Inference on sets in finance

In this paper we introduce various set inference problems as they appear in finance and propose practical and powerful inferential tools. Our tools will be applicable to any problem where the set of interest solves a system of smooth estimable inequalities, though we will particularly focus on the following two problems: the admissible mean-variance sets of stochastic discount factors and the admissible mean-variance sets of asset portfolios. We propose to make inference on such sets using weighted likelihood-ratio and Wald type statistics, building upon and substantially enriching the available methods for inference on sets.

Book Reviews

Reviews of the following books: North for Union: John Appleton\u27s Journal of a Tour to New England Made by President Polk in June or July 1847 edited by Wayne Cutler; Storehouses of Time: Historic Barns of the Northeast by Philip C. Ziegler

Analog property checkers: a DDR2 case study

The formal specification component of verification can be exported to simulation through the idea of property checkers. The essence of this approach is the automatic construction of an observer from the specification in the form of a program that can be interfaced with a simulator and alert the user if the property is violated by a simulation trace. Although not complete, this lighter approach to formal verification has been effectively used in software and digital hardware to detect errors. Recently, the idea of property checkers has been extended to analog and mixed-signal systems. In this paper, we apply the property-based checking methodology to an industrial and realistic example of a DDR2 memory interface. The properties describing the DDR2 analog behavior are expressed in the formal specification language stl/psl in form of assertions. The simulation traces generated from an actual DDR2 interface design are checked with respect to the stl/psl assertions using the amt tool. The focus of this paper is on the translation of the official (informal and descriptive) specification of two non-trivial DDR2 properties into stl/psl assertions. We study both the benefits and the current limits of such approac

Use of acoustic analogy for marine propeller noise characterisation

Being able to predict shipborne noise is of significant importance to international maritime community. Porous Ffowcs-Williams Hawkings acoustic analogy is used with cavitation model by Sauer & Schnerr in order to predict the noise signature of the Potsdam Propeller operating in open water. The radiation pattern is shown to be predominantly affected by a dipole source, in addition to less prominent sources at the propeller plane and in the wake. It is shown that the predicted sound pressure levels depend on the choice of the control surface and grid density. The unsteady RANS method is shown to be capable of capturing the blade harmonic noise components but lacks the ability to deal with the broadband part of the noise spectrum, both cavitation and turbulence induced, if no additional modelling is used

The influence of turbulence modelling techniques on the predicted cavitation behaviour on a NACA0009 foil

The work presented here forms part of a project focusing on the development of cost-effective measures of classifying the noise levels from ship propellers with the use of numerical techniques available in OpenFOAM software. It is also related to the on-going research within the Faculty of Engineering and the Environment at the University of Southampton, looking at underwater noise of tidal turbines. Ultimately, the aim of the complete study is to enable the assessment of the environmental impact of a ship on the marine ecosystems. In this work a set of results from numerical experiments applied to the NACA0009 foil is presented in the context of quantifying the noise levels produced by a cavitating body in a uniform flow. The simulations utilise both URANS and LES methods and provide a means of characterising the differences between the observed flow patterns from the cavitation modelling point of view. In particular, the interactions of the cavitation phenomena with the turbulence, both modelled and resolved, are studied. Furthermore, an overview of how the considered cavitation models may be used for the purpose of noise prediction is give

Multi-scale modelling of cavitation-induced pressure around the delft twist 11 hydrofoil

A hybrid Lagrangian-Eulerian cavitation model based on the Schnerr-Sauer mass-transfer formulation is developed and then applied to study the flow around the Delft Twist 11 hydrofoil. The model uses volume-of-fluid approach to resolve large cavities and uses an interface reconstruction algorithm to identify vapour structures smaller than a grid-related threshold. These are then transferred to a Lagrangian framework and convected as particles acting as point noise sources. The underlying volume-of-fluid (VOF) model is shown to be in qualitatively good agreement with the experiment although it is found to under-predict the extent of cavitation. The combined model shows a substantial improvement in the prediction of near-field pressure fluctuations by accounting for the broadband contribution of bubbles smaller than the Eulerian grid size. In the pressure fluctuation spectra this is seen as a plateau extending to over a kilohertz beyond the low-frequency harmonics associated with the shedding frequency

