Search results

The purpose of this paper is to analyze different behaviors between long-term options’ implied volatilities and realized volatilities.

This paper uses a widely adopted short interest rate model that describes a stochastic process of the short interest rate to capture interest rate risk. Price a long-term option by a system of two stochastic processes to capture both underlying asset and interest rate volatilities. Model capital charges according to the Basel III regulatory specified approach. S&P 500 index and relevant data are used to illustrate how the proposed model works. Coup with the low interest rate scenario by first choosing an optimal time segment obtained by a multiple change-point detection method, and then using the data from the chosen time segment to estimate the CIR model parameters, and finally obtaining the final option price by incorporating the capital charge costs.

Monotonic increase in long-term option implied volatility can be explained mainly by interest rate risk, and the level of implied volatility can be explained by various valuation adjustments, particularly risk capital costs, which differ from existing published literatures that typically explained the differences in behaviors of long-term implied volatilities by the volatility of volatility or risk premium. The empirical results well explain long-term volatility behaviors.

The authors only consider the market risk capital in this paper for demonstration purpose. Dealers may price the long-term options with the credit risk. It appears that other than the market risks such as underlying asset volatility and interest rate volatility, the market risk capital is a main nonmarket risk factor that significantly affects the long-term option prices.

Analysis helps readers and/or users of long-term options to understand why long-term option implied equity volatilities are much higher than observed. The framework offered in the paper provides some guidance if one would like to check if a long-term option is priced reasonable.

It is the first time to analyze mathematically long-term options’ volatility behavior in comparison with historically observed volatility.

The study systematically investigates persistence in performance for simulated trading among non-professional traders in the futures market.

In this study, the authors employ a novel data set from the Chicago Mercantile Exchange (CME) Group's Trading Challenges for years 2014 through 2018 and expand upon the empirical methodology of Malkiel (1995) through improved interval estimations in testing for persistence in performance. The authors implement Fama-MacBeth style regressions to understand the degree of persistence in performance and the extent to which non-professionals extrapolate from prior returns. They adjust returns for risk through the Fama and French (2015) five-factor model in understanding whether the sample of non-professionals is able to produce excess returns after expenses and whether there is evidence of excess gross to cover expenses.

The empirical analysis suggests strong evidence for performance persistence among non-professionals participating in the Preliminary Rounds. In the Championship Rounds, the authors find that the persistence effect becomes stronger in economic and statistical significance after accounting for expenses. The results suggest that competition and transaction costs help to distinguish between winners and losers. When conducting Fama-MacBeth style regressions, the authors present evidence that strongly supports the persistence effect and over-extrapolation. While the results of the multi-factor model analysis suggest that, after adjusting for risk, most teams are experiencing negative excess returns prior to expenses, the authors also uncover evidence of teams earning returns sufficient to cover their expenses.

The authors bridge the gap between the literature on performance persistence and the emerging literature on non-professionals in the financial markets. Data from the CME Group’s Trading Challenge provide a rich source in studying the beliefs of non-professionals, and this study is helpful for understanding how beliefs, operationalized in simulated trades, perform over short time horizons, thereby providing insights into the behavioral dynamics of the financial markets. The results provide new empirical evidence for performance persistence among non-professionals.

Part of the runway at Madeira Airport is a platform above the sea at a 60 m height, supported by a series of frames. When aircraft land on this section, a load is exerted on the structure, resulting in bending of the beams which constitute the frames. A vision-based monitoring system was devised and implemented to measure the deflection of the runway's beams when a landing occurs.

An area on the midspan of two beams, located on the area where aircraft are most likely to land, was prepared with a speckle pattern, and a camera was assembled above a column on each of the adjacent frames, enabling the computation of displacements using digital image correlation (DIC). The camera continuously acquires images of the monitored area and compares them to a reference using DIC. If a displacement is detected, a number of frames before and after this event are saved for further DIC processing.

The installed systems successfully detected several events corresponding to landings and, for each of those events, measured the deflection of the beams over time and computed displacement fields for critical images, with strain values obtained up to this point being too small to measure using the current system.

This work provides novel insights into the behaviour of a unique structure and constitutes the first use of a vision system in its structural monitoring operations. It is also a valuable development in the implementation of automated DIC monitoring systems in locations of difficult access.

This paper aims to introduce a new design concept for robotic manipulator driven by the special two degrees of freedom (DOF) joints. Joint as a basic but essential component of the robotic manipulator is analysed emphatically.

