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Sample records for fractal asset returns

  1. Fractal asset returns, arbitrage and option pricing

    Potgieter, Petrus H.

    2009-01-01

    In the discrete-time fractional random walk model a market with one risky asset affords an arbitrage opportunity as described by Cutland et al. [Cutland NJ, Kopp PE, Willinger W. Stock price returns and the Joseph effect: a fractional version of the Black-Scholes model. In: Russo Francesco, Bolthausen Erwin, Dozzi Marco, editors. Seminar on 6 stochastic analysis, random fields and applications, pp. 327-351. Seminar on stochastic analysis, random fields and applications. Ascona: Centro Stefano Franscini; 1993, Progress in probability 36. Birkhauser Verlag; 1995.] and Sottinen [Sottinen Tommi. Fractional Brownian motion, random walks and binary market models. Finance Stoch 2001;5(3):343-355]. We briefly discuss these results and compute a numerical example in a fractional binomial model as illustration and mention an option pricing model for assets the returns of which are driven by a fractional Brownian motion [Yaozhong Hu, Bernt Oksendal. Fractional white noise calculus and applications to finance. Infin Dimens Anal Quant Probability Rel Top 2003;6:1-32, ISSN 0219-0257; Fajardo J, Cajueiro DO. Volatility estimation and option pricing with fractional Brownian motion, October 2003. Available from: (http://ideas.repec.org/p/ibm/finlab/flwp53.html)].

  2. Financial Integration and Asset Returns

    P Martin; H Rey

    2000-01-01

    The paper investigates the impact of financial integration on asset return, risk diversification and breadth of financial markets. We analyse a three-country macroeconomic model in which (i) the number of financial assets is endogenous; (ii) assets are imperfect substitutes; (iii) cross-border asset trade entails some transaction costs; (iv) the investment technology is indivisible. In such an environment, lower transaction costs between two financial markets translate to higher demand for as...

  3. Risk and return in oilfield asset holdings

    Kretzschmar, Gavin L.; Kirchner, Axel; Reusch, Hans [University of Edinburgh, College of Humanities and Social Sciences, The Management School (United Kingdom)

    2008-11-15

    Convention suggests that emerging market investment should provide commensurately lower risk or higher returns than comparable assets in developed countries. This study demonstrates that emerging markets contain regulatory specificities that challenge asset valuation model convergence and potentially invert risk return convention. 292 oilfield assets are used to provide evidence that, under upward oil prices, emerging markets are characterized by progressive state participation in oilfield cash flows. Specifically, this work advances the low oil price paradigm of prior oil and gas asset valuation studies and provides evidence that emerging market state participation terms limit the corporate value of globalization for the sector. (author)

  4. Risk and return in oilfield asset holdings

    Kretzschmar, Gavin L.; Kirchner, Axel; Reusch, Hans

    2008-01-01

    Convention suggests that emerging market investment should provide commensurately lower risk or higher returns than comparable assets in developed countries. This study demonstrates that emerging markets contain regulatory specificities that challenge asset valuation model convergence and potentially invert risk return convention. 292 oilfield assets are used to provide evidence that, under upward oil prices, emerging markets are characterized by progressive state participation in oilfield cash flows. Specifically, this work advances the low oil price paradigm of prior oil and gas asset valuation studies and provides evidence that emerging market state participation terms limit the corporate value of globalization for the sector. (author)

  5. Inflation risk and international asset returns

    G.A. Moerman (Gerard); M.A. van Dijk (Mathijs)

    2010-01-01

    textabstractWe show that inflation risk is priced in international asset returns. We analyze inflation risk in a framework that encompasses the International Capital Asset Pricing Model (ICAPM) of Adler and Dumas (1983). In contrast to the extant empirical literature on the ICAPM, we relax the

  6. Asset Return Dynamics and Learning

    William A. Branch; George W. Evans

    2010-01-01

    This article advocates a theory of expectation formation that incorporates many of the central motivations of behavioral finance theory while retaining much of the discipline of the rational expectations approach. We provide a framework in which agents, in an asset pricing model, underparameterize their forecasting model in a spirit similar to Hong, Stein, and Yu (2007) and Barberis, Shleifer, and Vishny (1998), except that the parameters of the forecasting model and the choice of predictor a...

  7. Return models and dynamic asset allocation strategies

    Shi, Wyanet Wen

    2017-01-01

    This thesis studies the design of optimal investment strategies. A strategy is considered optimal when it minimizes the variance of terminal portfolio wealth for a given level of expected terminal portfolio wealth, or equivalently, maximizes an investor's utility. We study this issue in two particular situations: when asset returns follow a continuous-time path-independent process, and when they follow a discrete-time path-dependent process. Continuous-time path-independent return mode...

  8. Return on Knowledge Assets: Rethinking Investments in Educational Technology.

    Watkins, Karen E.; Callahan, Mary Wilson

    1998-01-01

    Presents various ways of understanding knowledge and intellectual capital and the assets they produce. Considers implications of assessing the return on educational technologies as organizational knowledge assets. Presents a case study to illustrate how an educational technology application might help capture the benefits of knowledge capital.…

  9. Impact Of Monetary Policy On Financial Asset Returns: An Analysis ...

    Impact Of Monetary Policy On Financial Asset Returns: An Analysis Of Selected Stocks From The Nigerian Capital Market. ... Journal of Research in National Development. Journal Home · ABOUT THIS JOURNAL · Advanced Search · Current ...

  10. Country size, currency unions, and international asset returns

    Hassan, Tarek A.

    2015-01-01

    The fact that economies differ in size has important implications for international asset returns. I solve for the spread on international bonds and stocks in an endowment economy with complete asset markets and non-traded goods. The model predicts that larger countries have lower real interest rates because their bonds provide insurance against shocks that affect a larger fraction of the world economy. Larger countries' bonds must therefore pay lower excess returns in equilibrium and uncover...

  11. Population age structure and asset returns: an empirical investigation.

    Poterba, J M

    1998-10-01

    "This paper investigates the association between population age structure, particularly the share of the population in the 'prime saving years' 45-60, and the returns on stocks and bonds. The paper is motivated by the claim that the aging of the 'Baby Boom' cohort in the United States is a key factor in explaining the recent rise in asset values. It also addresses the associated claim that asset prices will decline when this large cohort reaches retirement age and begins to reduce its asset holdings. This paper begins by considering household age-asset accumulation profiles. Data from the Survey of Consumer Finances suggest that while cross-sectional age-wealth profiles peak for households in their early 60s, cohort data on the asset ownership of the same households show a much less pronounced peak.... The paper then considers the historical relationship between demographic structure and real returns on Treasury bills, long-term government bonds, and corporate stock. The results do not suggest any robust relationship between demographic structure and asset returns.... The paper concludes by discussing factors such as international capital flows and forward-looking behavior on the part of market participants that could weaken the relationship between age structure and asset returns in a single nation." excerpt

  12. Modeling conditional correlations of asset returns

    Silvennoinen, Annastiina; Teräsvirta, Timo

    2015-01-01

    In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is d......In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM......-test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of five...

  13. A comparative analysis of returns of various financial asset classes ...

    kirstam

    2014-12-09

    Dec 9, 2014 ... returns on all asset classes should conceptually more or less converge. The results from ..... Based on monthly means, clearly cash underperforms both equities and bonds as might be ..... valuation models. Conclusion ... does not explore the complexities of the risk-parity style of investment, which is left for.

  14. Return to axi-symmetry for pipe flows generated after a fractal orifice

    Nicolleau, F C G A, E-mail: F.Nicolleau@Sheffield.ac.uk [SFMG, Department of Mechanical Engineering, University of Sheffield, Mappin Street, Sheffield S1 3JD (United Kingdom)

    2013-12-15

    We present experimental results obtained from pipe flows generated by fractal shaped orifices or openings. We compare different fractal orifices and their efficiencies to re-generate axi-symmetric flows and to return to the standard flow generated by a perforated plate or a circular orifice plate. We consider two families of fractal openings: mono-orifice and complex orifice and emphasize the differences between the two fractal families. For the Reynolds number we used, we found that there is an optimum iteration for the fractal level above which no improvement for practical applications such as flowmetering is to be expected. The main parameters we propose for the characterization of the fractal orifice are the connexity parameter, the symmetry angle and the gap to the wall {delta}*{sub g}. The results presented here are among the first for flows forced through fractal openings and will serve as a reference for future studies and benchmarks for numerical applications. (paper)

  15. Return to axi-symmetry for pipe flows generated after a fractal orifice

    Nicolleau, F C G A

    2013-01-01

    We present experimental results obtained from pipe flows generated by fractal shaped orifices or openings. We compare different fractal orifices and their efficiencies to re-generate axi-symmetric flows and to return to the standard flow generated by a perforated plate or a circular orifice plate. We consider two families of fractal openings: mono-orifice and complex orifice and emphasize the differences between the two fractal families. For the Reynolds number we used, we found that there is an optimum iteration for the fractal level above which no improvement for practical applications such as flowmetering is to be expected. The main parameters we propose for the characterization of the fractal orifice are the connexity parameter, the symmetry angle and the gap to the wall δ* g . The results presented here are among the first for flows forced through fractal openings and will serve as a reference for future studies and benchmarks for numerical applications. (paper)

  16. Endogenous time-varying risk aversion and asset returns.

    Berardi, Michele

    2016-01-01

    Stylized facts about statistical properties for short horizon returns in financial markets have been identified in the literature, but a satisfactory understanding for their manifestation is yet to be achieved. In this work, we show that a simple asset pricing model with representative agent is able to generate time series of returns that replicate such stylized facts if the risk aversion coefficient is allowed to change endogenously over time in response to unexpected excess returns under evolutionary forces. The same model, under constant risk aversion, would instead generate returns that are essentially Gaussian. We conclude that an endogenous time-varying risk aversion represents a very parsimonious way to make the model match real data on key statistical properties, and therefore deserves careful consideration from economists and practitioners alike.

  17. Effects of intraday weather changes on asset returns and volatilities

    Hyein Shim

    2017-12-01

    Full Text Available Analyzing the intraday dataset on weather and market information with the use of the extended GJR-GARCH framework, this study explores in depth the weather effects on the asset returns and volatilities of the Korean stock and derivatives markets. Our intraday analyses contribute to the existing literature by going beyond the attempt of prior studies to capture the weather effects using the average daily observations alone. The empirical results document a modest presence of the weather effect on the returns and volatilities, though the significance of its impact is found to vary across different market conditions and indices. We also find that the return and volatility respond asymmetrically to extremely good and bad weather conditions. The intraday analyses show that the weather effect on the returns and volatilities is more statistically significant at the beginning of the working day or the lunch break, indicating the intraday weather effects on the financial market.

  18. On fractality and chaos in Moroccan family business stock returns and volatility

    Lahmiri, Salim

    2017-05-01

    The purpose of this study is to examine existence of fractality and chaos in returns and volatilities of family business companies listed on the Casablanca Stock Exchange (CSE) in Morocco, and also in returns and volatility of the CSE market index. Detrended fluctuation analysis based Hurst exponent and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) model are used to quantify fractality in returns and volatility time series respectively. Besides, the largest Lyapunov exponent is employed to quantify chaos in both time series. The empirical results from sixteen family business companies follow. For return series, fractality analysis show that most of family business returns listed on CSE exhibit anti-persistent dynamics, whilst market returns have persistent dynamics. Besides, chaos tests show that business family stock returns are not chaotic while market returns exhibit evidence of chaotic behaviour. For volatility series, fractality analysis shows that most of family business stocks and market index exhibit long memory in volatility. Furthermore, results from chaos tests show that volatility of family business returns is not chaotic, whilst volatility of market index is chaotic. These results may help understanding irregularities patterns in Moroccan family business stock returns and volatility, and how they are different from market dynamics.

  19. Time-independent models of asset returns revisited

    Gillemot, L.; Töyli, J.; Kertesz, J.; Kaski, K.

    2000-07-01

    In this study we investigate various well-known time-independent models of asset returns being simple normal distribution, Student t-distribution, Lévy, truncated Lévy, general stable distribution, mixed diffusion jump, and compound normal distribution. For this we use Standard and Poor's 500 index data of the New York Stock Exchange, Helsinki Stock Exchange index data describing a small volatile market, and artificial data. The results indicate that all models, excluding the simple normal distribution, are, at least, quite reasonable descriptions of the data. Furthermore, the use of differences instead of logarithmic returns tends to make the data looking visually more Lévy-type distributed than it is. This phenomenon is especially evident in the artificial data that has been generated by an inflated random walk process.

  20. ANALISIS PENGARUH TINGKAT KESEHATAN BANK TERHADAP RETURN ON ASSET

    Andy Setiawan

    2017-10-01

    Full Text Available Penelitian  ini  dilakukan  untuk  menganalisis pengaruh  tingkat kesehatan bank terhadap return on asset (ROA berdasarkan metode risk based bank rating (RBBR. Variabel independen yang diteliti adalah Non  Performing  Loan  (NPL, Loan to Deposit Ratio (LDR, Net Interest Margin (NIM, Capital Adequacy Ratio (CAR,  BOPO   (Biaya   Operasional/Pendapatan Operasional, Good Corporate Governance (GCG dan Posisi  Devisa  Netto  (PDN terhadap variabel dependen Return On Asset (ROA. Sampel yang digunakan  adalah  seluruh bank BUKU 4 di Indonesia selama periode 2007-2014. Teknik analisis data yang  digunakan  adalah  regresi  linier  berganda. Hasil penelitian ini menunjukkan bahwa tingkat kesehatan bank dengan metode RBBR berpengaruh signifikan secara bersama terhadap ROA. Secara parsial LDR, NIM, BOPO, dan PDN berpengaruh signifikan terhadap ROA. Sedangkan variabel NPL, GCG dan CAR tidak berpengaruh signifikan. Kemampuan prediksi dari ketujuh variabel  tersebut  terhadap  ROA  dalam  penelitian  ini  sebesar  93,7%,  sedangkan sisanya 6,3% dipengarui oleh faktor lain yang tidak dimasukkan ke dalam model penelitian.

  1. The Response of Australian Stock, Foreign Exchange and Bond Markets to Foreign Asset Returns and Volatilities

    Paul D. McNelis

    1993-01-01

    This paper is a data-analytic study of the relationships among international asset price volatilities and the time-varying correlations of asset returns in a small open economy (Australia) with international asset returns. Making use of recent developments in time-series approaches to volatility estimation, impulse response functions, variance decomposition, and Kalman filtering, I show that the Australian stock market volatility is most closely linked with volatility in the UK stock market, ...

  2. PENGARUH CAR DAN LDR TERHADAP RETURN ON ASSETS

    Deden Edwar Yokeu Bernardin

    2016-10-01

      Banking is one of the sectors that dominate perkonomian Indonesia. The purpose of this study was to determine the effect of the Capital Adequacy Ratio (CAR and the Loan to Deposit Ratio (LDR Of Return On Assets (ROA at Bank BJB listed on the Stock Exchange with the observation period 2009 - 2015. The method used by researchers is using dekskriptif and verification method with quantitative approach using multiple regression analysis. This study uses a support program SPSS 20. The results in this study stated that partially showed that the CAR significant effect on ROA, means to show the truth of the factual from the Bank BJB is possible with the increased quality of the CAR will be the effect on the profit shown by the increase in ROA and LDR no significant effect on ROA, that the increase in liquidity does not necessarily increase profits in the analysis using ROA and by no means influence. Additionally simultaneously both CAR and LDR significant effect on ROA, means that the ratio analysis done of the higher value of CAR and LDR will necessarily increase in the profits of the Bank BJB by using ROA.   Keywords: CAR, LDR and ROA

  3. Kinerja Lingkungan Terhadap Return on Asset Melalui Corporate Social Responsibility Discloure

    Restuningdiah, Nurika

    2010-01-01

    The purpose of this research was to examine the impact of environmental perfor-mance to Corporate Social Responsibility (CSR) disclosure, the impact of CSR disclosure toReturn on Asset, and the undirect impact of of environmental performance to Return onAsset through CSR disclosure. Path Analysis of 18 public companies listed in Indonesia StockExchange and participated in the Proper Program from 2007 -2008 through a judgment sam-pling technique indicated that environmental performance had a p...

  4. Asset securitization and rate of return: A study on letters of guarantee

    Wu, Binghui

    2018-01-01

    Using the theory of asset securitization, we analyze the feasibility of the securitization of letters of guarantee in theory. In the process of constructing the model of rate of return of securities backed by letters of guarantee, we propose two indices: the risk probability of asset-backed securities and the loss rate of asset-backed securities to analyze the cash flow of securities. On the basis of no arbitrage principle, the expression of rate of return of securities backed by letters of guarantee is put forward. In order to study the relationship between the rate of return of securities and other influential factor in the model, a simulation experiment is designed. The experiment results show that (i) an increasing risk probability of cash flow or a short maturity date also make the return rate of securities increase and (ii) the return rate of securities is higher in economic boom than that in economic recession when other parameters remain unchanged.

  5. Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

    Muhammad Iqbal

    2017-06-01

    Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

  6. Analysis of Asset Growth Anomaly on Cross-Section Stock Returns: Evidence from Indonesia Stock Exchange

    Muhammad Iqbal

    2017-03-01

    Full Text Available Assorted types of market anomalies occur when stock prices deviate from the prediction of classical asset pricing theories. This study aims to examine asset growth anomaly where stocks with high asset growth will be followed by low returns in the subsequent periods. This study, using Indonesia Stock Exchanges data, finds that an equally-weighted low-growth portfolio outperforms high-growth portfolio by average 0.75% per month (9% per annum, confirming existence of asset growth anomaly. The analysis is extended at individual stock-level using fixed-effect panel regression in which asset growth effect remains significant even with controlling other variables of stock return determinants. This study also explores further whether asset growth can be included as risk factor. Employing two-stage cross-section regression in Fama and Macbeth (1973, the result aligns with some prior studies that asset growth is not a new risk factor; instead the anomaly is driven by mispricing due to investors’ overreaction and psychological bias. This result imply that asset growth anomaly is general phenomenon that can be found at mostly all stock market but in Indonesia market asset growth anomaly rise from investors’ overreaction, instead of  playing as a factor of risk.

  7. PENGARUH KOMITE AUDIT, RETURN ON ASSETS DAN DEBT TO TOTAL ASSETS TERHADAP AUDIT REPORT LAG PADA PERUSAHAAN MANUFAKTUR YANG TERDAFTAR DI BURSA EFEK INDONESIA

    Ariani,

    2014-01-01

    Penelitian ini dilakukan dengan tujuan untuk mengetahui pengaruh independensi komite audit terhadap audit report lag, mengetahui pengaruh return on assets terhadap audit report lag dan mengetahui pengaruh debt to total assets terhadap audit report lag. Penelitian ini dilakukan pada perusahaan manufaktur yang terdaftar di Bursa Efek Indonesia tahun 2010 – 2012. Hasil penelitian menunjukkan bahwa independensi komite audit berpengaruh negatif terhadap audit report lag, return on assets berpen...

  8. KINERJA LINGKUNGAN TERHADAP RETURN ON ASSET MELALUI CORPORATE SOCIAL RESPONSIBILITY DISCLOURE

    Nurika Restuningdiah

    2017-03-01

    Full Text Available The purpose of this research was to examine the impact of environmental perfor-mance to Corporate Social Responsibility (CSR disclosure, the impact of CSR disclosure toReturn on Asset, and the undirect impact of of environmental performance to Return onAsset through CSR disclosure. Path Analysis of 18 public companies listed in Indonesia StockExchange and participated in the Proper Program from 2007 -2008 through a judgment sam-pling technique indicated that environmental performance had a positive effect to Corpo-rate Social Responsibility (CSR disclosure. The CSR disclosure had the positive impact toReturn on Asset, but the environmental performance had a negative effect to Return onAsset. This study also showed that there was positive undirect impact of environmentalperformance to Return on Asset through CSR disclosure. The implication of this study wasrelevant for public companies to publish their environmental performance on their annualreport (CSR Disclosure in order to give the “good news” to the public, and get the “goodimage” to increase sales.

  9. Hard assets : The return on rare diamonds and gems

    Renneboog, L.D.R.; Spaenjers, C.

    2012-01-01

    This note examines the investment performance of diamonds and other gems (sapphires, rubies, and emeralds) over the period 1999–2010, using a novel data set of auction transactions. Over our time frame, the annualized real USD returns for white and colored diamonds equaled 6.4% and 2.9%,

  10. Hard Assets : The Returns on Rare Diamonds and Gems

    Renneboog, L.D.R.; Spaenjers, C.

    2011-01-01

    This paper examines the investment performance of diamonds and other gems (sapphires, rubies, and emeralds) over the period 1999-2010, using a novel data set of auction transactions. Between 1999 and 2010, the annualized real USD returns for white and colored diamonds equaled 6.4% and 2.9%,

  11. Hard assets : The return of rare diamonds and gems

    Renneboog, Luc; Spaenjers, Christophe; Grynberg, Roman; Mbayi, Letsema

    This note examines the investment performance of diamonds and other gems (sapphires, rubies, and emeralds) over the period 1999–2010, using a novel data set of auction transactions. Over our time frame, the annualized real USD returns for white and colored diamonds equaled 6.4% and 2.9%,

  12. Volatility modeling of asset returns | Babayemi | International Journal ...

    This research was carried out using the daily close share price of Nestle Nigeria Plc to identify and model its volatility of returns in the Nigerian Stock Exchange Market. The result of the study showed that basic Generalized Conditionally Heteroskedastic Model (GARCH (1,1)) model (with Gaussian Error Assumptions) best ...

  13. FINANCIAL RETURN ON ASSETS. THE IMPACT OF THE FINANCIAL RETURN ON ASSETS OVER THE COMPANY’S DEVELOPMENT

    Constantin Căruntu

    2009-11-01

    Full Text Available The financial rate of return is a significant indicator for assessing the economic and financial performance of an enterprise for the internal diagnosis, as well as for the analysis required by the external partners. The financial return is a basic indicator which characterizes the business performances that is found directly under the trade policy (trade cost, efficiency of capital employed (economic profitability but also under the financial policy of the company. If the economic rate of return expresses a remuneration of the employed capital only in relation to operating activities, the financial rate of return quantifies a remuneration of the private capital trough all three types of activity: operational, financial and extraordinary. Starting from the consideration that the financial rate of return expresses the efficiency of equity or permanent capital use of the company we can state that it is of particular importance to the shareholders of the company, which considers according to it’s level whether their investments are justified and they will continue to support the business development through raising of fresh capital or abandonment for a limited period to one part of the dividends due. Managers, in turn, will be keen on maintaining an appropriate level of this rate, in order to retain their positions and to achieve the performance criteria of the company.

  14. Modelling conditional correlations of asset returns: A smooth transition approach

    Silvennoinen, Annastiina; Teräsvirta, Timo

    In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM-test is d......In this paper we propose a new multivariate GARCH model with time-varying conditional correlation structure. The time-varying conditional correlations change smoothly between two extreme states of constant correlations according to a predetermined or exogenous transition variable. An LM......-test is derived to test the constancy of correlations and LM- and Wald tests to test the hypothesis of partially constant correlations. Analytical expressions for the test statistics and the required derivatives are provided to make computations feasible. An empirical example based on daily return series of ve...

  15. Testing the Link Between Multinationality and the Return on Foreign Assets

    G.S. Yip (George); A. Kudina; A.M. Rugman (Alan)

    2009-01-01

    textabstractA large and robust emperical literature demonstrates that there is a strong relationship between the performance of a multinational enterprise (MNE) and its degree of multinationality. We develop a new metric to capture the return on foreign assets (ROFA), which we use as an alternative

  16. Pengaruh Komite Audit, Kualitas Audit, Kepemilikan Institusional, Risiko Perusahaan dan Return On Assets Terhadap Tax Avoidance

    Fitri Damayanti

    2016-01-01

    Full Text Available This research aims to analyze and get empirical evidence about the effect of audit committee, audit quality, ownership institutional, corporate risk and return on assets on the tax avoidance. Sample of this research were property and real estate industries which are listed in Indonesian Stock Exchanges during 2010-2013 period. The number of property and real estate industries that were became in this study were 22 companies with 4 years observation that acquired by purposive sampling method. Hypothesis in this research were tested by multiple regression model.The result of this research showed that corporate risk and return on assets influence the tax avoidance. In the other hand, the audit quality, audit committee and ownership institutional didn’t influence the tax avoidance.DOI: 10.15408/ess.v5i2.2341

  17. Pengaruh Return on Assets dan Debt to Equity Ratio terhadap Harga Saham pada Institusi Finansial di Bursa Efek Indonesia

    Rani Ramdhani

    2013-03-01

    Full Text Available This study aims to determine the effect of Return on Assets and Debt to Equity Ratio of Stock Price on Financial Institutions in Indonesia Stock Exchange. This study used secondary data, with samples 2 financial companies in Indonesia Stock Exchange during the study period 2004-2010. Independent variables in this study are Return on Assets and Debt to Equity Ratio. This study used purposive sampling technique. The method of data analysis used classical assumption test, hypothesis test, multiple regression analysis, the F test and t test. Based on results of the study, Return on Assets and Debt to Equity Ratio have no significant effect on stock price. Meanwhile, the F test result shows that Return on Assets and Debt to Equity Ratio jointly have no effect on stock price.

  18. Skewed Normal Distribution Of Return Assets In Call European Option Pricing

    Evy Sulistianingsih

    2011-12-01

    Full Text Available Option is one of security derivates. In financial market, option is a contract that gives a right (notthe obligation for its owner to buy or sell a particular asset for a certain price at a certain time.Option can give a guarantee for a risk that can be faced in a market.This paper studies about theuse of Skewed Normal Distribution (SN in call europeanoption pricing. The SN provides aflexible framework that captures the skewness of log return. We obtain aclosed form solution forthe european call option pricing when log return follow the SN. Then, we will compare optionprices that is obtained by the SN and the Black-Scholes model with the option prices of market. Keywords: skewed normaldistribution, log return, options.

  19. Portfolio optimization problem with nonidentical variances of asset returns using statistical mechanical informatics

    Shinzato, Takashi

    2016-12-01

    The portfolio optimization problem in which the variances of the return rates of assets are not identical is analyzed in this paper using the methodology of statistical mechanical informatics, specifically, replica analysis. We defined two characteristic quantities of an optimal portfolio, namely, minimal investment risk and investment concentration, in order to solve the portfolio optimization problem and analytically determined their asymptotical behaviors using replica analysis. Numerical experiments were also performed, and a comparison between the results of our simulation and those obtained via replica analysis validated our proposed method.

  20. Determinants of Return on Assets in Romania: A Principal Component Analysis

    Sorana Vatavu

    2015-03-01

    Full Text Available This paper examines the impact of capital structure, as well as its determinants on the financial performance of Romanian companies listed on the Bucharest Stock Exchange. The analysis is based on cross sectional regressions and factor analysis, and it refers to a ten-year period (2003-2012. Return on assets (ROA is the performance proxy, while the capital structure indicator is debt ratio. Regression results indicate that Romanian companies register higher returns when they operate with limited borrowings. Among the capital structure determinants, tangibility and business risk have a negative impact on ROA, but the level of taxation has a positive effect, showing that companies manage their assets more efficiently during times of higher fiscal pressure. Performance is sustained by sales turnover, but not significantly influenced by high levels of liquidity. Periods of unstable economic conditions, reflected by high inflation rates and the current financial crisis, have a strong negative impact on corporate performance. Based on regression results, three factors were considered through the method of iterated principal component factors: the first one incorporates debt and size, as an indicator of consumption, the second one integrates the influence of tangibility and liquidity, marking the investment potential, and the third one is an indicator of assessed risk, integrating the volatility of earnings with the level of taxation. ROA is significantly influenced by these three factors, regardless the regression method used. The consumption factor has a negative impact on performance, while the investment and risk variables positively influence ROA.

  1. Cost-Sensitive Estimation of ARMA Models for Financial Asset Return Data

    Minyoung Kim

    2015-01-01

    Full Text Available The autoregressive moving average (ARMA model is a simple but powerful model in financial engineering to represent time-series with long-range statistical dependency. However, the traditional maximum likelihood (ML estimator aims to minimize a loss function that is inherently symmetric due to Gaussianity. The consequence is that when the data of interest are asset returns, and the main goal is to maximize profit by accurate forecasting, the ML objective may be less appropriate potentially leading to a suboptimal solution. Rather, it is more reasonable to adopt an asymmetric loss where the model's prediction, as long as it is in the same direction as the true return, is penalized less than the prediction in the opposite direction. We propose a quite sensible asymmetric cost-sensitive loss function and incorporate it into the ARMA model estimation. On the online portfolio selection problem with real stock return data, we demonstrate that the investment strategy based on predictions by the proposed estimator can be significantly more profitable than the traditional ML estimator.

  2. Penilaian Kinerja PT Bank X dalam Mengelola Asset dan Kewajiban Berdasarkan Analisis Resiko dan Analisis Return

    Muhammad Yusuf

    2010-05-01

    Full Text Available Performance financial evaluation became a primary indicator for management, especially a bank. This research evaluated asset and liability management of PT Bank X to describe its risk and return, by using financial ratios. The results found that performance ratios of PT Bank X decreasingly, where interest margin and net margin decreased to negative. This because of interest expenses and other operational expenses increased. Risk evaluation based on liquidity ratio were also decreasing in 2006 – 2007, because of the most assets of the bank became illiquid assest and default credits. On the other hand, this conditions became worse because of “Rush”, many of their customers took their money out from the bank on the same period. In 2008, bank has reduced their default credits succesively and made its liquiditiy better than previous year. Bad quality of credit management and control made the bank budgets their bad allowances for default credits higher and made bank’s capital risk higher too. Finally, all of bank’s capital was financed with their liabilities. The other hand, bank’s operating risk were recovered slowly, by organzation rationalization to reduce number of employees, as efficiency also. But this effort, indeed, made employee expenses increasing because management must pay golden-shake hand costs to employees. 

  3. Study regarding the influence of the endogenous and exogenous factors on credit institution’s return on assets

    Maria-Daciana RODEAN (COZMA); Nicolae BALTEŞ

    2016-01-01

    The goal of each credit institution is represented by profitability, an objective hardly to be achieved, taking into account that banks are practicing their usual activities within a banking system that hardly tries to recover. The main purpose of this research is to identify the existence of a dependency relationship between return on assets and endogenous factors (growth rate of the loan portfolios; the rate of growth of the provisions and solvency ratio) and the exogenous on...

  4. PENGARUH CORPORATE SOCIAL RESPONSIBILITY DISCLOSURE TERHADAP RETURN ON ASSETS PADA PERUSAHAAN TELEKOMUNIKASI YANG TERDAFTAR DI BURSA EFEK INDONESIA

    Christian Noel Filemon

    2017-04-01

    Full Text Available Dewasa ini, konsep CSR berkaitan erat dengan keberlangsungan perusahaan. Menurut konsep CSR, sebuah perusahaan dalam melaksanakan aktivitas dan pengambilan keputusan tidak hanya berdasarkan faktor keuangan dan keuntungan semata melainkan juga berdasarkan konsekuensi sosial dan lingkungan untuk saat ini maupun masa yang akan datang. Secara teori, CSR dapat dimanfaatkan untuk memaksimalkan nilai pemegang saham, strategi untuk mencapai keunggulan kompetitif dalam jangka panjang, serta sebagai media pemasaran. Selain itu juga dapat mengurangi biaya penyesuaian yang dikeluarkan apabila perusahaan dinilai merugikan masyarakat maupun lingkungan ketika beroperasi. Sebagai salah satu bentuk aktivitas perusahaan, maka setiap kegiatan CSR perlu diungkapkan kepada pemegang saham. Penelitian ini akan membahas tentang bagaimana pengungkapan CSR dapat mempengaruhi financial performance khususnya ROA perusahaan-perusahaan yang berasal dari industri yang bertumbuh tinggi saat ini, yakni industri telekomunikasi, dengan periode penelitian pada tahun 2010 hingga 2013. Penelitian ini menggunakan teknik analisis regresi data panel terhadap lima perusahaan telekomunikasi dengan CSR Disclosure sebagai variabel independen, Return on Assets sebagai variabel dependen dan dua variabel kontrol yakni Leverage dan Company Size. Berdasarkan hasil penelitian, ditemukan bahwa tidak terdapat pengaruh signifikan dari CSR Disclosure terhadap Return on Assets. Di sisi lain, hanya variabel kontrol Company Size yang memiliki pengaruh positif dan signifikan terhadap Return on Assets.

  5. PENGARUH EARNINGS, OPERATING CASH FLOW DAN ASSET GROWTH TERHADAP STOCK RETURN PERUSAHAAN YANG TERDAFTAR PADA INDEKS LQ 45 UNTUK PERIODE 2009-2011

    Yulius ,

    2017-02-01

    Full Text Available The objective of this research is to test the impact of earnings, operating cash flow and asset growth to firm’s stock return which listed in LQ 45 index in Indonesian for 2009-2011. The result of this research is earnings, operating cash flow and asset growth have not significant effect to stock return both when those variabels is tested separately or silmutaneously. This result show that earnings, operating cash flow and asset growth are not only the one to be the basis of consideration for investor to make investment to get the stock return. Therefore, for making investment, investor should consider other factors which effect the firm’s stock return as macro economics and politics. Furthermore, from this result, be expected an improvement of quality financial statement which addopted IFRS. Keyword: Earnings, Operating Cash Flow, Asset Growth, Stock Return.

  6. Randomness confidence bands of fractal scaling exponents for financial price returns

    Ibarra-Valdez, C.; Alvarez, J.; Alvarez-Ramirez, J.

    2016-01-01

    Highlights: • A robust test for randomness of price returns is proposed. • The DFA scaling exponent is contrasted against confidence bands for random sequences. • The size of the band depends of the sequence length. • Crude oil and USA stock markets have been rarely inefficient. - Abstract: The weak-form of the efficient market hypothesis (EMH) establishes that price returns behave as a pure random process and so their outcomes cannot be forecasted. The detrended fluctuation analysis (DFA) has been widely used to test the weak-form of the EMH by showing that time series of price returns are serially uncorrelated. In this case, the DFA scaling exponent exhibits deviations from the theoretical value of 0.5. This work considers the test of the EMH for DFA implementation on a sliding window, which is an approach that is intended to monitor the evolution of markets. Under these conditions, the scaling exponent exhibits important variations over the scrutinized period that can offer valuable insights in the behavior of the market provided the estimated scaling value is kept within strict statistical tests to verify the presence or not of serial correlations in the price returns. In this work, the statistical tests are based on comparing the estimated scaling exponent with the values obtained from pure Gaussian sequences with the length of the real time series. In this way, the presence of serial correlations can be guaranteed only in terms of the confidence bands of a pure Gaussian process. The crude oil (WTI) and the USA stock (DJIA) markets are used to illustrate the methodology.

