should be used by financial analysts to allow risk to be more tightly controlled and allow investors to protect against specific type of risk to which he or she is particularly sensitive or to make specific bets on certain types of risks. Originality/value – No research has yet been carried out across different markets for the same time period as will be carried out in this research, and thus the empirical study in this research aims to add knowledge on whether the number of factors will be consistent across borders or will change from market to market. Keywords Arbitrage Pricing Theory, Number of factors, Emerging markets Paper type Research Pape

Modeling and validation of a subscale aerobatic aircraft configuration in spin

An approach for modeling the stall/spin regime of single engine aircraft is presented. A three-pronged approach is taken that involves the following components: flight testing, the development of a new analytical model for calculating the forces on a stalled spinning wing, and validation of that model through wind tunnel tests. Significantly, these results are combined to form a new code, SpinSim, which assists with the six-degree-of-freedom (6DOF) simulation of the aerodynamics and flight dynamics of an aircraft. This code places particular emphasis on the simulation of the stall/spin regime. The flight-testing phase of this research was conducted using a radio-controlled unmanned aerial vehicle (UAV) that was flown into a wide variety of different stall/spin configurations. This UAV was equipped with onboard instrumentation and fitted with a data acquisition system specifically configured for this spin research. A large number of spins were flown, and the data were used in the development of the analytical model and 6DOF simulations. Four proposed ventral fin configurations were implemented, and their beneficial effects on the spin and recovery characteristics were demonstrated and explained. The SpinSim analytical model considers the normal force on a stalled spinning wing as a function of the aircraft pitch, the spin parameter, and the wing aspect ratio. The proposed first-principles-based approach allows for a standard flight model to be corrected for the three-dimensional flow effects and structures inherent in the spin regime. This approach demonstrates a significant improvement to the current state of the art. Notably, this model is based on the following: (1) the centrifugal pumping of the fluid in the elliptical trapped wing wake and (2) its eventual ejection at the wing tip. Also, wind tunnel tests were conducted to validate the analytical model, which revealed that the aspect ratio causes an increased effect on the wing normal force as the pitch angle is decreased. It is also concluded that the normal force coefficient is proportional to the spin parameter squared and that no Reynolds number effects exist within the range of Reynolds numbers tested. At values of the spin parameter in excess of unity, a maximum wing normal force coefficient limit appears to exist. This normal force coefficient limit increases in value for higher aspect ratio wings. The 6DOF simulations maintain a low computational cost in order to serve as a useful design tool for stall/spin studies. Such simulations incorporate the results of the flight and wind tunnel tests as well as the new analytical model. Simulations of the UAV in stall/spin situations showed strong agreement with the flight test data, especially in regard to the angular rates, spin radii, and aerodynamic angles. By using the proposed analytical model, SpinSim extends the range of the modelable parameter space that would otherwise require hazardous piloted testing or expensive dynamically-scaled model testing. Also, SpinSim functions as a tool to aid in the design-for-spin of airplanes and successfully captures the first-order effects attributable to the yawing motion of a stalled spinning wing

RESPONSE OF SOYBEAN YIELD TO LATE SOWING DATES

This work conducted on the research farm of Mallawi Agricultural Research Station, El-Minia Province, Egypt, during two successive seasons of 2004 and 2005 to study the role of the late plant-ings on the productivity of soybean. Three out of four genotypes selected to achieve that goal were new released cultivars, Giza-22; Giza-35; and Gi-za-111, and the commercial one, Crawford, the common parent of the three genotypes, as control. Three planting dates started on June 1st, June 15th for the second date of sowing and ended on June 30th for the third sowing date in both seasons. The package of the recommendations of soybean cul-ture carefully applied to get the best results of each sowing date. The results showed that all of the morphological, yield and productivity traits highly significantly affected by genotype and three out of five morphological traits, number of days to both flowering and maturity and plant height, also high-ly significantly affected by late sowing date. The other two traits, number of branches and leaf area at 75 days just significantly affected by late sow-ing date. In terms of yield and its components traits, only seed index highly significantly affected by late sowing date and yield per plot significantly affected by sowing time. All productivity traits were significantly affected by late sowing date specially the content of both oil and protein. Alt-hough yield per plot was significantly affected by late sowing date, the yield per plant was not af-fected by late sowing date indicating that the fac-tor of time of sowing may affect the rate of the germination and control the stand of the plots. Number of active nodules considered as produc-tivity trait because of the residual nitrogen that remain in the soil after harvest for the next crop. This number was significantly affected by sowing time and reached the highest values in the second date of June 15th that may due to the high tempera-ture at this time which lead to increasing the inter-action between soybean roots and the nodule bac-teria

Development of Best Practices for Right-of-Way Valuations and Negotiations in Transportation Projects

The valuations of properties and the negotiations with property owners are two major tasks in the right-of-way acquisition process for transportation projects. If improved, those tasks can increase the overall project delivery efficiency. The Texas Department of Transportation (TxDOT) funded a research project that aimed to recommend some best practices for successful valuations and negotiations in Texas. The authors reviewed the different strategies and procedures followed in TxDOT by conducting interviews and surveys with right-of-way personnel. Guidelines supported by recommended practices were identified for both valuation and negotiation and then reviewed and validated by experts. Lastly, implementation guides were developed

The accuracy of ADC measurements in liver is improved by a tailored and computationally efficient local-rigid registration algorithm

This study describes post-processing methodologies to reduce the effects of physiological motion in measurements of apparent diffusion coefficient (ADC) in the liver. The aims of the study are to improve the accuracy of ADC measurements in liver disease to support quantitative clinical characterisation and reduce the number of patients required for sequential studies of disease progression and therapeutic effects. Two motion correction methods are compared, one based on non-rigid registration (NRA) using freely available open source algorithms and the other a local-rigid registration (LRA) specifically designed for use with diffusion weighted magnetic resonance (DW-MR) data. Performance of these methods is evaluated using metrics computed from regional ADC histograms on abdominal image slices from healthy volunteers. While the non-rigid registration method has the advantages of being applicable on the whole volume and in a fully automatic fashion, the local-rigid registration method is faster while maintaining the integrity of the biological structures essential for analysis of tissue heterogeneity. Our findings also indicate that the averaging commonly applied to DW-MR images as part of the acquisition protocol should be avoided if possible