12 research outputs found
Stochastic modelling of financial processes with memory and semi-heavy tails
No full textThis PhD thesis aims to study financial processes which have semi-heavy-tailed marginal distributions and may exhibit memory. The traditional Black-Scholes model is expanded to incorporate memory via an integral operator, resulting in a class of market models which still preserve the completeness and arbitragefree conditions needed for replication of contingent claims. This approach is used to estimate the implied volatility of the resulting model. The first part of the thesis investigates the semi-heavy-tailed behaviour of financial processes. We treat these processes as continuous-time random walks characterised by a transition probability density governed by a fractional Riesz- Bessel equation. This equation extends the Feller fractional heat equation which generates a-stable processes. These latter processes have heavy tails, while those processes generated by the fractional Riesz-Bessel equation have semi-heavy tails, which are more suitable to model financial data. We propose a quasi-likelihood method to estimate the parameters of the fractional Riesz- Bessel equation based on the empirical characteristic function. The second part considers a dynamic model of complete financial markets in which the prices of European calls and puts are given by the Black-Scholes formula. The model has memory and can distinguish between historical volatility and implied volatility. A new method is then provided to estimate the implied volatility from the model. The third part of the thesis considers the problem of classification of financial markets using high-frequency data. The classification is based on the measure representation of high-frequency data, which is then modelled as a recurrent iterated function system. The new methodology developed is applied to some stock prices, stock indices, foreign exchange rates and other financial time series of some major markets. In particular, the models and techniques are used to analyse the SET index, the SET50 index and the MAI index of the Stock Exchange of Thailand
Estimation and Simulation of the Riesz-Bessel Distribution
No full textIn this article, further properties of the Riesz-Bessel distribution are provided. These properties allow for the simulation of random variables from the Riesz-Bessel distribution. Estimation is addressed by nonlinear generalized least squares regression on the empirical characteristic function. The estimator is seen to approximate the maximum likelihood estimator. The distribution is illustrated with financial data. [ABSTRACT FROM AUTHOR] Copyright of Communications in Statistics: Theory & Methods is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts
Long-Range Dependence of Financial Time Series Data
No full textThis paper examines long-range dependence or longmemory
of financial time series on the exchange rate data by the
fractional Brownian motion (fBm). The principle of spectral density
function in Section 2 is used to find the range of Hurst parameter (H)
of the fBm. If 0< H <1/2, then it has a short-range dependence
(SRD). It simulates long-memory or long-range dependence (LRD) if
1/2< H <1. The curve of exchange rate data is fBm because of the
specific appearance of the Hurst parameter (H). Furthermore, some
of the definitions of the fBm, long-range dependence and selfsimilarity
are reviewed in Section II as well. Our results indicate that
there exists a long-memory or a long-range dependence (LRD) for
the exchange rate data in section III. Long-range dependence of the
exchange rate data and estimation of the Hurst parameter (H) are
discussed in Section IV, while a conclusion is discussed in Section V
60 pi Thailand
No full textThailand had formerly been known as ""Siam"" since Ayutthaya period. However, the country changed its name to ""Thailand"" during the administration of Field Marshal Phibunsongkhram. The author raises questions concerning what happened in Thailand's 1932 coup d'etat and political reform
Effects of Wind Angles and Wind Speeds on Voltage Generation of Savonius Wind Turbine with Double Wind Tunnels
No full textAbstractThis paper proposes effects of wind angles and wind speeds on capability of voltage generation of a savonius wind turbine with double wind tunnels. The savonius wind turbine under the study was designed to convert wind flows with opposite directions, such as wind flows due to the movement of vehicles that could be seen at the isles, into electricity. The prototype wind turbine had both diameter and height of 32 cm and had its shaft connected to an electric DC generator. Two tunnels with input and output wind areas of 1,980 and 782 cm2 each were used to increase wind speeds by 2.5 times for the turbine. The experimental results showed that the wind angles between 23.2 – 35.5 degrees provided high levels of generated voltages when the wind angle of 30 degrees provided the highest voltage among the wind angles of 0-90 degrees. The faster the wind speeds, the higher levels of generated voltage, i.e. the wind turbine generated peak voltage between 7.28-11.28 volts for the wind speeds between 4.86-6.41 m/s. In addition, the savonius wind turbine with double tunnels could generate output voltage at almost all the wind angles (60 to -75 degrees) whilst the conventional savonius wind turbine without tunnels could generate voltage only in the wind angle range of 17-38 degrees, as well as, with higher voltage levels for all wind speeds approximately by 45-68%