  7. Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation

    John Okunev; Patrick J. Wilson

    2008-01-01

    This study presents further evidence of the predictability of excess equity REIT (real estate investment trust) returns. Recent evidence on forecasting excess returns using fundamental variables has resulted in diminishing returns from the 1990’s onward. Trading strategies based on these forecasts have not significantly outperformed the buy/hold strategy of the 1990’s. We have developed an alternative strategy that is based on the time variation of the risk premium of investors. Our results i...

  8. Higher-moment stochastic discount factor specifications and the cross-section of asset returns

    Wang, Dengli

    2013-01-01

    The stochastic discount factor model provides a general framework for pricing assets. A suitably specified discount factor encompasses most of the theories currently in use, including the CAPM, consumption CAPM, higher-moment CAPM and their conditional versions. In this thesis, we focus on the empirical admissibility of alternative SDFs under restrictions that ensure that investors’ risk-preferences are well behaved. More innovatively, we explore whether the SDF implied by the 3 and 4-mome...

  9. Modeling the coupled return-spread high frequency dynamics of large tick assets

    Curato, Gianbiagio; Lillo, Fabrizio

    2015-01-01

    Large tick assets, i.e. assets where one tick movement is a significant fraction of the price and bid-ask spread is almost always equal to one tick, display a dynamics in which price changes and spread are strongly coupled. We present an approach based on the hidden Markov model, also known in econometrics as the Markov switching model, for the dynamics of price changes, where the latent Markov process is described by the transitions between spreads. We then use a finite Markov mixture of logit regressions on past squared price changes to describe temporal dependencies in the dynamics of price changes. The model can thus be seen as a double chain Markov model. We show that the model describes the shape of the price change distribution at different time scales, volatility clustering, and the anomalous decrease of kurtosis. We calibrate our models based on Nasdaq stocks and we show that this model reproduces remarkably well the statistical properties of real data.

  10. PENGARUH PERUBAHAN RETURN ON ASSETS, PERUBAHAN DEBT TO EQUITY RATIO DAN PERUBAHAN CASH RATIO TERHADAP PERUBAHAN DIVIDEND PAYOUT RATIO

    Yuli Soesetio

    2008-02-01

    Full Text Available Dividend Payout Ratio used to calculate all of revenue that will be accepted by stockholders as cash dividend, usually explained as percentage. This research was conducted to know several factors that affected change of Dividend Payout Ratio and to know the significance level and the correlation between dependent and independent variable. Analysis instrument used was parametric statistic. Based on the result of statistic test,  The Change of Return on Asset (X1, The Change of Debt to Equity Ratio (X2,  were able to explain dependent variable of the change Dividend Payout Ratio, and The Change of CashRatio can’t explain dependent variable of the change Dividend Payout Ratio

  11. Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation

    Roncalli, Thierry

    2013-01-01

    Risk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in 2008. However, risk parity has also been criticized because it focuses on managing risk concentration rather than portfolio performance, and is therefore seen as being closer to passive management than act...

  12. KOMPARASI CAPITAL ASSET PRICING MODEL VERSUS ARBITRAGE PRICING THEORY MODEL ATAS VOLATILITAS RETURN SAHAM

    Mathius Tandiontong

    2017-03-01

    Full Text Available Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income. This study focused on thedifference of APTM versus CAPM, and it also focused on the sensitivity of the APTM on the stock returns. Thisstudy was based on the assumption that: there were differences in sectoral stock return volatility, volatility ofmarket risk factors, and macroeconomic risks affecting sectoral differences in the sensitivity of stock returns;there were differences in the results of testing the validity, robustness unconditional CAPM and APTMmultifactorial; and time-varying volatility referring to the phenomena of structural breaks and asymmetriceffect. The method of analysis used nested models with panel data. Data were analyzed by using secondary datafrom 2005-2012. The results of this study concluded that: there was no different sensitivity of stock returnsacross sectors, but there was different insensitivity between systematic risk factors, CAPM and APTM multifactorthat showed the inconsistency of the sectoral shares, but the proven model of unconditional CAPM wasvalid; the difference of factor risk premiums was as a result of the structural break, the financial crisis period of2008 within the period 2005-2012.

  13. Asset prices and priceless assets

    Penasse, J.N.G.

    2014-01-01

    The doctoral thesis studies several aspects of asset returns dynamics. The first three chapters focus on returns in the fine art market. The first chapter provides evidence for the existence of a slow-moving fad component in art prices that induces short-term return predictability. The article has

  14. The Effects of Asset Management and Profitability on Stock Returns: A Comparative Study between Conventional and Islamic Stock Markets in Indonesia

    Shelly Midesia

    2016-09-01

    Full Text Available This study aims at empirically examining whether there are differences in stock returns between conventional and Islamic stock returns In Indonesia for the period 2010-2013. This study also attempts to explore the effect of asset management and profitability both stock returns in Indonesia. Annual pooled data gathered from the annual financial reports of 100 conventional and Islamic stock returns, which were published by the Indonesian Stock Exchange from 2010 to 2013 were used and analyzed by using the independent t-test and panel multivariate regression analysis. The result shows that there was no difference in stock returns between the conventional and Islamic stock markets. Additionally, the study documents that only profitability, which is measured by market ratio, was found to have an influence on the conventional stock markets. Meanwhile, as for Islamic stock market, only management of assets was found to have a significant effect on the stock return. These findings imply that investors who are investing in both Islamic and conventional markets would gain similar returns. However, in predicting and stabilizing the stock markets, both investors and policy makers should focus on the profitability for the conventional and management of assets for the Islamic stock market.

  15. Risk and Return under Shari’a Framework: An Attempt to Develop Shari’a Compliant Asset Pricing Model (SCAPM

    Muhammad Hanif

    2011-12-01

    Full Text Available A speedy emerging area of finance is the Shari’a compliant financial system. In first decade of 21st century Islamic financing has shown tremendous increase and global volume has reached to US $ 1,041 billion by the end of 2009. Being financial intermediaries Islamic Financial Institutions (IFIs have shown commendable progress in deposit collection under profit and loss sharing schemes however investment avenues are limited in comparison of conventional banks. Although a large number of financing modes are available to IFIs, yet maintenance of required liquidity is serious issue because money market and capital market is dominated by interest based instruments and conventional practices (some are clearly prohibited by Shari’a. Recently Al-meezan Investment Management Ltd. (AIML has started screening of Shari’a compliant stocks on KSE, and provided an avenue for Shari’a Compliant Investors/IFIs to invest in equities. This study is conducted to understand conventional asset pricing models, document any mismatching with Shari’a financial system, and suggest amendments if required. Findings suggest existing models of equity pricing (CAPM, APT/MFM are very much practicable under Shari’a framework with slight modification of risk free return because under Shari’a frame work risk free returns do not exist.

  16. A new method to estimate risk and return of non-traded assets from cash flows : The case of private equity funds

    Driessen, J.J.A.G.; Lin, T.C.; Phalippou, L.

    2012-01-01

    We develop a new methodology to estimate abnormal performance and risk exposure of nontraded assets from cash flows. Our methodology extends the standard internal rate of return approach to a dynamic setting. The small-sample properties are validated using a simulation study. We apply the method to

  17. Fractal Bread.

    Esbenshade, Donald H., Jr.

    1991-01-01

    Develops the idea of fractals through a laboratory activity that calculates the fractal dimension of ordinary white bread. Extends use of the fractal dimension to compare other complex structures as other breads and sponges. (MDH)

  18. Fractal cosmology

    Dickau, Jonathan J.

    2009-01-01

    The use of fractals and fractal-like forms to describe or model the universe has had a long and varied history, which begins long before the word fractal was actually coined. Since the introduction of mathematical rigor to the subject of fractals, by Mandelbrot and others, there have been numerous cosmological theories and analyses of astronomical observations which suggest that the universe exhibits fractality or is by nature fractal. In recent years, the term fractal cosmology has come into usage, as a description for those theories and methods of analysis whereby a fractal nature of the cosmos is shown.

  19. PENGARUH BIAYA OPERASIONAL DENGAN PENDAPATAN OPERASIONAL (BOPO DAN DANA PIHAK KETIGA TERHADAP RETURN ON ASSET (ROA PADA BANK PERKREDITAN RAKYAT

    Kevin Varianto Jorjoga

    2015-07-01

    Full Text Available This research was intended to examine the effect of how great the performance of Bank Perkreditan Rakyat, which was measured by ROA during period 2009 to 2012. The independent variables used in this research were operating expense to operating revenue (BOPO and Third Party Funds. While, its dependent variable was the Return on Asset (ROA of Bank Perkreditan Rakyat. This research used secondary data that was obtained from the report of BPR in DKI Jakarta, which has been published through Bank Indonesia or Otoritas Jasa Keuangan in 2009 to 2013. The technique that was used to gather the sample was purposive sampling and there were 10 companies obtained with a total sample of 50 companies. The method used in this research was multiple linear regression analysis. The result of t-test showed that the first variable, BOPO, had a negative and significant effect to ROA of Bank Perkreditan Rakyat. The second variable, which was Dana Pihak Ketiga, also showed a negative and significant effect to ROA.

  20. ANALISIS PENGARUH LDR, NPL DAN OPERATIONAL EFFICIENCY RATIO TERHADAP RETURN ON ASSETS PADA BANK DEVISA DI INDONESIA PERIODE 2010-2012

    Hamidah Hamidah; Goldan Merion Siallagan; Umi Mardiyati

    2014-01-01

    This research is performed on order to test analysis the influence of the Loan to Deposit Ratio (LDR), Non Performing Loan (NPL) and Operational Efficiency Ratio (OER) toward Return On Asset (ROA) On Foreign Exchange Banks In Indonesia Period 2010-2012. Methodology research as the sample used purposive sampling, samplewas accured fromforeign banks in Indonesia. Data analysis with multi liniearregression of ordinary least square and hypotheses test used t-statistic and Fstatistic, a classic as...

  1. ADOPTION OF IFRS STANDARDS IN BRAZIL: IMPACT OF DEEMED COST ON COMPANIES’ INDEBTEDNESS LEVEL (IL AND RETURN ON ASSETS (ROA OF

    Jose Antonio França

    2014-05-01

    Full Text Available The adoption of the international accounting standards in Brazil allowed the companies to value fixed asset items at their fair value, using the deemed cost as an authorized procedure to lend a new monetary translation to these items, with the net equity and possible reflections in the liabilities serving as the counterparts. This permission was restricted to the year of the initial adoption of the International Financial Reporting Standards (IFRS, while its use was prohibited for subsequent periods. As the monetary update of the cost of the companies non-monetary assets had been revoked more than a decade earlier, the adoption of the deemed cost would signal a possibility of value recomposition and that this possibility could alter the magnitude of the structural indicators of the companies’ equity status. In this context, the objective of the article is to investigate and evidence whether the use of the deemed cost by the Brazilian companies listed on BM&F, in the initial adoption of the IFRS standard in 2009 significantly altered the quantum of the structural indicators Indebtedness Level (IL and Return on Assets (ROA. To obtain the results, quantitative models were used, based on the variance analysis through the test of means, Pearson’s correlation matrix and descriptive statistics. The results, with a 95% confidence level, suggest that, in statistical terms, the use of the deemed cost in Brazil was not attractive for the companies, did not produce significant alterations in the Indebtedness Level (IL and Return on Assets (ROA and did not reveal any significant undervaluation of the corporate fixed assets.

  2. Infrastructural Fractals

    Bruun Jensen, Casper

    2007-01-01

    . Instead, I outline a fractal approach to the study of space, society, and infrastructure. A fractal orientation requires a number of related conceptual reorientations. It has implications for thinking about scale and perspective, and (sociotechnical) relations, and for considering the role of the social...... and a fractal social theory....

  3. Asset Meltdown

    Marekwica, Marcel; Maurer, Raimond; Sebastian, Steffen P.

    2011-01-01

    Executive Summary. This paper analyzes the relation between demographic structure and real asset returns on Treasury bills, bonds, and stocks for the G7 countries (United States, Canada, Japan, Italy, France, the United Kingdom, and Germany). A macroeconomic multifactor model is used to examine a...

  4. THE IMPACT OF THE CONVERSION OF HISTORICAL COST TO CORRECTED CURRENT COST ON RETURN ON ASSETS AND EQUITY: ANALYSIS FROM DUPONT SYSTEM.

    Roberto Silva da Penha

    2013-12-01

    Full Text Available Historical cost is the most used form of accounting valuation, but it does not reflect the effect of currency in time. The Theory of Corrected Current Cost, albeit with limitations, may show evidence of real and relevant accounting information of the entity. In this context, a question can be formulated: What is the impact of the conversion of historical cost to corrected current cost in return on assets and equity? In order to answer this question, the DuPont system was applied in a model company as a tool for analysis. The results showed that the return of assets at historical cost and corrected current cost were 12.11% and 3.14%, respectively, a decrease of 74.07%, and the result of the return on equity, the historical cost and corrected current cost were 20.59% and 4.96%, respectively, decreased 75.91%. Based on these variations it is observed that the impacts of the conversion of the corrected current cost were significant,confirming the importance of the adoption of this practice, whenever possible.

  5. Assessing Asset Pricing Anomalies

    W.A. de Groot (Wilma)

    2017-01-01

    markdownabstractOne of the most important challenges in the field of asset pricing is to understand anomalies: empirical patterns in asset returns that cannot be explained by standard asset pricing models. Currently, there is no consensus in the academic literature on the underlying causes of

  6. Helicalised fractals

    Saw, Vee-Liem; Chew, Lock Yue

    2013-01-01

    We formulate the helicaliser, which replaces a given smooth curve by another curve that winds around it. In our analysis, we relate this formulation to the geometrical properties of the self-similar circular fractal (the discrete version of the curved helical fractal). Iterative applications of the helicaliser to a given curve yields a set of helicalisations, with the infinitely helicalised object being a fractal. We derive the Hausdorff dimension for the infinitely helicalised straight line ...

  7. How Are Property Investment Returns Determined? : Estimating the Micro-Structure of Asset Prices, Property Income, and Discount Rates

    Shimizu, Chihiro

    2014-01-01

    How exactly should one estimate property investment returns? Investors in property aim to maximize capital gains from price increases and income generated by the property. How are the returns on investment in property determined based on its characteristics, and what kind of market characteristics does it have? Focusing on the Tokyo commercial property market and residential property market, the purpose of this paper was to break down and measure the micro-structure of property investment ret...

  8. Pengaruh Beta Saham Terhadap Expected Return Dengan Model Capital Asset Pricing Pada Perusahaan Publik Di Bursa Efek Jakarta

    Nasser, Etty M

    2007-01-01

    The objective of this research is to obtain empirical evidence of whether market beta has a significant influence on the expected return. This research examines 30 manufacturing companies listed in Jakarta Stock Exchange during 2001-2005 period. Data are mostly secondary data, obtained from Indonesian Capita! Market Directory and annual reports of the companies from 'Pusat Referensi Pasar Modal Indonesia' in Jakarta Stock Exchange. The statistical method used to test the hypothesis is multipl...

  9. PENGARUH BETA SAHAM TERHADAP EXPECTED RETURN DENGAN MODEL CAPITAL ASSET PRICING PADA PERUSAHAAN PUBLIK DI BURSA EFEK JAKARTA

    Etty M. Nasser

    2007-01-01

    The objective of this research is to obtain empirical evidence of whether market beta has a significant influence on the expected return. This research examines 30 manufacturing companies listed in Jakarta Stock Exchange during 2001-2005 period. Data are mostly secondary data, obtained from Indonesian Capita! Market Directory and annual reports of the companies from 'Pusat Referensi Pasar Modal Indonesia' in Jakarta Stock Exchange. The statistical method used to test the hypothesis is multipl...

  10. Fractals everywhere

    Barnsley, Michael F

    2012-01-01

    ""Difficult concepts are introduced in a clear fashion with excellent diagrams and graphs."" - Alan E. Wessel, Santa Clara University""The style of writing is technically excellent, informative, and entertaining."" - Robert McCartyThis new edition of a highly successful text constitutes one of the most influential books on fractal geometry. An exploration of the tools, methods, and theory of deterministic geometry, the treatment focuses on how fractal geometry can be used to model real objects in the physical world. Two sixteen-page full-color inserts contain fractal images, and a bonus CD of

  11. Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

    Louise M. Arthur; Colin A. Carter; Fay Abizadeh

    1988-01-01

    A new asset pricing model, the arbitrage pricing theory, has been developed as an alternative to the capital asset pricing model. The arbitrage pricing theory model is used to analyze the relationship between risk and return for agricultural assets. The major conclusion is that the arbitrage pricing theory results support previous capital asset pricing model findings that the estimated risk associated with agricultural assets is low. This conclusion is more robust for the arbitrage pricing th...

  12. PERBANDINGAN CAPITAL ASSET PRICING MODEL (CAPM DAN THREE FACTORS MODEL FAMA AND FRENCH (TFMFF DALAM MENGESTIMASI RETURN SAHAM

    KADEK MIRA PITRIYANTI

    2015-11-01

    Full Text Available In 1996, Fama and French developed the CAPM in Three Factor Model Fama and French (TFMFF to analyze the relationship between risk with rate of return by adding firm size factor that is proxied by Small Minus Big (SMB and value factor at Book to Market Ratio that is proxied by High Minus Low (HML on the CAPM model. The aim of this research is to compare the ability of CAPM and TFMFF in estimating the returns on six types of portfolios which are formed based on firm size and BE/ME. Selected samples are stocks of LQ-45 in period of February 2014, which have passed the selection of firm profits and ROE Warren Buffett criteria. Simple linear regression and Multiple linear regression with t test and F test statistics are used to demonstrate the influence and significance level of each variable. The results showed that TFMFF was more superior than CAPM. Market risk factor consistently affected each portfolio. SMB and HML is not always significantly effect on each portfolio, such as portfolio B/H, only market risk factor has a significant effect. However, the addition of SMB factors and HML factors could increase the coefficient of determination in each formed portfolio.

  13. NRU vessel repair and return to service: enhancing a Canadian R and D asset for the future

    Cox, D.S.; Arnold, J.B.; Lee, J.K., E-mail: coxd@aecl.ca [Atomic Energy of Canada Limited, Chalk River, Ontario (Canada)

    2013-07-01

    The National Research Universal (NRU) reactor was successfully returned to high power operation in 2010 August, after completing extensive inspections and repairs of the calandria vessel, in response to a small leak of heavy water that was discovered in 2009 May. The aluminum alloy vessel material had corroded from the outside surface over many years, and required application of weld build-up and plated weld repair at ten locations, executed by remote tooling deployed from inside the reactor vessel. Many specialized remotely operated tools were developed for inspection, sampling and repair operations. In parallel with the repair efforts, important maintenance activities were performed, enabled by the de-fuelled state with the heavy water drained from the vessel. Two annual inspection cycles have now been completed since the reactor was returned to high power operation, confirming the fitness of the vessel for continued operation. The NRU reactor is now entering its 56th year of operation and the current operating licence extends to 2016. Based on the outcome of a comprehensive Integrated Safety Review, AECL is continuing to implement major equipment upgrades and process improvements to support safe and reliable operation through 2021, for the benefit of Canadians and the world. (author)

  14. EFFICIENCY OF CURRENCY ASSET CLASSES

    Mohammad R. Safarzadeh

    2013-04-01

    Full Text Available Analyzing the risk and return for the S&P Currency Index Arbitrage and the Merk Absolute Return Currency Fund, this study intends to find whether currency asset classes are worthwhile investments. To determine where the efficient currency portfolios lie in the risk and return spectrum, this paper compares the two portfolios to fixed income and equity asset portfolios. The results lead to a baffling conclusion that, in general, the returns to low-risk currency asset portfolios are higher than the equity asset portfolios of same risk level.

  15. DIFFERENT APPROACHES TO THE EBIT CONSTRUCTION AND THEIR IMPACT ON CORPORATE FINANCIAL PERFORMANCE BASED ON THE RETURN ON ASSETS: SOME EVIDENCE FROM CZECH TOP100 COMPANIES

    Jiří Strouhal

    2018-03-01

    Full Text Available The paper discusses ways of measuring the financial performance of businesses. The aim is to determine to what extent the form of profit calculation influences value of return on assets (hereinafter referred to as ‘ROA’, which is frequently used as an indicator for measuring financial performance. The theoretical part is focused on the comparative analysis of accounting data based on Czech practices and IFRS with the in-depth focus on interest charges and reporting requirements. There is discussed the topic of objective and subjective measurement of financial performance. In the practical part, ROA is calculated using a profit in two forms of its construction. There are evaluated TOP 100 Czech companies in order to assess the differences in the final values of the tested indicator. The results are linked to the capital structure of the analysed companies and prove that the level of indebtedness influences the difference in the ROA calculations when different kinds of profit are used. In the case of the companies with higher indebtedness, it is more appropriate to compare the ROA indicators based on the nominator containing earnings before interest and taxes. It shall be concluded that this is a pioneer study of this topic in the Czech Republic and probably also in the CEE region.

  16. ANALISIS PENGARUH LDR, NPL DAN OPERATIONAL EFFICIENCY RATIO TERHADAP RETURN ON ASSETS PADA BANK DEVISA DI INDONESIA PERIODE 2010-2012

    Hamidah Hamidah

    2014-04-01

    Full Text Available This research is performed on order to test analysis the influence of the Loan to Deposit Ratio (LDR, Non Performing Loan (NPL and Operational Efficiency Ratio (OER toward Return On Asset (ROA On Foreign Exchange Banks In Indonesia Period 2010-2012. Methodology research as the sample used purposive sampling, sample was accrued from foreign banks in Indonesia. Data analysis with multi linear regression of ordinary least square and hypotheses test used t-statistic and F statistic, a classic assumption examination to test the hypotheses.Based on normality test, multicolinearity test, heterosskedasticity test and auto correlation test were not found variables that deviate from the classical assumptions, this indicate that the available data has fulfill the condition to use multi linear regression model. This result of research show that variable LDR and NPL partially have positive influence but not significant toward ROA. Variable OERpartially have negative significant influence toward ROA. Variable LDR, NPL and OER simultaneously have significant influence toward ROA.

  17. A study on the effects of quarterly financial reports on systematic risk and return on assets: A case study of Tehran Stock Exchange

    Roozbeh Hedayat Mazhari

    2013-06-01

    Full Text Available Financial statements are considered as primary sources of information for most investors to make investment decisions. A crystal clear and comprehensive annual report helps many interested parties about the performance of any business unit. However, many rules and regulations ask management teams of organizations to provide quarterly financial results. In this paper, we perform an empirical investigation to study the effects of quarterly financial reports on three ratios including systematic risk, return on assets and firm size. The proposed study gathers the necessary data from 72 firms listed on Tehran Stock Exchange over the period of 2000-2006. The study determined the performances of these 72 firms before and after the releases of three quarterly reports and using Freedman test determined whether there were any meaningful differences between two groups of data or not. The results of Freedman test indicate that there were not any meaningful differences between stock performance and systematic risk before and after quarterly results. The survey also examines the relationship between systematic risk and size of firms using Pearson correlation test and the results indicate there were some meaningful differences size and systematic risk.

  18. L-system fractals

    Mishra, Jibitesh

    2007-01-01

    The book covers all the fundamental aspects of generating fractals through L-system. Also it provides insight to various researches in this area for generating fractals through L-system approach & estimating dimensions. Also it discusses various applications of L-system fractals. Key Features: - Fractals generated from L-System including hybrid fractals - Dimension calculation for L-system fractals - Images & codes for L-system fractals - Research directions in the area of L-system fractals - Usage of various freely downloadable tools in this area - Fractals generated from L-System including hybrid fractals- Dimension calculation for L-system fractals- Images & codes for L-system fractals- Research directions in the area of L-system fractals- Usage of various freely downloadable tools in this area

  19. Long memory in the Croatian and Hungarian stock market returns

    Silvo Dajčman

    2012-06-01

    Full Text Available The objective of this paper is to analyze and compare the fractal structure of the Croatian and Hungarian stock market returns. The presence of long memory components in asset returns provides evidence against the weak-form of stock market efficiency. The starting working hypothesis that there is no long memory in the Croatian and Hungarian stock market returns is tested by applying the Kwiatkowski-Phillips-Schmidt-Shin (KPSS (1992 test, Lo’s (1991 modified rescaled range (R/S test, and the wavelet ordinary least squares (WOLS estimator of Jensen (1999. The research showed that the WOLS estimator may lead to different conclusions regarding long memory presence in the stock returns from the KPSS and unit root tests or Lo’s R/S test. Furthermore, it proved that the fractal structure of individual stock returns may be masked in aggregated stock market returns (i.e. in returns of stock index. The main finding of the paper is that both the Croatian stock index Crobex and individual stocks in this index exhibit long memory. Long memory is identified for some stocks in the Hungarian stock market as well, but not for the stock market index BUX. Based on the results of the long memory tests, it can be concluded that while the Hungarian stock market is weakform efficient, the Croatian stock market is not.

  20. Fractal Nanotechnology

    Amato P

    2008-01-01

    Full Text Available Abstract Self-similar patterns are frequently observed in Nature. Their reproduction is possible on a length scale 102–105 nm with lithographic methods, but seems impossible on the nanometer length scale. It is shown that this goal may be achieved via a multiplicative variant of the multi-spacer patterning technology, in this way permitting the controlled preparation of fractal surfaces.

  1. Asset pricing restrictions on predictability : Frictions matter

    de Roon, F.A.; Szymanowska, M.

    2012-01-01

    U.S. stock portfolios sorted on size; momentum; transaction costs; market-to-book, investment-to-assets, and return-on-assets (ROA) ratios; and industry classification show considerable levels and variation of return predictability, inconsistent with asset pricing models. This means that a

  2. Fractal vector optical fields.

    Pan, Yue; Gao, Xu-Zhen; Cai, Meng-Qiang; Zhang, Guan-Lin; Li, Yongnan; Tu, Chenghou; Wang, Hui-Tian

    2016-07-15

    We introduce the concept of a fractal, which provides an alternative approach for flexibly engineering the optical fields and their focal fields. We propose, design, and create a new family of optical fields-fractal vector optical fields, which build a bridge between the fractal and vector optical fields. The fractal vector optical fields have polarization states exhibiting fractal geometry, and may also involve the phase and/or amplitude simultaneously. The results reveal that the focal fields exhibit self-similarity, and the hierarchy of the fractal has the "weeding" role. The fractal can be used to engineer the focal field.

  3. 2-D Fractal Wire Antenna Design and Performance

    Tebbens, S. F.; Barton, C. C.; Peterman, D. J.; Ewing, J. J.; Abbott, C. S.; Rizki, M. M.

    2017-12-01

    A 2-D fractal wire antenna uses a fractal (self-similar) pattern to increase its length by iteration and can receive or transmit electromagnetic radiation. 2-D fractals are shapes that, at their mathematical limit (of infinite iterations) have an infinite length. The fractal dimension describes the degree of space filling. A fundamental property of fractal antennas lies in iteration (repetition) of a fractal pattern over a range of length scales. Iteration produces fractal antennas that can be very compact, wideband and multiband. As the number of iterations increases, the antenna tends to have additional frequencies that minimize far field return loss. This differs from traditional antenna designs in that a single fractal antenna can operate well at multiple frequencies. We have created a MATLAB code to generate deterministic and stochastic modes of fractal wire antennas with a range of fractal dimensions between 1 and 2. Variation in fractal dimension, stochasticity, and number of iterations have been computationally tested using COMSOL Multiphysics software to determine their effect on antenna performance.

  4. Neutron scattering from fractals

    Kjems, Jørgen; Freltoft, T.; Richter, D.

    1986-01-01

    The scattering formalism for fractal structures is presented. Volume fractals are exemplified by silica particle clusters formed either from colloidal suspensions or by flame hydrolysis. The determination of the fractional dimensionality through scattering experiments is reviewed, and recent small...

  5. Analisis Pengaruh Return on Asset (ROA, Biaya Operasional Terhadap Pendapatan Operasional (BOPO, Suku Bunga, Financing to Deposits Ratio (FDR dan Non Performing Financing (NPF Terhadap Tingkat Bagi Hasil Deposito Mudharabah (Studi Empiris pada Bank Um

    Nana Novianti

    2016-01-01

    Full Text Available Level of profit sharing given by Islamic Banks which is one factor public appeal to save funds in the products of Islamic Banks but in level of profit sharing for giving of Islamic Banks still refers to the rate of Conventional Banks. Still referring to Conventional Bank interest rates make people still think that the same Islamic Banks with Conventional Banks. This research purpose to analyze the effect of financial ratios and interest rate to the level of profit sharing of mudharabah deposits Islamic Banks in Indonesia. The population used is the quarterly financial statements throughout Islamic Banks in Indonesia 2011-2013. Selection of the samples tested in this study using purposive sampling method, 6 selected Islamic Banks. Analysis tools in this study is used multiple regression analysis using SPSS 19.0 software. The variables used in this study are Return On Asset (ROA, BOPO, Interest Rate, Financing To Deposits Ratio (FDR and Non Performing Financing (NPF as the independent variable, and level of profit sharing mudaraba deposits as the dependent variable. Partial results show that Return On Asset (ROA and Financing To Deposits Ratio (FDR significant positive effect on level of profit sharing mudaraba deposits while the BOPO, Interest Rate and Non Performing Financing (NPF have no effect.DOI: 10.15408/ess.v5i1.2333

  6. Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

    Blitz, D.C.; van Vliet, P.

    2008-01-01

    textabstractIn this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our main finding is that momentum and value strategies applied to GTAA across twelve asset classes deliver statistically and economically significant abnormal returns. For a long top-quartile and short b...

  7. THE FRACTAL MARKET HYPOTHESIS

    FELICIA RAMONA BIRAU

    2012-01-01

    In this article, the concept of capital market is analysed using Fractal Market Hypothesis which is a modern, complex and unconventional alternative to classical finance methods. Fractal Market Hypothesis is in sharp opposition to Efficient Market Hypothesis and it explores the application of chaos theory and fractal geometry to finance. Fractal Market Hypothesis is based on certain assumption. Thus, it is emphasized that investors did not react immediately to the information they receive and...

  8. Fractal description of fractures

    Lung, C.W.

    1991-06-01

    Recent studies on the fractal description of fractures are reviewed. Some problems on this subject are discussed. It seems hopeful to use the fractal dimension as a parameter for quantitative fractography and to apply fractal structures to the development of high toughness materials. (author). 28 refs, 7 figs

  9. How Are Property Investment Returns Determined? — Estimating the Micro-Structure of Asset Prices, Property Income, and Discount Rates —

    清水, 千弘; Chihiro, Shimizu

    2014-01-01

    How exactly should one estimate property investment returns? Investors in property aim to maximize capital gains from price increases and income generated by the property. How are the returns on investment in property determined based on its characteristics, and what kind of market characteristics does it have? Focusing on the Tokyo commer-cial property market and residential property market, the purpose of this paper was to break down and measure the micro-structure of property investment re...

  10. THE FRACTAL MARKET HYPOTHESIS

    FELICIA RAMONA BIRAU

    2012-05-01

    Full Text Available In this article, the concept of capital market is analysed using Fractal Market Hypothesis which is a modern, complex and unconventional alternative to classical finance methods. Fractal Market Hypothesis is in sharp opposition to Efficient Market Hypothesis and it explores the application of chaos theory and fractal geometry to finance. Fractal Market Hypothesis is based on certain assumption. Thus, it is emphasized that investors did not react immediately to the information they receive and of course, the manner in which they interpret that information may be different. Also, Fractal Market Hypothesis refers to the way that liquidity and investment horizons influence the behaviour of financial investors.

  11. Consumption Risk and the Cross Section of Expected Returns.

    Parker, Jonathan A.; Julliard, Christian

    2005-01-01

    This paper evaluates the central insight of the consumption capital asset pricing model that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure risk by the contemporaneous covariance of an asset's return and consumption growth, we measure risk by the covariance of an asset's return and consumption…

  12. Intelligent tactical asset allocation support system

    Hiemstra, Y.

    1995-01-01

    This paper presents an advanced support system for Tactical Asset Allocation. Asset allocation explains over 90% of portfolio performance (Brinson, Hood and Beebower, 1988). Tactical asset allocation adjusts a strategic portfolio on the basis of short term market outlooks. The system includes aprediction model that forecasts quarterly excess returns on the S and PSOO, an optimization model that adjusts a user-specified strategic portfolio on thebasis of the excess return forecast, and a compo...

  13. Asset sales, asset exchanges, and shareholder wealth in China

    Weiting Huang

    2012-01-01

    Full Text Available In this paper, we study a sample of 1376 corporate asset sales and 250 asset exchanges in China between 1998 and 2006. We find that corporate asset sales in China enhance firm value with a cumulative abnormal return (CAR of 0.46% for the pre-announcement five-day period, which is consistent with the evidence discovered in both U.K. and U.S. For companies that exchanged assets during the sample period, the pre-announcement five-day CAR of 1.32% is statistically significant. We also discover that gains from divesting assets are positively related to managerial performance measured by Tobin's q ratio and the relative size of the asset sold or exchanged. Well-managed (high-q companies are more likely to sell or exchange assets in a value-maximizing fashion than poorly managed (low-q companies. Furthermore, asset-seller gains are not related to enhancing corporate focus, but improving corporate focus by exchanging for core assets enhances firm value.

