Self-organization of value and demand

We study the dynamics of exchange value in a system composed of many interacting agents. The simple model we propose exhibits cooperative emergence and collapse of global value for individual goods. We demonstrate that the demand that drives the value exhibits non Gaussian "fat tails" and typical fluctuations which grow with time interval with a Hurst exponent of 0.7.Comment: RevTex, 4 pages, 3 figure

Emeklilik Fonlar? ve Finansal ?stikrar: ?ili ve Türkiye Örneklerinden Dersler

Emeklilik fonlar?, i) uzun vadeli yat?r?m perspektifine sahip olmas?, ii) finansal piyasalardaki oynakl??? uzun vadeye yayarak absorbe edebilmesi, ve iii) yat?r?mlar?n? hisse senedi ve altyap? fonlar? ile reel ekonomiye aktarmalar? sayesinde; finansal piyasalardaki oynakl???n azalmas?na katk?da bulunmaktad?r. Bu çal??ma, geli?mekte olan ülkelerde (GOÜ),  emeklilik fonlar?n?n ekonomideki pay?n?n en dü?ük oldu?u ülkelerden Türkiye'de (%2) ve en yüksek oldu?u ülkelerden ?ili'de (%66) emeklilik sistemlerinin kar??la?t?rmal? analizini sunarak, emeklilik fonlar?n?n finansal piyasalardaki oynakl??a olan etkisini 2004-2014 dönemi için incelemektedir. Çal??ma ayn? zamanda, Türkiye’de uygulanmas? planlanan ‘otomatik kat?l?m sistemi’ ve bu sistemi tamamlay?c? ‘fon ürünleri’ üzerine politika önerilerini de kapsamaktad?r