Lectotypifications of Three Names in Garcinia, Synonymy of Garcinia pedunculata and Detailed Descriptions of Three Species in Garcinia Section Brindonia (Clusiaceae)
No full textA revision of the genus Garcinia has recently been undertaken by the author as part of the Flora of Thailand. Herbarium specimens deposited in several herbaria, and those included in the digital herbarium databases, were examined by consulting taxonomic literature. In this study, the three names in Garcinia section Brindonia are lectotypified as G. gracilis, G. lanceifolia and G. planchonii. A new synonym for G. pedunculata, namely G. planchonii, is proposed. Detailed descriptions, recognitions and illustrations of three species in Garcinia (G. atroviridis, G. lanceifolia and G. pedunculata) are presented, along with information on distributions, specimens examined, habitats and ecology, IUCN conservation status, phenology, etymology, vernacular names and uses. The fruits, the young shoots and leaves, and the flowers of these three species are edible and have a sour taste. These species are often cultivated for their fruits
Experimental and theoretical studies of manganite and magnetite compounds
No full textIn the recent years interest in the transition oxide compounds has renewed among researchers in the field of condensed matter physics. This thesis presents the studies of the two families of the transition oxides, the manganite and magnetite compounds. Manganite has regained the interest since the discovery of the large magnetoresistance around its Curie temperature in 1990s. Magnetite on the other hand is the oldest magnetic material known to man however some of its physical properties are still controversial. The experimental works address some basic properties of these compounds when fabricated in the form of thin films. These include the resistivity measurements and magnetic measurements as well as the Hall effect. The various models of transport mechanism have been compared. The magnetic field and the temperature dependence of magnetoresistance have also been studied. Simple devices such as an artificial grain boundary and bilayers thin film have been investigated. The second part of this thesis concentrates on the theoretical aspects of the fundamental physics behind these two compounds. The problem of electrons tunnelling between the magnetite electrodes has been addressed taking into account the surface effect with distortion. The last chapter presents a theoretical study of the spinless-Hubbard model which is the simplest approximation of the conduction electrons in magnetite and manganite. The results are obtained from the Hartree-Fock and the Hubbard-I approximations as well as the exact diagonalisation method. (author)SIGLEAvailable from British Library Document Supply Centre- DSC:DXN058629 / BLDSC - British Library Document Supply CentreGBUnited Kingdo
A Bibliometric Review of Research on Higher Education for Sustainable Development, 1998–2018
No full textOver the last twenty years, higher education for sustainable development (HESD) has attracted increasing interest from scholars, students, and academic institutions globally. This bibliometric review of research analyzed 1459 Scopus-indexed documents related to higher education for sustainable development. The goals of the review were to document the volume, growth trajectory, and geographic distribution of the HESD literature, identify key authors, journals, and publications, analyze the intellectual structure of this knowledge base, and highlight emerging research issues. The review documented a rapidly growing knowledge base of recent vintage, mostly authored by scholars located in developed societies. Four core journals were identified, based on the volume of HESD publications and citation impact. Author co-citation analysis revealed three research clusters that underlie this knowledge base: Managing for Sustainability in Higher Education, HESD Competencies, and Implementation of HESD. This review provides a benchmark for future reviews of research on HESD, reveals the emerging intellectual structure of this inter-disciplinary field, and offers reference points for scholars entering this discipline
Effect of processing conditions on the morphology and mechanical properties of immiscible polymer blends