  14. Asset management techniques

    Schneider, Joachim; Gaul, Armin J. [RWE Energy AG, Assetmanagement, Dortmund (Germany); Neumann, Claus [RWE Transportnetz Strom GmbH, Dortmund (Germany); Hograefer, Juergen [SAG Energieversorgungsloesungen GmbH, Langen (Germany); Wellssow, Wolfram; Schwan, Michael [Siemens AG, Power Transmission and Distribution, Erlangen (Germany); Schnettler, Armin [RWTH-Aachen, Institut fuer Hochspannungstechnik, Aachen (Germany)

    2006-11-15

    Deregulation and an increasing competition in electricity markets urge energy suppliers to optimize the utilization of their equipment, focusing on technical and cost-effective aspects. As a respond to these requirements utilities introduce methods formerly used by investment managers or insurance companies. The article describes the usage of these methods, particularly with regard to asset management and risk management within electrical grids. The essential information needed to set up an appropriate asset management system and differences between asset management systems in transmission and distribution systems are discussed. The bulk of costs in electrical grids can be found in costs for maintenance and capital depreciation. A comprehensive approach for an asset management in transmission systems thus focuses on the 'life-cycle costs' of the individual equipment. The objective of the life management process is the optimal utilisation of the remaining life time regarding a given reliability of service and a constant distribution of costs for reinvestment and maintenance ensuring a suitable return. In distribution systems the high number of components would require an enormous effort for the consideration of single individuals. Therefore statistical approaches have been used successfully in practical applications. Newest insights gained by a German research project on asset management systems in distribution grids give an outlook to future developments. (author)

  15. Asset management techniques

    Schneider, Joachim; Gaul, Armin J.; Neumann, Claus; Hograefer, Juergen; Wellssow, Wolfram; Schwan, Michael; Schnettler, Armin

    2006-01-01

    Deregulation and an increasing competition in electricity markets urge energy suppliers to optimize the utilization of their equipment, focusing on technical and cost-effective aspects. As a respond to these requirements utilities introduce methods formerly used by investment managers or insurance companies. The article describes the usage of these methods, particularly with regard to asset management and risk management within electrical grids. The essential information needed to set up an appropriate asset management system and differences between asset management systems in transmission and distribution systems are discussed. The bulk of costs in electrical grids can be found in costs for maintenance and capital depreciation. A comprehensive approach for an asset management in transmission systems thus focuses on the 'life-cycle costs' of the individual equipment. The objective of the life management process is the optimal utilisation of the remaining life time regarding a given reliability of service and a constant distribution of costs for reinvestment and maintenance ensuring a suitable return. In distribution systems the high number of components would require an enormous effort for the consideration of single individuals. Therefore statistical approaches have been used successfully in practical applications. Newest insights gained by a German research project on asset management systems in distribution grids give an outlook to future developments. (author)

  16. ASSET guidelines

    1990-11-01

    The IAEA Assessment of Safety Significant Events Team (ASSET) Service provides advice and assistance to Member States to enhance the overall level of plant safety while dealing with the policy of prevention of incidents at nuclear power plants. The ASSET programme, initiated in 1986, is not restricted to any particular group of Member States, whether developing or industrialized, but is available to all countries with nuclear power plants in operation or approaching commercial operation. The IAEA Safety Series publications form common basis for the ASSET reviews, including the Nuclear Safety Standards (NUSS) and the Basic Safety Principles (Recommendations of Safety Series No. 75-INSAG-3). The ASSET Guidelines provide overall guidance for the experts to ensure the consistency and comprehensiveness of their review of incident investigations. Additional guidance and reference material is provided by the IAEA to complement the expertise of the ASSET members. ASSET reviews accept different approaches that contribute to ensuring an effective prevention of incidents at plants. Suggestions are offered to enhance plant safety performance. Commendable good practices are identified and generic lessons are communicated to other plants, where relevant, for long term improvement

  17. Pengaruh Capital Adequacy Ratio (CAR, Beban Operasional Pendapatan Operasional (BOPO, Return on Asset (ROA dan Net Interest Margin (NIM terhadap Financing Deposit Ratio (FRD di PT. BPRS Bhakti Sumekar Sumenep (Periode 2011-2015

    Cholida Noerainon

    2016-06-01

    Full Text Available The Bank is an industry whose business activities relying on public confidence so that the health of banks is done by maintaining the quality so that the bank can meet its obligations and maintain its performance. The purpose bank will be realized if the bank is able to significantly improve their performance optimal. To be able to function properly, the banks should have enough capital, maintaining its asset quality with a good, well-managed and operated by the precautionary principle thus generate enough profit to maintain the continuity of its business and maintain its liquidity so that it can meet its obligations at any time. the purpose of this study is the first: To determine the effect of the Capital Adequacy Ratio (CAR, Operating Expenses Towards Operating Income (OEOI, Return on Assets (ROA and Net Interest Margin (NIM simultaneously to the Financial to Deposit Ratio (FDR PT. BPRS Bhakti Sumekar Sumenep. Second: To determine the effect of the Capital Adequacy Ratio (CAR, Operating Expenses Towards Operating Income  (OEOI, Return on Assets (ROA and Net Interest Margin (NIM partially on Financial to Deposit Ratio (FDR PT. BPRS Bhakti Sumekar Sumenep. Third: To determine which variables are the most dominant influencing on Financial to Deposit Ratio (FDR at PT. BPRS Bhakti Sumekar Sumenep. In this research uses quantitative methods with the technique of multiple linear regression analysis with the help of SPSS analysis tools, while proving the hypothesis using a calculation T test and F test. The data used is secondary data namely quarterly publication report documentation results. The research results shows that the variables CAR, OEOI, ROA and NIM simultaneously no effect  towards FDR PT. BPRS Bhakti Sumekar Sumenep because Sig. > 0.05 and the value of Fcount

  18. Discovery of cosmic fractals

    Baryshev, Yuri

    2002-01-01

    This is the first book to present the fascinating new results on the largest fractal structures in the universe. It guides the reader, in a simple way, to the frontiers of astronomy, explaining how fractals appear in cosmic physics, from our solar system to the megafractals in deep space. It also offers a personal view of the history of the idea of self-similarity and of cosmological principles, from Plato's ideal architecture of the heavens to Mandelbrot's fractals in the modern physical cosmos. In addition, this invaluable book presents the great fractal debate in astronomy (after Luciano Pi

  19. Fractional-moment Capital Asset Pricing model

    Li Hui; Wu Min; Wang Xiaotian

    2009-01-01

    In this paper, we introduce the definition of the 'α-covariance' and present the fractional-moment versions of Capital Asset Pricing Model,which can be used to price assets when asset return distributions are likely to be stable Levy (or Student-t) distribution during panics and stampedes in worldwide security markets in 2008. Furthermore, if asset returns are truly governed by the infinite-variance stable Levy distributions, life is fundamentally riskier than in a purely Gaussian world. Sudden price movements like the worldwide security market crash in 2008 turn into real-world possibilities.

  20. Categorization of fractal plants

    Chandra, Munesh; Rani, Mamta

    2009-01-01

    Fractals in nature are always a result of some growth process. The language of fractals which has been created specifically for the description of natural growth process is called L-systems. Recently, superior iterations (essentially, investigated by Mann [Mann WR. Mean value methods in iteration. Proc Am Math Soc 1953;4:506-10 [MR0054846 (14,988f)

  1. Quantum Fractal Eigenstates

    Casati, Giulio; Maspero, Giulio; Shepelyansky, Dima L.

    1997-01-01

    We study quantum chaos in open dynamical systems and show that it is characterized by quantum fractal eigenstates located on the underlying classical strange repeller. The states with longest life times typically reveal a scars structure on the classical fractal set.

  2. Thermodynamics for Fractal Statistics

    da Cruz, Wellington

    1998-01-01

    We consider for an anyon gas its termodynamics properties taking into account the fractal statistics obtained by us recently. This approach describes the anyonic excitations in terms of equivalence classes labeled by fractal parameter or Hausdorff dimension $h$. An exact equation of state is obtained in the high-temperature and low-temperature limits, for gases with a constant density of states.

  3. Recognition of fractal graphs

    Perepelitsa, VA; Sergienko, [No Value; Kochkarov, AM

    1999-01-01

    Definitions of prefractal and fractal graphs are introduced, and they are used to formulate mathematical models in different fields of knowledge. The topicality of fractal-graph recognition from the point of view, of fundamental improvement in the efficiency of the solution of algorithmic problems

  4. Electromagnetic fields in fractal continua

    Balankin, Alexander S., E-mail: abalankin@ipn.mx [Grupo “Mecánica Fractal”, Instituto Politécnico Nacional, México D.F., 07738 Mexico (Mexico); Mena, Baltasar [Instituto de Ingeniería, Universidad Nacional Autónoma de México, México D.F. (Mexico); Patiño, Julián [Grupo “Mecánica Fractal”, Instituto Politécnico Nacional, México D.F., 07738 Mexico (Mexico); Morales, Daniel [Instituto Mexicano del Petróleo, México D.F., 07730 Mexico (Mexico)

    2013-04-01

    Fractal continuum electrodynamics is developed on the basis of a model of three-dimensional continuum Φ{sub D}{sup 3}⊂E{sup 3} with a fractal metric. The generalized forms of Maxwell equations are derived employing the local fractional vector calculus related to the Hausdorff derivative. The difference between the fractal continuum electrodynamics based on the fractal metric of continua with Euclidean topology and the electrodynamics in fractional space F{sup α} accounting the fractal topology of continuum with the Euclidean metric is outlined. Some electromagnetic phenomena in fractal media associated with their fractal time and space metrics are discussed.

  5. Essays on Empirical Asset Pricing

    Gormsen, Niels Joachim

    that the expected return to the distant-future cash flows increases by more in bad times than the expected return to near-future cash flows does. This new stylized fact is important for understanding why the expected return on the market portfolio as a whole varies over time. In addition, it has strong implications...... for which economic model that drives the return to stocks. Indeed, I find that none of the canonical asset pricing models can explain this new stylized fact while also explaining the previously documented facts about stock returns. The second chapter, called Conditional Risk, studies how the expected return...... on individual stocks is influenced by the fact that their riskiness varies over time. We introduce a new ”conditional-risk factor”, which is a simple method for determining how much of the expected return to individual stocks that can be explained by time variation in their market risk, i.e. market betas. Using...

  6. Macroeconomic influences on optimal asset allocation

    Flavin, Thomas; Wickens, M.R.

    2003-01-01

    We develop a tactical asset allocation strategy that incorporates the effects of macroeconomic variables. The joint distribution of financial asset returns and the macroeconomic variables is modelled using a VAR with a multivariate GARCH (M-GARCH) error structure. As a result, the portfolio frontier is time varying and subject to contagion from the macroeconomic variable. Optimal asset allocation requires that this be taken into account. We illustrate how to do this using three ri...

  7. Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA

    Lee, Minhyuk; Song, Jae Wook; Park, Ji Hwan; Chang, Woojin

    2017-01-01

    Highlights: • ‘Index-based A-MFDFA’ model is proposed to assess the asymmetric multi-fractality. • The asymmetric multi-fractality in the U.S. stock indices are investigated using ‘Index-based’ and ‘Return-based’ A-MFDFA. • The asymmetric feature is more significantly identified by ‘Index-based’ model than ‘return-based’ model. • Source of multi-fractality and time-varying features are analyzed. - Abstract: We detect the asymmetric multi-fractality in the U.S. stock indices based on the asymmetric multi-fractal detrended fluctuation analysis (A-MFDFA). Instead using the conventional return-based approach, we propose the index-based model of A-MFDFA where the trend based on the evolution of stock index rather than stock price return plays a role for evaluating the asymmetric scaling behaviors. The results show that the multi-fractal behaviors of the U.S. stock indices are asymmetric and the index-based model detects the asymmetric multi-fractality better than return-based model. We also discuss the source of multi-fractality and its asymmetry and observe that the multi-fractal asymmetry in the U.S. stock indices has a time-varying feature where the degree of multi-fractality and asymmetry increase during the financial crisis.

  8. Asset Allocation of Mutual Fund Investors

    Dengpan Luo

    2003-01-01

    This paper studies mutual fund investors' asset allocation decisions using monthly flow data of U.S mutual fund industry from 1984 to 1998. We find that mutual fund investors change their asset allocations between stocks and bonds in reaction to business conditions tracked by changes in expected stock market returns. They tend to allocate less into stock funds during the trough of a business cycle when expected stock market returns are higher and to allocate more into stock funds during the p...

  9. Teaching about Fractals.

    Willson, Stephen J.

    1991-01-01

    Described is a course designed to teach students about fractals using various teaching methods including the computer. Discussed are why the course drew students, prerequisites, clientele, textbook, grading, computer usage, and the syllabus. (KR)

  10. Fractals and foods.

    Peleg, M

    1993-01-01

    Fractal geometry and related concepts have had only a very minor impact on food research. The very few reported food applications deal mainly with the characterization of the contours of agglomerated instant coffee particles, the surface morphology of treated starch particles, the microstructure of casein gels viewed as a product limited diffusion aggregation, and the jagged mechanical signatures of crunchy dry foods. Fractal geometry describes objects having morphological features that are scale invariant. A demonstration of the self-similarity of fractal objects can be found in the familiar morphology of cauliflower and broccoli, both foods. Processes regulated by nonlinear dynamics can exhibit a chaotic behavior that has fractal characteristics. Examples are mixing of viscous fluids, turbulence, crystallization, agglomeration, diffusion, and possibly food spoilage.

  11. Modelling of capital asset pricing by considering the lagged effects

    Sukono; Hidayat, Y.; Bon, A. Talib bin; Supian, S.

    2017-01-01

    In this paper the problem of modelling the Capital Asset Pricing Model (CAPM) with the effect of the lagged is discussed. It is assumed that asset returns are analysed influenced by the market return and the return of risk-free assets. To analyse the relationship between asset returns, the market return, and the return of risk-free assets, it is conducted by using a regression equation of CAPM, and regression equation of lagged distributed CAPM. Associated with the regression equation lagged CAPM distributed, this paper also developed a regression equation of Koyck transformation CAPM. Results of development show that the regression equation of Koyck transformation CAPM has advantages, namely simple as it only requires three parameters, compared with regression equation of lagged distributed CAPM.

  12. Effects of Diversification of Assets on Mean and Variance | Jayeola ...

    Diversification is a means of minimizing risk and maximizing returns by investing in a variety of assets of the portfolio. This paper is written to determine the effects of diversification of three types of Assets; uncorrelated, perfectly correlated and perfectly negatively correlated assets on mean and variance. To go about this, ...

  13. Fractals for Geoengineering

    Oleshko, Klaudia; de Jesús Correa López, María; Romero, Alejandro; Ramírez, Victor; Pérez, Olga

    2016-04-01

    The effectiveness of fractal toolbox to capture the scaling or fractal probability distribution, and simply fractal statistics of main hydrocarbon reservoir attributes, was highlighted by Mandelbrot (1995) and confirmed by several researchers (Zhao et al., 2015). Notwithstanding, after more than twenty years, it's still common the opinion that fractals are not useful for the petroleum engineers and especially for Geoengineering (Corbett, 2012). In spite of this negative background, we have successfully applied the fractal and multifractal techniques to our project entitled "Petroleum Reservoir as a Fractal Reactor" (2013 up to now). The distinguishable feature of Fractal Reservoir is the irregular shapes and rough pore/solid distributions (Siler, 2007), observed across a broad range of scales (from SEM to seismic). At the beginning, we have accomplished the detailed analysis of Nelson and Kibler (2003) Catalog of Porosity and Permeability, created for the core plugs of siliciclastic rocks (around ten thousand data were compared). We enriched this Catalog by more than two thousand data extracted from the last ten years publications on PoroPerm (Corbett, 2012) in carbonates deposits, as well as by our own data from one of the PEMEX, Mexico, oil fields. The strong power law scaling behavior was documented for the major part of these data from the geological deposits of contrasting genesis. Based on these results and taking into account the basic principles and models of the Physics of Fractals, introduced by Per Back and Kan Chen (1989), we have developed new software (Muukíl Kaab), useful to process the multiscale geological and geophysical information and to integrate the static geological and petrophysical reservoir models to dynamic ones. The new type of fractal numerical model with dynamical power law relations among the shapes and sizes of mesh' cells was designed and calibrated in the studied area. The statistically sound power law relations were established

  14. Fractal Electrochemical Microsupercapacitors

    Hota, Mrinal Kanti

    2017-08-17

    The first successful fabrication of microsupercapacitors (μ-SCs) using fractal electrode designs is reported. Using sputtered anhydrous RuO thin-film electrodes as prototypes, μ-SCs are fabricated using Hilbert, Peano, and Moore fractal designs, and their performance is compared to conventional interdigital electrode structures. Microsupercapacitor performance, including energy density, areal and volumetric capacitances, changes with fractal electrode geometry. Specifically, the μ-SCs based on the Moore design show a 32% enhancement in energy density compared to conventional interdigital structures, when compared at the same power density and using the same thin-film RuO electrodes. The energy density of the Moore design is 23.2 mWh cm at a volumetric power density of 769 mW cm. In contrast, the interdigital design shows an energy density of only 17.5 mWh cm at the same power density. We show that active electrode surface area cannot alone explain the increase in capacitance and energy density. We propose that the increase in electrical lines of force, due to edging effects in the fractal electrodes, also contribute to the higher capacitance. This study shows that electrode fractal design is a viable strategy for improving the performance of integrated μ-SCs that use thin-film electrodes at no extra processing or fabrication cost.

  15. Fractal Electrochemical Microsupercapacitors

    Hota, Mrinal Kanti; Jiang, Qiu; Mashraei, Yousof; Salama, Khaled N.; Alshareef, Husam N.

    2017-01-01

    The first successful fabrication of microsupercapacitors (μ-SCs) using fractal electrode designs is reported. Using sputtered anhydrous RuO thin-film electrodes as prototypes, μ-SCs are fabricated using Hilbert, Peano, and Moore fractal designs, and their performance is compared to conventional interdigital electrode structures. Microsupercapacitor performance, including energy density, areal and volumetric capacitances, changes with fractal electrode geometry. Specifically, the μ-SCs based on the Moore design show a 32% enhancement in energy density compared to conventional interdigital structures, when compared at the same power density and using the same thin-film RuO electrodes. The energy density of the Moore design is 23.2 mWh cm at a volumetric power density of 769 mW cm. In contrast, the interdigital design shows an energy density of only 17.5 mWh cm at the same power density. We show that active electrode surface area cannot alone explain the increase in capacitance and energy density. We propose that the increase in electrical lines of force, due to edging effects in the fractal electrodes, also contribute to the higher capacitance. This study shows that electrode fractal design is a viable strategy for improving the performance of integrated μ-SCs that use thin-film electrodes at no extra processing or fabrication cost.

  16. Random walk through fractal environments

    Isliker, H.; Vlahos, L.

    2002-01-01

    We analyze random walk through fractal environments, embedded in 3-dimensional, permeable space. Particles travel freely and are scattered off into random directions when they hit the fractal. The statistical distribution of the flight increments (i.e. of the displacements between two consecutive hittings) is analytically derived from a common, practical definition of fractal dimension, and it turns out to approximate quite well a power-law in the case where the dimension D of the fractal is ...

  17. Positron annihilation near fractal surfaces

    Lung, C.W.; Deng, K.M.; Xiong, L.Y.

    1991-07-01

    A model for positron annihilation in the sub-surface region near a fractal surface is proposed. It is found that the power law relationship between the mean positron implantation depth and incident positron energy can be used to measure the fractal dimension of the fractal surface in materials. (author). 10 refs, 2 figs

  18. Fractal THz metamaterials

    Malureanu, Radu; Jepsen, Peter Uhd; Xiao, S.

    2010-01-01

    applications. THz radiation can be employed for various purposes, among them the study of vibrations in biological molecules, motion of electrons in semiconductors and propagation of acoustic shock waves in crystals. We propose here a new THz fractal MTM design that shows very high transmission in the desired...... frequency range as well as a clear differentiation between one polarisation and another. Based on theoretical predictions we fabricated and measured a fractal based THz metamaterial that shows more than 60% field transmission at around 1THz for TE polarized light while the TM waves have almost 80% field...... transmission peak at 0.6THz. One of the main characteristics of this design is its tunability by design: by simply changing the length of the fractal elements one can choose the operating frequency window. The modelling, fabrication and characterisation results will be presented in this paper. Due to the long...

  19. Fractal dimension of cantori

    Li, W.; Bak, P.

    1986-01-01

    At a critical point the golden-mean Kolmogorov-Arnol'd-Moser trajectory of Chirikov's standard map breaks up into a fractal orbit called a cantorus. The transition describes a pinning of the incommensurate phase of the Frenkel-Kontorowa model. We find that the fractal dimension of the cantorus is D = 0 and that the transition from the Kolmogorov-Arnol'd-Moser trajectory with dimension D = 1 to the cantorus is governed by an exponent ν = 0.98. . . and a universal scaling function. It is argued that the exponent is equal to that of the Lyapunov exponent

  20. Fractal actors and infrastructures

    Bøge, Ask Risom

    2011-01-01

    -network-theory (ANT) into surveillance studies (Ball 2002, Adey 2004, Gad & Lauritsen 2009). In this paper, I further explore the potential of this connection by experimenting with Marilyn Strathern’s concept of the fractal (1991), which has been discussed in newer ANT literature (Law 2002; Law 2004; Jensen 2007). I...... under surveillance. Based on fieldwork conducted in 2008 and 2011 in relation to my Master’s thesis and PhD respectively, I illustrate fractal concepts by describing the acts, actors and infrastructure that make up the ‘DNA surveillance’ conducted by the Danish police....

  1. Study on Conversion Between Momentum and Contrarian Based on Fractal Game

    Wu, Xu; Song, Guanghui; Deng, Yan; Xu, Lin

    2015-06-01

    Based on the fractal game which is performed by the majority and the minority, the fractal market theory (FMT) is employed to describe the features of investors' decision-making. Accordingly, the process of fractal games is formed in order to analyze the statistical features of conversion between momentum and contrarian. The result shows that among three fractal game mechanisms, the statistical feature of simulated return rate series is much more similar to log returns on actual series. In addition, the conversion between momentum and contrarian is also extremely similar to real situation, which can reflect the effectiveness of using fractal game in analyzing the conversion between momentum and contrarian. Moreover, it also provides decision-making reference which helps investors develop effective investment strategy.

  2. Japanese views on ASSET

    Hirano, M [Department of Reactor Safety Research, Japan Atomic Energy Research Inst. (Japan)

    1997-10-01

    The presentation briefly reviews the following aspects directed to ensuring NPP safety: Japanese participation in ASSET activities; views to ASSET activities; recent operating experience in Japan; future ASSET activities.

  3. Japanese views on ASSET

    Hirano, M.

    1997-01-01

    The presentation briefly reviews the following aspects directed to ensuring NPP safety: Japanese participation in ASSET activities; views to ASSET activities; recent operating experience in Japan; future ASSET activities

  4. Fractals and chaos

    Earnshow, R; Jones, H

    1991-01-01

    This volume is based upon the presentations made at an international conference in London on the subject of 'Fractals and Chaos'. The objective of the conference was to bring together some of the leading practitioners and exponents in the overlapping fields of fractal geometry and chaos theory, with a view to exploring some of the relationships between the two domains. Based on this initial conference and subsequent exchanges between the editors and the authors, revised and updated papers were produced. These papers are contained in the present volume. We thank all those who contributed to this effort by way of planning and organisation, and also all those who helped in the production of this volume. In particular, we wish to express our appreciation to Gerhard Rossbach, Computer Science Editor, Craig Van Dyck, Production Director, and Nancy A. Rogers, who did the typesetting. A. J. Crilly R. A. Earnshaw H. Jones 1 March 1990 Introduction Fractals and Chaos The word 'fractal' was coined by Benoit Mandelbrot i...

  5. Asset Pricing in Markets with Illiquid Assets

    Longstaff, Francis A

    2005-01-01

    Many important classes of assets are illiquid in the sense that they cannot always be traded immediately. Thus, a portfolio position in these types of illiquid investments becomes at least temporarily irreversible. We study the asset-pricing implications of illiquidity in a two-asset exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a “blackout†period. Illiquidity has a dramatic e...

  6. Labor Unions and Asset Prices

    Busato, Francesco; Addessi, William

    The paper investigates the nexus between labor and financial markets, focusing on the interaction between labor union behavior in setting wages, firms' investment strategy and asset prices. The way unions set wage claims after observing firm's financial performance increases the volatility of firms......' returns and the riskiness of corporate ownership. To remunerate this higher volatility and stronger risk, firms' equities have to grant high return. This mechanism is able to offer an explanation of for the "equity puzzle", that is it can explain the difference between equity returns and the risk free...... rate. It is a welcome result that the simulated excess return is about the empirical estimate and this result is obtained with a logarithmic specification of the shareholders preferences....

  7. Fórmula de valoração racional (RVF e variabilidade no tempo das taxas de retornos de ativos Rational valuation formula (RVF and time variability in asset rates of return

    Alexandre Ripamonti

    2013-04-01

    's (1961 theory of rational expectations and price movements. The study assumes the variability of asset rates of return and tests the null hypotheses of error-correction mechanisms for time-constant cointegration vectors and inequality between fundamental value and share price. The series used were provided by Shiller (2005 and refer to aggregate price and dividend data for the U.S. stock market over the period 1871 to 2010. The data were analyzed using Johansen's cointegration models with the use of restricted variables resulting from the combination of the variables studied with the Chebyshev time polynomial, as proposed by Bierens and Martins (2010. The results indicate rejection of the null hypothesis of constancy of cointegration vectors as well as the non-rejection of the null hypothesis of inequality between fundamental value and share price. These results are consistent with those obtained by Bierens and Martins (2010 and do not corroborate Muth's (1961 theory of rational expectations. It is therefore concluded that investors have different expectations of return for different future periods. The results suggest the validation of the model used and that there is a possibility of the occurrence of speculative movements supported by rationality or rational speculative bubbles.

  8. Human Capital and Risky Asset Allocation

    Lu, Wenjie; Yu, Qun

    2011-01-01

    Much research has been done to examine the relation between investors' human capital and their financial asset allocation. While some showed that the value of human capital should be taken into consideration to make financial asset allocation decisions on the composition of investing portfolios, most argued not. In this paper, we selected the monthly return of 9 industrial ETFs from June of 2007 to July 2011, used the present value of total future income as estimate of human capital, and reli...

  9. Steam generator asset management: integrating technology and asset management

    Shoemaker, P.; Cislo, D.

    2006-01-01

    , and nuclear fuel, are the most costly components within a nuclear steam supply system, yet they don't lend themselves well to asset management practices. However, application of asset management principles to these components represents the largest potential return for asset management within nuclear generation and sustaining continued plant operation, to include life extensions. Recognizing this critical gap, AREVA launched a Steam Generator Secondary Side Vision to develop advanced technologies for the management of nuclear steam generators. These technologies include advanced mitigation techniques, to include non-invasive techniques, new inspection techniques, predictive modeling and expert systems aimed at minimizing and managing steam generator corrosion and risks. (author)

  10. Fractal solutions of recirculation tubular chemical reactors

    Berezowski, Marek

    2003-01-01

    Three kinds of fractal solutions of model of recirculation non-adiabatic tubular chemical reactors are presented. The first kind concerns the structure of Feigenbaum's diagram on the limit of chaos. The second kind and the third one concern the effect of initial conditions on the dynamic solutions of models. In the course of computations two types of recirculation were considered, viz. the recirculation of mass (return of a part of products' stream) and recirculation of heat (heat exchange in the external heat exchanger)

  11. Fractals in several electrode materials

    Zhang, Chunyong, E-mail: zhangchy@njau.edu.cn [Department of Chemistry, College of Science, Nanjing Agricultural University, Nanjing 210095 (China); Suzhou Key Laboratory of Environment and Biosafety, Suzhou Academy of Southeast University, Dushuhu lake higher education town, Suzhou 215123 (China); Wu, Jingyu [Department of Chemistry, College of Science, Nanjing Agricultural University, Nanjing 210095 (China); Fu, Degang [Suzhou Key Laboratory of Environment and Biosafety, Suzhou Academy of Southeast University, Dushuhu lake higher education town, Suzhou 215123 (China); State Key Laboratory of Bioelectronics, Southeast University, Nanjing 210096 (China)

    2014-09-15

    Highlights: • Fractal geometry was employed to characterize three important electrode materials. • The surfaces of all studied electrodes were proved to be very rough. • The fractal dimensions of BDD and ACF were scale dependent. • MMO film was more uniform than BDD and ACF in terms of fractal structures. - Abstract: In the present paper, the fractal properties of boron-doped diamond (BDD), mixed metal oxide (MMO) and activated carbon fiber (ACF) electrode have been studied by SEM imaging at different scales. Three materials are self-similar with mean fractal dimension in the range of 2.6–2.8, confirming that they all exhibit very rough surfaces. Specifically, it is found that MMO film is more uniform in terms of fractal structure than BDD and ACF. As a result, the intriguing characteristics make these electrodes as ideal candidates for high-performance decontamination processes.

  12. Fractal dust grains in plasma

    Huang, F.; Peng, R. D.; Liu, Y. H.; Chen, Z. Y.; Ye, M. F.; Wang, L.

    2012-01-01

    Fractal dust grains of different shapes are observed in a radially confined magnetized radio frequency plasma. The fractal dimensions of the dust structures in two-dimensional (2D) horizontal dust layers are calculated, and their evolution in the dust growth process is investigated. It is found that as the dust grains grow the fractal dimension of the dust structure decreases. In addition, the fractal dimension of the center region is larger than that of the entire region in the 2D dust layer. In the initial growth stage, the small dust particulates at a high number density in a 2D layer tend to fill space as a normal surface with fractal dimension D = 2. The mechanism of the formation of fractal dust grains is discussed.

  13. Entropy-based financial asset pricing.

    Mihály Ormos

    Full Text Available We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return-entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

  14. Entropy-based financial asset pricing.

    Ormos, Mihály; Zibriczky, Dávid

    2014-01-01

    We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return-entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

  15. Fractals and humor

    Martin, Demetri

    2015-03-01

    Demetri Maritn prepared this palindromic poem as his project for Michael Frame's fractal geometry class at Yale. Notice the first, fourth, and seventh words in the second and next-to-second lines are palindromes, the first two and last two lines are palindromes, the middle line, "Be still if I fill its ebb" minus its last letter is a palindrome, and the entire poem is a palindrome...

  16. Categorization of new fractal carpets

    Rani, Mamta; Goel, Saurabh

    2009-01-01

    Sierpinski carpet is one of the very beautiful fractals from the historic gallery of classical fractals. Carpet designing is not only a fascinating activity in computer graphics, but it has real applications in carpet industry as well. One may find illusionary delighted carpets designed here, which are useful in real designing of carpets. In this paper, we attempt to systematize their generation and put them into categories. Each next category leads to a more generalized form of the fractal carpet.

  17. Bilipschitz embedding of homogeneous fractals

    Lü, Fan; Lou, Man-Li; Wen, Zhi-Ying; Xi, Li-Feng

    2014-01-01

    In this paper, we introduce a class of fractals named homogeneous sets based on some measure versions of homogeneity, uniform perfectness and doubling. This fractal class includes all Ahlfors-David regular sets, but most of them are irregular in the sense that they may have different Hausdorff dimensions and packing dimensions. Using Moran sets as main tool, we study the dimensions, bilipschitz embedding and quasi-Lipschitz equivalence of homogeneous fractals.

  18. FONT DISCRIMINATIO USING FRACTAL DIMENSIONS

    S. Mozaffari

    2014-09-01

    Full Text Available One of the related problems of OCR systems is discrimination of fonts in machine printed document images. This task improves performance of general OCR systems. Proposed methods in this paper are based on various fractal dimensions for font discrimination. First, some predefined fractal dimensions were combined with directional methods to enhance font differentiation. Then, a novel fractal dimension was introduced in this paper for the first time. Our feature extraction methods which consider font recognition as texture identification are independent of document content. Experimental results on different pages written by several font types show that fractal geometry can overcome the complexities of font recognition problem.

  19. QUANTITATIVE INDICATORS OF THE SECURITIZATION OF ASSETS

    Denis VOSTRICOV

    2018-02-01

    Full Text Available Securitization is instrumental in return on capital increment through the withdrawal from the balance oflending activities being accompanied by off-balance incomes flow from fees, which are less capital-intensive. Thepurpose of this paper is to analyze the quantitative indicators characterizing the securitization of assets. For draftingthis article, the method of analysis, synthesis method, logic and dialectic method, normative method, the study ofstatistical sampling and time series of expert evaluations (Standard and Poor’s, personal observations, andmonographic studies have been used. The main difference between the securitization of assets from traditional waysof financing is related to the achievement of a plenty of secondary goals in attracting financial resources, whichcan play a significant role in choosing to favour the securitization of assets or other types of financing. Inparticular, it gives a possibility to write off the assets from the balance sheet along with the relevant obligationsunder the securities, to expand the range of potential investors accompanied by the reducing of credit risk, interestrate and liquidity risk, as well as to improve the management quality of assets, liabilities and risks. All of thesesecondary effects are achieved by the isolation of selected assets from the total credit risk of the enterprise, raisingits funds, which forms the pivotal actuality and significance of asset securitization. The article containsdemonstrations of quantitative and qualitative indicators characterizing the securitization of assets.

  20. Fractal differential equations and fractal-time dynamical systems

    like fractal subsets of the real line may be termed as fractal-time dynamical systems. Formulation ... involving scaling and memory effects. But most of ..... begin by recalling the definition of the Riemann integral in ordinary calculus [33]. Let g: [a ...

  1. Electromagnetism on anisotropic fractal media

    Ostoja-Starzewski, Martin

    2013-04-01

    Basic equations of electromagnetic fields in anisotropic fractal media are obtained using a dimensional regularization approach. First, a formulation based on product measures is shown to satisfy the four basic identities of the vector calculus. This allows a generalization of the Green-Gauss and Stokes theorems as well as the charge conservation equation on anisotropic fractals. Then, pursuing the conceptual approach, we derive the Faraday and Ampère laws for such fractal media, which, along with two auxiliary null-divergence conditions, effectively give the modified Maxwell equations. Proceeding on a separate track, we employ a variational principle for electromagnetic fields, appropriately adapted to fractal media, so as to independently derive the same forms of these two laws. It is next found that the parabolic (for a conducting medium) and the hyperbolic (for a dielectric medium) equations involve modified gradient operators, while the Poynting vector has the same form as in the non-fractal case. Finally, Maxwell's electromagnetic stress tensor is reformulated for fractal systems. In all the cases, the derived equations for fractal media depend explicitly on fractal dimensions in three different directions and reduce to conventional forms for continuous media with Euclidean geometries upon setting these each of dimensions equal to unity.

  2. Fractals and multifractals in physics

    Arcangelis, L. de.