Clean bed head-loss of various filter media

Granüler filtrasyon su arıtımında yaygın olarak kullanılan bir arıtma yöntemi olup bu prosesin tasarım ve işletmesi açısından yük kayıpları büyük önem taşımaktadır. Bu çalışmada laboratuvar ölçekli bir filtrasyon kolonunda sık kullanılan farklı filtre malzemeleri için temiz yatak yük kayıpları belirlenmiştir. Karışık boyutta elde edilen malzemelerin eleme işlemi ile fraksiyonlarına ayrılması sonucu 6 kum, 5 perlit, 8 garnet ve 3 kırık cam fraksiyonu elde edilmiştir. Karşılaştırma amacıyla küreler ile de deneysel çalışma yürütülmüştür. Deney düzeneği filtredeki hidrolik koşulların da etkisini incelemek amacıyla yüksek hızlarda da veri elde edilebilecek şekilde tasarlanmıştır. En yüksek yük kayıpları malzemenin çapına da bağlı olarak 0.1 m/sn filtre hızında 5-6 m olarak gözlenmiştir. Filtrasyon hızı ile yük kaybının lineer olmayan bir şekilde değiştiği tüm malzeme türleri ve her bir fraksiyon için teyit edilmiştir. Aynı zamanda gözeneklilik ve tanecik çapı parametrelerinin yük kaybı üzerindeki etkisi incelenmiştir. Yaklaşık olarak aynı tanecik çapındaki kum, perlit ve garnet yataklarında yük kaybı oluşumu karşılaştırmalı olarak incelenmiş ve gözenekliliğin en düşük olduğu kum yatakta en yüksek yük kaybı elde edilmiştir. Küresellik ile ifade edilen malzeme şeklinin gözenekliliği etkileyen bir unsur olduğu ortaya konmuştur. Tane çapının yük kaybı üzerindeki etkisi kum ve garnetin farklı fraksiyonlarından oluşan kapsamlı bir aralıkta incelenmiş ve her iki malzeme türü için de tane çapı küçüldükçe yük kaybının arttığı gözlenmiştir. Anahtar Kelimeler: Filtrasyon, granüler malzeme, temiz yatak, yük kaybı, gözeneklilik, küresellik.Granular filtration is a process that is widely used for removing particulate matter from water. The granular media filtration process is affected by the properties of the filter media including grain size, bed porosity and specific surface area. Especially, determination of clean bed head loss is important in the design and operation of filters. Clean bed head-loss of various common filter media obtained from several sources was determined in a laboratory scale filter column. The cylindrical column made of plexiglass was 4 cm in diameter and 2 m in height. It was connected to a water tank through a series of pipes and valves. The water tank was filled with tap water and served as a water reservoir for the filtration column. A constant speed centrifugal pump drew water from the tank and pumped it to the top of the column. In addition, the system allowed the water to flow upwards in the column to achieve various porosity ranges as well as to fluidize the media and bleed any residual air. In the filtration cycle the water travelled down the filter column through a bed of media and was then returned to the water tank. A cartridge filter was used to trap possible suspended solids thus ensuring the recirculated water remained clean. To measure the head-loss across the media bed as water passed through it, piezometer taps at the top and bottom of the media were connected to a water-air manometer, as well as a mercury manometer and a differential pressure transducer. Flow rate of the equipment being used determined the choice of the instrument. Flow rate was measured by an electromagnetic flow meter across the range of 0.17-17L/min. Because the density and dynamic viscosity of the fluid changes with temperature, a Pt-100 thermometer was installed on the column and temperature was monitored continuously. Once the media had been loaded in the column, the filter was operated in the down flow mode and the flow rate was gradually increased and then decreased to a minimum value prior to head-loss measurements. As such the compaction of the media during the experiment was prevented. The porosity of the filter bed was determined separately for each run using the weight of the filter media introduced to the column, the height of the filter bed, the inside diameter of the filter column and the specific gravity of the media. The media which were normally composed of different grain sizes were sieved and 6 fractions of sand, 5 fractions of perlite, 8 fractions of garnet and 3 fractions of crushed glass were obtained. Experiments were also conducted on using glass beads for comparison. Experimental set-up was designed so as to obtain data at high filtration rates in order to evaluate the hydraulic behavior in the column. The maximum head-loss was measured as 5-6 m for 0.1 m/s filter rate. Head-loss measurements were made? for a minimum of three porosities for each medium. These porosities corresponded to the maximum compaction that could be obtained by directly tapping on the column, gradual shut off of backwash water and an intermediate value between these. For each type of medium and fraction it was confirmed with literature that there exists a non-linear relationship between filter rate and head-loss. Besides, effect of porosity and grain size on head-loss was assessed. As the bed consists of uniform particles when a sieved fraction of medium is used instead of its mixed form, more robust evaluations were possible. The sensitivity of head-loss to porosity was examined via extensive experiments. The head-loss occurrence in beds of sand, perlite and garnet of approximately same grain size were compared to each other. The highest head-loss was observed for the bed composed of sand due to the lowest porosity value. Also, experiments were conducted with approximately same size of sand and glass beads separately but at the same porosity. It was noticed that sand caused higher head-losses, which were more easily observed at higher filter rates. Different porosities were achieved by directly tapping to the column or gradual shutoff of the backwash water. Also, it was verified that grain shape defined by sphericity affected the porosity. The sphericity of crushed glass being an angular medium was found to be around 0.5. The porosity range obtained with this media showed to be higher than other filter media. To evaluate the effect of grain size on head-loss, several fractions of sand and garnet were compared and an inversely proportional relation was observed independent of the type of the medium. Keywords: Filtration, granular material, clean bed, head-loss, porosity, sphericity

Forecasting exchange rate volatility using conditional variance models selected by information criteria

This paper uses appropriately modified information criteria to select models from the GARCH family, which are subsequently used for predicting US dollar exchange rate return volatility. The out of sample forecast accuracy of models chosen in this manner compares favourably on mean absolute error grounds, although less favourably on mean squared error grounds, with those generated by the commonly used GARCH(1, 1) model. An examination of the orders of models selected by the criteria reveals that (1, 1) models are typically selected less than 20% of the time