The proposed robotic manipulator consists of several two-DOF joints and a rotary joint. Each of the two-DOF joints consists of a cylinder pairs driven by two DC motors and a universal joint (U-joint). Both kinematics of the robotic manipulator and the two-DOF joint are analysed. The influence to output ability of the joint in terms of the scale effect of the inclined plane is analysed in ADAMS simulation software. The contrast between the general and the proposed two-DOF joint is also studied. Finally, a physical prototype of the two-DOF joint is developed for experiments.

The kinematic analysis indicates that the joint can achieve omnidirectional deflection motion at a range of ±50° and the robotic manipulator can reach a similar workspace in comparison to the general robotic manipulator. Based on the kinematic analysis, two special motion modes are proposed to endow the two-DOF joint with better motion capabilities. The contrast simulation results between the general and the proposed two-DOF joints suggest that the proposed joint can perform better in the output ability. The experimental results verify the kinematic analysis and motion ability of the proposed two-DOF joint.

A new design concept of a robotic manipulator has been presented and verified. The complete kinematic analysis of a special two-DOF joint and a seven-DOF robotic manipulator have been resolved and verified. Compared with the general two-DOF joint, the proposed two-DOF joint can perform better in output ability.

The purpose of this paper is to take advantage of Internet of Things (IoT) for intelligent route programming of crowd emergency evacuation in metro station. It is a novel approach to ensure the crowd safety and reduce the casualties in the emergency context. An evacuation route programming model is constructed to select a suitable evacuation route and support the emergency decision maker of metro station.

The IoT technology is employed to collect and screen information, and to construct an expert decision model to support the metro station manager to make decision. As a feasible way to solve the multiple criteria decision-making problem, an improved multi-attributive border approximation area comparison (MABAC) approach is introduced.

The case study indicates that the model provides valuable suggestions for evacuation route programming and offers practical support for the design of an evacuation route guidance system. Moreover, IoT plays an important role in the process of intelligent route programming of crowd emergency evacuation in metro station. A library has similar structure and crowd characteristics of a metro station, thus the intelligent route programming approach can be applied to the library crowd evacuation.

The highlights of this paper are listed as followings: the accuracy and accessibility of the metro station’s real-time information are improved by integrating IoT technology with the intelligent route programming of crowd emergency evacuation. An improved MABAC approach is introduced to the expert support model. It promotes the applicability and reliability of decision making for emergency evacuation route selection in metro station. It is a novel way to combine the decision-making methods with practice.

The purpose of this paper is to investigate the self‐assembled monolayers (SAMs) of phytic acid on cupronickel B30 surface of anticorrosion and inhibiting mechanisms.

Electrochemical and photocurrent response methods were performed to determine the effect of phytic acid SAMs on cupronickel B30.

The results indicated that phytic acid was liable to interact with B30 as a result of formation of complexes on B30 surface for anti‐rust and anti‐corrosion. The SAMs changed the structure of the electrochemical double layer and made the value of double layer capacitance decrease significantly. The B30 electrode showed p‐type photoresponse, which came from Cu₂O layer on its surface. The photoresponse decreased greatly due to the SAMs of phytic acid as the corrosion resisting property was enhanced. This finding was in good agreement with the results obtained from EIS and polarization curves. Adsorption of phytic acid was found to follow the Langmuir adsorption isotherm and the adsorption mechanism was typical of chemisorption.

The SAMs of phytic acid on cupronickel B30 was gained for the first time. The photo‐electrochemical method was an in situ method, which was effective for characterizing optical and electronic properties of passive films.

This paper aims to produce iron ore tailings reinforced polypropylene composites (ITR-PPCs) from conventional compo-casting (CC) and a proposed compo-indirect squeeze casting (C-ISC) processes. It intends to quantify the compressive behaviour of ITR-PPC with respect to production process, iron ore tailings volume and particle size inclusion in polypropylene (PP) through controlled material and compressive testing. The study aims to provide useful information on possibility of the use of ITR-PP for compressive applications which will culminate to judicious use of iron ore tailings that is been piled up as waste material at the iron ore beneficiation sites.

ITR-PPC compression specimens were produced using C-ISC and CC processes. Prior to production, the iron ore tailings was dried at room temperature according to ASTM 618, ASTM 171 and ASTM E 41. The different particle sizes were generated using standard laboratory sieves. Uniaxial compressive test procedure according to ASTM D 695 was carried out on ITR-PPC compression specimens with length/diameter ratio equal to 2.0 under standard laboratory atmosphere on an Instrom 3,369 machine.

It was discovered that pure PP produced using the C-ISC process exhibited better compressive strength and Young’s modulus of about 12 and 4.5 per cent, respectively, while a reduction of 9.2 per cent in yield strength was recorded. ITR-PPCs with 150-μm fillers produced from C-ISC process have lower yield stress, compressive strength and Young’s modulus at volume contents above 10 per cent. It also exhibited lower strain at fracture at volume content above 15 per cent, while composites filled with 212- and 300-μm particle size iron ore tailings using the C-ISC process had better strain at fracture.

