PDF superior Identificación de talento matemático en niños y niñas de 10 a 12 años de edad en una escuela pública del centro de la ciudad de Zaruma, durante el año lectivo 2012 - 2013

Application of Markov Chains to Stock Trends

Application of Markov Chains to Stock Trends

Abstract: Problem statement: Modeling of the Dow Jones Industrial Average is frequently attempted in order to determine trading strategies with maximum payoff. Changes in the DJIA are important since movements may affect both individuals and corporations profoundly. Previous work showed that modeling a market as a random walk was valid and that a market may be viewed as having the Markov property. Approach: The aim of this research was to determine the relationship between a diverse portfolio of stocks and the market as a whole. To that end, the DJIA was analyzed using a discrete time stochastic model, namely a Markov Chain. Two models were highlighted, where the DJIA was considered as being in a state of (1) gain or loss and (2) small, moderate, or large gain or loss. A portfolio of five stocks was then considered and two models of the portfolio much the same as those for the DJIA. These models were used to obtain transitional probabilities and steady state probabilities. Results: Our results indicated that the portfolio behaved similarly to the entire DJIA, both in the simple model and the partitioned model. Conclusion: When treated as a Markov process, the entire market was useful in gauging how a diverse portfolio of stocks might behave. Future work may include different classifications of states to refine the transition matrices.
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Application of a Particular Class of Markov Chains in the Assessment of Semi-actuated Signalized Intersections

Application of a Particular Class of Markov Chains in the Assessment of Semi-actuated Signalized Intersections

Signalized traffic intersections have similarities with polling systems (see e.g. [20] or [21] for an overview on polling systems), where a single server is handling two queues and switches between them according to some control rule. In the case of semi-actuated signalized intersections, queues are attended by the server during given periods of time, which may have random duration – at least for one of the queues. However, as far as we know, the diversity of polling systems found in the literature do not encompass the specificity of the semi-actuated signalized traffic addressed in the paper. Several authors (see e.g. [5, 6, 11] or [1]) stress the fact that systems characterized by time limited service disciplines, as it is the case for semi-actuated signal intersections, should not be expected to have closed formulas for the expected customer waiting time. The papers just cited focus on cases of exponential or phase-type service times, which do not apply to signalized traffic. However, time limited server systems are often used when in presence of heavy loaded queues that tend to monopolize the server, leaving lightly loaded queues with a negligible part of the service time.
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Integrating quantitative knowledge into a qualitative gene regulatory network.

Integrating quantitative knowledge into a qualitative gene regulatory network.

Another weakness lies in the assumption of a linear relationship between gene activity and the production of the corresponding protein (relevant for a microbial system only). To avoid such a restriction, one must build novel accumulation rules based on other biological abstractions – metabolic and environmental phenotypes are the most natural candidates here. Extending the construction of event transition Markov chain to the models containing reactions instead of qualitative regulations – for instance, signaling networks – is also under study to extend the range of application of our approach. A final range of future works relies on extracting more precise properties from the Markov chain description of a given dynamic system. Such studies shall initially focus on the interpretation of the concentration joint law, standing as a correlation coefficient between time-series observa- tions. They will also investigate the use of these Markov chains to isolate experimental noise from the noise inherent to the chaotic properties of the system. This would provide an estimation of measurement qualities. Finally, average case analysis can be performed on a class of probabilistic models that is much larger than Markov chains. This would allow us to deal with Markov chains that may handle slight variations over the course of times, eventually studying the adaptation of the model behaviors under given environmental variations.
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Uniform sampling of steady states in metabolic networks: heterogeneous scales and rounding.

Uniform sampling of steady states in metabolic networks: heterogeneous scales and rounding.

