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Article

Hong‐lin Yang, Shou Chen and Yan Yang

The purpose of this paper is to reveal the multi‐scale relation between power law distribution and correlation of stock returns and to figure out the determinants…

Abstract

Purpose

The purpose of this paper is to reveal the multi‐scale relation between power law distribution and correlation of stock returns and to figure out the determinants underlying capital markets.

Design/methodology/approach

The multi‐scale relation between power law distribution and correlation is investigated by comparing the original series with the special series. The eliminating intraday trend series approach developed by Liu et al. is utilized to analyze the effects of power law decay change on correlation properties, and shuffling series originated by Viswanathan et al. for the impacts of special type of correlation on power‐law distribution.

Findings

It is found that the accelerating decay of power law has an insignificant effect on correlation properties of returns and the empirical results indicate that time scale may also be an important factor maintaining power law property of returns besides correlation. When time scale is under critical point, the effects of correlation are crucial, and the correlation of nonlinear long‐range presents the strongest influence. However, for time scale beyond critical point, the impact of correlation begins to diminish or even finally disappear and then the power law property shows complete dependence on time scale.

Research limitations/implications

The 5‐min high frequency data of the Shanghai market as the empirical benchmark is insufficient to depict the relation over the entire time scale in the Chinese stock market.

Practical implications

The paper identifies the determinants of market dynamics to apply them to risk management through analysis of multi‐scale relations, and supports endeavors to introduce time parameter into further risk measures and control.

Originality/value

The paper provides the empirical evidence that time scale is one of the key determinants of market dynamics by analyzing the multi‐scale relation between power law distribution and correlation.

Details

Kybernetes, vol. 41 no. 9
Type: Research Article
ISSN: 0368-492X

Keywords

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Article

Tasawar Hayat, Javaria Akram, Hina Zahir and Ahmad Alsaedi

The purpose of this paper is to emphasize on the impact of endoscope in MHD peristaltic flow of Carreau fluid. Heat and mass transfer phenomena are comprised of Soret and…

Abstract

Purpose

The purpose of this paper is to emphasize on the impact of endoscope in MHD peristaltic flow of Carreau fluid. Heat and mass transfer phenomena are comprised of Soret and Dufour effects. Influences of mixed convection and viscous dissipation are also accounted. Wall properties and convective boundary conditions are used.

Design/methodology/approach

The Navier–Stokes and energy equations used the lubrication approach. The reduced system of equations is executed numerically. The graphical illustration of velocity, temperature, concentration and heat transfer coefficient for various emerging parameters is discussed.

Findings

The response of Weissenberg number and power law index is decaying toward velocity and temperature. Moreover impression of Soret and Dufour number on temperature is quite reverse to that of concentration.

Originality/value

The titled problem with the various considered effects has not been solved before, and it is of special importance in various industries. The problem is original.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 28 no. 12
Type: Research Article
ISSN: 0961-5539

Keywords

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Article

Federico Ghirelli

To provide an eddy‐viscosity turbulence model that accounts for the non‐equilibrium shape of the energy spectrum and for the effect of velocity correlation on turbulent viscosity.

Abstract

Purpose

To provide an eddy‐viscosity turbulence model that accounts for the non‐equilibrium shape of the energy spectrum and for the effect of velocity correlation on turbulent viscosity.

Design/methodology/approach

The turbulence model is built using the standard model as the starting point. It is suggested that the character of turbulence depends on the time elapsed since its generation. Therefore, a local variable named “age of turbulence” or α, is defined and its transport equation is derived. Two hypotheses are formulated. The first one is that the shape of the energy spectrum depends on α. The second one is that also the effect of velocity correlation on turbulent viscosity is a function of α, in analogy with the dispersion coefficient of a particle in a turbulent flow. Hence, expressions for the characteristic time scaleτT and the turbulent viscosity νT are proposed and they are integrated in the standard model, resulting in a three equation model named here kεα. The expressions of νT and τT reduce to those of the model in decaying turbulence, and deviate from them in recently produced turbulence. The empirical constants are calibrated and various benchmark experiments are simulated.

Findings

A comparison between computed results and experimental data show that the kεα model is generally more accurate than the standard model.

