A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options

This paper proposes a class of stochastic volatility (SV) models which offers an alternative to the one introduced in Andersen (1994). The class encompasses all standard SV models that have appeared in the literature, including the well known lognormal model, and allows us to empirically test all standard specifications in a convenient way. We develop a likelihood-based technique for analyzing the class. Daily dollar/pound exchange rate data reject all the standard models and suggest evidence of nonlinear SV. An efficient algorithm is proposed to study the implications of this nonlinear SV on pricing currency options and it is found that the lognormal model overprices options.Box-Cox transformations, Stochastic volatility, MCMC, Exchange rate volatility, Option pricing.

A CFD study of IGV vane number on hydraulic characteristics and pressure pulsation of an is centrifugal pump

Vane number is an important parameter of IGV device, which indirectly affects hydraulic performance and pressure pulsation characteristics of the attached pump. In this study, based on an IS pump, the influences of vane number on hydraulic performance and pressure pulsation characteristics were considered. Four set of IGV devices were generated to assemble to the pump with 5, 6, 7 and 9 vanes, respectively. Then the three-dimensional unsteady flow fields were simulated using RNG k-ε turbulence model and sliding mesh by Fluent-16.0. The numerical results showed good agreement with the experimental data, which validated the numerical models. The effects of vane number on pump head and efficiency are different. 6 vanes IGV device can produce higher head while 7 or 9 vanes can bring about higher efficiency. Similarly, the influences of vane number on pressure pulsation in time domain and frequency domain are also complex. 6 vanes IGV device can remarkably decrease power spectral density at all flow rate conditions, but 7 vanes IGV device can improve pump pressure pulsation characteristics and realize better hydraulic stability. Therefore, it is hard to determine the best vane number, but 6 vanes IGV device is suggested for engineering application to obtain better hydraulic performance

Mechanics, hydration phase and pore development of embodied energy and carbon composites based on ultrahigh-volume low-carbon cement with limestone calcined clay

Engineered cement-based composites exhibit excellent deformability, mechanical behavior, fresh performance and durability. However, the traditional cement-based composites incorporating high volume ordinary Portland cement would lead to high carbon footprint. In this study, a new and eco-efficient engineered cement-based composites was designed by incorporating Polypropylene fibers (PPF) and eco-friendly cement with limestone calcined clay (LC3-ECCs). The LC3-ECCs were analyzed and discussed in terms of mechanical properties, microscopic morphology, hydration products and porosity. The study found that the 28-days compressive behavior was above 44.2 MPa, and the flexural strength remained above 4.8 MPa. Because of the formation and gathering of highly polymerized compound products (C-S-H gel, C-A-S-H gel) in the matrix and plenty of ettringite, the bonding effect between PPF and LC3 cementitious matrix is better. Additionally, the LC3-ECCs with 1.5 % volume content of PP fiber showed less porosity beneficial to the mechanical behavior. This study suggests that low-carbon LC3 has the potential to be successfully utilized as the alternative to OPC and is suitable to design sustainable ECCs, and this low-carbon construction product can be also generally applied into some area with the abundant clay sources

Intelligent Scoliosis Screening and Diagnosis: A Survey

Scoliosis is a three-dimensional spinal deformity, which may lead to abnormal morphologies, such as thoracic deformity, and pelvic tilt. Severe patients may suffer from nerve damage and urinary abnormalities. At present, the number of scoliosis patients in primary and secondary schools has exceeded five million in China, the incidence rate is about 3% to 5% which is growing every year. The research on scoliosis, therefore, has important clinical value. This paper systematically introduces computer-assisted scoliosis screening and diagnosis as well as analyzes the advantages and limitations of different algorithm models in the current issue field. Moreover, the paper also discusses the current development bottlenecks in this field and looks forward to future development trends.Comment: in Chinese languag

Multi-head attention-based long short-term memory for depression detection from speech.

Depression is a mental disorder that threatens the health and normal life of people. Hence, it is essential to provide an effective way to detect depression. However, research on depression detection mainly focuses on utilizing different parallel features from audio, video, and text for performance enhancement regardless of making full usage of the inherent information from speech. To focus on more emotionally salient regions of depression speech, in this research, we propose a multi-head time-dimension attention-based long short-term memory (LSTM) model. We first extract frame-level features to store the original temporal relationship of a speech sequence and then analyze their difference between speeches of depression and those of health status. Then, we study the performance of various features and use a modified feature set as the input of the LSTM layer. Instead of using the output of the traditional LSTM, multi-head time-dimension attention is employed to obtain more key time information related to depression detection by projecting the output into different subspaces. The experimental results show the proposed model leads to improvements of 2.3 and 10.3% over the LSTM model on the Distress Analysis Interview Corpus-Wizard of Oz (DAIC-WOZ) and the Multi-modal Open Dataset for Mental-disorder Analysis (MODMA) corpus, respectively

Investigation of using limestone calcined clay cement (LC3) in engineered cementitious composites: The effect of propylene fibers and the curing system

Limestone calcined clay cement (LC3) is a new type of low-carbon cement that can reduce energy consumption and carbon dioxide emissions while meeting the performance requirements of ordinary cement. In this study, polypropylene (PP) fibers were mixed into limestone calcined clay cement-based materials to make new low-carbon ECCs. In this study, a total of 24 sets of specimens were designed for 4 groups of curing ages and 6 types of mix ratios. The compressive load–displacement data were measured the compressive curve characteristics were analyzed then, a compressive constitutive model of the composites was deduced and obtained. Through XRD, SEM-EDS and MIP experiments, the reasons and laws of the compressive strength ranges of adding PP fibers and LC3 to engineered cementitious composites (LC3-PP-ECCs) are further explained from the perspective of the pore size, microstructures and hydration products. The results show that, after 28 days, the compressive strength values of LC3-PP-ECCs generally decreases with increasing PP fiber content and the combined effect of PP fibers and hydration products causes the compressive strength of LC3-ECCs with 0.5% PP fibers to drop sharply. In addition, the specimens showed better properties in terms of toughness, ductility and energy absorption. However, in the microstructures, the addition of PP fibers will cause more internal defects and flaws. This results of this study can provide some theoretical experience and technical support for the engineering application of LC3-ECCs

Resveratrol increases the sensitivity of multiple myeloma cells against bortezomib via Hedgehog signaling pathway

Purpose: To investigate the effect of resveratrol (RSV) on bortezomib (BTZ)-resistant multiple myeloma (MM) cells, and to elucidate the underlying mechanism of action. Methods: H929 cell lines were exposed to BTZ for 8 months to establish BTZ-resistant MM cell model. Cell proliferation was determined by 3-(4,5-dimethylthiazol-2-yl)-2,5-diphenyltetrazolium bromide (MTT) assay. Apoptosis was measured using annexin V/propidium iodide (PI) staining while cell cycle analysis was evaluated by flow cytometry. The expression of Hedgehog (Hh) signaling proteins (sonic hedgehog (SHH), smoothened (SMO), and glioma-associated oncogene homolog (GLI)) was analyzed by western blot. Results: H929R was confirmed as a MM cell line that is resistant to BTZ. RSV enhanced the sensitivity of H929R cells against BTZ via inhibition of cell viability and colony formation, induction of cell apoptosis and regulation of expression of apoptosis-related proteins. Furthermore, RSV inhibited the expression of Hh signaling proteins (p < 0.05. Conclusion: RSV enhances the sensitivity of MM cells to BTZ, partly via Hh signaling pathway. Thus, Hh pathway is a probable target for MM treatment, and RSV has potentials for use in the clinical management of MM