We first discuss the application of the rounding methods in order to sample the feasible steady states of the E. coli’s metabolic network reconstruction iAF1260 catabolic core. This a network with M = 72 metabolites and N = 95 reactions, including all exchange reactions. We consider the flux bounds provided with the model and employ bounds for the exchange fluxes that in- clude possibility to intake the main elements that are needed in order to produce biomass: glu- cose, oxygen, ammonia, water and phosphate. Upon deleting null reactions we are left with a network of M = 68 metabolites and N = 86 reactions. The resulting polytope has D = 23 dimen- sions. In Fig 2 we report the integrated autocorrelation times of the fluxes during the HR with different pre-processing schedules, ordered for increasing values. The measure of integrated autocorrelation times is a rather standard procedure in order to asses the reliability of average estimates in Markov chains, we refer to the supplementary materials for further details. The au- tocorrelation time is an approximate measure of the number of steps after which the samples become independent. In Table 1 we report the machine time needed to obtain the rounding el- lipsoid and the measured maximum integrated autocorrelation time among the sampled reac- tion fluxes. The times for the algorithm without preprocessing are very large, i.e. billions of Monte Carlo steps (hours for our implementation) in order to obtain reliable estimates for the flux averages. The preprocessing with PCA alone improves the situation, but the attainment to stationarity of the covariance matrix is still lacking. The LP and LEM methods alone successful- ly reduce the condition number rendering the sampling possible in feasible computational
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Mat. Res.  vol.17 número3

Mat. Res. vol.17 número3

From field studies and the literature, it was found that the degradation of concrete over time can be modelled probabilistically using homogeneous Markov Chains. To confirm this finding, this study presents an application of Markov Chains associated with the reliability analysis of experimental results of the degradation of concrete by chlorides. Experimental results were obtained for chloride penetration originating from non-accelerated tests in concretes in which the water/binder ratio was variable (0.40, 0.50 and 0.60) and that were produced with Pozzolanic Portland cement that was exposed for six months to the action of NaCl. Using a simulation process, the failure and safety probabilities were calculated by reliability and using Markov Chains, a service life project was estimated (a period of corrosion initiation). Compared to a concrete structure itself, the average error of service life predicted using Markov was approximately 14%. The results show a promissory methodology, in combination with the determination of concrete cover thickness, according to the required service life.
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ARTIFICIAL NEURAL NETWORKS - AN APPLICATION TO STOCK MARKET VOLATILITY

ARTIFICIAL NEURAL NETWORKS - AN APPLICATION TO STOCK MARKET VOLATILITY

Similar results are obtained in case of Nifty under both single layer and multi layer, trainable techniques of MLP of ANNs model. The volatility in Nifty has increased to 1.60% in 2000 from a low of 1.35% in 1995 in case of single input as low index level and single out as high index level of MLP. The period of relative calm as observed from 2001 to 2005 where the volatility has been drastically reduced to 0.615% in 2005 from a high of 1.605% in 2000. The reason is due to the aggressive use of derivatives in NSE in comparison to the BSE. But after 2005, again there is the rise of volatility and it has shot up to 1.75% in 2008 from a low of 0.615% which is almost 300% rise in volatility within three years. This is due to the world-wide financial crisis. Under multiple inputs and single output trainable technique of MLP of ANNs, similar results of rising and falling trends are observed. In this case, volatility in Nifty has risen to 1.47% in 2000 from a low of 1.1% in 1995. From 2001- 2005, volatility has showed a declining trend where volatility has been reduced to 0.96% in 2005 from a high of 1.47% in 2000.
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Essays on econometrics. Multivariate Markov chains

Essays on econometrics. Multivariate Markov chains

This Thesis contributes to the Markov chains literature by develop- ing methods focused on the estimation issue that are usually cir- cumscribed to the continuous variables. The first essay, Modelling insurgent-incumbent dynamics: Vector autoregressions, multivariate Markov chains, and the nature of technological competition, considered the mul- tivariate Markov chain model applied to an example from economic history, more precisely to the creative destruction in ocean-going ship- ping technologies during the early XIX century: steam and sailing. In fact, the struggle between sailing and steam is a long-standing theme in economic history, but this technological competition story has only partly tackled. Moreover, we compare a classical multivariate linear econometric approach (a VAR model) with a multivariate Markov chain. While the former fails to detect linear interdependency rela- tionships between these two technologies, the latter method detects evidence that the relationship was nonlinear, with a strong indication of complementarities and cross-technology learning effects. To the best of our knowledge, this has been the first application of Markov chains to an instance of economic history. It suggested that Markov chains are a valuable tool and fertile instrument that can be used in an interdisciplinary manner, even when applied in non-standard realities.
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Markov Chains Used to Determine the Model of Stock Value and Compared with Other New Models of Stock Value (P/E Model and Ohlson Model)