    1987-01-01

    We present a general introduction to the world of fractals. The attention is mainly devoted to stress how fractals do indeed appear in the real world and to find quantitative methods for characterizing their properties. The idea of multifractality is also introduced and it is presented in more details within the framework of the percolation problem

  3. A Double-Minded Fractal

    Simoson, Andrew J.

    2009-01-01

    This article presents a fun activity of generating a double-minded fractal image for a linear algebra class once the idea of rotation and scaling matrices are introduced. In particular the fractal flip-flops between two words, depending on the level at which the image is viewed. (Contains 5 figures.)

  4. Turbulent wakes of fractal objects

    Staicu, A.D.; Mazzi, B.; Vassilicos, J.C.; Water, van de W.

    2003-01-01

    Turbulence of a windtunnel flow is stirred using objects that have a fractal structure. The strong turbulent wakes resulting from three such objects which have different fractal dimensions are probed using multiprobe hot-wire anemometry in various configurations. Statistical turbulent quantities are

  5. Ghost quintessence in fractal gravity

    In this study, using the time-like fractal theory of gravity, we mainly focus on the ghost dark energy model which was recently suggested to explain the present acceleration of the cosmic expansion. Next, we establish a connection between the quintessence scalar field and fractal ghost dark energy density.

  6. Contour fractal analysis of grains

    Guida, Giulia; Casini, Francesca; Viggiani, Giulia MB

    2017-06-01

    Fractal analysis has been shown to be useful in image processing to characterise the shape and the grey-scale complexity in different applications spanning from electronic to medical engineering (e.g. [1]). Fractal analysis consists of several methods to assign a dimension and other fractal characteristics to a dataset describing geometric objects. Limited studies have been conducted on the application of fractal analysis to the classification of the shape characteristics of soil grains. The main objective of the work described in this paper is to obtain, from the results of systematic fractal analysis of artificial simple shapes, the characterization of the particle morphology at different scales. The long term objective of the research is to link the microscopic features of granular media with the mechanical behaviour observed in the laboratory and in situ.

  7. Encounters with chaos and fractals

    Gulick, Denny

    2012-01-01

    Periodic Points Iterates of Functions Fixed Points Periodic Points Families of Functions The Quadratic Family Bifurcations Period-3 Points The Schwarzian Derivative One-Dimensional Chaos Chaos Transitivity and Strong Chaos Conjugacy Cantor Sets Two-Dimensional Chaos Review of Matrices Dynamics of Linear FunctionsNonlinear Maps The Hénon Map The Horseshoe Map Systems of Differential Equations Review of Systems of Differential Equations Almost Linearity The Pendulum The Lorenz System Introduction to Fractals Self-Similarity The Sierpiński Gasket and Other "Monsters"Space-Filling Curves Similarity and Capacity DimensionsLyapunov Dimension Calculating Fractal Dimensions of Objects Creating Fractals Sets Metric Spaces The Hausdorff Metric Contractions and Affine Functions Iterated Function SystemsAlgorithms for Drawing Fractals Complex Fractals: Julia Sets and the Mandelbrot Set Complex Numbers and Functions Julia Sets The Mandelbrot Set Computer Programs Answers to Selected Exercises References Index.

  8. Dukovany ASSET mission preparation

    Kouklik, I [NPP Dukovany (Czech Republic)

    1997-12-31

    We are in the final stages of the Dukovany ASSET mission 1996 preparation. I would like to present some of our recent experiences. Maybe they would be helpful to other plants, that host ASSET missions in future.

  9. Dukovany ASSET mission preparation

    Kouklik, I.

    1996-01-01

    We are in the final stages of the Dukovany ASSET mission 1996 preparation. I would like to present some of our recent experiences. Maybe they would be helpful to other plants, that host ASSET missions in future

  10. "Asset Ownership Across Generations"

    Ngina S. Chiteji; Frank P. Stafford

    2000-01-01

    This paper examines cross-generational connections in asset ownership. It begins by presenting a theoretical framework that develops the distinction between the intergenerational transfer of knowledge about financial assets and the direct transfer of dollars from parents to children. Its analysis of data from the Panel Study of Income Dynamics (PSID) reveals intergenerational correlations in asset ownership, and we find evidence to suggest that parental asset ownership or family-based exposur...

  11. A Risk Management Approach to Optimal Asset Allocation

    Thomas J. Flavin; Michael R. Wickens

    2001-01-01

    This paper extends the tactical asset allocation strategy of Flavin and Wickens(1998) to incorporate the effects of macroeconomic variables in the analysis. Using a VAR in mean with a M-GARCH error structure, we can jointly model financial asset returns and macroeconomic variables, thereby exploiting any predictability in either the first- or second-order moments. Taking a set of UK\\ financial assets and the change in domestic inflation as an illustration, we find a much stronger impact on th...

  12. Capital Structure and Assets

    Flor, Christian Riis

    2008-01-01

    This paper analyzes a firm's capital structure choice when assets have outside value. Valuable assets implicitly provide a collateral and increase tax shield exploitation. The key feature in this paper is asset value uncertainty, implying that it is unknown ex ante whether the equity holders ex p...

  13. Fractals: Giant impurity nonlinearities in optics of fractal clusters

    Butenko, A.V.; Shalaev, V.M.; Stockman, M.I.

    1988-01-01

    A theory of nonlinear optical properties of fractals is developed. Giant enhancement of optical susceptibilities is predicted for impurities bound to a fractal. This enhancement occurs if the exciting radiation frequency lies within the absorption band of the fractal. The giant optical nonlinearities are due to existence of high local electric fields in the sites of impurity locations. Such fields are due to the inhomogeneously broadened character of a fractal spectrum, i.e. partial conservation of individuality of fractal-forming particles (monomers). The field enhancement is proportional to the Q-factor of the resonance of a monomer. The effects of coherent anti-Stokes Raman scattering (CARS) and phase conjugation (PC) of light waves are enhanced to a much greater degree than generation of higher harmonics. In a general case the susceptibility of a higher-order is enhanced in the maximum way if the process includes ''subtraction'' of photons (at least one of the strong field frequencies enters the susceptibility with the minus sign). Alternatively, enhancement for the highest-order harmonic generation (when all the photons are ''accumulated'') is minimal. The predicted phenomena bear information on spectral properties of both impurity molecules and a fractal. In particular, in the CARS spectra a narrow (with the natural width) resonant structure, which is proper to an isolated monomer of a fractal, is predicted to be observed. (orig.)

  14. Macroeconomic Dynamics of Assets, Leverage and Trust

    Rozendaal, Jeroen C.; Malevergne, Yannick; Sornette, Didier

    A macroeconomic model based on the economic variables (i) assets, (ii) leverage (defined as debt over asset) and (iii) trust (defined as the maximum sustainable leverage) is proposed to investigate the role of credit in the dynamics of economic growth, and how credit may be associated with both economic performance and confidence. Our first notable finding is the mechanism of reward/penalty associated with patience, as quantified by the return on assets. In regular economies where the EBITA/Assets ratio is larger than the cost of debt, starting with a trust higher than leverage results in the highest long-term return on assets (which can be seen as a proxy for economic growth). Therefore, patient economies that first build trust and then increase leverage are positively rewarded. Our second main finding concerns a recommendation for the reaction of a central bank to an external shock that affects negatively the economic growth. We find that late policy intervention in the model economy results in the highest long-term return on assets. However, this comes at the cost of suffering longer from the crisis until the intervention occurs. The phenomenon that late intervention is most effective to attain a high long-term return on assets can be ascribed to the fact that postponing intervention allows trust to increase first, and it is most effective to intervene when trust is high. These results are derived from two fundamental assumptions underlying our model: (a) trust tends to increase when it is above leverage; (b) economic agents learn optimally to adjust debt for a given level of trust and amount of assets. Using a Markov Switching Model for the EBITA/Assets ratio, we have successfully calibrated our model to the empirical data of the return on equity of the EURO STOXX 50 for the time period 2000-2013. We find that dynamics of leverage and trust can be highly nonmonotonous with curved trajectories, as a result of the nonlinear coupling between the variables. This

  15. Pension Fund Asset Allocation and Liability Discount Rates

    Andonov, Aleksandar; Bauer, Rob; Cremers, Martijn

    2017-01-01

    The unique regulation of U.S. public pension funds links their liability discount rate to the expected return on assets, which gives them incentives to invest more in risky assets in order to report a better funding status. Comparing public and private pension funds in the United States, Canada, and

  16. Foreign currency returns and systematic risks

    Galsband, V.; Nitschka, T.

    2015-01-01

    We apply an empirical approximation of the intertemporal capital asset pricing model (ICAPM) to show that cross-sectional dispersion in currency returns can be rationalized by differences in currency excess returns' sensitivities to the market return's cash-flow news component. This finding echoes

  17. DETERMINANTS OF RETURN ON EQUITY OF COOPERATIVE BANKS IN POLAND

    Anna Bieniasz

    2016-03-01

    Full Text Available The aim of the study was to analyse the diversity of return on equity in the cooperative banks in Poland in 2010– 2014. The analysis was conducted using data of the Polish Financial Supervision Authority, on the basis of a modifi ed decomposition rate of return on equity. Assessment of the rate of return on equity was made in a size of banks, as determined by the value of assets. In addition, in order to determine the strength and direction of impact the individual components of the model on the formation of return on equity method was applied functional. The study suggests that cooperative banks eff ectively use the equity, because the rate of return on equity was signifi cantly higher than the rate of return on assets. The average return on assets in 2010–2014 was relatively lower in the largest banks and ranged from 0.7–0.9%, and the smallest banks return on assets was approximately 1%. In turn, the return on equity was higher at banks with major assets (over 200 million PLN. In 2013–2014 the rate of return both on assets and equity expressly declined. The main determinants of changes in return on equity were changing the multiplier reduction of profi t from banking activities by operating costs and costs of banking risk and return on assets, as well as measured result on banking activities.

  18. Fractal Analysis of Mobile Social Networks

    Zheng Wei; Pan Qian; Sun Chen; Deng Yu-Fan; Zhao Xiao-Kang; Kang Zhao

    2016-01-01

    Fractal and self similarity of complex networks have attracted much attention in recent years. The fractal dimension is a useful method to describe the fractal property of networks. However, the fractal features of mobile social networks (MSNs) are inadequately investigated. In this work, a box-covering method based on the ratio of excluded mass to closeness centrality is presented to investigate the fractal feature of MSNs. Using this method, we find that some MSNs are fractal at different time intervals. Our simulation results indicate that the proposed method is available for analyzing the fractal property of MSNs. (paper)

  19. Fractal analysis of sulphidic mineral

    Miklúšová Viera

    2002-03-01

    Full Text Available In this paper, the application of fractal theory in the characterization of fragmented surfaces, as well as the mass-size distributions are discussed. The investigated mineral-chalcopyrite of Slovak provenience is characterised after particle size reduction processes-crushing and grinding. The problem how the different size reduction methods influence the surface irregularities of obtained particles is solved. Mandelbrot (1983, introducing the fractal geometry, offered a new way of characterization of surface irregularities by the fractal dimension. The determination of the surface fractal dimension DS consists in measuring the specific surface by the BET method in several fractions into which the comminuted chalcopyrite is sieved. This investigation shows that the specific surface of individual fractions were higher for the crushed sample than for the short-term (3 min ground sample. The surface fractal dimension can give an information about the adsorption sites accessible to molecules of nitrogen and according to this, the value of the fractal dimension is higher for crushed sample.The effect of comminution processes on the mass distribution of particles crushed and ground in air as well as in polar liquids is also discussed. The estimation of fractal dimensions of particles mass distribution is done on the assumption that the particle size distribution is described by the power-law (1. The value of fractal dimension for the mass distribution in the crushed sample is lower than in the sample ground in air, because it is influenced by the energy required for comminution.The sample of chalcopyrite was ground (10min in ethanol and i-butanol [which according to Ikazaki (1991] are characterized by the parameter µ /V, where µ is its dipole moment and V is the molecular volume. The values of µ /V for the used polar liquids are of the same order. That is why the expressive differences in particle size distributions as well as in the values of

  20. Psicodiagnóstico fractal

    Moghilevsky, Débora Estela

    2011-01-01

    A lo largo de los últimos años del siglo veinte se ha desarrollado la teoría de la complejidad. Este modelo relaciona las ciencias duras tales como la matemática, la teoría del caos, la física cuántica y la geometría fractal con las llamadas seudo ciencias. Dentro de este contexto podemos definir la Psicología Fractal como la ciencia que estudia los aspectos psíquicos como dinámicamente fractales.

  1. Map of fluid flow in fractal porous medium into fractal continuum flow.

    Balankin, Alexander S; Elizarraraz, Benjamin Espinoza

    2012-05-01

    This paper is devoted to fractal continuum hydrodynamics and its application to model fluid flows in fractally permeable reservoirs. Hydrodynamics of fractal continuum flow is developed on the basis of a self-consistent model of fractal continuum employing vector local fractional differential operators allied with the Hausdorff derivative. The generalized forms of Green-Gauss and Kelvin-Stokes theorems for fractional calculus are proved. The Hausdorff material derivative is defined and the form of Reynolds transport theorem for fractal continuum flow is obtained. The fundamental conservation laws for a fractal continuum flow are established. The Stokes law and the analog of Darcy's law for fractal continuum flow are suggested. The pressure-transient equation accounting the fractal metric of fractal continuum flow is derived. The generalization of the pressure-transient equation accounting the fractal topology of fractal continuum flow is proposed. The mapping of fluid flow in a fractally permeable medium into a fractal continuum flow is discussed. It is stated that the spectral dimension of the fractal continuum flow d(s) is equal to its mass fractal dimension D, even when the spectral dimension of the fractally porous or fissured medium is less than D. A comparison of the fractal continuum flow approach with other models of fluid flow in fractally permeable media and the experimental field data for reservoir tests are provided.

  2. Fractal geometry and computer graphics

    Sakas, Georgios; Peitgen, Heinz-Otto; Englert, Gabriele

    1992-01-01

    Fractal geometry has become popular in the last 15 years, its applications can be found in technology, science, or even arts. Fractal methods and formalism are seen today as a general, abstract, but nevertheless practical instrument for the description of nature in a wide sense. But it was Computer Graphics which made possible the increasing popularity of fractals several years ago, and long after their mathematical formulation. The two disciplines are tightly linked. The book contains the scientificcontributions presented in an international workshop in the "Computer Graphics Center" in Darmstadt, Germany. The target of the workshop was to present the wide spectrum of interrelationships and interactions between Fractal Geometry and Computer Graphics. The topics vary from fundamentals and new theoretical results to various applications and systems development. All contributions are original, unpublished papers.The presentations have been discussed in two working groups; the discussion results, together with a...

  3. Thermal transport in fractal systems

    Kjems, Jørgen

    1992-01-01

    Recent experiments on the thermal transport in systems with partial fractal geometry, silica aerogels, are reviewed. The individual contributions from phonons, fractons and particle modes, respectively, have been identified and can be described by quantitative models consistent with heat capacity...

  4. Fractal analysis in oral leukoplakia

    Prashant Bhai Pandey

    2015-01-01

    Full Text Available Introduction: Fractal analysis (FA quantifies complex geometric structures by generating a fractal dimension (FD, which can measure the complexity of mucosa. FA is a quantitative tool used to measure the complexity of self-similar or semi-self-similar structures. Aim and Objective: The study was done to perform the FA of oral mucosa with keratotic changes, as it is also made up of self-similar tissues, and thus, its FD can be calculated. Results: In oral leukoplakia, keratinization increases the complexity of mucosa, which denotes fractal geometry. We evaluated and compared pretreated and post-treated oral leukoplakia in 50 patients with clinically proven oral leukoplakia and analyzed the normal oral mucosa and lesional or keratinized mucosa in oral leukoplakia patients through FA using box counting method. Conclusion: FA using the fractal geometry is an efficient, noninvasive prediction tool for early detection of oral leukoplakia and other premalignant conditions in patients.

  5. Asset management using an extended Markowitz theorem

    Paria Karimi

    2014-06-01

    Full Text Available Markowitz theorem is one of the most popular techniques for asset management. The method has been widely used to solve many applications, successfully. In this paper, we present a multi objective Markowitz model to determine asset allocation by considering cardinality constraints. The resulted model is an NP-Hard problem and the proposed study uses two metaheuristics, namely genetic algorithm (GA and particle swarm optimization (PSO to find efficient solutions. The proposed study has been applied on some data collected from Tehran Stock Exchange over the period 2009-2011. The study considers four objectives including cash return, 12-month return, 36-month return and Lower Partial Moment (LPM. The results indicate that there was no statistical difference between the implementation of PSO and GA methods.

  6. Ising model of financial markets with many assets

    Eckrot, A.; Jurczyk, J.; Morgenstern, I.

    2016-11-01

    Many models of financial markets exist, but most of them simulate single asset markets. We study a multi asset Ising model of a financial market. Each agent has two possible actions (buy/sell) for every asset. The agents dynamically adjust their coupling coefficients according to past market returns and external news. This leads to fat tails and volatility clustering independent of the number of assets. We find that a separation of news into different channels leads to sector structures in the cross correlations, similar to those found in real markets.

  7. Fractals in Power Reactor Noise

    Aguilar Martinez, O.

    1994-01-01

    In this work the non- lineal dynamic problem of power reactor is analyzed using classic concepts of fractal analysis as: attractors, Hausdorff-Besikovics dimension, phase space, etc. A new non-linear problem is also analyzed: the discrimination of chaotic signals from random neutron noise signals and processing for diagnosis purposes. The advantages of a fractal analysis approach in the power reactor noise are commented in details

  8. Fractal profit landscape of the stock market.

    Grönlund, Andreas; Yi, Il Gu; Kim, Beom Jun

    2012-01-01

    We investigate the structure of the profit landscape obtained from the most basic, fluctuation based, trading strategy applied for the daily stock price data. The strategy is parameterized by only two variables, p and q Stocks are sold and bought if the log return is bigger than p and less than -q, respectively. Repetition of this simple strategy for a long time gives the profit defined in the underlying two-dimensional parameter space of p and q. It is revealed that the local maxima in the profit landscape are spread in the form of a fractal structure. The fractal structure implies that successful strategies are not localized to any region of the profit landscape and are neither spaced evenly throughout the profit landscape, which makes the optimization notoriously hard and hypersensitive for partial or limited information. The concrete implication of this property is demonstrated by showing that optimization of one stock for future values or other stocks renders worse profit than a strategy that ignores fluctuations, i.e., a long-term buy-and-hold strategy.

  9. Random walk through fractal environments

    Isliker, H.; Vlahos, L.

    2003-01-01

    We analyze random walk through fractal environments, embedded in three-dimensional, permeable space. Particles travel freely and are scattered off into random directions when they hit the fractal. The statistical distribution of the flight increments (i.e., of the displacements between two consecutive hittings) is analytically derived from a common, practical definition of fractal dimension, and it turns out to approximate quite well a power-law in the case where the dimension D F of the fractal is less than 2, there is though, always a finite rate of unaffected escape. Random walks through fractal sets with D F ≤2 can thus be considered as defective Levy walks. The distribution of jump increments for D F >2 is decaying exponentially. The diffusive behavior of the random walk is analyzed in the frame of continuous time random walk, which we generalize to include the case of defective distributions of walk increments. It is shown that the particles undergo anomalous, enhanced diffusion for D F F >2 is normal for large times, enhanced though for small and intermediate times. In particular, it follows that fractals generated by a particular class of self-organized criticality models give rise to enhanced diffusion. The analytical results are illustrated by Monte Carlo simulations

  10. Fractals and Forecasting in Earthquakes and Finance

    Rundle, J. B.; Holliday, J. R.; Turcotte, D. L.

    2011-12-01

    It is now recognized that Benoit Mandelbrot's fractals play a critical role in describing a vast range of physical and social phenomena. Here we focus on two systems, earthquakes and finance. Since 1942, earthquakes have been characterized by the Gutenberg-Richter magnitude-frequency relation, which in more recent times is often written as a moment-frequency power law. A similar relation can be shown to hold for financial markets. Moreover, a recent New York Times article, titled "A Richter Scale for the Markets" [1] summarized the emerging viewpoint that stock market crashes can be described with similar ideas as large and great earthquakes. The idea that stock market crashes can be related in any way to earthquake phenomena has its roots in Mandelbrot's 1963 work on speculative prices in commodities markets such as cotton [2]. He pointed out that Gaussian statistics did not account for the excessive number of booms and busts that characterize such markets. Here we show that both earthquakes and financial crashes can both be described by a common Landau-Ginzburg-type free energy model, involving the presence of a classical limit of stability, or spinodal. These metastable systems are characterized by fractal statistics near the spinodal. For earthquakes, the independent ("order") parameter is the slip deficit along a fault, whereas for the financial markets, it is financial leverage in place. For financial markets, asset values play the role of a free energy. In both systems, a common set of techniques can be used to compute the probabilities of future earthquakes or crashes. In the case of financial models, the probabilities are closely related to implied volatility, an important component of Black-Scholes models for stock valuations. [2] B. Mandelbrot, The variation of certain speculative prices, J. Business, 36, 294 (1963)

  11. Valuation of intangible assets

    Karlíková, Jitka

    2010-01-01

    The thesis is focused on the valuation of intangible assets, particularly trademarks and copyrights. In the beginning it deals with the problems of valuation of intangible assets. The main part of the thesis provides an overview of methods for valuation of intangible assets. This part is followed by a practical section that illustrates the procedure of valuation of trademarks and copyrights on a concrete example.

  12. [ASSET experience in China

    Zhang Shanming

    1996-01-01

    The ASSET philosophy for prevention of nuclear safety incident is being implemented in our nuclear power plant as the other international nuclear power plants, and the in-depth analysis of operational events in order to find out and eliminate the root causes is considered as the prioritized work in the plant safety management. Some observations are discussed which were made during the implementation of ASSET philosophy and the ASSET approach in our nuclear power plant

  13. Asset Opacity and Liquidity

    Stenzel, A.; Wagner, W.B.

    2013-01-01

    Abstract: We consider a model of private information acquisition in which the cost of information depends on an asset's opacity. The model generates a hump-shaped relationship between opacity and the equilibrium amount of private information. In particular, the incentives to acquire information are largest for assets of intermediate opacity; such assets hence display low liquidity in the secondary market due to adverse selection. We also show that costly information acquisition generates ince...

  14. [ASSET experience in China

    Shanming, Zhang [Dayabay NPP (China)

    1997-12-31

    The ASSET philosophy for prevention of nuclear safety incident is being implemented in our nuclear power plant as the other international nuclear power plants, and the in-depth analysis of operational events in order to find out and eliminate the root causes is considered as the prioritized work in the plant safety management. Some observations are discussed which were made during the implementation of ASSET philosophy and the ASSET approach in our nuclear power plant.

  15. Japanese views on ASSET

    Hirano, Masashi [Department of Reactor Safety Research, Japan Atomic Energy Research Inst., Tokai, Ibaraki (Japan)

    1997-12-31

    In general, the ASSET has had a positive effect on enhancement of operating experience feedback. The ASSET has played an important role to supply information to the IAEA Extra Budgetary Program. However, this role has come to an end; since the needs for safety upgrading have become identified and prioritized. ASSET missions in future: Linkage among various safety missions should be sought in order to avoid duplication and to enhance effective usage of a limited budget and human resources.

  16. FINANCIAL ASPECTS OF CURRENT ASSETS MANAGEMENT IN SERBIAN ECONOMY

    Jugoslav Aničić

    2017-04-01

    Full Text Available Efficient current assets management should provide optimum level of company’s net current assets as interrelation between current assets and short-term liabilities. The companies whose short-term liabilities are not proportionate to cashable current assets face the problem of insolvency and all negative consequences caused by insolvency. Rate of return to total assets measures how good is the management’s use of the company property for the purpose of creating operating profit, regardless of the fact how these assets are financed. Serbian economy is burdened by insolvency and significant indebtedness under unfavorable loan terms, so adequate attention has to be dedicated to the matters of the structure of operating property and its financing in order to improve competitiveness and efficiency of business.

  17. A Case Study of Risk Informed Asset Management (RIAM) for Nuclear Power Plant

    Lee, Gyoung Cheol; Jeong, Yong Hoon; Chang, Soon Heung; Chung, Dae Wook

    2006-01-01

    Recently, the concern for Nuclear Asset Management (NAM) is increasing in nuclear industry. Asset Management is management of the financial assets of a company in order to maximize return. However, asset management in the nuclear industry is needed for coincidental consideration of nuclear safety and risk. Over fast several years, efforts for development of safety concerned and financial asset maximizing method, process and tools have been continued internationally. Risk Informed Asset Management (RIAM) is a methodology, process, and (eventually) software tool by which analyst review historical performance and develop predictive logic models and data analyses to provide plant manager and company decision-makers critical quantitative performance indicators

  18. Preparing for asset retirement.

    Luecke, Randall W; Reinstein, Alan

    2003-04-01

    Statement of Financial Accounting Standards (SFAS) No. 143 requires organizations to recognize a liability for an asset retirement obligation when it is incurred--even if that occurs far in advance of the asset's planned retirement. For example, organizations must recognize future costs associated with medical equipment disposal that carries hazardous material legal obligations.

  19. Essays on asset pricing

    Nazliben, Kamil

    2015-01-01

    The dissertation consists of three chapters that represent separate papers in the area of asset pricing. The first chapter studies investors optimal asset allocation problem in which mean reversion in stock prices is captured by explicitly modeling transitory and permanent shocks. The second chapter

  20. Dynamic asset allocation and downside-risk aversion

    A.B. Berkelaar (Arjan); R.R.P. Kouwenberg (Roy)

    2000-01-01

    textabstractThis paper considers dynamic asset allocation in a mean versus downside-risk framework. We derive closed-form solutions for the optimal portfolio weights when returns are lognormally distributed. Moreover, we study the impact of skewed and fat-tailed return distributions. We find that

  1. Asset Allocation:diversification dan Rebalancing sebagai Bagian dari Proses Perencanaan Keuangan (suatu Kajian Pustaka)

    Dewi, Vera Intanie

    2013-01-01

    Financial planning is the process of designing an investmentstrategy that can helps an individual to achieve financial goals. Asset allocation, diversification and rebalancing is a particularly important steps of investment strategy process. By doing asset allocation and diversification among a variety of different asset categories such as bonds,stocks,mutual funds and saving can helps minimize risk and maximize return. And the goal of rebalancing is to move the current asset allocation back ...

  2. Design of LTCC Based Fractal Antenna

    AdbulGhaffar, Farhan

    2010-01-01

    The thesis presents a Sierpinski Carpet fractal antenna array designed at 24 GHz for automotive radar applications. Miniaturized, high performance and low cost antennas are required for this application. To meet these specifications a fractal array

  3. Fractal Structures For Mems Variable Capacitors

    Elshurafa, Amro M.; Radwan, Ahmed Gomaa Ahmed; Emira, Ahmed A.; Salama, Khaled N.

    2014-01-01

    In accordance with the present disclosure, one embodiment of a fractal variable capacitor comprises a capacitor body in a microelectromechanical system (MEMS) structure, wherein the capacitor body has an upper first metal plate with a fractal shape

  4. A fractal-based image encryption system

    Abd-El-Hafiz, S. K.; Radwan, Ahmed Gomaa; Abdel Haleem, Sherif H.; Barakat, Mohamed L.

    2014-01-01

    single-fractal image and statistical analysis is performed. A general encryption system utilising multiple fractal images is, then, introduced to improve the performance and increase the encryption key up to hundreds of bits. This improvement is achieved

  5. Effects of fractal pore on coal devolatilization

    Chen, Yongli; He, Rong [Tsinghua Univ., Beijing (China). Dept. of Thermal Engineering; Wang, Xiaoliang; Cao, Liyong [Dongfang Electric Corporation, Chengdu (China). Centre New Energy Inst.

    2013-07-01

    Coal devolatilization is numerically investigated by drop tube furnace and a coal pyrolysis model (Fragmentation and Diffusion Model). The fractal characteristics of coal and char pores are investigated. Gas diffusion and secondary reactions in fractal pores are considered in the numerical simulations of coal devolatilization, and the results show that the fractal dimension is increased firstly and then decreased later with increased coal conversions during devolatilization. The mechanisms of effects of fractal pores on coal devolatilization are analyzed.

  6. Fractal Structures For Fixed Mems Capacitors

    Elshurafa, Amro M.

    2014-08-28

    An embodiment of a fractal fixed capacitor comprises a capacitor body in a microelectromechanical system (MEMS) structure. The capacitor body has a first plate with a fractal shape separated by a horizontal distance from a second plate with a fractal shape. The first plate and the second plate are within the same plane. Such a fractal fixed capacitor further comprises a substrate above which the capacitor body is positioned.

  7. Enhanced Graphene Photodetector with Fractal Metasurface

    Fan, Jieran; Wang, Di; DeVault, Clayton

    2016-01-01

    We designed and fabricated a broadband, polarization-independent photodetector by integrating graphene with a fractal Cayley tree metasurface. Our measurements show an almost uniform, tenfold enhancement in photocurrent generation due to the fractal metasurface structure.......We designed and fabricated a broadband, polarization-independent photodetector by integrating graphene with a fractal Cayley tree metasurface. Our measurements show an almost uniform, tenfold enhancement in photocurrent generation due to the fractal metasurface structure....

  8. Fractal Structures For Fixed Mems Capacitors

    Elshurafa, Amro M.; Radwan, Ahmed Gomaa Ahmed; Emira, Ahmed A.; Salama, Khaled N.

    2014-01-01

    An embodiment of a fractal fixed capacitor comprises a capacitor body in a microelectromechanical system (MEMS) structure. The capacitor body has a first plate with a fractal shape separated by a horizontal distance from a second plate with a fractal shape. The first plate and the second plate are within the same plane. Such a fractal fixed capacitor further comprises a substrate above which the capacitor body is positioned.

  9. Fractal Structures For Mems Variable Capacitors

    Elshurafa, Amro M.

    2014-08-28

    In accordance with the present disclosure, one embodiment of a fractal variable capacitor comprises a capacitor body in a microelectromechanical system (MEMS) structure, wherein the capacitor body has an upper first metal plate with a fractal shape separated by a vertical distance from a lower first metal plate with a complementary fractal shape; and a substrate above which the capacitor body is suspended.

  10. An enhanced fractal image denoising algorithm

    Lu Jian; Ye Zhongxing; Zou Yuru; Ye Ruisong

    2008-01-01

    In recent years, there has been a significant development in image denoising using fractal-based method. This paper presents an enhanced fractal predictive denoising algorithm for denoising the images corrupted by an additive white Gaussian noise (AWGN) by using quadratic gray-level function. Meanwhile, a quantization method for the fractal gray-level coefficients of the quadratic function is proposed to strictly guarantee the contractivity requirement of the enhanced fractal coding, and in terms of the quality of the fractal representation measured by PSNR, the enhanced fractal image coding using quadratic gray-level function generally performs better than the standard fractal coding using linear gray-level function. Based on this enhanced fractal coding, the enhanced fractal image denoising is implemented by estimating the fractal gray-level coefficients of the quadratic function of the noiseless image from its noisy observation. Experimental results show that, compared with other standard fractal-based image denoising schemes using linear gray-level function, the enhanced fractal denoising algorithm can improve the quality of the restored image efficiently

  11. Steady laminar flow of fractal fluids

    Balankin, Alexander S., E-mail: abalankin@ipn.mx [Grupo Mecánica Fractal, ESIME, Instituto Politécnico Nacional, México D.F., 07738 (Mexico); Mena, Baltasar [Laboratorio de Ingeniería y Procesos Costeros, Instituto de Ingeniería, Universidad Nacional Autónoma de México, Sisal, Yucatán, 97355 (Mexico); Susarrey, Orlando; Samayoa, Didier [Grupo Mecánica Fractal, ESIME, Instituto Politécnico Nacional, México D.F., 07738 (Mexico)

    2017-02-12

    We study laminar flow of a fractal fluid in a cylindrical tube. A flow of the fractal fluid is mapped into a homogeneous flow in a fractional dimensional space with metric induced by the fractal topology. The equations of motion for an incompressible Stokes flow of the Newtonian fractal fluid are derived. It is found that the radial distribution for the velocity in a steady Poiseuille flow of a fractal fluid is governed by the fractal metric of the flow, whereas the pressure distribution along the flow direction depends on the fractal topology of flow, as well as on the fractal metric. The radial distribution of the fractal fluid velocity in a steady Couette flow between two concentric cylinders is also derived. - Highlights: • Equations of Stokes flow of Newtonian fractal fluid are derived. • Pressure distribution in the Newtonian fractal fluid is derived. • Velocity distribution in Poiseuille flow of fractal fluid is found. • Velocity distribution in a steady Couette flow is established.

  12. Symmetric intersections of Rauzy fractals | Sellami | Quaestiones ...

    In this article we study symmetric subsets of Rauzy fractals of unimodular irreducible Pisot substitutions. The symmetry considered is re ection through the origin. Given an unimodular irreducible Pisot substitution, we consider the intersection of its Rauzy fractal with the Rauzy fractal of the reverse substitution. This set is ...

  13. Heritability of Retinal Vascular Fractals

    Vergmann, Anna Stage; Broe, Rebecca; Kessel, Line

    2017-01-01

    Purpose: To determine the genetic contribution to the pattern of retinal vascular branching expressed by its fractal dimension. Methods: This was a cross-sectional study of 50 monozygotic and 49 dizygotic, same-sex twin pairs aged 20 to 46 years. In 50°, disc-centered fundus photographs, the reti...... fractal dimension did not differ statistically significantly between monozygotic and dizygotic twin pairs (1.505 vs. 1.495, P = 0.06), supporting that the study population was suitable for quantitative analysis of heritability. The intrapair correlation was markedly higher (0.505, P = 0.......0002) in monozygotic twins than in dizygotic twins (0.108, P = 0.46), corresponding to a heritability h2 for the fractal dimension of 0.79. In quantitative genetic models, dominant genetic effects explained 54% of the variation and 46% was individually environmentally determined. Conclusions: In young adult twins...

  14. Towards thermomechanics of fractal media

    Ostoja-Starzewski, Martin

    2007-11-01

    Hans Ziegler’s thermomechanics [1,2,3], established half a century ago, is extended to fractal media on the basis of a recently introduced continuum mechanics due to Tarasov [14,15]. Employing the concept of internal (kinematic) variables and internal stresses, as well as the quasiconservative and dissipative stresses, a field form of the second law of thermodynamics is derived. In contradistinction to the conventional Clausius Duhem inequality, it involves generalized rates of strain and internal variables. Upon introducing a dissipation function and postulating the thermodynamic orthogonality on any lengthscale, constitutive laws of elastic-dissipative fractal media naturally involving generalized derivatives of strain and stress can then be derived. This is illustrated on a model viscoelastic material. Also generalized to fractal bodies is the Hill condition necessary for homogenization of their constitutive responses.