Originality/value

The “age of turbulence” has not been used previously to characterise turbulence. The work is especially relevant for combustion/reacting applications, where the expression of the characteristic turbulence time scale is crucial for the estimation of the reactant mixing rates.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 17 no. 2
Type: Research Article
ISSN: 0961-5539

Keywords

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Article

Karel Král and Miroslav Menšík

In this work the experimental effect of a slow decay of the photoluminescence is studied theoretically in the case of quantum dots with an indirect energy band gap. The…

Abstract

In this work the experimental effect of a slow decay of the photoluminescence is studied theoretically in the case of quantum dots with an indirect energy band gap. The slow decay of the photoluminescence is considered as decay in time of the luminescence intensity, following the excitation of the quantum dot sample electronic system by a short optical pulse. In the presented theoretical treatment the process is studied as a single dot property. The inter-valley deformation potential interaction of the excited conduction band electrons with lattice vibrations is considered in the self-consistent Born approximation to the electronic self-energy. The theory is built on the non-equilibrium electronic quantum transport theory. The time dependence of the photoluminescence decay is estimated upon using a simple effective mass model. The numerical calculation of the considered model shows the power-law time characteristics of the photoluminescence decay in the long-time limit of the decay. We demonstrate that the nonadiabatic influence of the interaction of the conduction band electrons with the lattice vibrations provides a mechanism giving us the power-law time dependence of the photoluminescence intensity signal. This theoretical result emphasizes the role of the electron-phonon interaction in the nanostructures.

Details

World Journal of Engineering, vol. 11 no. 5
Type: Research Article
ISSN: 1708-5284

Keywords

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Article

SERGIO M. FOCARDI and FRANK J. FABOZZI

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions…

Abstract

Fat‐tailed distributions have been found in many financial and economic variables ranging from forecasting returns on financial assets to modeling recovery distributions in bankruptcies. They have also been found in numerous insurance applications such as catastrophic insurance claims and in value‐at‐risk measures employed by risk managers. Financial applications include:

Details

The Journal of Risk Finance, vol. 5 no. 1
Type: Research Article
ISSN: 1526-5943

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Article

Jin Ma

The purpose of this study is to examine the growth patterns of tag vocabulary in collaborative tagging systems to verify the sustainability and stabilization of tag…

Abstract

Purpose

The purpose of this study is to examine the growth patterns of tag vocabulary in collaborative tagging systems to verify the sustainability and stabilization of tag distributions. Both sustainability and stabilization are essential to the mining and categorization of information driven by tagging behaviors.

Design/methodology/approach

The study was based on time series data of CiteULike from November 2004 to April 2010. Power law distributions were detected to reveal statistical regularities and tagging patterns. Logistic regression analysis with time‐dependent covariates was conducted to identify the factors affecting the growth of distinct tags for articles. The significance of the effects and the time taken for a given article to reach its tagging maturity were also explored.

Findings

Time series plots and trend analysis illustrated the continuous growth of the tagging system. Exploratory analysis of power law distribution fittings indicated a sign of system stability known as scale invariance. Logistic regression results demonstrated that for a particular article, the number of users who tagged the article, the initial date when the article was tagged, and the life span of the article are statistically significant to the ratio of the distinct tag number to the total tag number for a given article. These results confirmed that the distinct tag ratio of an article gives rise to a stable pattern.

Originality/value

Though extensive work has been done on the patterns of tag vocabulary, it is not clear how the growth of distinctive tags behaves in relation to the total number of tag applications, considering time‐dependent covariates such as the number of users, and the longevity of an article. This paper sets to complement the literature on the existing methodology and investigate this property in detail.

Details

Online Information Review, vol. 36 no. 5
Type: Research Article
ISSN: 1468-4527

Keywords

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Abstract

Details

Economic Complexity
Type: Book
ISBN: 978-0-44451-433-2

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Article

D.P. Zielinski and V.R. Voller

The purpose of this paper is to develop an alternative numerical approach for describing fractional diffusion in Cartesian and non‐Cartesian domains using a Monte Carlo…

Abstract

Purpose

The purpose of this paper is to develop an alternative numerical approach for describing fractional diffusion in Cartesian and non‐Cartesian domains using a Monte Carlo random walk scheme. The resulting domain shifting scheme provides a numerical solution for multi‐dimensional steady state, source free diffusion problems with fluxes expressed in terms of Caputo fractional derivatives. This class of problems takes account of non‐locality in transport, expressed through parameters representing both the extent and direction of the non‐locality.