Expansion of non-spherical media during fluidization

Liquid-solid fluidization has a number of applications in engineering. The expansion of granular filter media during backwashing is of particular interest. Another area of application that is of growing importance is fluidized-bed reactors used in wastewater treatment. It is important to have an understanding of fluidization principles and an ability to predict bed expansion as a function of liquid velocity to design such systems properly. More often than not, the media involved are not spherical and it is necessary to have an expansion model that can be applied to beds of non-spherical particles. Numerous equations have been proposed to predict the expansion of liquid fluidized beds of spherical particles. Very few general equations exist, however, for non-spherical media. Furthermore, the accuracies of the expansion models for non-spherical media have not been evaluated or compared in a conclusive manner to this date. This study considers the expansion of beds of possibly non-spherical particles during particulate fluidization. New experimental data with both spherical and non-spherical media are presented. Fluidization experiments have been carried out with glass balls of eight different sizes (1.11, 1.19, 2.03, 2.99, 3.18,  4.03, 4.98 and 6.01 mm), plastic balls of three different sizes (1.97, 2.48 and 2.87 mm), ten sieved fractions of silica sand, eleven sieved fractions of crushed glass, and seven sieved fractions of perlite. Perlite and crushed glass were included in this study because their properties (densities and sphericities) are different than those of silica sand, and as such they can provide additional fluidization data. It may also be noted that both materials have been considered as substitutes for silica sand in rapid filters. To obtain additional fractions of crushed glass material, particles retained in the topmost sieve tray were crushed again and sieved. In this manner sufficient quantities of additional fractions of crushed glass were obtained. Glass fractions obtained by repeated crushing and sieving were observed to have higher sphericity values. Using this procedure, crushed glass fractions with approximately the same size and density but different sphericities were produced. This allowed the collection of additional fluidization data to investigate the effect of shape on expansion behavior.The sand, perlite, and crushed glass fractions were obtained by a manual sieving procedure followed by an additional 1 minute of manual sieving such that the change in weight during the latter was less than 1% for each fraction. Densities were measured by a water-displacement technique. Equivalent diameters have been measured by counting and weighing 200 grains of each fraction. Porosities were calculated from bed weight, bed height, and density values. Sphericity of each material was determined using fixed-bed head loss data in conjunction with the Ergun equation. For all the materials studied in this work, sphericity values calculated using fixed-bed head loss measurements and the Ergun equation allowed successful prediction of the effect of particle shape on bed expansion during fluidization. Sphericity values of the materials studied was found to be 0.74, 0.66, 0.42 and 0.55 for sand, perlite, crushed glass and crushed glass produced by repeated crushing, respectively. For the eight different sizes of glass and plastic balls, the calculated sphericities by using the Ergun equation were always close to 1.0. A new equation is developed by analyzing fluidization data from the literature and the data collected in this work. The proposed equation represents the mentioned data very accurately and can be used to predict the expansion of both spherical and non-spherical media.The non-spherical particle data fall below the curve for spheres on the friction factor versus the modified Reynolds number diagram. For the materials studied, it has been observed that this shape effect depends on the Reynolds number and is considerably stronger than documented previously in the literature.  The proposed equation can be used to predict the expansion of both spherical and non-spherical media. When applied to the non-spherical particle data obtained in this work (bed expansions from 20% to about 100%, sphericities between 0.410 and 0.757), the mean error in the predicted porosity values is 2.45%. The corresponding mean error that results from Dharmarajah-Cleasby (1986) equation is 4.4%.     Keywords: Filter backwash hydraulics, fluidization, filter material, sphericity.Akışkan yatakların genişlemesi sırasındaki hız-gözeneklilik ilişkileri üzerine önerilen pek çok denklem mevcuttur. Bununla birlikte bu denklemlerin tamamına yakını sadece küresel malzemelere uygulanabilir nitelikte olup küresel olmayan tanecikler için önerilen az sayıda modelin büyük çoğunluğu da ampiriktir ve şekil faktörü etkisini açık bir şekilde ortaya koymamaktadırlar. Ayrıca küresel olmayan tanecikler için geçerli genişleme modellerinin doğrulukları sistematik bir şekilde değerlendirilmemiş ve karşılaştırılmamıştır. Bu çalışmada küresel olmayan malzemeler ile ilgili akışkanlaşma deneyleri yürütülmüştür. Bu amaçla 10 farklı kum, 7 farklı perlit ve 11 farklı kırılarak oluşturulmuş cam fraksiyonu hazırlanmış, malzemelerin şeklinin akışkanlaşma sırasındaki davranışları üzerine etkisini belirlemek amacıyla sabit yatak yük kayıpları ve Ergun denklemi kullanılarak elde edilen küresellik katsayıları tespit edilmiştir. Bu şekilde her malzeme için ayrı ayrı hesaplanan küresellik parametresi akışkanlaşma çalışmalarının modellenmesinde oldukça iyi neticeler vermiştir. Çalışılan malzemelerin küresellik katsayıları kum, perlit, tek seferde kırılarak oluşturulmuş kırık cam ve tekrarlı kırma suretiyle oluşturulmuş kırık cam fraksiyonları için sırasıyla yaklaşık 0.74, 0.66, 0.42 ve 0.55 olarak bulunmuştur. Literatürde sıklıkla atıf alan küresel olmayan malzemelerin akışkanlaşma sırasındaki hız-gözeneklilik ilişkisini veren Dharmarajah-Cleasby (1986) denklemi bu çalışmada elde edilen deneysel veriler kullanılarak irdelenmiş ve küresel ve küresel olmayan malzemelerin genişlemiş yatak yükseklikleri ve gözenekliliklerinin tahmininde kullanılacak alternatif yeni bir denklem ile karşılaştırılmıştır. Geliştirilen yeni modelin Dharmarajah-Cleasby (1986) denklemine göre çok daha tutarlı sonuçlar verdiği görülmüştür. Anahtar Kelimeler: Filtre geri yıkama hidroliği, akışkanlaşma, fitre malzemesi, küresellik. &nbsp