Markov Chains Used to Determine the Model of Stock Value and Compared with Other New Models of Stock Value (P/E Model and Ohlson Model)

S t  , with probably of %71 will in next period be in previous status again, but the gain result from possibility of supplement is as, if the market in past period be with high variance, with probably %29 to turbulence or status S t  1 moving. If the market in past period be with low variance almost with probability of 0/05 more to high variance also. Bused on given formula amounts of day's average in market in high turbulence status 6 days and amount of day's average when efficiency in low turbulence are 20 days. If efficiency diagram design for this period we can tell in the periods which market was high turbulence, average of required days to moving efficiency to regime with lower turbulence as intuitive, almost is that the estimated value in mark of`s displacement model.
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When Does an Immigrant with HIV Represent an Excessive Demand on Canadian Health or Social Services?

When Does an Immigrant with HIV Represent an Excessive Demand on Canadian Health or Social Services?

Thresholds used to deine excessive demand are reported in this Section and applied to estimates of the economic burden of persons with HIV in order to identify which immigration applicants may be deemed to be inadmissible on medical grounds. In Section 3.0, we demonstrated that the current annual cost threshold used by CIC to determine whether an applicant is likely to pose “excessive” demand ($4,867.40) is too low, and that there might be justiication under some circumstances for a threshold that is almost eight-fold greater at $36,739.56. Under these extreme positions either all indi- viduals with HIV would be denied admission or all would be accepted. In Section 3.0, we proposed a middle posi- tion that we felt was a statistically more appropriate annual cost threshold at $14,581.43 (or three-fold greater than the current CIC threshold). Application to various assessment periods and to Canadian mortality rates yields Table 5. This Table reports the present value of cost thresholds (in 2007 Canadian dollars) for representative Canadians based on their age, sex, and the time horizon for assessment. Con- sequently, in order to assess whether immigrant applicants present a cost proile that is higher than that for a matched representative Canadian warrants a comparison between the igure in each cell in Table 5 and an appropriate igure from Tables 4(i)-4(iii).
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Application of a Bibliometric Tool for Studying Space Technology Trends

Application of a Bibliometric Tool for Studying Space Technology Trends

ABSTRACT: The statistical analysis of academic literature, also known as “bibliometrics”, is being increasingly applied to analyse research trends, to identify emerging areas of science and to fi nd out where and how often specifi c articles are cited. The aim of this study was to identify technological innovation trend patterns in the aerospace sector applying bibliometric analysis over the period 2008 – 2015. In this study the keywords space technology, satellite, space launch vehicle, spacecraft, rocket and space station were used to scrutinize the database Web of Science (ISI). The obtained records were analysed using the Patent Insight Pro software (2015). It was observed that the researches related to aerospace technological development has been focused in satellites, giving also some directions for satellite launch vehicles. Bibliometric analysis revealed concern on new low- cost technologies development, and the applied logistic fi t suggests that over the next fi ve years the continuity on new space technologies development will be mostly related to small satellites, with also contributions associated with high-resolution imagery in order to improve Earth observation in low orbit.
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I NTERNSHIP REPORT A B USINESSP ROCESSM ODEL FORS OLVENCY II U SINGE

I NTERNSHIP REPORT A B USINESSP ROCESSM ODEL FORS OLVENCY II U SINGE

The Company’s shareholder structure comprises three entities: Crédito Agrícola Seguros e Pensões, SGPS – 97.369%; Confagri – 2.604% and Associated Mutual Agricultural Credit Banks – 0.027%. Its corporate governance structure, based on a dualistic model (Crédito Agrícola, 2015a), is composed by: Executive and General and Supervisory Boards; Remuneration and Financial Matters Committees; General Assembly and Statutory Auditor. Furthermore, the Company has implemented Quality and Environmental Management Systems which are certified in accordance with the ISO 9001:2008 and ISO 14001:2012, respectively. The organizational structure is divided into Offices and Areas, established and designed to promote the quality of service to all clients. These Offices are responsible for rendering both technical advisement and specialized services. On the other hand, the Areas are coherently organized with the Company’s objectives. Thus, they are articulated through a set of responsibilities and both pre-determined and permanent functions.
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A Markov-switching multi-fractal inter-trade duration model, with application to U.S. equities