  15. Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?

    Beshears, John; Choi, James J; Laibson, David; Madrian, Brigitte C

    2017-06-01

    Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset's returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to changes in the risky asset's return distribution or the introduction of a multi-day delay between portfolio choice and return realizations.

  16. Research on the fractal structure in the Chinese stock market

    Zhuang, Xin-tian; Huang, Xiao-yuan; Sha, Yan-li

    2004-02-01

    Applying fractal theory, this paper probes and discusses self-similarity and scale invariance of the Chinese stock market. It analyses three kinds of scale indexes, i.e., autocorrelation index, Hurst index and the scale index on the basis of detrended fluctuation analysis (DFA) algorithm and promotes DFA into a recursive algorithm. Using the three kinds of scale indexes, we conduct empirical research on the Chinese Shanghai and Shenzhen stock markets. The results indicate that the rate of returns of the two stock markets does not obey the normal distribution. A correlation exists between the stock price indexes over time scales. The stock price indexes exhibit fractal time series. It indicates that the policy guide hidden at the back influences the characteristic of the Chinese stock market.

  17. Fractal universe and quantum gravity.

    Calcagni, Gianluca

    2010-06-25

    We propose a field theory which lives in fractal spacetime and is argued to be Lorentz invariant, power-counting renormalizable, ultraviolet finite, and causal. The system flows from an ultraviolet fixed point, where spacetime has Hausdorff dimension 2, to an infrared limit coinciding with a standard four-dimensional field theory. Classically, the fractal world where fields live exchanges energy momentum with the bulk with integer topological dimension. However, the total energy momentum is conserved. We consider the dynamics and the propagator of a scalar field. Implications for quantum gravity, cosmology, and the cosmological constant are discussed.

  18. Fractals control in particle's velocity

    Zhang Yongping; Liu Shutang; Shen Shulan

    2009-01-01

    Julia set, a fractal set of the literature of nonlinear physics, has significance for the engineering applications. For example, the fractal structure characteristics of the generalized M-J set could visually reflect the change rule of particle's velocity. According to the real world requirement, the system need show various particle's velocity in some cases. Thus, the control of the nonlinear behavior, i.e., Julia set, has attracted broad attention. In this work, an auxiliary feedback control is introduced to effectively control the Julia set that visually reflects the change rule of particle's velocity. It satisfies the performance requirement of the real world problems.

  19. Taylor dispersion on a fractal

    Mazo, R.M.

    1998-01-01

    Taylor dispersion is the greatly enhanced diffusion in the direction of a fluid flow caused by ordinary diffusion in directions orthogonal to the flow. It is essential that the system be bounded in space in the directions orthogonal to the flow. We investigate the situation where the medium through which the flow occurs has fractal properties so that diffusion in the orthogonal directions is anomalous and non-Fickian. The effective diffusion in the flow direction remains normal; its width grows proportionally with the time. However, the proportionality constant depends on the fractal dimension of the medium as well as its walk dimension. (author)

  20. Applications of fractals in ecology.

    Sugihara, G; M May, R

    1990-03-01

    Fractal models describe the geometry of a wide variety of natural objects such as coastlines, island chains, coral reefs, satellite ocean-color images and patches of vegetation. Cast in the form of modified diffusion models, they can mimic natural and artificial landscapes having different types of complexity of shape. This article provides a brief introduction to fractals and reports on how they can be used by ecologists to answer a variety of basic questions, about scale, measurement and hierarchy in, ecological systems. Copyright © 1990. Published by Elsevier Ltd.

  1. Heritability of Retinal Vascular Fractals

    Vergmann, Anna Stage; Broe, Rebecca; Kessel, Line

    2017-01-01

    , the retinal vascular fractal dimension was measured using the box-counting method and compared within monozygotic and dizygotic twin pairs using Pearson correlation coefficients. Falconer's formula and quantitative genetic models were used to determine the genetic component of variation. Results: The mean...... fractal dimension did not differ statistically significantly between monozygotic and dizygotic twin pairs (1.505 vs. 1.495, P = 0.06), supporting that the study population was suitable for quantitative analysis of heritability. The intrapair correlation was markedly higher (0.505, P = 0...

  2. Synergetics and fractals in tribology

    Janahmadov, Ahad Kh

    2016-01-01

    This book examines the theoretical and practical aspects of tribological process using synergy, fractal and multifractal methods, and the fractal and multifractal models of self-similar tribosystems developed on their basis. It provides a comprehensive analysis of their effectiveness, and also considers the method of flicker noise spectroscopy with detailed parameterization of surface roughness friction. All models, problems and solutions are taken and tested on the set of real-life examples of oil-gas industry. The book is intended for researchers, graduate students and engineers specialising in the field of tribology, and also for senior students of technical colleges.

  3. Do crypto-currencies form a new asset class?

    Mayr, Samuel

    2015-01-01

    This paper examines statistical properties of crypto-currencies' price variations in comparison with statistical properties of price variations in common financial markets. Price data of Bitcoin, ripple and Litecoin have been directly compared with price data of euro currency and stock index S&P500. Additionally, and compared with set of stylized facts of asset returns. The properties in scope of this work include an autocorrelation of day-to-day returns, a shape of return distributions, a vo...

  4. Predictability of Returns and Cash Flows

    Ralph S.J. Koijen; Stijn Van Nieuwerburgh

    2010-01-01

    We review the literature on return and cash-flow growth predictability from the perspective of the present-value identity. We focus predominantly on recent work. Our emphasis is on U.S. aggregate stock return predictability, but we also discuss evidence from other asset classes and countries.

  5. Asset Pricing Implications of Firms' Financing Constraints

    Gomes, Joao F; Yaron, Amir; Zhang, Lu

    2002-01-01

    We incorporate costly external finance in a production based asset pricing model and investigate whether financing frictions are quantitatively important for pricing a cross-section of expected returns. We show that the common assumptions about the nature of the financing frictions are captured by a simple ‘financing cost’ function, equal to the product of the financing premium and the amount of external finance. This approach provides a tractable framework to examine the role of financing fr...

  6. IT Asset Management System -

    Department of Transportation — ITAMS provides a web frontend for the managing of all HW Assets lifecycle data purchased by ATO since 2006. In addition it contains much of our Enterprise SW license...

  7. Asset Inventory Database

    US Agency for International Development — AIDM is used to track USAID assets such as furniture, computers, and equipment. Using portable bar code readers, receiving and inventory personnel can capture...

  8. Solar Asset Management Software

    Iverson, Aaron [Ra Power Management, Inc., Oakland, CA (United States); Zviagin, George [Ra Power Management, Inc., Oakland, CA (United States)

    2016-09-30

    Ra Power Management (RPM) has developed a cloud based software platform that manages the financial and operational functions of third party financed solar projects throughout their lifecycle. RPM’s software streamlines and automates the sales, financing, and management of a portfolio of solar assets. The software helps solar developers automate the most difficult aspects of asset management, leading to increased transparency, efficiency, and reduction in human error. More importantly, our platform will help developers save money by improving their operating margins.

  9. Ghost quintessence in fractal gravity

    In this study, using the time-like fractal theory of gravity, we mainly focus on the ghost ... Here a(t) is the cosmic scale factor and it measures the expansion of the Universe. ..... effectively appear as self-conserved dark energy, with a non-trivial ...

  10. Fractals in DNA sequence analysis

    Yu Zu-Guo(喻祖国); Vo Anh; Gong Zhi-Min(龚志民); Long Shun-Chao(龙顺潮)

    2002-01-01

    Fractal methods have been successfully used to study many problems in physics, mathematics, engineering, finance,and even in biology. There has been an increasing interest in unravelling the mysteries of DNA; for example, how can we distinguish coding and noncoding sequences, and the problems of classification and evolution relationship of organisms are key problems in bioinformatics. Although much research has been carried out by taking into consideration the long-range correlations in DNA sequences, and the global fractal dimension has been used in these works by other people, the models and methods are somewhat rough and the results are not satisfactory. In recent years, our group has introduced a time series model (statistical point of view) and a visual representation (geometrical point of view)to DNA sequence analysis. We have also used fractal dimension, correlation dimension, the Hurst exponent and the dimension spectrum (multifractal analysis) to discuss problems in this field. In this paper, we introduce these fractal models and methods and the results of DNA sequence analysis.

  11. A tactical asset allocation strategy that exploits variations in VIX

    Richard Cloutier; Arsen Djatej; Dean Kiefer

    2017-01-01

    Buy and hold strategies make staying disciplined difficult for investors, especially given the variability of returns for different asset classes/strategies during divergent market conditions. Market timing strategies, on the other hand, present significant theoretical benefits, but in reality these benefits are difficult to obtain. Tactical asset allocation, where limited deviations from the strategic allocation are allowed permits the portfolio manager to take advantage of market conditions...

  12. Fractal nature of humic materials

    Rice, J.A.

    1992-01-01

    Fractals are geometric representatives of strongly disordered systems whose structure is described by nonintegral dimensions. A fundamental tenet of fractal geometry is that disorder persists at any characterization scale-length used to describe the system. The nonintegral nature of these fractal dimensions is the result of the realization that a disordered system must possess more structural detail than an ordered system with classical dimensions of 1, 2, or 3 in order to accommodate this ''disorder within disorder.'' Thus from a fractal perspective, disorder is seen as an inherent characteristic of the system rather than as a perturbative phenomena forced upon it. Humic materials are organic substances that are formed by the profound alteration of organic matter in a natural environment. They can be operationally divided into 3 fractions; humic acid (soluble in base), fulvic acid (soluble in acid or base), and humin (insoluble in acid or base). Each of these fraction has been shown to be an extremely heterogeneous mixture. These mixtures have proven so intractable that they may represent the ultimate in molecular disorder. In fact, based on the characteristics that humic materials must possess in order to perform their functions in natural systems, it has been proposed that the fundamental chemical characteristic of a humic material is not a discrete chemical structure but a pronounced lack of order on a molecular level. If the fundamental chemical characteristic of a humic material is a strongly disordered nature, as has been proposed, then humic materials should be amenable to characterization by fractal geometry. The purpose of this paper is to test this hypothesis

  13. Asset Pricing - A Brief Review

    Li, Minqiang

    2010-01-01

    I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal capital asset pricing model (ICAPM), and some other important modern concepts and techniques. Finally, I discuss the most recent development during the last decade and the outlook in the field of asset pricing.

  14. Rational Asset Pricing Bubbles Revisited

    Jan Werner

    2012-01-01

    Price bubble arises when the price of an asset exceeds the asset's fundamental value, that is, the present value of future dividend payments. The important result of Santos and Woodford (1997) says that price bubbles cannot exist in equilibrium in the standard dynamic asset pricing model with rational agents as long as assets are in strictly positive supply and the present value of total future resources is finite. This paper explores the possibility of asset price bubbles when either one of ...

  15. Asset correlations and credit portfolio risk: an empirical analysis

    Düllmann, Klaus; Scheicher, Martin; Schmieder, Christian

    2007-01-01

    In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare correlation and value-atrisk (VaR) estimates in a one-factor or market model and a multi-factor or sector model. Our main finding is a complex interaction of credit risk correlations and default probabi...

  16. Order-fractal transitions in abstract paintings

    Calleja, E.M. de la, E-mail: elsama79@gmail.com [Instituto de Física, Universidade Federal do Rio Grande do Sul, Caixa Postal 15051, 91501-970, Porto Alegre, RS (Brazil); Cervantes, F. [Department of Applied Physics, CINVESTAV-IPN, Carr. Antigua a Progreso km.6, Cordemex, C.P.97310, Mérida, Yucatán (Mexico); Calleja, J. de la [Department of Informatics, Universidad Politécnica de Puebla, 72640 (Mexico)

    2016-08-15

    In this study, we determined the degree of order for 22 Jackson Pollock paintings using the Hausdorff–Besicovitch fractal dimension. Based on the maximum value of each multi-fractal spectrum, the artworks were classified according to the year in which they were painted. It has been reported that Pollock’s paintings are fractal and that this feature was more evident in his later works. However, our results show that the fractal dimension of these paintings ranges among values close to two. We characterize this behavior as a fractal-order transition. Based on the study of disorder-order transition in physical systems, we interpreted the fractal-order transition via the dark paint strokes in Pollock’s paintings as structured lines that follow a power law measured by the fractal dimension. We determined self-similarity in specific paintings, thereby demonstrating an important dependence on the scale of observations. We also characterized the fractal spectrum for the painting entitled Teri’s Find. We obtained similar spectra for Teri’s Find and Number 5, thereby suggesting that the fractal dimension cannot be rejected completely as a quantitative parameter for authenticating these artworks. -- Highlights: •We determined the degree of order in Jackson Pollock paintings using the Hausdorff–Besicovitch dimension. •We detected a fractal-order transition from Pollock’s paintings between 1947 and 1951. •We suggest that Jackson Pollock could have painted Teri’s Find.

  17. Fractal structures and fractal functions as disease indicators

    Escos, J.M; Alados, C.L.; Emlen, J.M.

    1995-01-01

    Developmental instability is an early indicator of stress, and has been used to monitor the impacts of human disturbance on natural ecosystems. Here we investigate the use of different measures of developmental instability on two species, green peppers (Capsicum annuum), a plant, and Spanish ibex (Capra pyrenaica), an animal. For green peppers we compared the variance in allometric relationship between control plants, and a treatment group infected with the tomato spotted wilt virus. The results show that infected plants have a greater variance about the allometric regression line than the control plants. We also observed a reduction in complexity of branch structure in green pepper with a viral infection. Box-counting fractal dimension of branch architecture declined under stress infection. We also tested the reduction in complexity of behavioral patterns under stress situations in Spanish ibex (Capra pyrenaica). Fractal dimension of head-lift frequency distribution measures predator detection efficiency. This dimension decreased under stressful conditions, such as advanced pregnancy and parasitic infection. Feeding distribution activities reflect food searching efficiency. Power spectral analysis proves to be the most powerful tool for character- izing fractal behavior, revealing a reduction in complexity of time distribution activity under parasitic infection.

  18. Implementace Asset managementu

    Fuxa, Lukáš

    2016-01-01

    Tato diplomová práce obsahuje návrh implementace Asset managementu do ServiceNow v nejmenované nadnárodní společnosti. Cílem diplomové práce je analýza požadavku společnosti a nalezení vhodného řešení implementace Asset managementu v rámci stávajících nástrojů. Závěrem zhodnotím, zda je možné vybraný nástroj využít. This master’s thesis contains proposal to implementation Asset management to ServiceNow in unnamed multinational company. The aim of this master’s thesis is analysis of company...

  19. Conference on Fractals and Related Fields III

    Seuret, Stéphane

    2017-01-01

    This contributed volume provides readers with an overview of the most recent developments in the mathematical fields related to fractals, including both original research contributions, as well as surveys from many of the leading experts on modern fractal theory and applications. It is an outgrowth of the Conference of Fractals and Related Fields III, that was held on September 19-25, 2015 in île de Porquerolles, France. Chapters cover fields related to fractals such as harmonic analysis, multifractal analysis, geometric measure theory, ergodic theory and dynamical systems, probability theory, number theory, wavelets, potential theory, partial differential equations, fractal tilings, combinatorics, and signal and image processing. The book is aimed at pure and applied mathematicians in these areas, as well as other researchers interested in discovering the fractal domain.

  20. Chaos, Fractals and Their Applications

    Thompson, J. Michael T.

    2016-12-01

    This paper gives an up-to-date account of chaos and fractals, in a popular pictorial style for the general scientific reader. A brief historical account covers the development of the subject from Newton’s laws of motion to the astronomy of Poincaré and the weather forecasting of Lorenz. Emphasis is given to the important underlying concepts, embracing the fractal properties of coastlines and the logistics of population dynamics. A wide variety of applications include: NASA’s discovery and use of zero-fuel chaotic “superhighways” between the planets; erratic chaotic solutions generated by Euler’s method in mathematics; atomic force microscopy; spontaneous pattern formation in chemical and biological systems; impact mechanics in offshore engineering and the chatter of cutting tools; controlling chaotic heartbeats. Reference is made to a number of interactive simulations and movies accessible on the web.

  1. Fractals, malware, and data models

    Jaenisch, Holger M.; Potter, Andrew N.; Williams, Deborah; Handley, James W.

    2012-06-01

    We examine the hypothesis that the decision boundary between malware and non-malware is fractal. We introduce a novel encoding method derived from text mining for converting disassembled programs first into opstrings and then filter these into a reduced opcode alphabet. These opcodes are enumerated and encoded into real floating point number format and used for characterizing frequency of occurrence and distribution properties of malware functions to compare with non-malware functions. We use the concept of invariant moments to characterize the highly non-Gaussian structure of the opcode distributions. We then derive Data Model based classifiers from identified features and interpolate and extrapolate the parameter sample space for the derived Data Models. This is done to examine the nature of the parameter space classification boundary between families of malware and the general non-malware category. Preliminary results strongly support the fractal boundary hypothesis, and a summary of our methods and results are presented here.

  2. The fractal dimension of architecture

    Ostwald, Michael J

    2016-01-01

    Fractal analysis is a method for measuring, analysing and comparing the formal or geometric properties of complex objects. In this book it is used to investigate eighty-five buildings that have been designed by some of the twentieth-century’s most respected and celebrated architects. Including designs by Le Corbusier, Eileen Gray, Frank Lloyd Wright, Robert Venturi, Frank Gehry, Peter Eisenman, Richard Meier and Kazuyo Sejima amongst others, this book uses mathematics to analyse arguments and theories about some of the world’s most famous designs. Starting with 625 reconstructed architectural plans and elevations, and including more than 200 specially prepared views of famous buildings, this book presents the results of the largest mathematical study ever undertaken into architectural design and the largest single application of fractal analysis presented in any field. The data derived from this study is used to test three overarching hypotheses about social, stylistic and personal trends in design, along...

  3. Dimensional analysis, scaling and fractals

    Timm, L.C.; Reichardt, K.; Oliveira Santos Bacchi, O.

    2004-01-01

    Dimensional analysis refers to the study of the dimensions that characterize physical entities, like mass, force and energy. Classical mechanics is based on three fundamental entities, with dimensions MLT, the mass M, the length L and the time T. The combination of these entities gives rise to derived entities, like volume, speed and force, of dimensions L 3 , LT -1 , MLT -2 , respectively. In other areas of physics, four other fundamental entities are defined, among them the temperature θ and the electrical current I. The parameters that characterize physical phenomena are related among themselves by laws, in general of quantitative nature, in which they appear as measures of the considered physical entities. The measure of an entity is the result of its comparison with another one, of the same type, called unit. Maps are also drawn in scale, for example, in a scale of 1:10,000, 1 cm 2 of paper can represent 10,000 m 2 in the field. Entities that differ in scale cannot be compared in a simple way. Fractal geometry, in contrast to the Euclidean geometry, admits fractional dimensions. The term fractal is defined in Mandelbrot (1982) as coming from the Latin fractus, derived from frangere which signifies to break, to form irregular fragments. The term fractal is opposite to the term algebra (from the Arabic: jabara) which means to join, to put together the parts. For Mandelbrot, fractals are non topologic objects, that is, objects which have as their dimension a real, non integer number, which exceeds the topologic dimension. For the topologic objects, or Euclidean forms, the dimension is an integer (0 for the point, 1 for a line, 2 for a surface, and 3 for a volume). The fractal dimension of Mandelbrot is a measure of the degree of irregularity of the object under consideration. It is related to the speed by which the estimate of the measure of an object increases as the measurement scale decreases. An object normally taken as uni-dimensional, like a piece of a

  4. Fuzzy fractals, chaos, and noise

    Zardecki, A.

    1997-05-01

    To distinguish between chaotic and noisy processes, the authors analyze one- and two-dimensional chaotic mappings, supplemented by the additive noise terms. The predictive power of a fuzzy rule-based system allows one to distinguish ergodic and chaotic time series: in an ergodic series the likelihood of finding large numbers is small compared to the likelihood of finding them in a chaotic series. In the case of two dimensions, they consider the fractal fuzzy sets whose {alpha}-cuts are fractals, arising in the context of a quadratic mapping in the extended complex plane. In an example provided by the Julia set, the concept of Hausdorff dimension enables one to decide in favor of chaotic or noisy evolution.

  5. Inkjet-Printed Ultra Wide Band Fractal Antennas

    Maza, Armando Rodriguez

    2012-01-01

    reduction, a Cantor-based fractal antenna which performs a larger bandwidth compared to previously published UWB Cantor fractal monopole antenna, and a 3D loop fractal antenna which attains miniaturization, impedance matching and multiband characteristics

  6. Fractals via iterated functions and multifunctions

    Singh, S.L.; Prasad, Bhagwati; Kumar, Ashish

    2009-01-01

    Fractals have wide applications in biology, computer graphics, quantum physics and several other areas of applied sciences (see, for instance [Daya Sagar BS, Rangarajan Govindan, Veneziano Daniele. Preface - fractals in geophysics. Chaos, Solitons and Fractals 2004;19:237-39; El Naschie MS. Young double-split experiment Heisenberg uncertainty principles and cantorian space-time. Chaos, Solitons and Fractals 1994;4(3):403-09; El Naschie MS. Quantum measurement, information, diffusion and cantorian geodesics. In: El Naschie MS, Rossler OE, Prigogine I, editors. Quantum mechanics, diffusion and Chaotic fractals. Oxford: Elsevier Science Ltd; 1995. p. 191-205; El Naschie MS. Iterated function systems, information and the two-slit experiment of quantum mechanics. In: El Naschie MS, Rossler OE, Prigogine I, editors. Quantum mechanics, diffusion and Chaotic fractals. Oxford: Elsevier Science Ltd; 1995. p. 185-9; El Naschie MS, Rossler OE, Prigogine I. Forward. In: El Naschie MS, Rossler OE, Prigogine I, editors. Quantum mechanics, diffusion and Chaotic fractals. Oxford: Elsevier Science Ltd; 1995; El Naschie MS. A review of E-infinity theory and the mass spectrum of high energy particle physics. Chaos, Solitons and Fractals 2004;19:209-36; El Naschie MS. Fractal black holes and information. Chaos, Solitons and Fractals 2006;29:23-35; El Naschie MS. Superstring theory: what it cannot do but E-infinity could. Chaos, Solitons and Fractals 2006;29:65-8). Especially, the study of iterated functions has been found very useful in the theory of black holes, two-slit experiment in quantum mechanics (cf. El Naschie, as mentioned above). The intent of this paper is to give a brief account of recent developments of fractals arising from IFS. We also discuss iterated multifunctions.

  7. Node insertion in Coalescence Fractal Interpolation Function

    Prasad, Srijanani Anurag

    2013-01-01

    The Iterated Function System (IFS) used in the construction of Coalescence Hidden-variable Fractal Interpolation Function (CHFIF) depends on the interpolation data. The insertion of a new point in a given set of interpolation data is called the problem of node insertion. In this paper, the effect of insertion of new point on the related IFS and the Coalescence Fractal Interpolation Function is studied. Smoothness and Fractal Dimension of a CHFIF obtained with a node are also discussed

  8. Fractional hydrodynamic equations for fractal media

    Tarasov, Vasily E.

    2005-01-01

    We use the fractional integrals in order to describe dynamical processes in the fractal medium. We consider the 'fractional' continuous medium model for the fractal media and derive the fractional generalization of the equations of balance of mass density, momentum density, and internal energy. The fractional generalization of Navier-Stokes and Euler equations are considered. We derive the equilibrium equation for fractal media. The sound waves in the continuous medium model for fractional media are considered

  9. Comparison of two fractal interpolation methods

    Fu, Yang; Zheng, Zeyu; Xiao, Rui; Shi, Haibo

    2017-03-01

    As a tool for studying complex shapes and structures in nature, fractal theory plays a critical role in revealing the organizational structure of the complex phenomenon. Numerous fractal interpolation methods have been proposed over the past few decades, but they differ substantially in the form features and statistical properties. In this study, we simulated one- and two-dimensional fractal surfaces by using the midpoint displacement method and the Weierstrass-Mandelbrot fractal function method, and observed great differences between the two methods in the statistical characteristics and autocorrelation features. From the aspect of form features, the simulations of the midpoint displacement method showed a relatively flat surface which appears to have peaks with different height as the fractal dimension increases. While the simulations of the Weierstrass-Mandelbrot fractal function method showed a rough surface which appears to have dense and highly similar peaks as the fractal dimension increases. From the aspect of statistical properties, the peak heights from the Weierstrass-Mandelbrot simulations are greater than those of the middle point displacement method with the same fractal dimension, and the variances are approximately two times larger. When the fractal dimension equals to 1.2, 1.4, 1.6, and 1.8, the skewness is positive with the midpoint displacement method and the peaks are all convex, but for the Weierstrass-Mandelbrot fractal function method the skewness is both positive and negative with values fluctuating in the vicinity of zero. The kurtosis is less than one with the midpoint displacement method, and generally less than that of the Weierstrass-Mandelbrot fractal function method. The autocorrelation analysis indicated that the simulation of the midpoint displacement method is not periodic with prominent randomness, which is suitable for simulating aperiodic surface. While the simulation of the Weierstrass-Mandelbrot fractal function method has

  10. Power Load Prediction Based on Fractal Theory

    Jian-Kai, Liang; Cattani, Carlo; Wan-Qing, Song

    2015-01-01

    The basic theories of load forecasting on the power system are summarized. Fractal theory, which is a new algorithm applied to load forecasting, is introduced. Based on the fractal dimension and fractal interpolation function theories, the correlation algorithms are applied to the model of short-term load forecasting. According to the process of load forecasting, the steps of every process are designed, including load data preprocessing, similar day selecting, short-term load forecasting, and...

  11. Do strong brands pay off? : An empirical investigation of the relation between brand asset valuator and financial performance

    Verbeeten, F.H.M.; Vijn, P.

    2006-01-01

    In this study, we investigate the relation between BrandAssetTM Valuatorand financial performance measures. More specifically, we investigate whether pillars of the BrandAssetTM Valuatormodel (Brand Vitality and Brand Stature) are associated with accounting performance (return on investment, return

  12. Fractal Metrology for biogeosystems analysis

    V. Torres-Argüelles

    2010-11-01

    Full Text Available The solid-pore distribution pattern plays an important role in soil functioning being related with the main physical, chemical and biological multiscale and multitemporal processes of this complex system. In the present research, we studied the aggregation process as self-organizing and operating near a critical point. The structural pattern is extracted from the digital images of three soils (Chernozem, Solonetz and "Chocolate" Clay and compared in terms of roughness of the gray-intensity distribution quantified by several measurement techniques. Special attention was paid to the uncertainty of each of them measured in terms of standard deviation. Some of the applied methods are known as classical in the fractal context (box-counting, rescaling-range and wavelets analyses, etc. while the others have been recently developed by our Group. The combination of these techniques, coming from Fractal Geometry, Metrology, Informatics, Probability Theory and Statistics is termed in this paper Fractal Metrology (FM. We show the usefulness of FM for complex systems analysis through a case study of the soil's physical and chemical degradation applying the selected toolbox to describe and compare the structural attributes of three porous media with contrasting structure but similar clay mineralogy dominated by montmorillonites.

  13. Fractal Geometry and Stochastics V

    Falconer, Kenneth; Zähle, Martina

    2015-01-01

    This book brings together leading contributions from the fifth conference on Fractal Geometry and Stochastics held in Tabarz, Germany, in March 2014. The book is divided into five sections covering different facets of this fast developing area: geometric measure theory, self-similar fractals and recurrent structures, analysis and algebra on fractals, multifractal theory, and random constructions. There are state-of-the-art surveys as well as papers highlighting more specific recent advances. The authors are world-experts who present their topics comprehensibly and attractively. The book provides an accessible gateway to the subject for newcomers as well as a reference for recent developments for specialists. Authors include: Krzysztof Barański, Julien Barral, Kenneth Falconer, De-Jun Feng, Peter J. Grabner, Rostislav Grigorchuk, Michael Hinz, Stéphane Jaffard, Maarit Järvenpää, Antti Käenmäki, Marc Kesseböhmer, Michel Lapidus, Klaus Mecke, Mark Pollicott,  Michał Rams, Pablo Shmerkin, and András Te...

  14. Fractal Characteristics of Soil Retention Curve and Particle Size Distribution with Different Vegetation Types in Mountain Areas of Northern China

    Xiang Niu

    2015-12-01

    Full Text Available Based on fractal theory, the fractal characteristics of soil particle size distribution (PSD and soil water retention curve (WRC under the five vegetation types were studied in the mountainous land of Northern China. Results showed that: (1 the fractal parameters of soil PSD and soil WRC varied greatly under each different vegetation type, with Quercus acutissima Carr. and Robina pseudoacacia Linn. mixed plantation (QRM > Pinus thunbergii Parl. and Pistacia chinensis Bunge mixed plantation (PPM > Pinus thunbergii Parl. (PTP > Juglans rigia Linn. (JRL > abandoned grassland (ABG; (2 the soil fractal dimensions of woodlands (QRM, PPM, PTP and JRL were significantly higher than that in ABG, and mixed forests (QRM and PPM were higher than that in pure forests (PTP and JRL; (3 the fractal dimension of soil was positively correlated with the silt and clay content but negatively correlated with the sand content; and (4 the fractal dimension of soil PSD was positively correlated with the soil WRC. These indicated that the fractal parameters of soil PSD and soil WRC could act as quantitative indices to reflect the physical properties of the soil, and could be used to describe the influences of the Return Farmland to Forests Projects on soil structure.

  15. Fractal Characteristics of Soil Retention Curve and Particle Size Distribution with Different Vegetation Types in Mountain Areas of Northern China

    Niu, Xiang; Gao, Peng; Wang, Bing; Liu, Yu

    2015-01-01

    Based on fractal theory, the fractal characteristics of soil particle size distribution (PSD) and soil water retention curve (WRC) under the five vegetation types were studied in the mountainous land of Northern China. Results showed that: (1) the fractal parameters of soil PSD and soil WRC varied greatly under each different vegetation type, with Quercus acutissima Carr. and Robina pseudoacacia Linn. mixed plantation (QRM) > Pinus thunbergii Parl. and Pistacia chinensis Bunge mixed plantation (PPM) > Pinus thunbergii Parl. (PTP) > Juglans rigia Linn. (JRL) > abandoned grassland (ABG); (2) the soil fractal dimensions of woodlands (QRM, PPM, PTP and JRL) were significantly higher than that in ABG, and mixed forests (QRM and PPM) were higher than that in pure forests (PTP and JRL); (3) the fractal dimension of soil was positively correlated with the silt and clay content but negatively correlated with the sand content; and (4) the fractal dimension of soil PSD was positively correlated with the soil WRC. These indicated that the fractal parameters of soil PSD and soil WRC could act as quantitative indices to reflect the physical properties of the soil, and could be used to describe the influences of the Return Farmland to Forests Projects on soil structure. PMID:26633458

  16. Fractal geometry mathematical foundations and applications

    Falconer, Kenneth

    2013-01-01

    The seminal text on fractal geometry for students and researchers: extensively revised and updated with new material, notes and references that reflect recent directions. Interest in fractal geometry continues to grow rapidly, both as a subject that is fascinating in its own right and as a concept that is central to many areas of mathematics, science and scientific research. Since its initial publication in 1990 Fractal Geometry: Mathematical Foundations and Applications has become a seminal text on the mathematics of fractals.  The book introduces and develops the general theory and applica

  17. Communicating asset risk: how name recognition and the format of historic volatility information affect risk perception and investment decisions.

    Weber, Elke U; Siebenmorgen, Niklas; Weber, Martin

    2005-06-01

    An experiment examined how the type and presentation format of information about investment options affected investors' expectations about asset risk, returns, and volatility and how these expectations related to asset choice. Respondents were provided with the names of 16 domestic and foreign investment options, with 10-year historical return information for these options, or with both. Historical returns were presented either as a bar graph of returns per year or as a continuous density distribution. Provision of asset names allowed for the investigation of the mechanisms underlying the home bias in investment choice and other asset familiarity effects. Respondents provided their expectations of future returns, volatility, and expected risk, and indicated the options they would choose to invest in. Expected returns closely resembled historical expected values. Risk and volatility perceptions both varied significantly as a function of the type and format of information, but in different ways. Expected returns and perceived risk, not predicted volatility, predicted portfolio decisions.

  18. Education and Asset Composition.

    Bradley, Michael G.; Graham, John W.

    1988-01-01

    Investigates the relationship between educational attainment and married couples' efficiency at managing their assets. Using 1976 data, this study of over 750 Illinois couples disclosed little empirical evidence that education imparts efficiency to the realm of personal finance. Includes 6 tables, 5 notes, and 17 references. (MLH)

  19. Asset Opacity and Liquidity

    Stenzel, A.; Wagner, W.B.

    2013-01-01

    Abstract: We consider a model of private information acquisition in which the cost of information depends on an asset's opacity. The model generates a hump-shaped relationship between opacity and the equilibrium amount of private information. In particular, the incentives to acquire information are

  20. Managing intangible assets

    Schoemaker, M.J.R.; Jonker, J.

    2005-01-01

    - Purpose – To develop a concept of managing intangible assets in contemporary organisations. Insight is given into the rise of the network organisation and the importance of talent, social capital and identity in this kind of organisation. - Design/methodology/approach – This paper develops a

  1. Pension plan asset valuation

    Owadally, M. I; Haberman, S.

    2001-01-01

    Various asset valuation methods are used in the context of funding valuations. The motivation for such methods and their properties are briefly described. Some smoothed value or market-related methods based on arithmetic averaging and exponential smoothing are considered and their effect on funding is discussed. Suggestions for further research are also made.

  2. A variational principle for the Hausdorff dimension of fractal sets

    Olsen, Lars; Cutler, Colleen D.

    1994-01-01

    Matematik, fraktal (fractal), Hausdorff dimension, Renyi dimension, pakke dimension (packing dimension)......Matematik, fraktal (fractal), Hausdorff dimension, Renyi dimension, pakke dimension (packing dimension)...