PROBLEM ODPORNOŚCI SYSTEMU NA USZKODZENIA

System level self-diagnosis (SLSD) has been deeply investigated in literature. It aims at diagnosing systems composed by units, which are required to be able to test each other by exchanging information through available links. The article describes a simplified state-transition diagram model which gives a general impression of how checking, diagnosis and recovery can “conjointly” influence the system reliability and fault-tolerance. The model uses the integrated parameters and is very useful as a starting point and is a basis for further refinements.Autodiagnostyka na poziomie systemu jest szeroko opisywana w literaturze. Celem jest diagnostyka systemy składającego się z jednostek od których wymaga się aby miały możliwość wzajemnego testowania  za pośrednictwem dostępnych połączeń. W artykule przedstawiono uproszczony model oparty na diagramie przejść który daje ogólny pogląd, jak sprawdzanie, diagnostyka i powrót do warunków normalnych mogą wspólnie wpływać na niezawodność systemu i odporności na uszkodzenia. Model wykorzystuje zintegrowane parametry i jest bardzo przydatne jako punkt wyjścia dla dalszych udoskonaleń

\u27Breaking Points,\u27 but No \u27Broken\u27 Border: Stakeholders Evaluate Border Issues in the Pacific Northwest Region

At the beginning of the 21st century, as global flows emanate from North America and from all around the world to stream across our continent in every direction, the enhanced border between Canada and the United States of America appears strangely enigmatic. Due to the immense pressure on the one hand to step up security, and the almost equally strong imperative on the other to expedite crossing, the border has been re-invented to enable the rapid crossing of some goods and services, and some people (Konrad and Nicol, 2008; Brunet-Jailly, 2007)

Analog Property Checkers: A Ddr2 Case Study

The formal specification component of verification can be exported to simulation through the idea of property checkers. The essence of this approach is the automatic construction of an observer from the specification in the form of a program that can be interfaced with a simulator and alert the user if the property is violated by a simulation trace. Although not complete, this lighter approach to formal verification has been effectively used in software and digital hardware to detect errors. Recently, the idea of property checkers has been extended to analog and mixed-signal systems. In this paper, we apply the property-based checking methodology to an industrial and realistic example of a DDR2 memory interface. The properties describing the DDR2 analog behavior are expressed in the formal specification language stl/psl in form of assertions. The simulation traces generated from an actual DDR2 interface design are checked with respect to the stl/psl assertions using the amt tool. The focus of this paper is on the translation of the official (informal and descriptive) specification of two non-trivial DDR2 properties into stl/psl assertions. We study both the benefits and the current limits of such approach

Explorations, Vol. 4, No. 1

Articles include: Cover: Old Yarmouth Light, 1960, Cape Forchu, Nova Scotia. By and from the collection of Edgar McKay. The Borderlands Concept: a new look at U.S.-Canada relations, by Victor Konrad and Lauren McKensey Fundy Tidal Power Project, by Gregory White Canadian Poet: Ken Norris Native American Life and Art: a celebration, November, 1986, by Lee-Ann Konrad The Montreal Canadiens: a cultural institution, by James J. Herlan U.S. and Canadian Executives: uses of formal and informal plans in top executive decision-making, by Kent Carter Our Cover Artist: bits and pieces of one man\u27s Nova Scotia, by Edgar McKay The Canadian-American Center and the Canadian Collection of the Fogler Library, by Alice Stewart Capitalist Development in the New England-Atlantic Provinces Region, by Robert H. Babcock Atlantic Canadian Members of Parliament as Representatives, by Howard Cody The Rower and the Pyramid: a tribute to Joe Walsh, by Edward D. Ives The Canadian-American Center: exercise in excellence, by Rand Erb Canadian and Maine Potatoes: a bushel of questions, by George K. Griner, Alan S. Kezis, and James D. Leiby After 20: the Future of the Canadian-American Center, by Victor Konra