Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market

<div align=justify>This paper investigates interdependence of fifteen world indices including an Indian market index in terms of return and volatility spillover effect. Interdependence of Indian stock market with other fourteen world markets in terms of long run integration, short run dependence (return spillover) and volatility spillover are investigated. These markets are that of are Canada, China, France, Germany, Hong-Kong, Indonesia, Japan, Korea, Malaysia, Pakistan, Singapore, Taiwan, United Kingdom and United States. Long run and short run integration is examined through Johansen cointegration techniques and Granger causality test respectively. Vector autoregressive model (VAR 15) is used to estimate the conditional return spillover among these indices in which all fifteen indices are considered together. The effect of same day return in explaining the return spillover is also modeled using univariate models. Volatility spillover is estimated through AR-GARCH in which residuals from the index return is used as explanatory variable in GARCH equation. Return and volatility spillover between Indian and other markets are modeled through bivariate VAR and multivariate GARCH (BEKK) model respectively. It is found that there is greater regional influence among Asian markets in return and volatility than with European and US. Japanese market, which is first to open, is affected by US and European markets only and affects most of the Asian Markets. Also, high degree of correlation among European indices namely FTSE, CAC and DAX is observed. US market is influenced by both Asian and European markets. Specific to Indian context, it is found that Indian market is not cointegrated with rest of the world except Indonesia. This may provide diversification benefits for potential investors. However, strong short run interdependence is found between Indian markets and most of the other markets. Indian and other markets like US, Japan, Korea, and Canada positively affect each others conditional returns significantly. Indian market also has significant effect on Malaysia, Pakistan, and Singapore return. This study found that there is significant positive volatility spillover from other markets to Indian market, mainly from Hong Kong, Korea, Japan, and Singapore and US market. Indian market affects negatively the volatility of US and Pakistan. It is interesting to note that Chinese and Pakistan markets are less integrated with other Asian, European and US markets.</div>

The Dynamic Relationship between Price and Trading Volume:Evidence from Indian Stock Market

This study investigates the nature of relationship between price and trading volume for 50 Indian stocks. Firstly the contemporaneous and asymmetric relation between price and volume are examined. Then we examine the dynamic relation between returns and volume using VAR, Granger causality, variance decomposition (VD) and impulse response function (IRF). Mixture of Distributions Hypothesis (MDH), which tests the GARCH vs. Volume effect, is also studied between the conditional volatility and volume. The results show that there is positive and asymmetric relation between volume and price changes. Further the results of VAR and Granger causality show that there is a bi-directional relation between volume and returns. However, the results of VD imply weak dynamic relation between returns and volume which becomes more evident from the plots of IRF. On MDH, our results are mixed, neither entirely rejecting the MDH nor giving it an unconditional support.

FRDTM for numerical simulation of multi-dimensional, time-fractional model of Navier–Stokes equation

AbstractIn this paper, a new approximate solution of time-fractional order multi-dimensional Navier–Stokes equation is obtained by adopting a semi-analytical scheme: “Fractional Reduced Differential Transformation Method (FRDTM)”. Three test problems are carried out in order to validate and illustrate the efficiency of the method. The scheme is found to be very reliable, effective and efficient powerful technique to solve wide range of problems arising in engineering and sciences. The small size of computation contrary to the other schemes, is its strength

A New Numerical Approach for the Solutions of Partial Differential Equations in Three-Dimensional Space

This paper deals with the numerical computation of the solutions of nonlinear partial differential equations in threedimensional space subjected to boundary and initial conditions. Specifically, the modified cubic B-spline differential quadrature method is proposed where the cubic B-splines are employed as a set of basis functions in the differential quadrature method. The method transforms the three-dimensional nonlinear partial differential equation into a system of ordinary differential equations which is solved by considering an optimal five stage and fourth-order strong stability preserving Runge-Kutta scheme. The stability region of the numerical method is investigated and the accuracy and efficiency of the method are shown by means of three test problems: the threedimensional space telegraph equation, the Van der Pol nonlinear wave equation and the dissipative wave equation. The results show that the numerical solution is in good agreement with the exact solution. Finally the comparison with the numerical solution obtained with some numerical methods proposed in the pertinent literature is performed