  3. Inkjet-Printed Ultra Wide Band Fractal Antennas

    Maza, Armando Rodriguez

    2012-05-01

    In this work, Paper-based inkjet-printed Ultra-wide band (UWB) fractal antennas are presented. Three new designs, a combined UWB fractal monopole based on the fourth order Koch Snowflake fractal which utilizes a Sierpinski Gasket fractal for ink reduction, a Cantor-based fractal antenna which performs a larger bandwidth compared to previously published UWB Cantor fractal monopole antenna, and a 3D loop fractal antenna which attains miniaturization, impedance matching and multiband characteristics. It is shown that fractals prove to be a successful method of reducing fabrication cost in inkjet printed antennas while retaining or enhancing printed antenna performance.

  4. THE MAIN QUESTION OF FIXED ASSETS

    Kogan A. B.

    2015-03-01

    Full Text Available The article deals with the methods of selecting the best type of fixed assets (real investment. Explore the current situation where the investor has to compare the different-parametrical alternatives (DPA. The DPA are the fixed assets which have similar functions, but different in price, durability and periodic effects. In the general case the DPA are the investment projects which have different amounts of investment, accounting periods and net cash flow. Net present value (NPV and internal rate of return (IRR are criticized. The author describes his indicator «speed index of unit value increase» (IS. The author proves on numerical examples that the economy, the subjects of which use IS instead of NPV and IRR, has accelerated the pace of development.

  5. INNOVATION IN ACCOUNTING BIOLOGIC ASSETS

    Stolуarova M. A.; Shcherbina I. D.

    2016-01-01

    The article describes the innovations in the classification and measurement of biological assets according to IFRS (IAS) 41 "Agriculture". The difficulties faced by agricultural producers using standard, set out in article. The classification based on the adopted amendments, according to which the fruit-bearing plants, previously accounted for as biological assets are measured at fair value are included in the category of fixed assets. The structure of biological assets and main means has bee...

  6. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

    Xiaohong Chen; Sydney C. Ludvigson

    2004-01-01

    This paper studies the ability of a general class of habit-based asset pricing models to match the conditional moment restrictions implied by asset pricing theory. We treat the functional form of the habit as unknown, and to estimate it along with the rest of the model's finite dimensional parameters. Using quarterly data on consumption growth, assets returns and instruments, our empirical results indicate that the estimated habit function is nonlinear, the habit formation is better described...

  7. The Importance of Asset Allocation and Active Management for Canadian Mutual Funds

    Zhao, Yuefeng; Zhang, Fan

    2010-01-01

    Several different factors, including asset allocation policy, active portfolio management and market movements affect the return of a mutual fund. Existing studies test the relative importance of asset allocation policy and active management in explaining the variability of performance. In this paper, we use data for the period 2000-2010 to test the factors' role in determining performance of Canadian equity funds, balanced funds and international funds. The results show that asset allocation...

  8. Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

    Adrian Saville

    2011-01-01

    Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation.  This study rev...

  9. Efficiently Inefficient Markets for Assets and Assets Management

    Garleanu, Nicolae; Heje Pedersen, Lasse

    We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily......, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform after fees, and the net performance of the average manager depends on the number of "noise allocators." Finally, we show why large...

  10. Competitive Procurement and Asset Specificity

    Sorana, V.

    2003-01-01

    This paper studies the effects of asset specificity on the performance of procurement auctions with subcontracting and asset sales.The analysis highlights the role of several asset features like transfer costs, type of alternative uses and maintenance requirements.It is argued that, if bargaining

  11. Asset planning performance measurement framework

    Arthur, D.; Hodkiewicz, M.; Schoenmaker, R.; Muruvan, S.

    2014-01-01

    The international asset management standard ISO 55001, introduced in early 2014, outlines the requirement for an effective Asset Management System. Asset Management practitioners are seeking guidance on implementing one of the key requirements of the standard: the “line of sight” between the

  12. 26 CFR 12.4 - Election of Class Life Asset Depreciation Range System (ADR).

    2010-04-01

    ... 26 Internal Revenue 14 2010-04-01 2010-04-01 false Election of Class Life Asset Depreciation Range... Election of Class Life Asset Depreciation Range System (ADR). (a) Elections filed before February 1, 1972... tax return in accordance with § 1.167(a)-11 of this chapter (relating to depreciation allowances using...

  13. Fractal analysis of polar bear hairs

    Wang Qing-Li

    2015-01-01

    Full Text Available Hairs of a polar bear (Ursus maritimus are of superior properties such as the excellent thermal protection. Why do polar bears can resist such cold environment? The paper concludes that its fractal porosity plays an important role, and its fractal dimensions are very close to the golden mean, 1.618, revealing the possible optimal structure of polar bear hair.

  14. Design of LTCC Based Fractal Antenna

    AdbulGhaffar, Farhan

    2010-09-01

    The thesis presents a Sierpinski Carpet fractal antenna array designed at 24 GHz for automotive radar applications. Miniaturized, high performance and low cost antennas are required for this application. To meet these specifications a fractal array has been designed for the first time on Low Temperature Co-fired Ceramic (LTCC) based substrate. LTCC provides a suitable platform for the development of these antennas due to its properties of vertical stack up and embedded passives. The complete antenna concept involves integration of this fractal antenna array with a Fresnel lens antenna providing a total gain of 15dB which is appropriate for medium range radar applications. The thesis also presents a comparison between the designed fractal antenna and a conventional patch antenna outlining the advantages of fractal antenna over the later one. The fractal antenna has a bandwidth of 1.8 GHz which is 7.5% of the centre frequency (24GHz) as compared to 1.9% of the conventional patch antenna. Furthermore the fractal design exhibits a size reduction of 53% as compared to the patch antenna. In the end a sensitivity analysis is carried out for the fractal antenna design depicting the robustness of the proposed design against the typical LTCC fabrication tolerances.

  15. MEASURING THE FRACTAL STRUCTURE OF INTERSTELLAR CLOUDS

    VOGELAAR, MGR; WAKKER, BP

    To study the structure of interstellar matter we have applied the concept of fractal curves to the brightness contours of maps of interstellar clouds and from these estimated the fractal dimension for some of them. We used the so-called perimeter-area relation as the basis for these estimates. We

  16. MEASURING THE FRACTAL STRUCTURE OF INTERSTELLAR CLOUDS

    VOGELAAR, MGR; WAKKER, BP; SCHWARZ, UJ

    1991-01-01

    To study the structure of interstellar clouds we used the so-called perimeter-area relation to estimate fractal dimensions. We studied the reliability of the method by applying it to artificial fractals and discuss some of the problems and pitfalls. Results for two different cloud types

  17. Fractal Image Coding with Digital Watermarks

    Z. Klenovicova

    2000-12-01

    Full Text Available In this paper are presented some results of implementation of digitalwatermarking methods into image coding based on fractal principles. Thepaper focuses on two possible approaches of embedding digitalwatermarks into fractal code of images - embedding digital watermarksinto parameters for position of similar blocks and coefficients ofblock similarity. Both algorithms were analyzed and verified on grayscale static images.

  18. Chaos and fractals an elementary introduction

    Feldman, David P

    2012-01-01

    For students with a background in elementary algebra, this text provides a vivid introduction to the key phenomena and ideas of chaos and fractals, including the butterfly effect, strange attractors, fractal dimensions, Julia sets and the Mandelbrot set, power laws, and cellular automata.

  19. MEASURING THE FRACTAL STRUCTURE OF INTERSTELLAR CLOUDS

    VOGELAAR, MGR; WAKKER, BP

    1994-01-01

    To study the structure of interstellar matter we have applied the concept of fractal curves to the brightness contours of maps of interstellar clouds and from these estimated the fractal dimension for some of them. We used the so-called perimeter-area relation as the basis for these estimates. We

  20. Undergraduate Experiment with Fractal Diffraction Gratings

    Monsoriu, Juan A.; Furlan, Walter D.; Pons, Amparo; Barreiro, Juan C.; Gimenez, Marcos H.

    2011-01-01

    We present a simple diffraction experiment with fractal gratings based on the triadic Cantor set. Diffraction by fractals is proposed as a motivating strategy for students of optics in the potential applications of optical processing. Fraunhofer diffraction patterns are obtained using standard equipment present in most undergraduate physics…

  1. Chaos and fractals. Applications to nuclear engineering

    Clausse, A.; Delmastro, D.F.

    1990-01-01

    This work presents a description of the research lines carried out by the authors on chaos and fractal theories, oriented to the nuclear field. The possibilities that appear in the nuclear security branch where the information deriving from chaos and fractal techniques may help to the development of better criteria and more reliable designs, are of special importance. (Author) [es

  2. Making sense in asset markets: Strategies for Implicit Organizations

    Johannes M. Lehner

    2015-12-01

    Full Text Available While asset markets are traditionally left to economic inquiry, the paper shows that there is both a legal possibility and an incentive for organizing within such markets and for exercising market share-based strategic maneuvering. It proposes, based on sensemaking theory, Implicit Organizations in asset markets to exploit equivocality for momentum trading strategies. An Implicit Organization fulfills the criteria of an organization, while maintaining the image of a perfect market. Its members coordinate via market signals and fixed investment time windows to ensure positive returns to strategic maneuvering in asset markets. In support of hypotheses derived from sensemaking theory, results of empirical studies from two different investment contexts (Xetra and NYSE provide evidence that equivocal analysts’ recommendations predict investment returns after a fixed time period.

  3. Asset management program

    Wison, P.; Newman, G.

    2013-01-01

    In order to understand our assets we have been assessing the condition of the units in our nuclear power plants developing asset life management options on a component by component basis. We have concluded that with the right work and planning we will be able to manage the units in a way that balances capacity requirements over the long term and at the same time manage the demand on critical resources. Major component replacement outages include Installing/removing bulkheads, pressure tube and calandria tube replacement, feeder replacement, steam generator replacement, supporting facilities and infrastructure, reactor inspections and maintenance including tooling enhancements, additional non reactor systems inspection & testing and continued research and analysis. These plans will have to take into account cost, resource and capacity requirements.

  4. Digital asset management.

    Humphrey, Clinton D; Tollefson, Travis T; Kriet, J David

    2010-05-01

    Facial plastic surgeons are accumulating massive digital image databases with the evolution of photodocumentation and widespread adoption of digital photography. Managing and maximizing the utility of these vast data repositories, or digital asset management (DAM), is a persistent challenge. Developing a DAM workflow that incorporates a file naming algorithm and metadata assignment will increase the utility of a surgeon's digital images. Copyright 2010 Elsevier Inc. All rights reserved.

  5. Momentum and mean-reversion in strategic asset allocation

    Koijen, R.S.J.; Rodriguez, J.C.; Sbuelz, A.

    2009-01-01

    We study a dynamic asset allocation problem in which stock returns exhibit short-run momentum and long-run mean reversion. We develop a tractable continuous-time model that captures these two predictability features and derive the optimal investment strategy in closed form. The model predicts

  6. Asset Attribution Stability and Portfolio Construction: An Educational Example

    Chong, James T.; Jennings, William P.; Phillips, G. Michael

    2014-01-01

    This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using…

  7. Fractal Analysis of Rock Joint Profiles

    Audy, Ondřej; Ficker, Tomáš

    2017-10-01

    Surface reliefs of rock joints are analyzed in geotechnics when shear strength of rocky slopes is estimated. The rock joint profiles actually are self-affine fractal curves and computations of their fractal dimensions require special methods. Many papers devoted to the fractal properties of these profiles were published in the past but only a few of those papers employed a convenient computational method that would have guaranteed a sound value of that dimension. As a consequence, anomalously low dimensions were presented. This contribution deals with two computational modifications that lead to sound fractal dimensions of the self-affine rock joint profiles. These are the modified box-counting method and the modified yard-stick method sometimes called the compass method. Both these methods are frequently applied to self-similar fractal curves but the self-affine profile curves due to their self-affine nature require modified computational procedures implemented in computer programs.

  8. A random walk through fractal dimensions

    Kaye, Brian H

    2008-01-01

    Fractal geometry is revolutionizing the descriptive mathematics of applied materials systems. Rather than presenting a mathematical treatise, Brian Kaye demonstrates the power of fractal geometry in describing materials ranging from Swiss cheese to pyrolytic graphite. Written from a practical point of view, the author assiduously avoids the use of equations while introducing the reader to numerous interesting and challenging problems in subject areas ranging from geography to fine particle science. The second edition of this successful book provides up-to-date literature coverage of the use of fractal geometry in all areas of science.From reviews of the first edition:''...no stone is left unturned in the quest for applications of fractal geometry to fine particle problems....This book should provide hours of enjoyable reading to those wishing to become acquainted with the ideas of fractal geometry as applied to practical materials problems.'' MRS Bulletin

  9. Organizations must match assets

    Carley, G.R.

    1991-01-01

    The unprofitable state of the Canadian oil industry, the adverse economic environment, the difficulty of finding capital, and the diminishing resources of conventional lighter crude oil make it necessary for Canadian oil companies to match their organizations and their financing to their assets. This is illustrated according to the experience of Saskoil, a Saskatchewan oil and gas company. An increasing production of oil and natural gas, and an increasing amount of new oil production as heavy oil, led to organizational changes such as the purchase of an asphalt plant to provide the company with downstream experience, establishing a working group to explore and develop heavy oil resources, and forming a company to manage non-core assets. The latter company, Pasqua Resources, manages assets such as small properties and ownership interests in order to increase the operating efficiency of Saskoil. Pasqua provides Saskoil with a corporate and organizational vehicle to accommodate partnerships and joint venture capital invested in property purchase opportunities, and to manage any of Saskoil's divestiture activities

  10. Assessing Asset Pricing Models Using Revealed Preference

    Jonathan B. Berk; Jules H. van Binsbergen

    2014-01-01

    We propose a new method of testing asset pricing models that relies on using quantities rather than prices or returns. We use the capital flows into and out of mutual funds to infer which risk model investors use. We derive a simple test statistic that allows us to infer, from a set of candidate models, the model that is closest to the model that investors use in making their capital allocation decisions. Using this methodology, we find that of the models most commonly used in the literature,...

  11. Self-consistent asset pricing models

    Malevergne, Y.; Sornette, D.

    2007-08-01

    We discuss the foundations of factor or regression models in the light of the self-consistency condition that the market portfolio (and more generally the risk factors) is (are) constituted of the assets whose returns it is (they are) supposed to explain. As already reported in several articles, self-consistency implies correlations between the return disturbances. As a consequence, the alphas and betas of the factor model are unobservable. Self-consistency leads to renormalized betas with zero effective alphas, which are observable with standard OLS regressions. When the conditions derived from internal consistency are not met, the model is necessarily incomplete, which means that some sources of risk cannot be replicated (or hedged) by a portfolio of stocks traded on the market, even for infinite economies. Analytical derivations and numerical simulations show that, for arbitrary choices of the proxy which are different from the true market portfolio, a modified linear regression holds with a non-zero value αi at the origin between an asset i's return and the proxy's return. Self-consistency also introduces “orthogonality” and “normality” conditions linking the betas, alphas (as well as the residuals) and the weights of the proxy portfolio. Two diagnostics based on these orthogonality and normality conditions are implemented on a basket of 323 assets which have been components of the S&P500 in the period from January 1990 to February 2005. These two diagnostics show interesting departures from dynamical self-consistency starting about 2 years before the end of the Internet bubble. Assuming that the CAPM holds with the self-consistency condition, the OLS method automatically obeys the resulting orthogonality and normality conditions and therefore provides a simple way to self-consistently assess the parameters of the model by using proxy portfolios made only of the assets which are used in the CAPM regressions. Finally, the factor decomposition with the

  12. Neoclassical and Behavioural Asset Pricing Models : The Case of Sri Lanka

    Perera, Shenali Anne

    2013-01-01

    This study aims to provide a better understanding of the Sri Lankan stock market in terms of asset pricing models. In order to achieve this goal this research evaluates the Fama and French three-factor model and a behavioural asset pricing model to investigate which framework is better suited for security valuation in Sri Lanka. Accordingly findings reveal that small stocks with low book-to-market equity generate high realized returns. But results indicate that superior returns on these stock...

  13. Accounting treatment of intangible assets

    Gorgieva-Trajkovska, Olivera; Koleva, Blagica; Georgieva Svrtinov, Vesna

    2015-01-01

    The accounting for fixed assets is, in many cases, a straightforward exercise, but it isn’t always so when it comes to the issue of intangible fixed assets and recognizing such assets on the balance sheet. IAS 38, In¬tan¬gi¬ble Assets, outlines the accounting re¬quire¬ments for in¬tan¬gi¬ble assets, which are non-mon¬e¬tary assets which are without physical substance and iden¬ti¬fi¬able (either being separable or arising from con¬trac¬tual or other legal rights). In¬tan¬gi¬ble assets meeting ...

  14. KINERJA KEUANGAN KONVENSIONAL, ECONOMIC VALUE ADDED, DAN RETURN SAHAM

    Bambang Sudiyatno

    2011-09-01

    Full Text Available Penelitian ini bertujuan untuk menguji pengaruh kinerja keuangan konvensional; Return on Asset (ROA, Return on Equity (ROE, Residual Income (RI, dan kinerja keuangan yang lebih modern; Economic Value Added (EVA terhadap return saham pada perusahaan-perusahaan dalam industry makanan dan minuman yang terdaftar di Bursa Efek Indonesia. Pengambilan sampel dalam penelitian ini menggunakan metode sensus, karena semua perusahaan dalam industry makanan dan minuman digunakan sebagai sampel. Namun dalam proses samplingnya mengunakan metode purposive sampling, yaitu menggunakan sampel dengan criteria-kriteria tertentu. Hasil penelitian menunjukkan bahwa Return on Asset (ROA dan Residual Income (RI berpengaruh positif dan secara statistik signifikan terhadap return saham pada level signifikansi 1%. Sedangkan Return on Equity (ROE berpengaruh negative dan secara statistik signifikan terhadap return saham pada level signifikansi 10%, dan Economic Value Added (ERA berpengaruh positif tetapi tidak signifikan terhadap return saham.This study aims to test the effect of conventional financial performance i.e. Return on Asset (ROA, Return on Equity (ROE, Residual Income (RI, and the more modern financial performance which is Economic Value Added (EVA toward stock returns on companies in the food and beverage industry listed in Indonesia Stock Exchange. Sampling technique in this study uses the census method, all companies in the food and beverage industry are used as a sample. The process of sampling using purposive sampling method. The result shows that Return On Asset (ROA and Residual Income (RI are positive and statistic significant impact on the stock returns at significance level 1%. While the Return on Equity (ROE is negative and statistic significant impact on the stock returns at significance level 10%, Economic Value Added (EVA is positive and statistic not significant impact on the stock returns.

  15. Pre-Service Teachers' Concept Images on Fractal Dimension

    Karakus, Fatih

    2016-01-01

    The analysis of pre-service teachers' concept images can provide information about their mental schema of fractal dimension. There is limited research on students' understanding of fractal and fractal dimension. Therefore, this study aimed to investigate the pre-service teachers' understandings of fractal dimension based on concept image. The…

  16. Morphometric relations of fractal-skeletal based channel network model

    B. S. Daya Sagar

    1998-01-01

    Full Text Available A fractal-skeletal based channel network (F-SCN model is proposed. Four regular sided initiator-basins are transformed as second order fractal basins by following a specific generating mechanism with non-random rule. The morphological skeletons, hereafter referred to as channel networks, are extracted from these fractal basins. The morphometric and fractal relationships of these F-SCNs are shown. The fractal dimensions of these fractal basins, channel networks, and main channel lengths (computed through box counting method are compared with those of estimated length–area measures. Certain morphometric order ratios to show fractal relations are also highlighted.

  17. Fractal dimension of turbulent black holes

    Westernacher-Schneider, John Ryan

    2017-11-01

    We present measurements of the fractal dimension of a turbulent asymptotically anti-de Sitter black brane reconstructed from simulated boundary fluid data at the perfect fluid order using the fluid-gravity duality. We argue that the boundary fluid energy spectrum scaling as E (k )˜k-2 is a more natural setting for the fluid-gravity duality than the Kraichnan-Kolmogorov scaling of E (k )˜k-5 /3, but we obtain fractal dimensions D for spatial sections of the horizon H ∩Σ in both cases: D =2.584 (1 ) and D =2.645 (4 ), respectively. These results are consistent with the upper bound of D =3 , thereby resolving the tension with the recent claim in Adams et al. [Phys. Rev. Lett. 112, 151602 (2014), 10.1103/PhysRevLett.112.151602] that D =3 +1 /3 . We offer a critical examination of the calculation which led to their result, and show that their proposed definition of the fractal dimension performs poorly as a fractal dimension estimator on one-dimensional curves with known fractal dimension. Finally, we describe how to define and in principle calculate the fractal dimension of spatial sections of the horizon H ∩Σ in a covariant manner, and we speculate on assigning a "bootstrapped" value of fractal dimension to the entire horizon H when it is in a statistically quasisteady turbulent state.

  18. Classification of radar echoes using fractal geometry

    Azzaz, Nafissa; Haddad, Boualem

    2017-01-01

    Highlights: • Implementation of two concepts of fractal geometry to classify two types of meteorological radar echoes. • A new approach, called a multi-scale fractal dimension is used for classification between fixed echoes and rain echoes. • An Automatic identification system of meteorological radar echoes was proposed using fractal geometry. - Abstract: This paper deals with the discrimination between the precipitation echoes and the ground echoes in meteorological radar images using fractal geometry. This study aims to improve the measurement of precipitations by weather radars. For this, we considered three radar sites: Bordeaux (France), Dakar (Senegal) and Me lbourne (USA). We showed that the fractal dimension based on contourlet and the fractal lacunarity are pertinent to discriminate between ground and precipitation echoes. We also demonstrated that the ground echoes have a multifractal structure but the precipitations are more homogeneous than ground echoes whatever the prevailing climate. Thereby, we developed an automatic classification system of radar using a graphic interface. This interface, based on the fractal geometry makes possible the identification of radar echoes type in real time. This system can be inserted in weather radar for the improvement of precipitation estimations.

  19. Compensation schemes, liquidity provision, and asset prices: An experimental analysis

    Baghestanian, Sascha; Gortner, Paul; Massenot, Baptiste

    2015-01-01

    In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a potentially higher return, they can entrust their money to a trader. However this investment is risky, as the trader might not be trustworthy. Alternatively, they can opt for a safe but low return. We study how subjects solve this trade-off when traders are ...

  20. Towards a physics on fractals: Differential vector calculus in three-dimensional continuum with fractal metric

    Balankin, Alexander S.; Bory-Reyes, Juan; Shapiro, Michael

    2016-02-01

    One way to deal with physical problems on nowhere differentiable fractals is the mapping of these problems into the corresponding problems for continuum with a proper fractal metric. On this way different definitions of the fractal metric were suggested to account for the essential fractal features. In this work we develop the metric differential vector calculus in a three-dimensional continuum with a non-Euclidean metric. The metric differential forms and Laplacian are introduced, fundamental identities for metric differential operators are established and integral theorems are proved by employing the metric version of the quaternionic analysis for the Moisil-Teodoresco operator, which has been introduced and partially developed in this paper. The relations between the metric and conventional operators are revealed. It should be emphasized that the metric vector calculus developed in this work provides a comprehensive mathematical formalism for the continuum with any suitable definition of fractal metric. This offers a novel tool to study physics on fractals.

  1. Pricing Volatility Referenced Assets

    Alan De Genaro Dario

    2006-12-01

    Full Text Available Volatility swaps are contingent claims on future realized volatility. Variance swaps are similar instruments on future realized variance, the square of future realized volatility. Unlike a plain vanilla option, whose volatility exposure is contaminated by its asset price dependence, volatility and variance swaps provide a pure exposure to volatility alone. This article discusses the risk-neutral valuation of volatility and variance swaps based on the framework outlined in the Heston (1993 stochastic volatility model. Additionally, the Heston (1993 model is calibrated for foreign currency options traded at BMF and its parameters are used to price swaps on volatility and variance of the BRL / USD exchange rate.

  2. The Educational Asset Market: A Finance Perspective on Human Capital Investment

    Christiansen, Charlotte; Nielsen, Helena Skyt

    2002-01-01

    on type and level of education enables us to focus on the shared features between human capital and stock investments. An innovative finance-labor approach is applied to study the educational asset market. A risk-return trade-off is revealed which is not directly related to the length of education.......Like the stock market, the human capital market consists of a wide range of assets, i.e. educations. Each young individual chooses the educational asset that matches his preferred combination of risk and return in terms of future income. A unique register-based data set with exact information...

  3. Undergraduate experiment with fractal diffraction gratings

    Monsoriu, Juan A; Furlan, Walter D; Pons, Amparo; Barreiro, Juan C; Gimenez, Marcos H

    2011-01-01

    We present a simple diffraction experiment with fractal gratings based on the triadic Cantor set. Diffraction by fractals is proposed as a motivating strategy for students of optics in the potential applications of optical processing. Fraunhofer diffraction patterns are obtained using standard equipment present in most undergraduate physics laboratories and compared with those obtained with conventional periodic gratings. It is shown that fractal gratings produce self-similar diffraction patterns which can be evaluated analytically. Good agreement is obtained between experimental and numerical results.

  4. fractales

    María Eugenia Torres

    2007-01-01

    Full Text Available En este trabajo comparamos tres métodos diferentes utilizados para estimar el exponente de Hurst, y analizamos su eficiencia cuando son aplicados a series de datos de diferentes longitudes. Se analizan series temporales de fBm sintetizada pura y con tendencias sinusoidales superpuestas. Mostraremos que los tres métodos aquí discutidos, DFA, basado en wavelets y de variaciones discretas, no sólo son altamente dependientes de la longitud de la señal, sino también del orden o número de los momentos (polinómico, regularidad wavelet o variaciones discretas. Para longitudes de datos suficientemente grandes (superiores a 212, los métodos basados en wavelets y de variaciones discretas mostraron ser menos sesgados y más estables para señales fBm simuladas. Mostraremos que el método de DFA, más utilizado en el ambiente biomédico, es el que proporciona peores estimaciones, arrojando resultados ambiguos cuando son aplicados a señales biológicas de diferentes longitudes o con diferentes parámetros de estimación, sin que pueda considerarse a ninguno de los otros dos como métodos confiables en el momento de desear obtener resultados de relevancia física o fisiológica. Los resultados obtenidos indican que debería procederse con más cautela cuando se trata de obtener conclusiones fisiológicas a partir de estimaciones realizadas a partir de señales reales.

  5. Portfolio Choice with Illiquid Assets

    Andrew Ang; Dimitris Papanikolaou; Mark Westerfield

    2013-01-01

    We present a model of optimal allocation over liquid and illiquid assets, where illiquidity is the restriction that an asset cannot be traded for intervals of uncertain duration. Illiquidity leads to increased and state-dependent risk aversion, and reduces the allocation to both liquid and illiquid risky assets. Uncertainty about the length of the illiquidity interval, as opposed to a deterministic non-trading interval, is a primary determinant of the cost of illiquidity. We allow market liqu...

  6. Basel III and Asset Securitization

    M. Mpundu

    2013-01-01

    Full Text Available Asset securitization via special purpose entities involves the process of transforming assets into securities that are issued to investors. These investors hold the rights to payments supported by the cash flows from an asset pool held by the said entity. In this paper, we discuss the mechanism by which low- and high-quality entities securitize low- and high-quality assets, respectively, into collateralized debt obligations. During the 2007–2009 financial crisis, asset securitization was seriously inhibited. In response to this, for instance, new Basel III capital and liquidity regulations were introduced. Here, we find that we can explicitly determine the transaction costs related to low-quality asset securitization. Also, in the case of dynamic and static multipliers, the effects of unexpected negative shocks such as rating downgrades on asset price and input, debt obligation price and output, and profit will be quantified. In this case, we note that Basel III has been designed to provide countercyclical capital buffers to negate procyclicality. Moreover, we will develop an illustrative example of low-quality asset securitization for subprime mortgages. Furthermore, numerical examples to illustrate the key results will be provided. In addition, connections between Basel III and asset securitization will be highlighted.

  7. Fractal statistics of brittle fragmentation

    M. Davydova

    2013-04-01

    Full Text Available The study of fragmentation statistics of brittle materials that includes four types of experiments is presented. Data processing of the fragmentation of glass plates under quasi-static loading and the fragmentation of quartz cylindrical rods under dynamic loading shows that the size distribution of fragments (spatial quantity is fractal and can be described by a power law. The original experimental technique allows us to measure, apart from the spatial quantity, the temporal quantity - the size of time interval between the impulses of the light reflected from the newly created surfaces. The analysis of distributions of spatial (fragment size and temporal (time interval quantities provides evidence of obeying scaling laws, which suggests the possibility of self-organized criticality in fragmentation.

  8. Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

    Adrian Saville

    2011-08-01

    Full Text Available Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation.  This study reviews these arguments  as they apply to South Africa, and finds that an inflation-augmented price-earnings ratio is more successful in forecasting equity returns than is the simple price-earnings ratio.  Moreover, the metric is found to be significant in explaining relative asset class returns. On a risk-adjusted basis, however, the tool fails to improve the portfolio results when compared to a buy-and-hold strategy.

  9. Using an inflation-augmented price-earnings ratio to guide tactical asset allocation

    Adrian Saville

    2011-04-01

    Full Text Available Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity returns. Recently, some international evidence has emerged which shows that, by augmenting the price-earnings metric with information about consumer price inflation, further enhancements can be achieved in tactical asset allocation.  This study reviews these arguments  as they apply to South Africa, and finds that an inflation-augmented price-earnings ratio is more successful in forecasting equity returns than is the simple price-earnings ratio.  Moreover, the metric is found to be significant in explaining relative asset class returns. On a risk-adjusted basis, however, the tool fails to improve the portfolio results when compared to a buy-and-hold strategy.

  10. Model of fractal aggregates induced by shear

    Wan Zhanhong

    2013-01-01

    Full Text Available It is an undoubted fact that particle aggregates from marine, aerosol, and engineering systems have fractal structures. In this study, fractal geometry is used to describe the morphology of irregular aggregates. The mean-field theory is employed to solve coagulation kinetic equation of aggregates. The Taylor-expansion method of moments in conjunction with the self-similar fractal characteristics is used to represent the particulate field. The effect of the target fractal dimensions on zeroth-order moment, second-order moment, and geometric standard deviation of the aggregates is explored. Results show that the developed moment method is an efficient and powerful approach to solving such evolution equations.

  11. A Parallel Approach to Fractal Image Compression

    Lubomir Dedera

    2004-01-01

    The paper deals with a parallel approach to coding and decoding algorithms in fractal image compressionand presents experimental results comparing sequential and parallel algorithms from the point of view of achieved bothcoding and decoding time and effectiveness of parallelization.

  12. Random walks of oriented particles on fractals

    Haber, René; Prehl, Janett; Hoffmann, Karl Heinz; Herrmann, Heiko

    2014-01-01

    Random walks of point particles on fractals exhibit subdiffusive behavior, where the anomalous diffusion exponent is smaller than one, and the corresponding random walk dimension is larger than two. This is due to the limited space available in fractal structures. Here, we endow the particles with an orientation and analyze their dynamics on fractal structures. In particular, we focus on the dynamical consequences of the interactions between the local surrounding fractal structure and the particle orientation, which are modeled using an appropriate move class. These interactions can lead to particles becoming temporarily or permanently stuck in parts of the structure. A surprising finding is that the random walk dimension is not affected by the orientation while the diffusion constant shows a variety of interesting and surprising features. (paper)

  13. Designing a fractal antenna of 2400 MHz

    Miranda Hamburger, Fabio

    2012-01-01

    The design of a fractal antenna with 2400 MHz of frequency has been studied. The fractal used is described by Waclaw Spierpi.ski. The initial figure, also known as seed, is divided using equilateral triangles with the aim of obtaining a perimeter similar to a meaningful portion of wave length. The use of λ to establish an ideal perimeter has reduced the radiation resistance. The adequate number of iterations needed to design the antenna is calculated based on λ. (author) [es

  14. Fractal effects on excitations in diluted ferromagnets

    Kumar, D.

    1981-08-01

    The low energy spin-wave like excitations in diluted ferromagnets near percolation threshold are studied. For this purpose an explicit use of the fractal model for the backbone of the infinite percolating cluster due to Kirkpatrick is made. Three physical effects are identified, which cause the softening of spin-waves as the percolation point is approached. The importance of fractal effects in the calculation of density of states and the low temperature thermodynamics is pointed out. (author)

  15. A fractal-like resistive network

    Saggese, A; De Luca, R

    2014-01-01

    The equivalent resistance of a fractal-like network is calculated by means of approaches similar to those employed in defining the equivalent resistance of an infinite ladder. Starting from an elementary triangular circuit, a fractal-like network, named after Saggese, is developed. The equivalent resistance of finite approximations of this network is measured, and the didactical implications of the model are highlighted. (paper)

  16. Heat kernels and zeta functions on fractals

    Dunne, Gerald V

    2012-01-01

    On fractals, spectral functions such as heat kernels and zeta functions exhibit novel features, very different from their behaviour on regular smooth manifolds, and these can have important physical consequences for both classical and quantum physics in systems having fractal properties. This article is part of a special issue of Journal of Physics A: Mathematical and Theoretical in honour of Stuart Dowker's 75th birthday devoted to ‘Applications of zeta functions and other spectral functions in mathematics and physics’. (paper)

  17. Efficiently Inefficient Markets for Assets and Asset Management

    Garleanu, Nicolae; Pedersen, Lasse Heje

    We consider a model where investors can invest directly or search for an asset manager, information about assets is costly, and managers charge an endogenous fee. The efficiency of asset prices is linked to the efficiency of the asset management market: if investors can find managers more easily......, more money is allocated to active management, fees are lower, and asset prices are more efficient. Informed managers outperform after fees, uninformed managers underperform after fees, and the net performance of the average manager depends on the number of "noise allocators." Small investors should...... be passive, but large and sophisticated investors benefit from searching for informed active managers since their search cost is low relative to capital. Hence, managers with larger and more sophisticated investors are expected to outperform....

