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The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance test of non‐normality, such as the Jarque‐Bera test.

The NNP is patterned after the risk premium, the amount that compensates an investor for the risk of an investment. The theoretical NNP is examined on the margins with Taylor series approximation and applied to hedge fund data.

An increase of 1 in the skewness has the same effect on an investor as an increase in the mean of 2.5 basis points per month. An increase of 1 in the kurtosis has the same effect on an investor as a decrease in the mean of 0.15 basis points per month. A sample of 716 hedge funds revealed that while 72 per cent statistically reject normality, only 29 per cent require more than a single basis point per month difference in the mean to compenscate an investor for the non‐normality.

The NNP allows for a valuation on the higher moments (skewness and kurtosis) of an investor's return distribution. The evaluation is tailored to the individual through use of a utility function. Once applied to an alternative investment vehicle, it is learned that rejecting normality is not sufficient grounds to suspect that the non‐normality is important to investors.

As the normality concept for frictional dilatant material has a serious drawback, the key feature in this numerical study is that the material here is characterized by elastic-viscoplastic constitutive relation with plastic non-normality effect for two different hardness functions. The paper aims to discuss this issue.

Quasi-static, mode I plane strain crack tip fields have been investigated for a plastically compressible isotropic hardening–softening–hardening material under small-scale yielding conditions. Finite deformation, finite element calculations are carried out in front of the crack with a blunt notch. For comparison purpose a few results of a hardening material are also provided.

The present numerical calculations show that crack tip deformation and the field quantities near the tip significantly depend on the combination of plastic compressibility and slope of the hardness function. Furthermore, the consideration of plastic non-normality flow rule makes the crack tip deformation as well as the field quantities significantly different as compared to those results when the constitutive equation exhibits plastic normality.

To the best of the authors’ knowledge, analyses, related to the constitutive relation exhibiting plastic non-normality in the context of plastic compressibility and softening (or softening hardening) on the near tip fields, are not explored in the literature.

Control chart pattern recognition is a critical issue in statistical process control, as unnatural patterns on control charts are often associated with specific assignable causes adversely affecting the process. Several researchers have recently applied neural networks to pattern recognition for control charts. However, nearly all studies in this area assume that the in‐control process data in the control charts follow a normal distribution. This assumption contradicts the facts of practical manufacturing situations. This paper investigates how non‐normality affects the performance of neural network based control chart pattern recognition models. Extensive performance evaluation was carried out using simulated data with various non‐normalities. The non‐normality was measured in skewness and kurtosis. Numerical results indicate that the neural network based control chart pattern recognition models still perform well in a non‐normal distribution environment in terms of recognition accuracy and speed.

This paper investigates the effect of non‐normality errors on the economic design of x‐control charts. The measurable quality characteristic of the product is assumed to be non‐normally distributed random variable. The process is subject to a single assignable cause with exponentially distributed occurrence time. This assignable cause shifts the process from in‐control state to out‐of‐control state. The economic design of x‐chart involves optimal determination of the design parameters so as to minimize the expected total cost. The optimal value of the design parameters are obtained using a computerized search technique. Consequently, the effect of non‐normality parameters and errors on the design parameters and on the loss‐cost function is explained through numerical examples.

Control charts and process capability calculations remain fundamental techniques for statistical process control. However, it has long been realized that the accuracy of these calculations can be significantly affected when sampling from a non‐Gaussian population. Many quality practitioners are conscious of these problems but are not aware of the effects such problems might have on the integrity of their results. Considers non‐normality with respect to the use of traditional control charts and process capability calculations, so that users may be aware of the errors that are involved when sampling from a non‐Gaussian population. Use is made of the Johnson system of distributions as a simulation technique to investigate the effects of non‐normality of control charts and process control calculations. An alternative technique is suggested for process capability calculations which alleviates the problems of non‐normality while retaining computational efficiency.

The purpose of this paper is to investigate the economic‐statistical design of EWMA charts with variable sampling intervals (VSIs) under non‐normality to reduce the process production cycle cost and improve the statistical performance of control charts. The objective is to minimize the cost function by adjusting the control chart parameters which suffice for the statistical restriction.

First, using the Burr distribution to approximate various non‐normal distributions, the economic‐statistical model of the VSI EWMA charts under non‐normality can be developed. Further, the genetic algorithms will be used to search for the optimal values of parameters of the VSI EWMA charts under non‐normality. Finally, a sensitivity analysis is carried out to investigate the effect of model parameters and statistical restriction on the solution of the economic‐statistical design.

The result of sensitivity analysis shows that a large lower bound of average time to signal when the process is in control increases the control limit coefficient, no model parameter significantly affects the short sampling intervals, and so on.

The economic‐statistical design method proposed in this paper can improve the statistical performance of economic design of control charts and the general idea can be applied to other VSI control charts.

This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed, as Indian financial markets are more prone to shocks caused by regulatory changes, exchange rate fluctuations, financial instability, political uncertainty and inadequate economic reforms. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied.

In this paper, VaR is estimated by fitting empirical distribution of returns, parametric method and by using GARCH(1,1) with Student’s t innovation method.

It is observed that both the stocks, stock indices and their residuals exhibit non-normality; therefore, conventional methods of VaR calculation are not accurate in real word situation. It is observed that parametric method of VaR calculation is underestimating VaR and CVaR but, VaR estimated by fitting empirical distribution of return and finding out 1-a percentile is giving better results as non-normality in returns is considered. The distributions fitted by the return series are following Logistic, Weibull and Laplace. It is also observed that VaR violations are increasing with decreasing market capitalization. Therefore, we can say that market capitalization also affects accurate VaR calculation. Further, the relationship of liquidity represented by volume traded of stocks and the market risk calculated by VaR of the firms is studied. It is observed that the decrease in liquidity increases the value at risk of the firms.

This methodology can further be extended to other assets’ VaR calculation like foreign exchange rates, commodities and bank loan portfolios, etc.

This finding can help risk managers and mutual fund managers (as they have portfolios of different assets size) in estimating VaR of portfolios with non-normal returns and different market capitalization with precision. VaR is used as tool in setting trading limits at trading desks. Therefore, if VaR is calculated which takes into account non-normality of underlying distribution of return then trading limits can be set with precision. Hence, both risk management and risk measurement through VaR can be enhanced if VaR is calculated with accuracy.

This paper is considering the joint issue of non-normality in returns and effect of market capitalization in VaR estimation.

The dynamics of coupling between spectrum and resolvent under ε‐perturbations of operator and matrix spectra are studied both theoretically and numerically. The phenomenon of non‐trivial pseudospectra encountered in these dynamics is treated by relating information in the complex plane to the behaviour of operators and matrices. On a number of numerical results we show how an intrinsic blend of theory with symbolic and numerical computations can be used effectively for the analysis of spectral problems arising from engineering applications.

The purpose of this paper is to find and describe some stylized facts for foreign exchange and stock market returns, which are explored using statistical methods.

Formal statistics for testing presence of autocorrelation, asymmetry, and other deviations from normality are applied. Dynamic correlations and different kernel estimations and approximations to the empirical distributions are also under scrutiny. Furthermore, dynamic analysis of mean, standard deviation, skewness and kurtosis are also performed to evaluate time‐varying properties in return distributions.

The findings include: different types of non‐normality in both markets, fat tails, excess furtosis, return clustering and unconditional time‐varying moments. Identifiable volatility cycles in both forex and stock markets are associated to common macro financial uncertainty events.

The paper is the first work of this type in Peru.