Some results concerning global avalanche characteristics of two qq-ary functions

The global avalanche characteristics criteria was first introduced by Zhou et al. (Inform. Sci. 180(2) (2010) 256-265). This article is concerned with some new bounds on global avalanche characteristics of two $q$-ary functions. Based on the above result we obtain a bound on $\sigma_{f}$ of f \in \cB_{n, q} in terms of $\sigma_{f_{\ell}}\u27$s of the restricted functions on \BBZ_{n-1}^q, and construct a class of $q$-ary bent functions from $1$-plateaued functions having dijoint Walsh spectra

Secondary constructions on generalized bent functions

In this paper, we construct generalized bent Boolean functions in $n+ 2$ variables from $4$ generalized Boolean functions in $n$ variables. We also show that the direct sum of two generalized bent Boolean functions is generalized bent. Finally, we identify a set of affine functions in which every function is generalized bent

Third-order nonlinearities of some biquadratic monomial Boolean functions

In this paper, we estimate the lower bounds on third-order nonlinearities of some biquadratic monomial Boolean functions of the form $Tr_1^n(\lambda x^d)$ for all $x \in \mathbb F_{2^n}$, where \lambda \in \BBF_{2^n}^{*}, \begin{itemize} \item [{(1)}]$d = 2^i + 2^j + 2^k + 1$, $i, j, k$ are integers such that $i > j > k \geq 1$ and $n > 2 i$. \item [{(2)}] $d = 2^{3\ell} + 2^{2\ell} + 2^{\ell} + 1$, $\ell$ is a positive integer such that $\gcd (i, n) = 1$ and $n > 6$. \end{itemize

ASASSN-14dq: A fast-declining type II-P Supernova in a low-luminosity host galaxy

Optical broadband (UBVRI) photometric and low-resolution spectroscopic observations of the type II-P supernova (SN) ASASSN-14dq are presented. ASASSN-14dq exploded in a low-luminosity/metallicity host galaxy UGC 11860, the signatures of which are present as weak iron lines in the photospheric phase spectra. The SN has a plateau duration of $\sim\,$90 d, with a plateau decline rate of 1.38 $\rm mag\ (100 d)^{-1}$ in V-band which is higher than most type II-P SNe. ASASSN-14dq is a luminous type II-P SN with a peak $V$-band absolute magnitude of -17.7$\,\pm\,$0.2 mag. The light curve of ASASSN-14dq indicates it to be a fast-declining type II-P SN, making it a transitional event between the type II-P and II-L SNe. The empirical relation between the steepness parameter and $\rm ^{56}Ni$ mass for type II SNe was rebuilt with the help of well-sampled light curves from the literature. A $\rm ^{56}Ni$ mass of $\sim\,$0.029 M$_{\odot}$ was estimated for ASASSN-14dq, which is slightly lower than the expected $\rm ^{56}Ni$ mass for a luminous type II-P SN. Using analytical light curve modelling, a progenitor radius of $\rm \sim3.6\times10^{13}$ cm, an ejecta mass of $\rm \sim10\ M_{\odot}$ and a total energy of $\rm \sim\,1.8\times 10^{51}$ ergs was estimated for this event. The photospheric velocity evolution of ASASSN-14dq resembles a type II-P SN, but the Balmer features (H$\alpha$ and H$\beta$) show relatively slow velocity evolution. The high-velocity H$\alpha$ feature in the plateau phase, the asymmetric H$\alpha$ emission line profile in the nebular phase and the inferred outburst parameters indicate an interaction of the SN ejecta with the circumstellar material (CSM).Comment: 28 pages, 29 figures, Accepted in MNRA

Performance Improvement of Electro Optic Search and Track System for Maritime Surveillance

Surveillance of maritime domain is absolutely vital to ensure an appropriate response against any adverse situation relating to maritime safety or security. Electro-optic search and track (EOST) system plays a vital role by providing independent search and track of potential targets in marine environment. EOST provides real-time images of objects with details, required to neutralise threats. At long range, detection and tracking capability of EOST degrades due to uncertainty in target signatures under cluttered scenario. Image quality can be improved by using suitable sensors and enhancement using the target/background signature knowledge. Robust tracking of object can be achieved by optimising the performance parameters of tracker. In the present work, improvement in the performance of EOST subsystems such as sensor, video processor and video tracker are discussed. To improve EOST performance in terms of detection and tracking, sensor selection criterion and various real time image processing techniques and their selection criteria for maritime applications have been also discussed. Resultant improvement in the quality of image recorded under marine environment has been presented