  18. A Minkowski Fractal Circularly Polarized Antenna for RFID Reader

    Yanzhong Yu

    2014-11-01

    Full Text Available A design of fractal-like antenna with circular polarization for radio frequency identification (RFID reader applications is presented in this article. The modified Minkowski fractal structure is adopted as radiating patch for size reduction and broadband operation. A corner-truncated technology and a slot-opened method are employed to realize circular polarization and improve the gain of the proposed antenna, respectively. The proposed antenna is analyzed and optimized by HFSS. Return loss and maximum gain of the optimized antenna achieve to -22.2 dB and 1.12 dB at 920 MHz, respectively. The optimized design has an axial ratio (AR of 1.2 dB at central frequency of 920 MHz and impedance bandwidth (S11<=-10 dB of 40 MHz (4.3 %. Its input impedance is (57.9-j2.6 W that is close to input impedance of coaxial line (50 W. Numerical results demonstrate that the optimized antenna exhibits acceptable performances and may satisfy requirements of RFID reader applications.

  19. PEMILIHAN SAHAM YANG OPTIMAL MENGGUNAKAN CAPITAL ASSET PRICING MODEL (CAPM

    Dioda Ardi Wibisono

    2017-08-01

    Full Text Available Optimal portfolio is the basis for investors to invest in stock. Capital Asset Pricing Model (CAPM is a method to determine the value of the risk and return of a company stock. This research uses a secondary data from the closing price of the monthly stock price (monthly closing price, Stock Price Index (SPI, and the monthly SBI rate. The samples of this research are 41 stocks in LQ45 February-July 2015 on the Indonesian Stock Exchange (ISE. The study period is during 5 year from October 2010 - October 2015. The result of analysis shows that the optimal portfolio consists of 18 companies. The average return of the optimal portfolio is higher than the average risk-free return (SBI rate and the average market return. This proves that investing in stocks is more profitable than a risk-free investment. � Keywords: Stock, CAPM, return, risk�

  20. Goodwill, Excess Returns, and Determinants of Value Creation and Overpayment

    Lycklama a Nijeholt, M.; Grift, Y.K.|info:eu-repo/dai/nl/073586358

    2007-01-01

    In this article we have investigated whether the determinants of excess returns (especially of target excess returns) are valid for purchased goodwill as well. Among them are acquirer’s and target’s Tobin’s q, and debt assets ratio, that explain value creation of acquisitions, and relative size,

  1. Pulse regime in formation of fractal fibers

    Smirnov, B. M., E-mail: bmsmirnov@gmail.com [Joint Institute for High Temperatures (Russian Federation)

    2016-11-15

    The pulse regime of vaporization of a bulk metal located in a buffer gas is analyzed as a method of generation of metal atoms under the action of a plasma torch or a laser beam. Subsequently these atoms are transformed into solid nanoclusters, fractal aggregates and then into fractal fibers if the growth process proceeds in an external electric field. We are guided by metals in which transitions between s and d-electrons of their atoms are possible, since these metals are used as catalysts and filters in interaction with gas flows. The resistance of metal fractal structures to a gas flow is evaluated that allows one to find optimal parameters of a fractal structure for gas flow propagation through it. The thermal regime of interaction between a plasma pulse or a laser beam and a metal surface is analyzed. It is shown that the basic energy from an external source is consumed on a bulk metal heating, and the efficiency of atom evaporation from the metal surface, that is the ratio of energy fluxes for vaporization and heating, is 10{sup –3}–10{sup –4} for transient metals under consideration. A typical energy flux (~10{sup 6} W/cm{sup 2}), a typical surface temperature (~3000 K), and a typical pulse duration (~1 μs) provide a sufficient amount of evaporated atoms to generate fractal fibers such that each molecule of a gas flow collides with the skeleton of fractal fibers many times.

  2. Managing assets in the infrastructure sector

    van Houten, T.P.; Zhang, L.

    2010-01-01

    In view of the importance of managing assets and the lack of research in managing assets in the infrastructure sector, we develop an asset management model in this study. This model is developed in line with the unique characteristics of the infrastructure assets and asset management principles and

  3. Asset management: the big picture.

    Deinstadt, Deborah C

    2005-10-01

    To develop an comprehensive asset management plan, you need, first of all, to understand the asset management continuum. A key preliminary step is to thoroughly assess the existing equipment base. A critical objective is to ensure that there are open lines of communication among the teams charged with managing the plan's various phases.

  4. On the Lipschitz condition in the fractal calculus

    Golmankhaneh, Alireza K.; Tunc, Cemil

    2017-01-01

    In this paper, the existence and uniqueness theorems are proved for the linear and non-linear fractal differential equations. The fractal Lipschitz condition is given on the F"α-calculus which applies for the non-differentiable function in the sense of the standard calculus. More, the metric spaces associated with fractal sets and about functions with fractal supports are defined to build fractal Cauchy sequence. Furthermore, Picard iterative process in the F"α-calculus which have important role in the numerical and approximate solution of fractal differential equations is explored. We clarify the results using the illustrative examples.

  5. Band structures in fractal grading porous phononic crystals

    Wang, Kai; Liu, Ying; Liang, Tianshu; Wang, Bin

    2018-05-01

    In this paper, a new grading porous structure is introduced based on a Sierpinski triangle routine, and wave propagation in this fractal grading porous phononic crystal is investigated. The influences of fractal hierarchy and porosity on the band structures in fractal graidng porous phononic crystals are clarified. Vibration modes of unit cell at absolute band gap edges are given to manifest formation mechanism of absolute band gaps. The results show that absolute band gaps are easy to form in fractal structures comparatively to the normal ones with the same porosity. Structures with higher fractal hierarchies benefit multiple wider absolute band gaps. This work provides useful guidance in design of fractal porous phononic crystals.

  6. Fractal geometry and number theory complex dimensions of fractal strings and zeros of zeta functions

    Lapidus, Michael L

    1999-01-01

    A fractal drum is a bounded open subset of R. m with a fractal boundary. A difficult problem is to describe the relationship between the shape (geo­ metry) of the drum and its sound (its spectrum). In this book, we restrict ourselves to the one-dimensional case of fractal strings, and their higher dimensional analogues, fractal sprays. We develop a theory of complex di­ mensions of a fractal string, and we study how these complex dimensions relate the geometry with the spectrum of the fractal string. We refer the reader to [Berrl-2, Lapl-4, LapPol-3, LapMal-2, HeLapl-2] and the ref­ erences therein for further physical and mathematical motivations of this work. (Also see, in particular, Sections 7. 1, 10. 3 and 10. 4, along with Ap­ pendix B. ) In Chapter 1, we introduce the basic object of our research, fractal strings (see [Lapl-3, LapPol-3, LapMal-2, HeLapl-2]). A 'standard fractal string' is a bounded open subset of the real line. Such a set is a disjoint union of open intervals, the lengths of which ...

  7. Nonlinear stochastic interacting dynamics and complexity of financial gasket fractal-like lattice percolation

    Zhang, Wei; Wang, Jun

    2018-05-01

    A novel nonlinear stochastic interacting price dynamics is proposed and investigated by the bond percolation on Sierpinski gasket fractal-like lattice, aim to make a new approach to reproduce and study the complexity dynamics of real security markets. Fractal-like lattices correspond to finite graphs with vertices and edges, which are similar to fractals, and Sierpinski gasket is a well-known example of fractals. Fractional ordinal array entropy and fractional ordinal array complexity are introduced to analyze the complexity behaviors of financial signals. To deeper comprehend the fluctuation characteristics of the stochastic price evolution, the complexity analysis of random logarithmic returns and volatility are preformed, including power-law distribution, fractional sample entropy and fractional ordinal array complexity. For further verifying the rationality and validity of the developed stochastic price evolution, the actual security market dataset are also studied with the same statistical methods for comparison. The empirical results show that this stochastic price dynamics can reconstruct complexity behaviors of the actual security markets to some extent.

  8. The Extraction of Vegetation Points from LiDAR Using 3D Fractal Dimension Analyses

    Haiquan Yang

    2015-08-01

    Full Text Available Light Detection and Ranging (LiDAR, a high-precision technique used for acquiring three-dimensional (3D surface information, is widely used to study surface vegetation information. Moreover, the extraction of a vegetation point set from the LiDAR point cloud is a basic starting-point for vegetation information analysis, and an important part of its further processing. To extract the vegetation point set completely and to describe the different spatial morphological characteristics of various features in a LiDAR point cloud, we have used 3D fractal dimensions. We discovered that every feature has its own distinctive 3D fractal dimension interval. Based on the 3D fractal dimensions of tall trees, we propose a new method for the extraction of vegetation using airborne LiDAR. According to this method, target features can be distinguished based on their morphological characteristics. The non-ground points acquired by filtering are processed by region growing segmentation and the morphological characteristics are evaluated by 3D fractal dimensions to determine the features required for the determination of the point set for tall trees. Avon, New York, USA was selected as the study area to test the method and the result proves the method’s efficiency. Thus, this approach is feasible. Additionally, the method uses the 3D coordinate properties of the LiDAR point cloud and does not require additional information, such as return intensity, giving it a larger scope of application.

  9. Evaluation of the Effect of Non-Current Fixed Assets on Profitability and Asset Management Efficiency

    Lubyanaya, Alexandra V.; Izmailov, Airat M.; Nikulina, Ekaterina Y.; Shaposhnikov, Vladislav A.

    2016-01-01

    The purpose of this article is to investigate the problem, which stems from non-current fixed assets affecting profitability and asset management efficiency. Tangible assets, intangible assets and financial assets are all included in non-current fixed assets. The aim of the research is to identify the impact of estimates and valuation in…

  10. Empirical test of Capital Asset Pricing Model on Selected Banking Shares from Borsa Istanbul

    Fuzuli Aliyev

    2018-03-01

    Full Text Available In this paper we tested Capital Asset Pricing Model (shortly CAPM hereafter on the selected banking stocks of Borsa Istanbul. Here we tried to explain how to price financial assets based on their risks in the case of BIST-100 index. CAPM is an important model in the portfolio management theory used by economic agents for the selection of financial assets. We used 12 random banking stocks’ monthly return data for 2001–2010 periods. To test the validity of the CAPM, we first derived the regression equation for the risk-free interest rate and risk premium relationship using January 2001–December 2009 data. Then, estimated January–December 2010 returns with the equation. Comparing forecasted return with the actual return, we concluded that the CAPM is valid for the portfolio consisting of the 12 banks traded in the ISE, i.e. The model could predict the overall outcome of portfolio of selected banking shares

  11. Gold Returns

    Robert J. Barro; Sanjay P. Misra

    2013-01-01

    From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the standard deviation is 13.1%, implying a one-standard-deviation confidence band for the mean of (0.1%, 2.1%). The covariances of gold's real rate of price change with consumption and GDP growth rates are small and statistically insignificantly different from zero. These negligible covariances suggest that gold's expected real rate of return--which includes an unobserved dividend yiel...

  12. Returning home

    Agergaard, Jytte; Brøgger, Ditte

    2016-01-01

    flows. By focusing on these educational migrants, this paper explores how they connect to their rural homes. Guided by a critical reading of the migration-development scholarship, the paper examines how migrants and their relatives make sense of educational migrants’ remitting and returning practices......, and by comparing three groups of educational migrants, the migrants’ reasons for staying connected and sending remittances are scrutinized. The paper finds that although educational migrants do not generate extensive economic remittances for local development in Nepal, they stay connected to their rural homes...

  13. Fractals as objects with nontrivial structures at all scales

    Lacan, Francis; Tresser, Charles

    2015-01-01

    Toward the middle of 2001, the authors started arguing that fractals are important when discussing the operational resilience of information systems and related computer sciences issues such as artificial intelligence. But in order to argue along these lines it turned out to be indispensable to define fractals so as to let one recognize as fractals some sets that are very far from being self similar in the (usual) metric sense. This paper is devoted to define (in a loose sense at least) fractals in ways that allow for instance all the Cantor sets to be fractals and that permit to recognize fractality (the property of being fractal) in the context of the information technology issues that we had tried to comprehend. Starting from the meta-definition of a fractal as an “object with non-trivial structure at all scales” that we had used for long, we ended up taking these words seriously. Accordingly we define fractals in manners that depend both on the structures that the fractals are endowed with and the chosen sets of structure compatible maps, i.e., we approach fractals in a category-dependent manner. We expect that this new approach to fractals will contribute to the understanding of more of the fractals that appear in exact and other sciences than what can be handled presently

  14. Does Online Investor Sentiment Affect the Asset Price Movement? Evidence from the Chinese Stock Market

    Chi Xie

    2017-01-01

    Full Text Available With the quick development of the Internet, online platforms that provide financial news and opinions have attracted more and more attention from investors. The question whether investor sentiment expressed on the Internet platforms has an impact on asset return has not been fully addressed. To this end, this paper uses the Baidu Searching Index as the agent variable to detect the effect of online investor sentiment on the asset price movement in the Chinese stock market. The empirical study shows that although there is a cointegration relationship between online investor sentiment and asset return, the sentiment has a poor ability to predict the price, return, and volatility of asset price. Meanwhile, the structural break points of online investor sentiment do not lead to changes in the asset price movement. Based on the empirical mode decomposition of online investor sentiment, we find that high frequency components of online investor sentiment can be used to predict the asset price movement. Thus, the obtained results could be useful for risk supervision and asset portfolio management.

  15. Capital Budgeting: Do Private Sector Methods of Budgeting for Capital Assets Have Applicability to the Department of Defense

    2005-12-01

    asset pricing model ( CAPM ). “According to the CAPM theory, investors determine their required return by adding a risk premium to the interest rate...NUMBER OF PAGES 77 14. SUBJECT TERMS Capital Budgeting; GAO; DOD; Capital Assets ; Risk, OMB; NPV, IRR 16. PRICE CODE 17. SECURITY...needs of the mission, as defined by the strategic plan, and limit the number of “nice to haves” (OMB, 1997). d. Alternatives to Capital Assets

  16. The Risk-Return Trade-Off in Human Capital Investment

    Christiansen, Charlotte; Joensen, Juanna Schrøter; Nielsen, Helena Skyt

    In this paper we analyze investments in human capital assets in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by sing...... tests for mean-variance spanning. A risk-return trade-off is revealed, hich is not only related to the length of education but also to the type of education. We identify a range of educations that are efficient in terms of investment goods, and a range of educations that are inefficient, and may...

  17. Digital asset ecosystems rethinking crowds and cloud

    Blanke, Tobias

    2014-01-01

    Digital asset management is undergoing a fundamental transformation. Near universal availability of high-quality web-based assets makes it important to pay attention to the new world of digital ecosystems and what it means for managing, using and publishing digital assets. The Ecosystem of Digital Assets reflects on these developments and what the emerging 'web of things' could mean for digital assets. The book is structured into three parts, each covering an important aspect of digital assets. Part one introduces the emerging ecosystems of digital assets. Part two examines digital asset manag

  18. Mean-downside risk versus mean-variance efficient asset class allocations in relation to the investment horizon

    Ruiter, de A.J.C.; Brouwer, F.

    1996-01-01

    In this paper we examine the difference between a Mean-Downside Risk (MDR) based asset allocation decision and a Mean-Variance (MV) based decision. Using a vector autoregressive specification, future return series, trom 1 month up to 10 years, of several US stock and bond asset classes have been

  19. Fractal and multifractal analyses of bipartite networks

    Liu, Jin-Long; Wang, Jian; Yu, Zu-Guo; Xie, Xian-Hua

    2017-03-01

    Bipartite networks have attracted considerable interest in various fields. Fractality and multifractality of unipartite (classical) networks have been studied in recent years, but there is no work to study these properties of bipartite networks. In this paper, we try to unfold the self-similarity structure of bipartite networks by performing the fractal and multifractal analyses for a variety of real-world bipartite network data sets and models. First, we find the fractality in some bipartite networks, including the CiteULike, Netflix, MovieLens (ml-20m), Delicious data sets and (u, v)-flower model. Meanwhile, we observe the shifted power-law or exponential behavior in other several networks. We then focus on the multifractal properties of bipartite networks. Our results indicate that the multifractality exists in those bipartite networks possessing fractality. To capture the inherent attribute of bipartite network with two types different nodes, we give the different weights for the nodes of different classes, and show the existence of multifractality in these node-weighted bipartite networks. In addition, for the data sets with ratings, we modify the two existing algorithms for fractal and multifractal analyses of edge-weighted unipartite networks to study the self-similarity of the corresponding edge-weighted bipartite networks. The results show that our modified algorithms are feasible and can effectively uncover the self-similarity structure of these edge-weighted bipartite networks and their corresponding node-weighted versions.

  20. Fractal analysis of cervical intraepithelial neoplasia.

    Markus Fabrizii

    Full Text Available INTRODUCTION: Cervical intraepithelial neoplasias (CIN represent precursor lesions of cervical cancer. These neoplastic lesions are traditionally subdivided into three categories CIN 1, CIN 2, and CIN 3, using microscopical criteria. The relation between grades of cervical intraepithelial neoplasia (CIN and its fractal dimension was investigated to establish a basis for an objective diagnosis using the method proposed. METHODS: Classical evaluation of the tissue samples was performed by an experienced gynecologic pathologist. Tissue samples were scanned and saved as digital images using Aperio scanner and software. After image segmentation the box counting method as well as multifractal methods were applied to determine the relation between fractal dimension and grades of CIN. A total of 46 images were used to compare the pathologist's neoplasia grades with the predicted groups obtained by fractal methods. RESULTS: Significant or highly significant differences between all grades of CIN could be found. The confusion matrix, comparing between pathologist's grading and predicted group by fractal methods showed a match of 87.1%. Multifractal spectra were able to differentiate between normal epithelium and low grade as well as high grade neoplasia. CONCLUSION: Fractal dimension can be considered to be an objective parameter to grade cervical intraepithelial neoplasia.

  1. From dendrimers to fractal polymers and beyond

    Charles N. Moorefield

    2013-01-01

    Full Text Available The advent of dendritic chemistry has facilitated materials research by allowing precise control of functional component placement in macromolecular architecture. The iterative synthetic protocols used for dendrimer construction were developed based on the desire to craft highly branched, high molecular weight, molecules with exact mass and tailored functionality. Arborols, inspired by trees and precursors of the utilitarian macromolecules known as dendrimers today, were the first examples to employ predesigned, 1 → 3 C-branched, building blocks; physical characteristics of the arborols, including their globular shapes, excellent solubilities, and demonstrated aggregation, combined to reveal the inherent supramolecular potential (e.g., the unimolecular micelle of these unique species. The architecture that is a characteristic of dendritic materials also exhibits fractal qualities based on self-similar, repetitive, branched frameworks. Thus, the fractal design and supramolecular aspects of these constructs are suggestive of a larger field of fractal materials that incorporates repeating geometries and are derived by complementary building block recognition and assembly. Use of terpyridine-M2+-terpyridine (where, M = Ru, Zn, Fe, etc connectivity in concert with mathematical algorithms, such as forms the basis for the Seirpinski gasket, has allowed the beginning exploration of fractal materials construction. The propensity of the fractal molecules to self-assemble into higher order architectures adds another dimension to this new arena of materials and composite construction.

  2. Multirate diversity strategy of fractal modulation

    Yuan Yong; Shi Si-Hong; Luo Mao-Kang

    2011-01-01

    Previous analyses of fractal modulation were carried out mostly from a signle perspective or a subband, but the analyses from the perspective of multiscale synthesis have not been found yet; while multiscale synthesis is just the essence of the mutlirate diversity which is the most important characteristic of fractal modulation. As for the mutlirate diversity of fractal modulation, previous studies only dealt with the general outspread of its concept, lacked the thorough and intensive quantitative comparison and analysis. In light of the above fact, from the perspective of multiscale synthesis, in this paper we provide a comprehensive analysis of the multirate diversity of fractal modulation and corresponding quantitative analysis. The results show that mutlirate diversity, which is a fusion of frequency diversity and time diversity, pays an acceptable price in spectral efficiency in exchange for a significant improvement in bit error rate. It makes fractal modulation particularly suitable for the channels whose bandwidth and duration parameters are unknown or cannot be predicted to the transmitter. Surely it is clearly of great significance for reliable communications. Moreover, we also attain the ability to flexibly make various rate-bandwidth tradeoffs between the transmitter and the receiver, to freely select the reception time and to expediently control the total bandwidth. Furthermore, the acquisitions or improvements of these fine features could provide support of the technical feasibility for the electromagnetic spectrum control technology in a complex electromagnetic environment. (general)

  3. On the arithmetic of fractal dimension using hyperhelices

    Toledo-Suarez, Carlos D.

    2009-01-01

    A hyperhelix is a fractal curve generated by coiling a helix around a rect line, then another helix around the first one, a third around the second... an infinite number of times. A way to generate hyperhelices with any desired fractal dimension is presented, leading to the result that they have embedded an algebraic structure that allows making arithmetic with fractal dimensions and to the idea of an infinitesimal of fractal dimension

  4. Poiseuille equation for steady flow of fractal fluid

    Tarasov, Vasily E.

    2016-07-01

    Fractal fluid is considered in the framework of continuous models with noninteger dimensional spaces (NIDS). A recently proposed vector calculus in NIDS is used to get a description of fractal fluid flow in pipes with circular cross-sections. The Navier-Stokes equations of fractal incompressible viscous fluids are used to derive a generalization of the Poiseuille equation of steady flow of fractal media in pipe.

  5. Key determinants of managing the marketing asset of global companies

    Tatyana Tsygankova

    2016-12-01

    Full Text Available As a result of organization and summarization of key concepts of evolution of the marketing tools of global companies, the authors determined the role of the marketing assets in the system of modern marketing management (as a dialectically higher stage of development of the analyzed tools, which will allow overcoming the antagonistic contradiction of “P- and C-vectors” of their development. The article identified the optimal set of key elements of the system of marketing assets, which are the brand, customer loyalty, reputation, network cooperation, marketing strategy, internal marketing, marketing information system and marketing innovation. Due to correlation and regression analysis of the impact of each system elements on performance of global companies, the model of the "marketing asset octagon" was built as an integrative management tool. Also, as a result of construction of the said model, the authors identified the most profitable marketing assets, return on investment and development of competencies in the field of efficient management will bring the highest profit to the company. On the basis of summarizing the regional and branch features of managing the disparate elements of the marketing assets of global companies, the key regional and sectoral priorities of formation, development and improvement of existing concepts of the international marketing management were identified, particularly in terms of building an author’s integrative octagon model.

  6. Stock Market Integration: Are Risk Premiums of International Assets Equal?

    Kusdhianto Setiawan

    2014-02-01

    Full Text Available This paper studies previous research on capital market integration and applies a simple international capital asset pricing model by considering the incompleteness in market integration and heteroscedasticity of the market returns. When we disregarded those two factors, we found that stock markets were integrated and the law of one price on risk premiums prevails. However, when the factors were considered, the markets were just partially integrated.

  7. Fractality of profit landscapes and validation of time series models for stock prices

    Yi, Il Gu; Oh, Gabjin; Kim, Beom Jun

    2013-08-01

    We apply a simple trading strategy for various time series of real and artificial stock prices to understand the origin of fractality observed in the resulting profit landscapes. The strategy contains only two parameters p and q, and the sell (buy) decision is made when the log return is larger (smaller) than p (-q). We discretize the unit square (p,q) ∈ [0,1] × [0,1] into the N × N square grid and the profit Π(p,q) is calculated at the center of each cell. We confirm the previous finding that local maxima in profit landscapes are scattered in a fractal-like fashion: the number M of local maxima follows the power-law form M ˜ Na, but the scaling exponent a is found to differ for different time series. From comparisons of real and artificial stock prices, we find that the fat-tailed return distribution is closely related to the exponent a ≈ 1.6 observed for real stock markets. We suggest that the fractality of profit landscape characterized by a ≈ 1.6 can be a useful measure to validate time series model for stock prices.

  8. PID feedback controller used as a tactical asset allocation technique: The G.A.M. model

    Gandolfi, G.; Sabatini, A.; Rossolini, M.

    2007-09-01

    The objective of this paper is to illustrate a tactical asset allocation technique utilizing the PID controller. The proportional-integral-derivative (PID) controller is widely applied in most industrial processes; it has been successfully used for over 50 years and it is used by more than 95% of the plants processes. It is a robust and easily understood algorithm that can provide excellent control performance in spite of the diverse dynamic characteristics of the process plant. In finance, the process plant, controlled by the PID controller, can be represented by financial market assets forming a portfolio. More specifically, in the present work, the plant is represented by a risk-adjusted return variable. Money and portfolio managers’ main target is to achieve a relevant risk-adjusted return in their managing activities. In literature and in the financial industry business, numerous kinds of return/risk ratios are commonly studied and used. The aim of this work is to perform a tactical asset allocation technique consisting in the optimization of risk adjusted return by means of asset allocation methodologies based on the PID model-free feedback control modeling procedure. The process plant does not need to be mathematically modeled: the PID control action lies in altering the portfolio asset weights, according to the PID algorithm and its parameters, Ziegler-and-Nichols-tuned, in order to approach the desired portfolio risk-adjusted return efficiently.

  9. Stock Market Effects of ECB’s Asset Purchase Programmes

    Henseler, Kai; Rapp, Marc Steffen

    2018-01-01

    How do stock prices react to ECB’s Asset Purchase Programmes? Using an event-study approach, we find substantial cross-sectional variation in a sample of 2625 non-financial firms in the Euro-zone. Announcement returns are positively correlated with leverage and negatively with size, consistent...... with a credit channel. Furthermore, announcement returns are negatively correlated with the market-to-book ratio, suggesting different exposures of value and growth stocks. These patterns are more pronounced once we only examine programme initiation announcements....

  10. Stock Market Effects of ECB’s Asset Purchase Programmes

    Henseler, Kai; Rapp, Marc Steffen

    2018-01-01

    How do stock prices react to ECB’s Asset Purchase Programmes? Using an event-study approach, we find substantial cross-sectional variation in a sample of 2625 non-financial firms in the Euro-zone. Announcement returns are positively correlated with leverage and negatively with size, consistent wi...... with a credit channel. Furthermore, announcement returns are negatively correlated with the market-to-book ratio, suggesting different exposures of value and growth stocks. These patterns are more pronounced once we only examine programme initiation announcements....

  11. Gender, Livestock and Asset Ownership

    measure of gender inequality and women's economic empowerment compared to indicators such as income. The role of livestock as an asset for women has been analysed in Kenya, Tanzania .... were a more common source in Tanzania and.

  12. Developing formal asset management plans

    2014-06-01

    This report highlights key recommendations and best practices identified at the peer exchange on Transportation Asset Management Plans (TAMP), held on February 5 and 6, 2014, in Columbia, South Carolina. This event was sponsored by the Transportation...

  13. Asset management techniques for transformers

    Abu-Elanien, Ahmed E.B.; Salama, M.M.A.

    2010-01-01

    In a deregulated/reformed environment, the electric utilities are under constant pressure for reducing operating costs, enhancing the reliability of transmission and distribution equipments, and improving quality of power and services to the customer. Moreover, the risk involved in running the system without proper attention to assets integrity in service is quite high. Additionally, the probability of losing any equipment vital to the transmission and distribution system, such as power and distribution transformers, is increasing especially with the aging of power system's assets. Today the focus of operating the power system is changed and efforts are being directed to explore new approaches/techniques of monitoring, diagnosis, condition evaluation, maintenance, life assessment, and possibility of extending the life of existing assets. In this paper, a comprehensive illustration of the transformer asset management activities is presented. The importance of each activity together with the latest researches done in the area is highlighted. (author)

  14. 2-D Fractal Carpet Antenna Design and Performance

    Barton, C. C.; Tebbens, S. F.; Ewing, J. J.; Peterman, D. J.; Rizki, M. M.

    2017-12-01

    A 2-D fractal carpet antenna uses a fractal (self-similar) pattern to increase its perimeter by iteration and can receive or transmit electromagnetic radiation within its perimeter-bounded surface area. 2-D fractals are shapes that, at their mathematical limit (infinite iterations) have an infinite perimeter bounding a finite surface area. The fractal dimension describes the degree of space filling and lacunarity which quantifies the size and spatial distribution of open space bounded by a fractal shape. A key aspect of fractal antennas lies in iteration (repetition) of a fractal pattern over a range of length scales. Iteration produces fractal antennas that are very compact, wideband and multiband. As the number of iterations increases, the antenna operates at higher and higher frequencies. Manifestly different from traditional antenna designs, a fractal antenna can operate at multiple frequencies simultaneously. We have created a MATLAB code to generate deterministic and stochastic modes of Sierpinski carpet fractal antennas with a range of fractal dimensions between 1 and 2. Variation in fractal dimension, stochasticity, number of iterations, and lacunarities have been computationally tested using COMSOL Multiphysics software to determine their effect on antenna performance

  15. Investigation into How 8th Grade Students Define Fractals

    Karakus, Fatih

    2015-01-01

    The analysis of 8th grade students' concept definitions and concept images can provide information about their mental schema of fractals. There is limited research on students' understanding and definitions of fractals. Therefore, this study aimed to investigate the elementary students' definitions of fractals based on concept image and concept…

  16. Generalized Warburg impedance on realistic self-affine fractals ...

    2016-08-26

    Aug 26, 2016 ... We analyse the problem of impedance for a diffusion controlled charge transfer process across an irregular interface. These interfacial irregularities are characterized as two class of random fractals: (i) a statistically isotropic self-affine fractals and (ii) a statistically corrugated self-affine fractals.

  17. Fractal tomography and its application in 3D vision

    Trubochkina, N.

    2018-01-01

    A three-dimensional artistic fractal tomography method that implements a non-glasses 3D visualization of fractal worlds in layered media is proposed. It is designed for the glasses-free 3D vision of digital art objects and films containing fractal content. Prospects for the development of this method in art galleries and the film industry are considered.

  18. Constructing and applying the fractal pied de poule (houndstooth)

    Feijs, L.M.G.; Toeters, M.J.; Hart, G.; Sarhangi, R.

    2013-01-01

    Time is ready for a fractal version of pied de poule; it is almost "in the air". Taking inspiration from the Cantor set, and using the analysis of the classical pattern, we obtain a family of elegant new fractal Pied de Poules. We calculate the fractal dimension and develop an attractive fashion

  19. Monitoring of dry sliding wear using fractal analysis

    Zhang, Jindang; Regtien, Paulus P.L.; Korsten, Maarten J.

    2005-01-01

    Reliable online monitoring of wear remains a challenge to tribology research as well as to the industry. This paper presents a new method for monitoring of dry sliding wear using digital imaging and fractal analysis. Fractal values, namely fractal dimension and intercept, computed from the power

  20. Fractal characterization of the compaction and sintering of ferrites

    Glass, H.J.; With, de G.

    2001-01-01

    A novel parameter, the fractal exponent DE, is derived using the concept of fractal scaling. The fractal exponent DE relates the development of a feature within a material to the development of the size of the material. As an application, structural changes during the compaction and sintering of

  1. Generalized Warburg impedance on realistic self-affine fractals

    We analyse the problem of impedance for a diffusion controlled charge transfer process across an irregular interface. These interfacial irregularities are characterized as two class of random fractals: (i) a statistically isotropic self-affine fractals and (ii) a statistically corrugated self-affine fractals. The information about the ...

  2. Intangible asset tax depreciation in the Czech Republic

    Pavel Svirák

    2011-01-01

    Full Text Available This paper aims to familiarize readers with the legislative development of intangible asset tax depreciation in the Czech Republic since 1993. The paper is divided into several basic chapters, of which the main chapter describes and analyzes the development of legislation in three thus-existing legal modes regulating intangible asset tax depreciation (the periods 1993–2000; 2001–2004; 2004–2011. A separate sub-chapter deals with each of these three modes, which fundamentally differ in the concept of determining tax depreciations. For better clarity, changes in the legislation in question are described using tables. Over the first mentioned mode, i.e. the mode valid for assets acquired in the period 1993–2000, intangible asset tax depreciations were determined by the same manner as tangible asset tax depreciations. This period is characterized by gradual establishment (specification of legislation that may be partially attributed to the stormy development of social conditions and the need for them to be reflected in law. For the period 2001–2003, standard amendments were contained in accounting regulations. The Income Tax Act (hereinafter ITA did not contain an amendment of intangible assets and its depreciations. It merely determined that accounting depreciations of intangible assets were a tax expense. Nevertheless, changes also occurred in this short time period, which this paper will later address. Effective from 2004, legislation on intangible assets and their tax depreciations returned to the ITA. Changes came in this mode of determining depreciations as well; nevertheless, one may consider the current legislative regulation to be stabilized. Later in this paper for the selected category of intangible assets (software, the authors describe and assess the dependence of the portion of the entry price entering tax expenses in the form of tax depreciations on the year of acquiring intangible assets. To achieve the stated objectives

  3. Lectures on fractal geometry and dynamical systems

    Pesin, Yakov

    2009-01-01

    Both fractal geometry and dynamical systems have a long history of development and have provided fertile ground for many great mathematicians and much deep and important mathematics. These two areas interact with each other and with the theory of chaos in a fundamental way: many dynamical systems (even some very simple ones) produce fractal sets, which are in turn a source of irregular "chaotic" motions in the system. This book is an introduction to these two fields, with an emphasis on the relationship between them. The first half of the book introduces some of the key ideas in fractal geometry and dimension theory--Cantor sets, Hausdorff dimension, box dimension--using dynamical notions whenever possible, particularly one-dimensional Markov maps and symbolic dynamics. Various techniques for computing Hausdorff dimension are shown, leading to a discussion of Bernoulli and Markov measures and of the relationship between dimension, entropy, and Lyapunov exponents. In the second half of the book some examples o...

  4. Computer Security: The dilemma of fractal defence

    Stefan Lueders, Computer Security Team

    2015-01-01

    Aren’t mathematical fractals just beautiful? The Mandelbrot set and the Julia set, the Sierpinski gasket, the Menger sponge, the Koch curve (see here)… Based on very simple mathematical rules, they quickly develop into a mosaic of facets slightly different from each other. More and more features appear the closer you zoom into a fractal and expose similar but not identical features of the overall picture.   Computer security is like these fractals, only much less pretty: simple at first glance, but increasingly complex and complicated when you look more closely at the details. The deeper you dig, the more and more possibilities open up for malicious people as the attack surface grows, just like that of “Koch’s snowflakes”, where the border length grows exponentially. Consequently, the defensive perimeter also increases when we follow the bits and bytes layer by layer from their processing in the CPU, trickling up the software stack thro...