Design/methodology/approach

The method described here follows a similar approach to random walk methods previously developed for normal (local) diffusion. The key differences from standard methods are: first, the random shifting of the domain about the point of interest with, second, shift steps selected from non‐symmetric, power‐law tailed, Lévy probability distribution functions.

Findings

The domain shifting scheme is verified by comparing predictive solutions to known one‐dimensional and two‐dimensional analytical solutions for fractional diffusion problems. The scheme is also applied to a problem of fractional diffusion in a non‐Cartesian annulus domain. In contrast to the axisymmetric, steady state solution for normal diffusion, a non‐axisymmetric solution results.

Originality/value

This is the first random walk scheme to utilize the concept of allowing the domain to undergo the random walk about a point of interest. Domain shifting scheme solutions of fractional diffusion in non‐Cartesian domains provide an invaluable tool to direct the development of more sophisticated grid based finite element inspired fractional diffusion schemes.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 23 no. 1
Type: Research Article
ISSN: 0961-5539

Keywords

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Article

Mostafa Esmaeili and Asghar Afshari

This study aims to numerically investigate the flow features and mixing/combustion efficiencies in a turbulent reacting jet in cross-flow by a hybrid Eulerian-Lagrangian…

Abstract

Purpose

This study aims to numerically investigate the flow features and mixing/combustion efficiencies in a turbulent reacting jet in cross-flow by a hybrid Eulerian-Lagrangian methodology.

Design/methodology/approach

A high-order hybrid solver is employed where, the velocity field is obtained by solving the Eulerian filtered compressible transport equations while the species are simulated by using the filtered mass density function (FMDF) method.

Findings

The main features of a reacting JICF flame are reproduced by the large-eddy simulation (LES)/FMDF method. The computed mean and root-mean-square values of velocity and mean temperature field are in good agreement with experimental data. Reacting JICF’s with different momentum ratios are considered. The jet penetrates deeper for higher momentum ratios. Mixing and combustion efficiency are improved by increasing the momentum ratio.

Originality/value

The authors investigate the flow and combustion characteristics in subsonic reacting JICFs for which very limited studies are reported in the literature.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 0961-5539

Keywords

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Article

Robert G. Dyck

To conceptualize a new approach to economic development that fully embraces its fractal complexity, providing a basis for sustained socioeconomic welfare within cultures…

Abstract

Purpose

To conceptualize a new approach to economic development that fully embraces its fractal complexity, providing a basis for sustained socioeconomic welfare within cultures that encourage collaborative democracy and social learning.

Design/methodology/approach

Following the premise that healthy development must follow the natural laws of growth that apply to all ecosystems, the paper examines fractal intricacy as the basis of economic systems that are able to sustain sufficient flows of energy and information to all sub‐systems. Two methodological approaches that emerge for planning are called hierarchical (fractal) coherence and fractal connectivity. The first refers to sufficient density and variety of nodes (firms, economic processes, customers, etc.) at all scales in the hierarchy of an economic system; and the second denotes multiple paths of connection between the nodes, to handle the necessary flows.

Findings

This approach highlights the fundamental importance of locally‐based entrepreneurship and democratic control, and also suggests new methods for measuring system interconnectedness at all scales, supplementing economic growth measures such as GDP.

Research limitations/implications

The paper indicates the need for empirical research to calibrate and further refine the approach in real‐world settings.

Practical implications

The paper outlines a fresh planning strategy for dealing with the geometrically worsening dimensions of uneven economic development and poverty, at all levels of scale from the local to the global.

Originality/value

The paper articulates a viable cybernetic alternative to prevailing economic development approaches that are based on the neo‐classical, neo‐liberal, and neo‐conservative models embodied in our present system of economic globalization.

Details

Kybernetes, vol. 35 no. 7/8
Type: Research Article
ISSN: 0368-492X

Keywords

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