Variety and Volatility in Financial Markets

We study the price dynamics of stocks traded in a financial market by considering the statistical properties both of a single time series and of an ensemble of stocks traded simultaneously. We use the $n$ stocks traded in the New York Stock Exchange to form a statistical ensemble of daily stock returns. For each trading day of our database, we study the ensemble return distribution. We find that a typical ensemble return distribution exists in most of the trading days with the exception of crash and rally days and of the days subsequent to these extreme events. We analyze each ensemble return distribution by extracting its first two central moments. We observe that these moments are fluctuating in time and are stochastic processes themselves. We characterize the statistical properties of ensemble return distribution central moments by investigating their probability density functions and temporal correlation properties. In general, time-averaged and portfolio-averaged price returns have different statistical properties. We infer from these differences information about the relative strength of correlation between stocks and between different trading days. Lastly, we compare our empirical results with those predicted by the single-index model and we conclude that this simple model is unable to explain the statistical properties of the second moment of the ensemble return distribution.Comment: 10 pages, 11 figure

Price Variations in a Stock Market With Many Agents

Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large variations may be due to a crowd effect, where agents imitate each other's behavior. The variations over different time scales can be related to each other in a systematic way, similar to the Levy stable distribution proposed by Mandelbrot to describe real market indices. In the simplest, least realistic case, exact results for the statistics of the variations are derived by mapping onto a model of diffusing and annihilating particles, which has been solved by quantum field theory methods. When the agents imitate each other and respond to recent market volatility, different scaling behavior is obtained. In this case the statistics of price variations is consistent with empirical observations. The interplay between ``rational'' traders whose behavior is derived from fundamental analysis of the stock, including dividends, and ``noise traders'', whose behavior is governed solely by studying the market dynamics, is investigated. When the relative number of rational traders is small, ``bubbles'' often occur, where the market price moves outside the range justified by fundamental market analysis. When the number of rational traders is larger, the market price is generally locked within the price range they define.Comment: 39 pages (Latex) + 20 Figures and missing Figure 1 (sorry), submitted to J. Math. Eco