No full textThe effect of processing conditions on the morphology and mechanical properties of immiscible polymer blends has been studied. The role of a triblock copolymer as a compatibilizing agent has also been investigated. The system chosen consisted of the immiscible homopolymers polystyrene (PS) and low density polyethylene (LDPE). Polystyrene-block-poly(ethylene-butylene)- block-polystyrene (SEBS) triblock copolymer of various molecular weights were investigated as compatibilizers. Blends with various concentrations of LDPE were prepared by melt mixing using a mini twin screw extruder at various mixing temperatures and screw speeds. The bulk morphology of the blends was studied using optical, electron and atomic force microscopy. From these techniques the size and size distribution of the rubbery phase were obtained. Clear evidence of droplet type morphology was found in most samples. With the same LDPE concentration, the size and size distribution of the minor phase of the blends appeared to be independent of the processing conditions. The SEBS copolymers have the effect of reducing the interfacial tension between the homopolymers, as indicated by the smaller dispersed phase dimensions when small amounts of the SEBS copolymers were added to the blends. The low molecular weight copolymer was found to be superior to the high molecular weight one in terms of emulsifying effect. The rheological properties (complex viscosity, loss and storage moduli) were studied using parallel-plate and cone-plate rheometers. Little difference in the rheological properties was observed from the blends having the same LDPE concentration which were prepared using different processing conditions. This is due to the small difference in scale of the dispersed phase particle size in the blends. Addition of SEBS copolymer resulted in changes in the rheological properties of the blends, i.e. an increase in the complex viscosity. This behaviour was more pronounced in the blends compatibilized with the high molecular weight copolymer. A good agreement between the Palierne model predictions and the experimental results was found only in the blend with low concentration of LDPE in the absence of the copolymers. By using the neutron reflectivity technique, interfacial segregation of the SEBS copolymers into the PS/LDPE interface has been observed. The neutron reflectivity results confirmed that the copolymers prefer locating at the polymer-polymer interface. The effect of the copolymers on the interfacial strength of the PS/LDPE interface was studied using a peel test. The interfacial strength appeared to be dependent on the film thickness of the copolymers when the film thickness does not exceed half of the lamellar period (0.5L_o). The mechanical properties (impact strength) of the blends were studied using a standard Charpy impact instrument. Little increase in impact strengths of the blends was observed in the blends with high concentration of LDPE but there was some sensitivity to mixing temperature. The higher impact strength was obtained when the uncompatibilized blends were prepared using a low mixing temperature, i.e. 180 deg C. A further increase in impact strength was obtained when the SEBS compatibilized blends were prepared using a relatively higher mixing temperature, i.e. 280 deg C. The marginal increase in the impact strengths of the both the uncompatibilized and compatibilized blends confirmed that LDPE has low potential in toughening PS. (author)SIGLEAvailable from British Library Document Supply Centre- DSC:DXN063394 / BLDSC - British Library Document Supply CentreGBUnited Kingdo
Impacts of irrigation on the deciduous period of teak (Tectona grandis) in a monsoonal climate
No full textLeaf phenology in tropical deciduous forests significantly influences water and carbon exchanges between vegetation and the atmosphere. Thus, a comprehensive understanding of the effects of hydrometeorological variables on the growing period is essential for predicting plant water use following climate change. We investigated whether leaf phenology, bud break, and leaf abscission in mature deciduous teak trees (Tectona grandis) were induced by the root zone soil moisture content. Using heat pulse velocity and photographic imagery, we compared the deciduous periods (DPs) of two teak trees under natural conditions and two under irrigated conditions. DPs ranged from 47 to 84 days under natural conditions, whereas irrigation shortened the DP by approximately 2 weeks and promoted high levels of water use for 10 months. Thus, the annual water use of irrigated trees far exceeded that of control trees. Under irrigated conditions, leaf abscission and reduced water use were accelerated when the daily mean vapor pressure deficit exceeded 14 hPa following a period of gradual senescence. This study presents preliminary results regarding the impact of irrigation on the teak tree DP. However, uncertainty remains due to insufficient replication; thus, further tests are needed. Nonetheless, our results may predict leaf phenology after short dry periods.The accepted manuscript in pdf format is listed with the files at the bottom of this page. The presentation of the authors' names and (or) special characters in the title of the manuscript may differ slightly between what is listed on this page and what is listed in the pdf file of the accepted manuscript; that in the pdf file of the accepted manuscript is what was submitted by the author