A Markov-switching multi-fractal inter-trade duration model, with application to U.S. equities

autocorrelation function of Citigroup inter-trade durations between 10:00am and 4:00pm during February 1993, adjusted for calendar effects... We calibrate the MSMD model[r]

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Understanding pharmaceutical sustainable supply chains – a case study application

Understanding pharmaceutical sustainable supply chains – a case study application

Pharmaceutical companies are using the Global Reporting Initiative (GRI) as a way to implement and measure their level of sustainability. The GRI guidelines have been developed and revised through a process involving various stakeholders (GRI, 2011). As part of the standard sustainability report, the GRI guidelines suggest the use of indicators to measure an organization performance in environmental, social and economic areas. They list over 100 possible indicators for companies to use, both generally applicable and organization-specific, such as total water used and recycle material for example. The GRI guidelines act as an educational vehicle and promote corporate social responsibility reporting for integrating environmental, social and economic aspects, and promote transparency and improved dialogue between business and stakeholders (VELEVA & ELLENBECKER, 2001). In addition, due to the fact that financial and social criteria are crucial parts, these truly differentiate ‘sustainability’ reporting from straight environmental reporting (MORHARDT & FREEDMAN, 2002).
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FLEXIBLE MULTIVARIATE GARCH MODELING WITH AN APPLICATION TO INTERNATIONAL STOCK MARKETS

FLEXIBLE MULTIVARIATE GARCH MODELING WITH AN APPLICATION TO INTERNATIONAL STOCK MARKETS

Diagonal BEKK GARCH: Engle and Kroner (1995) proposed a class of multivariate GARCH models that are guaranteed to produce positive definite conditional covari- ance matrices.. In its fu[r]

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Economic growth and equity returns : application to the chinese stock market

Economic growth and equity returns : application to the chinese stock market

Cornell (2010) showed that by December 2008, the current dividend yield was 3.1% and the previous 50-year average was 3.3% in the U.S. S&P 500 index portfolio. Comparing to the dividend yield performance of the U.S. S&P 500 index portfolio, the dividend yield of the SSE index portfolio could be almost negligible. Over a long time period, there has been a “Dividend Puzzle” in the Chinese stock market. Because not all the classic dividend theories could explain the dividend practice of Chinese listed companies, regardless of agency theory, signal theory and catering theory. In practice, the majority of Chinese public companies tend to try their best to pay dividends as few as possible or never pay any dividends at all. From 2001, the CSRC started to take measures to solve this problem to protect the interests of public investors. To be more specific, the CSRC has implemented a mandatory dividend policy. Internationally, mandatory standards consider dividend payments as legal obligation. By contrast, the CSRC connects the dividend payments with the financing activities, i.e. if the listed companies do not meet the request on dividend payments, the CSRC will forbid these listed companies to finance in the SSE stock market.
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Factor analysis in the stock market: an application to statistical arbitrage

Factor analysis in the stock market: an application to statistical arbitrage

After the discussion that the contrarian strategy follows the reasoning of overreaction due to the fact that people tend to give more importance to the new information than the past one, Lo and MacKinlay (1990) provided a new insight about the reasoning of these abnormal returns provided by such strategy. In their paper, they state that the positive returns generated by the contrarian strategy were not strictly related to the overreaction of the prices to new information, but to some other explanations. By its reasoning, a contrarian strategy can provide positive returns even if the stock returns are not negatively correlated (a negative correlation implies the reversion of the abnormal swings in the prices to its fundamental values). Their study demonstrates that, if returns are positively cross autocorrelated, a contrarian strategy may yield positive returns even if the returns are serial independent. The overreaction of the stock market may enhance the profitability of such strategy but it is not necessary for such strategy to achieve positive returns. In fact, the empirical study showed that the importance of the overreaction to the expected returns of the contrarian strategy fall below the 50%, being the remaining due to the cross correlations among the stocks’ returns.
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Application of time-series analysis for prediction of molding sand properties in production cycle

Application of time-series analysis for prediction of molding sand properties in production cycle

The basic model used for residual data was simple linear mul- tivariate regression. However, for the 10 cases with largest pre- diction errors, also a regression tree model, based on the C&RT algorithm [8], was utilized. The regression trees are non- parametric, non-linear models which are particularly suitable for small data sets with unknown characteristics. Because of the small number of records for the daily based data, the regression tree algorithm was set to keep only 2 records in a leave. The prediction results were compared with those obtained from the linear model.
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New trends in store atmosphere: an application to the telecommunication sector