The present work cannot ascertain the compressive behaviour of ITR-PPC produced from other production processes, hence the need for further work in this area.

The paper provides an avenue to address the pollutant effect of iron ore tailings by putting it to judicious use through addition as fillers in plastics. It also removes the need for expensive and repeated experimentation to determine the compressive behaviour of ITR-PPCs.

This paper has brought to fore the need to study iron ore tailings as filler in plastics and other material matrices.

Based on the context of the Internet of Things (IoT), the territorial public emergency supplies will be networked, platform-based management, unified emergency dispatch. The problem of supplies dispatching in the “last kilometer” of emergency is solved, and the supplies needed in the disaster area are promptly delivered to the hands of the victims so that they can quickly be rescued after the disaster and to save valuable time for rapid rescue, which can greatly decrease casualties and property losses. This paper aims to discuss these issues.

By analyzing the shortage of existing emergency supplies dispatching research and taking all factors such as disaster area demand, social reserve, road conditions, mode of transport, loading limit, disaster area satisfaction rate and road capacity into consideration under the background of IoT, a variety of the territorial emergency supplies dispatching model with more rescue points, more affected areas are constructed. The objective function of the model is to aim in finding the shortest rescue time, giving the solution algorithm, and finally simulating the simulation case.

Based on the context of the IoT, the territorial public emergency supplies will be networked, platform-based management, unified emergency dispatch. Considering factors such as road conditions, modes of transport and road capacity, the authors construct a number of emergency rescue plans, multiple disaster scenarios and various emergency supplies dispatching models. The authors simulate the situation through simulation cases with the shortest time being the ultimate goal. The problem of supplies dispatching in the “last kilometer” of emergency is solved, and the supplies needed in the disaster area are promptly delivered to the hands of the victims so that they can quickly be rescued after the disaster and to save valuable time for rapid rescue, which can greatly decrease casualties and property losses.

This paper provides little research on the dispatch of emergency supplies. The problems of direct dispatch from the rescue point to the affected area and dispatch of supplies without relying on the arrival of emergency supplies at the rear are addressed. Therefore, this study does not focus on the arrival of emergency supplies at the rear but on direct dispatching issues during territorial public emergency supplies from the rescue point to the disaster point.

The aim of this paper is to investigate the growth behaviours of intermetallic compound (IMC) layers in solid‐liquid interfacial reactions of Sn1.5Cu/Cu in various intensities of high‐magnetic field.

Sn1.5Cu solder was prepared and melted in a vacuum furnace at 873 K and cast into solder bars. Samples were mounted using resin and etched after being carefully polished. Then the IMC layers were observed by using scanning electron microscopy.

The results show that the growth of IMC layers has been accelerated by high‐magnetic field through the comparison of growth kinetics of IMC layers among 0‐2.5 T magnetic filed. IMC grains in high‐magnetic field are much bigger than that in 0 T. By the analyzing of X‐ray diffractometer patterns of IMC layers, it can be found that the orientations of IMC have been changed by magnetic field.

This paper investigates the growth behaviour of IMC layers during the solid‐liquid interfacial reactions of Sn1.5Cu/Cu in a high magnetic field.

With the development and innovation of IoT technologies, both domestic and international people in the industry believe the development of IoT are the new points of technological innovation and economic growth. But it is becoming more and more prominent that the industries are difficult to connect and the IoT technologies are not standardized. The purpose of this paper is to promote the further development of IoT technology and industry, technology standardization of IoT has become the focus of all concerned parties. Technology standardization, as a technological innovation and development process of the “pruning shears,” has been embedded into the various aspects of innovation activities.

Based on many previous theories, the authors establish a matrix of the patterns of technology standardization. The authors use the relative state of the highest level of technology of the enterprise and The degree of independent technological innovation as the two dimensions of the model. At the same time, the authors divide the competitive behaviors into two categories and match them with the technology standardization model.

The authors explain the short-term competitive behaviors in the same enterprise and among different enterprises by using the theories of mutualism and competition among species in biology, and make an analogy between the phenomenon of base pairing in DNA double helix structure and the corresponding relationship of two kinds of innovation abilities and two kinds of competitive behaviors in the process of technology standardization.

Combined with previous theories, explain that innovation capability plays a mediating role in the process in which the combinations of the patterns of technology standardization and competitive behaviors are transformed into the enterprise innovation performance, and the uncertainty of external environment play a regulatory role in the process. Finally, the authors established the final conceptual model for providing theoretical basis for the later research, and put forward the conclusions and prospect at the end of the paper.