Çift tabakalı filtreler: Türkiye şartlarına uygun bir tasarım ve değerlendirme

Silica sand is the most widely used rapid filter medium around the world. The use of dual-media filtration, however, is now widespread in developed countries. Generally anthracite coal and silica sand are used together in dual-media filters. On the other hand, large water treatment plants in Turkey (including all the older and the new plants constructed by İSKİ and DSİ) still employ single-medium sand filters. A sand/anthracite dual media filter design was evaluated as a possible upgrade of the widely used rapid sand filters in Turkey. Pilot scale direct filtration experiments were carried out using raw and synthetic waters. The raw surface water was obtained from the raw water intake at the İkitelli drinking water treatment plant of Istanbul. Two identical filters were operated in parallel in all the experiments. One filter contained the silica sand medium that is currently used by several large municipalities in Turkey, whereas the other filter contained a layer of the same sand plus an anthracite layer that replaced the topmost 40 cm of the mono-medium sand filter. The properties of the dual media filter were selected such that the currently used sand filters in Turkey can be converted to dual media filters with a minimal amount of effort. Experiments were repeated several times as follows: (i) without the use of a coagulant, (ii-iv) with 3 mg/L, 5 mg/L and 10 mg/L of alum, and (v-vi) with 5 mg/L and 10 mg/L of ferric chloride. Turbidity, particle counts, and head losses were measured and compared as functions of time. In all the experiments carried out in this work, the following were observed: (1) Whenever a coagulant was used, the filter containing sand/anthracite dual media produced effluent turbidities and particle counts similar to those obtained with the sand filter. (2) Sand/anthracite medium generated a smaller clean-bed head loss and smaller clogging head losses than those of the sand filter. Considering the experience with dual media filters over many years in other parts of the world, these findings are not surprising. These findings are significant, however, because they demonstrate the applicability of dual media filtration under unique local conditions. The following factors are important in this respect: (1) The sand medium employed in the dual media filter was the same as the currently used sand in local plants. The same sand can be continued to be used after conversion to dual media filtration. All that is necessary is to replace about 40 percent of the sand by anthracite. Furthermore, the currently used media-retaining nozzles and the underdrain system will not have to be changed. (2) The tests are unique in that, the performance of the particular combination of media sizes and depths used in this study –to the best knowledge of the authors- have not been documented in the literature. (3) Many of the studies comparing dual media filters with mono-medium filters were carried out long time ago and without particle counters, using turbidity as the sole indicator of particle removal efficiency. The use of on-line particle counters in this study allowed a better comparison of the effluent qualities achievable in single and dual media filters. It is concluded that the particular sand-anthracite dual media design selected in this study can be employed to decrease and delay filter head loss development. The use of the dual media filter design described here will allow longer filter runs while obtaining essentially the same effluent quality. Another benefit of converting to dual media filtration will be the more widespread use of direct filtration which is currently not preferred by local engineers even when faced with low turbidity raw waters. Keywords: Drinking water treatment rapid filtration, filter material, silica sand, anthracite coal, particle removal.Silika kumu, bütün dünyada en yaygın olarak kullanılan filtre malzemesi olmakla birlikte gelişmiş ülkelerde çift ve daha çok tabakalı filtrelerin kullanımı yaygınlaşmıştır. Çift malzemeli filtrelerde genellikle antrasit kömürü ve silika kumu birlikte kullanılmaktadır. Ancak Türkiye’deki mevcut büyük arıtma tesislerinde sadece silika kumu kullanımı devam ettirilmektedir. Bu çalışmada, İstanbul’un içme suyunun büyük bir bölümünü sağlayan İkitelli içme suyu arıtma tesisi girişinden temin edilen hamsu ve sentetik olarak hazırlanan sular üzerinde pilot ölçekli hızlı filtrasyon deneyleri yürütülmüştür. Çalışmalarda iki paralel filtre kullanılmıştır. Filtrelerden biri Türkiye’de yaygın olarak kullanılan silika kumunu, diğeri ise antrasit kömürü ve silika kumunu içerecek şekilde çift tabakalı olarak hazırlanmıştır. Deneyler bu iki paralel filtrenin eş zamanlı çalıştırılması ile yürütülmüş ve filtrelerin performansı zamana bağlı olarak bulanıklık, parçacık sayımı ile yük kayıpları ölçülerek mukayese edilmiştir. Çalışmanın temel hedefi değişik filtre malzemesi kombinasyonu kullanımının su kalitesi ve yük kayıplarına olan etkilerini tespit etmektir. Bu çalışmada elde edilen temel neticeler şu şekilde özetlenebilir: (i) Uygun dozajda bir yumaklaştırıcı kullanıldığı takdirde, çift tabakalı (antrasit ve kum) filtrede tek tabakalı (silika kumu) filtredekine eşdeğer çıkış suyu kalitesi elde edilmiştir. (ii) Çift tabakalı filtrede hem temiz yatak (filtrasyon başlangıcındaki) yük kayıpları hem de filtrenin tıkanmasından dolayı ortaya çıkan yük kaybı artışları tek malzemeli kum filtreninkine nazaran mühim ölçüde daha az olmuştur. Anahtar Kelimeler: İçme suyu arıtımı, hızlı filtrasyon, filtre malzemesi, silika kumu, antrasit kömürü, parçacık giderimi

On the relation between GARCH and stable processes

Stable and GARCH processes have been advocated for modeling financial data. The aim of this note is to compare the two processes. It is shown that the unconditional distribution of variaties from a GARCH-like process, which explicity models the clustering of volatility and exhibits the fat-tail property as well, can be stable. Given suitable conditions the conditional distributions are stable as well. While it is generally realized that processes with variates that have unconditional nonnormal stable densities have a high frequency of ‘outliers’, it is less well known that they can exhibit the clustering phenomenon too. The clustering is obtained through stable subordination with conditional scaling