New trends in store atmosphere: an application to the telecommunication sector

As it was mentioned previously, crowded stores are perceived by customers as unpleasant. Some respondents stated this as a reason to avoid the store: “I choose another time to enter the store” (36 years’ old analyst woman). Nearly empty stores are considered as more attractive in this industry. Nevertheless, there is one situation where people consider entering in a crowded store – if an event is underway – expressed by the same participant that they would enter the store “only if there is a sign indicating that there is some event, promoting something special happening within the store”. Therefore, this leads to explore the use of different events within the store. It was not only commonly agreed that it would be a reason to enter the store – “our immediate reaction is to enter the store and see what is the idea” - but also a pleasant way to entertain clients during the waiting time. This type of initiatives may also change the consumer’s mood in a better way, even when their purpose of going to the store was to complain about their services. In terms of converting this initiative to sales, some participants stated that this would be an initiative that could create a more relaxed environment, argued by a technical assistant woman that “it is a more relaxed environment without all the stressed people around me”, that may provide a closer approach to the buying decision. Yet, the crowding effect is still considered relevant even when an event is integrated into the environment. If the place is too crowded, it may be a reason for clients to not get in the store.
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Efeitos de detritos e nutrientes alóctones sobre estrutura e dinâmica trófica de ecossistemas lacustres tropicais

Efeitos de detritos e nutrientes alóctones sobre estrutura e dinâmica trófica de ecossistemas lacustres tropicais

29 structure and dynamics through both top-down and bottom-up mechanisms (Moore et al. 2004; Attayde and Ripa 2008; Hagen et al. 2012). The lixiviation and decomposition of detritus can provide nutrients to and increase growth rates of primary producers, stimulating secondary productivity through this bottom-up effect of nutrient enrichment (De Angelis 1992, Spiller et al. 2010). Trophic cascades are usually stronger at higher nutrient levels as primary producers respond more strongly to nutrient enrichment when herbivores are controlled by their predators (Pace et al. 1998). Therefore, the strength of trophic cascades may increase with inputs of allochthonous detritus because of nutrient enrichment caused by detritus addition. Further research is needed to determine the relative importance of the mechanisms by which detritus may affect food web structure and dynamics and the strength of trophic cascades.
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Fabrication Of Gold Nanoparticles-Modified Glassy Carbon Electrode And Its Application For Voltammetric Detection Of CrIII

Fabrication Of Gold Nanoparticles-Modified Glassy Carbon Electrode And Its Application For Voltammetric Detection Of CrIII

3.3 Calibration curve and analytical performance Calibration curve for the determination of Cr(III) on the AuNPs- GCE was achieved by DPSV under optimum conditions. Fig. 3 shows voltammetric performance and calibration curve for different concentrations of Cr(III) at deposition potensial -1.5 V, deposition time 90 seconds, scan rate 0.05 V/s and amplitude modulation 0.05 V. The regression equation and correlation coefficient are y = 0.142 + 0.004x and r = 0.9955, respectively. The resulting calibration plots is linear over the range from 0.5 to 75 ppb. The reproducibility of the AuNPs-GCE was estimated from the response to each 1 ppb of Cr(III) at replicates measurements. This series yield a mean current response, referred to as sensitivity, of 0.14 µA ppb-1 corresponding to a relative standard deviation (RSD) of 2.4%. The detection limit is 0.01 ppb based on three times the standard deviation of the baseline, calculated according to the reference [32]. The calculated detection limit of the proposed method is better than previous reported methods including the Cr(III) determination using sophisticated ICP–MS (Table 1). Usage of AuNPs modified electrode gives at least one order of magnitude better detection limit than previous reported voltrametric methods using film electrodes. Limited publication of Cr(III) voltammetric detection compared with those of Cr(VI), in addition to its relatively poor sensitivity of non-gold electrodes lead us to infer that to obtain high quality of Cr(III) voltammetric profiles require gold or gold-modified electrodes. Previously it is known that high quality voltammetric profiles for Cr(III) oxidation were found to appear only at a gold electrode [33].
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