4,617 research outputs found
Libor at crossroads: stochastic switching detection using information theory quantifiers
This paper studies the 28 time series of Libor rates, classified in seven
maturities and four currencies), during the last 14 years. The analysis was
performed using a novel technique in financial economics: the
Complexity-Entropy Causality Plane. This planar representation allows the
discrimination of different stochastic and chaotic regimes. Using a temporal
analysis based on moving windows, this paper unveals an abnormal movement of
Libor time series arround the period of the 2007 financial crisis. This
alteration in the stochastic dynamics of Libor is contemporary of what press
called "Libor scandal", i.e. the manipulation of interest rates carried out by
several prime banks. We argue that our methodology is suitable as a market
watch mechanism, as it makes visible the temporal redution in informational
efficiency of the market.Comment: 17 pages, 9 figures. arXiv admin note: text overlap with
arXiv:1508.04748, arXiv:1509.0021
The (in)visible hand in the Libor market: an Information Theory approach
This paper analyzes several interest rates time series from the United
Kingdom during the period 1999 to 2014. The analysis is carried out using a
pioneering statistical tool in the financial literature: the complexity-entropy
causality plane. This representation is able to classify different stochastic
and chaotic regimes in time series. We use sliding temporal windows to assess
changes in the intrinsic stochastic dynamics of the time series. Anomalous
behavior in the Libor is detected, especially around the time of the last
financial crisis, that could be consistent with data manipulation.Comment: PACS 89.65.Gh Econophysics; 74.40.De noise and chao
A permutation Information Theory tour through different interest rate maturities: the Libor case
This paper analyzes Libor interest rates for seven different maturities and
referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen,
during the period years 2001 to 2015. The analysis is performed by means of two
quantifiers derived from Information Theory: the permutation Shannon entropy
and the permutation Fisher information measure. An anomalous behavior in the
Libor is detected in all currencies except Euro during the years 2006--2012.
The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the
special mechanism of Libor setting, we conjecture that the behavior could have
been produced by the manipulation that was uncovered by financial authorities.
We argue that our methodology is pertinent as a market overseeing instrument.Comment: arXiv admin note: text overlap with arXiv:1304.039
Investigation about crack propagation paths in thin rim gears
Crack propagation in gears is a problem related not only to the life of the components, but also to the concept of failsafe design. Fail safe design means to design a component in order that, if a failure occurs, this may cause a "safe failure". This aspect is very important above all in aerospace industry. As a matter of fact, in aerospace application, the need of reducing weight brings to produce gears with very thick rim and web. Considering thin rim gears, when a crack is nucleated near the tooth root, it may propagate through the tooth (causing the loss of the entire tooth or a portion of it) or the propagation may follow a path across the wheel diameter (causing the projection of big parts of the gear that may break the gearbox and may cause serious damage to the aircraft). The first failure mode is define as "failsafe failure" and the second one as "catastrophic failure" and of course has to be avoided. Designers need to have robust design criteria in order to predict crack propagation paths and to avoid catastrophic failures. In literature, few works are present concerning this topic, in particular related to the effect of geometrical parameters that may affect the crack propagation. In this work a numerical analysis about crack propagation in gears with respect to the backup ratio (ratio between tooth height and rim thickness), initial crack position and shape has been done by means of the Extended FEM (XFEM) technique, realizing 3D models. XFEM 3D is a relatively new technique consisting in enriching traditional finite elements with more complex shape functions; in this way it is possible to propagate crack also between mesh nodes and to have mesh independent results. Aim of this paper is to highlight the crack propagation path in order to give to designers an high confident design criterion, related to the gear geometry. In particular, the effect of both rim thickness and orientation of the initial crack have been considered in order to enrich the literature knowledge. Numerical results obtained in this work have been compared with those found in the literature, showing a very good correlation
Modelling Strategy and Parametric Study of Metal Gaskets for Automotive Applications
This paper is focused on finite element simulation of cylinder head gaskets. Finite element codes support several methodologies, each of which has its own strengths and weaknesses. One of the key points lies in the influence of the gasket geometry on its final behaviour. Such a contribution can come from the detailed modelling of the gasket or by defining a global non-linear behaviour in which material and geometry non-linearities are summarised. Two approaches were used to simulate the gasket behaviour. The first one consists in using a 2D approach, which allows to model through-thickness non-linear behaviour of gasket. The second one consists in using conventional 3D finite element modelling. The numerical methods have been discussed and compared in relation to the accordance with experimental data, amount of information supplied and computational time required. Finally, a parametric study shows how some geometric parameters influence the compressive load and the elastic recovery of a single-layer steel gasket
Visitor-sensing: Involving the crowd in cultural heritage organizations
As organizations are increasingly involving individuals across their boundaries in the generation of new knowledge, crowd involvement can also be beneficial to cultural heritage organizations. We argue that in an "Open Innovation in Science" approach, visitors can contribute to generate new scientific knowledge concerning their behavior and preferences, by which museum managers can re-design the cultural offerings of their institutions in ways that generate major economic and social impacts. Accordingly, we advance visitor-sensing as a novel framework in which museum managers leverage digital technologies to collect visitors' ideas, preferences, and feedback in order to improve path design and the organization of artwork in exhibitions, and to shape a more satisfying museum experience for visitors. We contend that visitor-sensing has the potential to yield higher numbers of visitors, with positive impacts in terms of increased revenues and increased literacy of the general public, thus benefiting the economic and social sustainability of cultural organizations towards the achievement of the Sustainable Development Goals outlined in the Agenda 2030
Effect of alloying elements on the Sr modification of Al-Si cast alloys
Strontium-based modifier alloys are commonly adopted to modify the eutectic silicon in aluminum-silicon casting alloys by changing the silicon shape from an acicular to a spherical form. Usually, the modifier alloy necessary to properly change the silicon shape depends on the silicon content, but the alloying elements’ content may have an influence. The AlSr10 master alloy’s modifying effect was studied on four Al-Si alloys through the characterization of microstructural and mechanical properties (micro-hardness and impact tests). The experimental results obtained on gravity cast samples highlighted the interdependence in the modification of silicon between the Si content and the alloying elements. After modification, a higher microstructural homogeneity characterized by a reduction of up to 22.8% in the size of intermetallics was observed, with a generalized reduction in secondary dendritic arm spacing. The presence of iron-based polygonal-shaped intermetallics negatively affects Sr modification; coarser silicon particles tend to grow close to α-Fe. The presence of casting defects such as bifilm reduces Sr modification’s beneficial effects, and little increase in absorbed impact energy is observed in this work
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