  5. Fractal design concepts for stretchable electronics.

    Fan, Jonathan A; Yeo, Woon-Hong; Su, Yewang; Hattori, Yoshiaki; Lee, Woosik; Jung, Sung-Young; Zhang, Yihui; Liu, Zhuangjian; Cheng, Huanyu; Falgout, Leo; Bajema, Mike; Coleman, Todd; Gregoire, Dan; Larsen, Ryan J; Huang, Yonggang; Rogers, John A

    2014-01-01

    Stretchable electronics provide a foundation for applications that exceed the scope of conventional wafer and circuit board technologies due to their unique capacity to integrate with soft materials and curvilinear surfaces. The range of possibilities is predicated on the development of device architectures that simultaneously offer advanced electronic function and compliant mechanics. Here we report that thin films of hard electronic materials patterned in deterministic fractal motifs and bonded to elastomers enable unusual mechanics with important implications in stretchable device design. In particular, we demonstrate the utility of Peano, Greek cross, Vicsek and other fractal constructs to yield space-filling structures of electronic materials, including monocrystalline silicon, for electrophysiological sensors, precision monitors and actuators, and radio frequency antennas. These devices support conformal mounting on the skin and have unique properties such as invisibility under magnetic resonance imaging. The results suggest that fractal-based layouts represent important strategies for hard-soft materials integration.

  6. On Nonextensive Statistics, Chaos and Fractal Strings

    Castro, C

    2004-01-01

    Motivated by the growing evidence of universality and chaos in QFT and string theory, we study the Tsallis non-extensive statistics ( with a non-additive $ q$-entropy ) of an ensemble of fractal strings and branes of different dimensionalities. Non-equilibrium systems with complex dynamics in stationary states may exhibit large fluctuations of intensive quantities which are described in terms of generalized statistics. Tsallis statistics is a particular representative of such class. The non-extensive entropy and probability distribution of a canonical ensemble of fractal strings and branes is studied in terms of their dimensional spectrum which leads to a natural upper cutoff in energy and establishes a direct correlation among dimensions, energy and temperature. The absolute zero temperature ( Kelvin ) corresponds to zero dimensions (energy ) and an infinite temperature corresponds to infinite dimensions. In the concluding remarks some applications of fractal statistics, quasi-particles, knot theory, quantum...

  7. A fractal-based image encryption system

    Abd-El-Hafiz, S. K.

    2014-12-01

    This study introduces a novel image encryption system based on diffusion and confusion processes in which the image information is hidden inside the complex details of fractal images. A simplified encryption technique is, first, presented using a single-fractal image and statistical analysis is performed. A general encryption system utilising multiple fractal images is, then, introduced to improve the performance and increase the encryption key up to hundreds of bits. This improvement is achieved through several parameters: feedback delay, multiplexing and independent horizontal or vertical shifts. The effect of each parameter is studied separately and, then, they are combined to illustrate their influence on the encryption quality. The encryption quality is evaluated using different analysis techniques such as correlation coefficients, differential attack measures, histogram distributions, key sensitivity analysis and the National Institute of Standards and Technology (NIST) statistical test suite. The obtained results show great potential compared to other techniques.

  8. Fractal design concepts for stretchable electronics

    Fan, Jonathan A.; Yeo, Woon-Hong; Su, Yewang; Hattori, Yoshiaki; Lee, Woosik; Jung, Sung-Young; Zhang, Yihui; Liu, Zhuangjian; Cheng, Huanyu; Falgout, Leo; Bajema, Mike; Coleman, Todd; Gregoire, Dan; Larsen, Ryan J.; Huang, Yonggang; Rogers, John A.

    2014-02-01

    Stretchable electronics provide a foundation for applications that exceed the scope of conventional wafer and circuit board technologies due to their unique capacity to integrate with soft materials and curvilinear surfaces. The range of possibilities is predicated on the development of device architectures that simultaneously offer advanced electronic function and compliant mechanics. Here we report that thin films of hard electronic materials patterned in deterministic fractal motifs and bonded to elastomers enable unusual mechanics with important implications in stretchable device design. In particular, we demonstrate the utility of Peano, Greek cross, Vicsek and other fractal constructs to yield space-filling structures of electronic materials, including monocrystalline silicon, for electrophysiological sensors, precision monitors and actuators, and radio frequency antennas. These devices support conformal mounting on the skin and have unique properties such as invisibility under magnetic resonance imaging. The results suggest that fractal-based layouts represent important strategies for hard-soft materials integration.

  9. Asset Pricing and Monetary Policy

    Bingbing Dong

    2014-01-01

    This paper examines the role of money in understanding the behavior of asset prices and whether and how monetary policy should react to asset prices such as stock prices and equity premiums. To do so, I introduce money via the form of transaction cost into a production economy with limited stock market participation where agents with lower inter-temporal elasticity of substitution (IES), called non-stockholders, have no access to stock market. In addition to facilitating transactions of consu...

  10. In/Out Status Monitoring in Mobile Asset Tracking with Wireless Sensor Networks

    Kwangsoo Kim

    2010-03-01

    Full Text Available A mobile asset with a sensor node in a mobile asset tracking system moves around a monitoring area, leaves it, and then returns to the region repeatedly. The system monitors the in/out status of the mobile asset. Due to the continuous movement of the mobile asset, the system may generate an error for the in/out status of the mobile asset. When the mobile asset is inside the region, the system might determine that it is outside, or vice versa. In this paper, we propose a method to detect and correct the incorrect in/out status of the mobile asset. To solve this problem, our approach uses data about the connection state transition and the battery lifetime of the mobile node attached to the mobile asset. The connection state transition is used to classify the mobile node as normal or abnormal. The battery lifetime is used to predict a valid working period for the mobile node. We evaluate our method using real data generated by a medical asset tracking system. The experimental results show that our method, by using the estimated battery life time or by using the invalid connection state, can detect and correct most cases of incorrect in/out statuses generated by the conventional approach.

  11. In/out status monitoring in mobile asset tracking with wireless sensor networks.

    Kim, Kwangsoo; Chung, Chin-Wan

    2010-01-01

    A mobile asset with a sensor node in a mobile asset tracking system moves around a monitoring area, leaves it, and then returns to the region repeatedly. The system monitors the in/out status of the mobile asset. Due to the continuous movement of the mobile asset, the system may generate an error for the in/out status of the mobile asset. When the mobile asset is inside the region, the system might determine that it is outside, or vice versa. In this paper, we propose a method to detect and correct the incorrect in/out status of the mobile asset. To solve this problem, our approach uses data about the connection state transition and the battery lifetime of the mobile node attached to the mobile asset. The connection state transition is used to classify the mobile node as normal or abnormal. The battery lifetime is used to predict a valid working period for the mobile node. We evaluate our method using real data generated by a medical asset tracking system. The experimental results show that our method, by using the estimated battery life time or by using the invalid connection state, can detect and correct most cases of incorrect in/out statuses generated by the conventional approach.

  12. AUTOMATING ASSET KNOWLEDGE WITH MTCONNECT.

    Venkatesh, Sid; Ly, Sidney; Manning, Martin; Michaloski, John; Proctor, Fred

    2016-01-01

    In order to maximize assets, manufacturers should use real-time knowledge garnered from ongoing and continuous collection and evaluation of factory-floor machine status data. In discrete parts manufacturing, factory machine monitoring has been difficult, due primarily to closed, proprietary automation equipment that make integration difficult. Recently, there has been a push in applying the data acquisition concepts of MTConnect to the real-time acquisition of machine status data. MTConnect is an open, free specification aimed at overcoming the "Islands of Automation" dilemma on the shop floor. With automated asset analysis, manufacturers can improve production to become lean, efficient, and effective. The focus of this paper will be on the deployment of MTConnect to collect real-time machine status to automate asset management. In addition, we will leverage the ISO 22400 standard, which defines an asset and quantifies asset performance metrics. In conjunction with these goals, the deployment of MTConnect in a large aerospace manufacturing facility will be studied with emphasis on asset management and understanding the impact of machine Overall Equipment Effectiveness (OEE) on manufacturing.

  13. Asset management trends and challenges

    Rijks, E. [Continuon, Arnhem (Netherlands); Ford, G.L. [PowerNex Associates Inc., Toronto, ON (Canada); Sanchis, G. [Reseau de Transport d' Electricite, Paris (France)

    2007-07-01

    Recent business and regulatory changes in the electric power industry have affected the operation of electric utilities. Most have accepted competition and commercialization. Various strategies have emerged as companies strive to improve performance and retain profitability in an environment where competition or regulatory pressure is reducing revenues at a time when customer expectation is increasing. As focus shifts away from engineering excellence towards commercial performance, the new business ideology for electric utilities is to optimize asset management. This paper identified asset management technology trends, opportunities and challenges. Although many utilities are currently comfortable with their existing asset management processes, regulators are increasingly scrutinizing utilities as they seek approval for rates and investments in aging infrastructure. Much more rigorous financial analysis methods are needed to justify the large investments that are needed. In addition, the credibility of the processes and methods used by utilities will be increasingly questioned. In recognition of the growing importance of asset management, several initiatives have been launched to provide forums for sharing information and to provide a unifying force to asset management methods. The International Council on Large Electric Systems (CIGRE) was one of the first to recognize the importance of asset management. This paper summarized recent CIGRE activities as well as the developments of publicly available specification (PAS) 55 in the United Kingdom. It was concluded that utilities that adopt standardized approaches will be more credible in the eyes of regulatory authorities. 3 refs., 4 figs.

  14. Quantum waveguide theory of a fractal structure

    Lin Zhiping; Hou Zhilin; Liu Youyan

    2007-01-01

    The electronic transport properties of fractal quantum waveguide networks in the presence of a magnetic field are studied. A Generalized Eigen-function Method (GEM) is used to calculate the transmission and reflection coefficients of the studied systems unto the fourth generation Sierpinski fractal network with node number N=123. The relationship among the transmission coefficient T, magnetic flux Φ and wave vector k is investigated in detail. The numerical results are shown by the three-dimensional plots and contour maps. Some resonant-transmission features and the symmetry of the transmission coefficient T to flux Φ are observed and discussed, and compared with the results of the tight-binding model

  15. Incomplete information and fractal phase space

    Wang, Qiuping A.

    2004-01-01

    The incomplete statistics for complex systems is characterized by a so called incompleteness parameter ω which equals unity when information is completely accessible to our treatment. This paper is devoted to the discussion of the incompleteness of accessible information and of the physical signification of ω on the basis of fractal phase space. ω is shown to be proportional to the fractal dimension of the phase space and can be linked to the phase volume expansion and information growth during the scale refining process

  16. The virtual education fractality: nature and organization

    Osbaldo Turpo Gebera

    2013-04-01

    Full Text Available  The potential generated by ICT in education raises reflect on the underlying frameworks. In this sense, the fractal is an opportunity to explain how it organizes and manages virtual education.This approach recognizes that educational dynamics are recursive and iterative processes instituted as progressive sequences, by way of fractals. This understanding enables becoming as mediated and articulated successive levels. In each dimension are embodied own activities and in turn, involves the recurrence of subsequent levels as possible solving of problem situations. Thus, the knowledge built in response to a collaborative action, participation in networks, ranging from autonomous to the cultural level or conversely.

  17. 24 CFR 990.270 - Asset management.

    2010-04-01

    ... 24 Housing and Urban Development 4 2010-04-01 2010-04-01 false Asset management. 990.270 Section... THE PUBLIC HOUSING OPERATING FUND PROGRAM Asset Management § 990.270 Asset management. As owners, PHAs have asset management responsibilities that are above and beyond property management activities. These...

  18. Financier-led asset lease model

    Zhao, X.; Angelov, S.A.; Grefen, P.W.P.J.; Meersman, R.A.; Dillon, T.S.

    2010-01-01

    Nowadays, the business globalisation trend drives organisations to spread their business worldwide, which in turn generates vast asset demands. In this context, broader asset channels and higher financial capacities are required to boost the asset lease sector to meet the increasing asset demands

  19. Does Asset Allocation Policy Explain 40, 90, 100 Percent of Performance?

    Roger G. Ibbotson; Paul D. Kaplan

    2001-01-01

    Does asset allocation policy explain 40 percent, 90 percent, or 100 percent of performance? According to some well-known studies, more than 90 percent of the variability of a typical plan sponsor's performance over time is attributable to asset allocation. However, few people want to explain variability over time. Instead, an analyst might want to know how important it is in explaining the differences in return from one fund to another, or what percentage of the level of a typical fund's retu...

  20. Excess co-movement in asset prices: The case of South Africa

    Ocran, Mathew; Mlambo, Chipo

    2009-01-01

    The paper investigates excess co-movement in asset prices in South Africa between 1995 and 2005 using the definition of excess comovement as correlation between two asset prices beyond what could be explained by key economic fundamentals. The results of the study suggest that there is excess co-movement between returns on equities and bonds in South Africa. The findings suggest that there are considerable noise traders on the financial market in South Africa. The result of this behaviour woul...

  1. The Cross-Section of Crypto-Currencies as Financial Assets: An Overview

    Elendner, Hermann; Trimborn, Simon; Ong, Bobby; Lee, Teik Ming

    2016-01-01

    Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in 2009. We look at the properties of cryptocurrencies as financial assets in a broad cross-section. We discuss approaches of altcoins to generate value and their trading and information platforms. Then we investigate crypto-currencies as alternative investment assets, studying their returns and the co-movements of altcoin prices with bitcoin and against each other. We evaluate their additi...

  2. Managing Assets in The Infrastructure Sector

    T.P. van Houten

    2010-09-01

    Full Text Available In view of the importance of managing assets and the lack of research in managing assets in the infrastructure sector, we develop an asset management model in this study. This model is developed in line with the unique characteristics of the infrastructure assets and asset management principles and criteria. In the proposed model, we consider activities at three levels, namely the strategical, tactical and operational levels. The interviews with experts in asset management and officials in several Dutch organizations have proven the potential of our asset management model.

  3. Transport properties of electrons in fractal magnetic-barrier structures

    Sun, Lifeng; Fang, Chao; Guo, Yong

    2010-09-01

    Quantum transport properties in fractal magnetically modulated structures are studied by the transfer-matrix method. It is found that the transmission spectra depend sensitively not only on the incident energy and the direction of the wave vector but also on the stage of the fractal structures. Resonance splitting, enhancement, and position shift of the resonance peaks under different magnetic modulation are observed at four different fractal stages, and the relationship between the conductance in the fractal structure and magnetic modulation is also revealed. The results indicate the spectra of the transmission can be considered as fingerprints for the fractal structures, which show the subtle correspondence between magnetic structures and transport behaviors.

  4. Fractal dimensions the digital art of Eric Hammel

    Hammel, Eric

    2014-01-01

    The concept behind fractal geometry is extremely difficult to explain . . . but easy to see and enjoy. Eric Hammel, a professional author of military history books, is unable to explain fractals in a way that will be clear to anyone else, but most mathematicians can't explain fractals in language most people can understand. The simplest explanation is that fractals are graphic representations of high-order mathematical formulas that repeat patterns to infinity.Don't get hung up on the math. It's really all in the seeing. Like Volume 1 of Eric Hammel's Fractal Dimensions, Volume 2 is filled wit

  5. Fractal dimensions the digital art of Eric Hammel

    Hammel, Eric

    2014-01-01

    The concept behind fractal geometry is extremely difficult to explain . . . but easy to see and enjoy. Eric Hammel, a professional author of military history books, is unable to explain fractals in a way that will be clear to anyone else, but most mathematicians can't explain fractals in language most people can understand. The simplest explanation is that fractals are graphic representations of high-order mathematical formulas that repeat patterns to infinity.Don't get hung up on the math. It's really all in the seeing. Like Volumes 1, 2, and 3 of Eric Hammel's Fractal Dimensions, Volume 4 is

  6. Fractal dimensions the digital art of Eric Hammel

    Hammel, Eric

    2014-01-01

    The concept behind fractal geometry is extremely difficult to explain . . . but easy to see and enjoy. Eric Hammel, a professional author of military history books, is unable to explain fractals in a way that will be clear to anyone else, but most mathematicians can't explain fractals in language most people can understand. The simplest explanation is that fractals are graphic representations of high-order mathematical formulas that repeat patterns to infinity.Don't get hung up on the math. It's really all in the seeing. Like Volumes 1 and 2 of Eric Hammel's Fractal Dimensions, Volume 3 is fil

  7. Focusing behavior of the fractal vector optical fields designed by fractal lattice growth model.

    Gao, Xu-Zhen; Pan, Yue; Zhao, Meng-Dan; Zhang, Guan-Lin; Zhang, Yu; Tu, Chenghou; Li, Yongnan; Wang, Hui-Tian

    2018-01-22

    We introduce a general fractal lattice growth model, significantly expanding the application scope of the fractal in the realm of optics. This model can be applied to construct various kinds of fractal "lattices" and then to achieve the design of a great diversity of fractal vector optical fields (F-VOFs) combinating with various "bases". We also experimentally generate the F-VOFs and explore their universal focusing behaviors. Multiple focal spots can be flexibly enginnered, and the optical tweezers experiment validates the simulated tight focusing fields, which means that this model allows the diversity of the focal patterns to flexibly trap and manipulate micrometer-sized particles. Furthermore, the recovery performance of the F-VOFs is also studied when the input fields and spatial frequency spectrum are obstructed, and the results confirm the robustness of the F-VOFs in both focusing and imaging processes, which is very useful in information transmission.

  8. Chaos and fractals. Applications to nuclear engineering; Caos y fractales. Aplicaciones en ingenieria nuclear

    Clausse, A; Delmastro, D F

    1991-12-31

    This work presents a description of the research lines carried out by the authors on chaos and fractal theories, oriented to the nuclear field. The possibilities that appear in the nuclear security branch where the information deriving from chaos and fractal techniques may help to the development of better criteria and more reliable designs, are of special importance. (Author). [Espanol] En este trabajo se presenta una descripcion de las lineas de investigacion que los autores estan llevando a cabo en teoria de caos y fractales orientadas al campo nuclear. Es de especial importancia las posibilidades que se abren en el area de la seguridad nuclear, en donde la informacion proveniente de las tecnicas de caos y fractales pueden ayudar al desarrollo de mejores criterios y disenos mas confiables. (Autor).

  9. Test Of Capital Asset Pricing Model On Stocks At Karachi Stock Exchange

    Arbab Khalid Cheema

    2010-12-01

    Full Text Available This paper attempts to empirically test the single-factor CAPM developed by Sharpe (1964, Lintner (1965 and Jan Mossin (1966 and others, which proposes that the expected returns of capital assets are dependent on their risk relative to the entire market which is quantified by a correlation co-efficient between asset returns and market returns. The test of 20 stocks at Karachi Stock Exchange have shown that though, the beta co-efficients are significant, their strength is considerably weak. Therefore, other factors which are unaccounted for in this model are important in determining risk and return. In addition, betas are less relevant in a volatile emerging capital markets like the KSE. Thus, the multi-factor models are better than the classical CAPM at determining the risk-return relationship. However, the single-factor CAPM remains in practice beacause of its simplicity.

  10. Financing Asset Sales and Business Cycles

    Arnold, Marc; Hackbarth, Dirk; Puhan, Tatjana-Xenia

    2013-01-01

    This paper analyzes the decision of firms to sell assets to fund investments (financing asset sales). For a sample of U.S. manufacturing firms during the 1971-2010 period, we document new stylized facts about financing asset sales that cannot be explained by traditional motives for selling assets, such as financial distress or financing constraints. Using a structural model of financing, investment, and macroeconomic risk, we show that financing asset sales attenuate the debt overhang problem...

  11. ISO 55000: Creating an asset management system.

    Bradley, Chris; Main, Kevin

    2015-02-01

    In the October 2014 issue of HEJ, Keith Hamer, group vice-president, Asset Management & Engineering at Sodexo, and marketing director at Asset Wisdom, Kevin Main, argued that the new ISO 55000 standards present facilities managers with an opportunity to create 'a joined-up, whole lifecycle approach' to managing and delivering value from assets. In this article, Kevin Main and Chris Bradley, who runs various asset management projects, examine the process of creating an asset management system.

  12. Fractal Structure and Entropy Production within the Central Nervous System

    Andrew J. E. Seely

    2014-08-01

    Full Text Available Our goal is to explore the relationship between two traditionally unrelated concepts, fractal structure and entropy production, evaluating both within the central nervous system (CNS. Fractals are temporal or spatial structures with self-similarity across scales of measurement; whereas entropy production represents the necessary exportation of entropy to our environment that comes with metabolism and life. Fractals may be measured by their fractal dimension; and human entropy production may be estimated by oxygen and glucose metabolism. In this paper, we observe fractal structures ubiquitously present in the CNS, and explore a hypothetical and unexplored link between fractal structure and entropy production, as measured by oxygen and glucose metabolism. Rapid increase in both fractal structures and metabolism occur with childhood and adolescent growth, followed by slow decrease during aging. Concomitant increases and decreases in fractal structure and metabolism occur with cancer vs. Alzheimer’s and multiple sclerosis, respectively. In addition to fractals being related to entropy production, we hypothesize that the emergence of fractal structures spontaneously occurs because a fractal is more efficient at dissipating energy gradients, thus maximizing entropy production. Experimental evaluation and further understanding of limitations and necessary conditions are indicated to address broad scientific and clinical implications of this work.

  13. Fractal characteristic in the wearing of cutting tool

    Mei, Anhua; Wang, Jinghui

    1995-11-01

    This paper studies the cutting tool wear with fractal geometry. The wearing image of the flank has been collected by machine vision which consists of CCD camera and personal computer. After being processed by means of preserving smoothing, binary making and edge extracting, the clear boundary enclosing the worn area has been obtained. The fractal dimension of the worn surface is calculated by the methods called `Slit Island' and `Profile'. The experiments and calciating give the conclusion that the worn surface is enclosed by a irregular boundary curve with some fractal dimension and characteristics of self-similarity. Furthermore, the relation between the cutting velocity and the fractal dimension of the worn region has been submitted. This paper presents a series of methods for processing and analyzing the fractal information in the blank wear, which can be applied to research the projective relation between the fractal structure and the wear state, and establish the fractal model of the cutting tool wear.

  14. Fractal electrodynamics via non-integer dimensional space approach

    Tarasov, Vasily E.

    2015-09-01

    Using the recently suggested vector calculus for non-integer dimensional space, we consider electrodynamics problems in isotropic case. This calculus allows us to describe fractal media in the framework of continuum models with non-integer dimensional space. We consider electric and magnetic fields of fractal media with charges and currents in the framework of continuum models with non-integer dimensional spaces. An application of the fractal Gauss's law, the fractal Ampere's circuital law, the fractal Poisson equation for electric potential, and equation for fractal stream of charges are suggested. Lorentz invariance and speed of light in fractal electrodynamics are discussed. An expression for effective refractive index of non-integer dimensional space is suggested.

  15. Fractals and spectra related to fourier analysis and function spaces

    Triebel, Hans

    1997-01-01

    Fractals and Spectra Hans Triebel This book deals with the symbiotic relationship between the theory of function spaces, fractal geometry, and spectral theory of (fractal) pseudodifferential operators as it has emerged quite recently. Atomic and quarkonial (subatomic) decompositions in scalar and vector valued function spaces on the euclidean n-space pave the way to study properties (compact embeddings, entropy numbers) of function spaces on and of fractals. On this basis, distributions of eigenvalues of fractal (pseudo)differential operators are investigated. Diverse versions of fractal drums are played. The book is directed to mathematicians interested in functional analysis, the theory of function spaces, fractal geometry, partial and pseudodifferential operators, and, in particular, in how these domains are interrelated. ------ It is worth mentioning that there is virtually no literature on this topic and hence the most of the presented material is published here the first time. - Zentralblatt MATH (…) ...

  16. Turbulence Enhancement by Fractal Square Grids: Effects of the Number of Fractal Scales

    Omilion, Alexis; Ibrahim, Mounir; Zhang, Wei

    2017-11-01

    Fractal square grids offer a unique solution for passive flow control as they can produce wakes with a distinct turbulence intensity peak and a prolonged turbulence decay region at the expense of only minimal pressure drop. While previous studies have solidified this characteristic of fractal square grids, how the number of scales (or fractal iterations N) affect turbulence production and decay of the induced wake is still not well understood. The focus of this research is to determine the relationship between the fractal iteration N and the turbulence produced in the wake flow using well-controlled water-tunnel experiments. Particle Image Velocimetry (PIV) is used to measure the instantaneous velocity fields downstream of four different fractal grids with increasing number of scales (N = 1, 2, 3, and 4) and a conventional single-scale grid. By comparing the turbulent scales and statistics of the wake, we are able to determine how each iteration affects the peak turbulence intensity and the production/decay of turbulence from the grid. In light of the ability of these fractal grids to increase turbulence intensity with low pressure drop, this work can potentially benefit a wide variety of applications where energy efficient mixing or convective heat transfer is a key process.

  17. A Parallel Approach to Fractal Image Compression

    Lubomir Dedera

    2004-01-01

    Full Text Available The paper deals with a parallel approach to coding and decoding algorithms in fractal image compressionand presents experimental results comparing sequential and parallel algorithms from the point of view of achieved bothcoding and decoding time and effectiveness of parallelization.

  18. Fractal structures and intermittency in QCD

    Gustafson, Goesta.

    1990-04-01

    New results are presented for fractal structures and intermittency in QCD parton showers. A geometrical interpretation of the anomalous dimension in QCD is given. It is shown that model predications for factorial moments in the PEP-PETRA energy range are increased. if the properties of directly produced pions are more carefully taken into account

  19. Flames in fractal grid generated turbulence

    Goh, K H H; Hampp, F; Lindstedt, R P [Department of Mechanical Engineering, Imperial College, London SW7 2AZ (United Kingdom); Geipel, P, E-mail: p.lindstedt@imperial.ac.uk [Siemens Industrial Turbomachinery AB, SE-612 83 Finspong (Sweden)

    2013-12-15

    Twin premixed turbulent opposed jet flames were stabilized for lean mixtures of air with methane and propane in fractal grid generated turbulence. A density segregation method was applied alongside particle image velocimetry to obtain velocity and scalar statistics. It is shown that the current fractal grids increase the turbulence levels by around a factor of 2. Proper orthogonal decomposition (POD) was applied to show that the fractal grids produce slightly larger turbulent structures that decay at a slower rate as compared to conventional perforated plates. Conditional POD (CPOD) was also implemented using the density segregation technique and the results show that CPOD is essential to segregate the relative structures and turbulent kinetic energy distributions in each stream. The Kolmogorov length scales were also estimated providing values {approx}0.1 and {approx}0.5 mm in the reactants and products, respectively. Resolved profiles of flame surface density indicate that a thin flame assumption leading to bimodal statistics is not perfectly valid under the current conditions and it is expected that the data obtained will be of significant value to the development of computational methods that can provide information on the conditional structure of turbulence. It is concluded that the increase in the turbulent Reynolds number is without any negative impact on other parameters and that fractal grids provide a route towards removing the classical problem of a relatively low ratio of turbulent to bulk strain associated with the opposed jet configuration. (paper)

  20. Design of silicon-based fractal antennas

    Ghaffar, Farhan A.

    2012-11-20

    This article presents Sierpinski carpet fractal antennas implemented in conventional low resistivity (Ï =10 Ω cm) as well as high resistivity (Ï =1500 Ω cm) silicon mediums. The fractal antenna is 36% smaller as compared with a typical patch antenna at 24 GHz and provides 13% bandwidth on high resistivity silicon, suitable for high data rate applications. For the first time, an on-chip fractal antenna array is demonstrated in this work which provides double the gain of a single fractal element as well as enhanced bandwidth. A custom test fixture is utilized to measure the radiation pattern and gain of these probe-fed antennas. In addition to gain and impedance characterization, measurements have also been made to study intrachip communication through these antennas. The comparison between the low resistivity and high resistivity antennas indicate that the former is not a suitable medium for array implementation and is only suitable for short range communication whereas the latter is appropriate for short and medium range wireless communication. The design is well-suited for compact, high data rate System-on-Chip (SoC) applications as well as for intrachip communication such as wireless global clock distribution in synchronous systems. © 2012 Wiley Periodicals, Inc. Microwave Opt Technol Lett 55:180-186, 2013; View this article online at wileyonlinelibrary.com. DOI 10.1002/mop.27245 Copyright © 2012 Wiley Periodicals, Inc.

  1. Effect of noise on fractal structure

    Serletis, Demitre [Division of Neurosurgery, Hospital for Sick Children, 1504-555 University Avenue, Toronto, Ont., M5G 1X8 (Canada)], E-mail: demitre.serletis@utoronto.ca

    2008-11-15

    In this paper, I investigate the effect of dynamical noise on the estimation of the Hurst exponent and the fractal dimension of time series. Recently, Serletis et al. [Serletis, Apostolos, Asghar Shahmoradi, Demitre Serletis. Effect of noise on estimation of Lyapunov exponents from a time series. Chaos, Solitons and Fractals, forthcoming] have shown that dynamical noise can make the detection of chaotic dynamics very difficult, and Serletis et al. [Serletis, Apostolos, Asghar Shahmoradi, Demitre Serletis. Effect of noise on the bifurcation behavior of dynamical systems. Chaos, Solitons and Fractals, forthcoming] have shown that dynamical noise can also shift bifurcation points and produce noise-induced transitions, making the determination of bifurcation boundaries difficult. Here I apply the detrending moving average (DMA) method, recently developed by Alessio et al. [Alessio E, Carbone A, Castelli G, Frappietro V. Second-order moving average and scaling of stochastic time series. The Eur Phys J B 2002;27:197-200] and Carbone et al. [Carbone A, Castelli G, Stanley HE. Time-dependent Hurst exponent in financial time series. Physica A 2004;344:267-71; Carbone A, Castelli G, Stanley HE. Analysis of clusters formed by the moving average of a long-range correlated time series. Phys Rev E 2004;69:026105], to estimate the Hurst exponent of a Brownian walk with a Hurst exponent of 0.5, coupled with low and high intensity noise, and show that dynamical noise has no effect on fractal structure.

  2. Fractal geometry of high temperature superconductors

    Mosolov, A.B.

    1989-01-01

    Microstructural geometry of superconducting structural composites of Ag-Yba 2 Cu 3 O x system with a volumetric shave of silver from 0 to 60% is investigated by light and electron microscopy methods. It is ascertained that the structure of cermets investigated is characterized by fractal geometry which is sufficient for describing the electrical and mechanical properties of these materials

  3. Fractality and the law of the wall

    Xu, Haosen H. A.; Yang, X. I. A.

    2018-05-01

    Fluid motions in the inertial range of isotropic turbulence are fractal, with their space-filling capacity slightly below regular three-dimensional objects, which is a consequence of the energy cascade. Besides the energy cascade, the other often encountered cascading process is the momentum cascade in wall-bounded flows. Despite the long-existing analogy between the two processes, many of the thoroughly investigated aspects of the energy cascade have so far received little attention in studies of the momentum counterpart, e.g., the possibility of the momentum-transferring scales in the logarithmic region being fractal has not been considered. In this work, this possibility is pursued, and we discuss one of its implications. Following the same dimensional arguments that lead to the D =2.33 fractal dimension of wrinkled surfaces in isotropic turbulence, we show that the large-scale momentum-carrying eddies may also be fractal and non-space-filling, which then leads to the power-law scaling of the mean velocity profile. The logarithmic law of the wall, on the other hand, corresponds to space-filling eddies, as suggested by Townsend [The Structure of Turbulent Shear Flow (Cambridge University Press, Cambridge, 1980)]. Because the space-filling capacity is an integral geometric quantity, the analysis presented in this work provides us with a low-order quantity, with which, one would be able to distinguish between the logarithmic law and the power law.

  4. Design of silicon-based fractal antennas

    Ghaffar, Farhan A.; Shamim, Atif

    2012-01-01

    This article presents Sierpinski carpet fractal antennas implemented in conventional low resistivity (Ï =10 Ω cm) as well as high resistivity (Ï =1500 Ω cm) silicon mediums. The fractal antenna is 36% smaller as compared with a typical patch antenna at 24 GHz and provides 13% bandwidth on high resistivity silicon, suitable for high data rate applications. For the first time, an on-chip fractal antenna array is demonstrated in this work which provides double the gain of a single fractal element as well as enhanced bandwidth. A custom test fixture is utilized to measure the radiation pattern and gain of these probe-fed antennas. In addition to gain and impedance characterization, measurements have also been made to study intrachip communication through these antennas. The comparison between the low resistivity and high resistivity antennas indicate that the former is not a suitable medium for array implementation and is only suitable for short range communication whereas the latter is appropriate for short and medium range wireless communication. The design is well-suited for compact, high data rate System-on-Chip (SoC) applications as well as for intrachip communication such as wireless global clock distribution in synchronous systems. © 2012 Wiley Periodicals, Inc. Microwave Opt Technol Lett 55:180-186, 2013; View this article online at wileyonlinelibrary.com. DOI 10.1002/mop.27245 Copyright © 2012 Wiley Periodicals, Inc.

  5. Mitered fractal trees: constructions and properties

    Verhoeff, T.; Verhoeff, K.; Bosch, R.; McKenna, D.; Sarhangi, R.

    2012-01-01

    Tree-like structures, that is, branching structures without cycles, are attractive for artful expression. Especially interesting are fractal trees, where each subtree is a scaled and possibly otherwise transformed version of the entire tree. Such trees can be rendered in 3D by using beams with a

  6. Geological mapping using fractal technique | Lawal | Nigerian ...

    In this work the use of fractal scaling exponents for geological mapping was first investigated using theoretical models, and results from the analysis showed that the scaling exponents mapped isolated bodies but did not properly resolve bodies close to each other. However application on real data (the Mamfe basin, the ...

  7. Geological mapping using fractal technique | Lawal | Nigerian ...

    ... in Nigeria) showed good correlation with the geological maps of the areas. The results also indicated that basement rocks can generally be represented by scaling exponents with values ranging between -3.0 and -2.0. Keywords: Fractal, dimension, susceptibility, spectra, scaling exponent. Nigerian Journal of Physics Vol.

  8. Incarceration and Household Asset Ownership.

    Turney, Kristin; Schneider, Daniel

    2016-12-01

    A considerable literature documents the deleterious economic consequences of incarceration. However, little is known about the consequences of incarceration for household assets-a distinct indicator of economic well-being that may be especially valuable to the survival of low-income families-or about the spillover economic consequences of incarceration for families. In this article, we use longitudinal data from the Fragile Families and Child Wellbeing Study to examine how incarceration is associated with asset ownership among formerly incarcerated men and their romantic partners. Results, which pay careful attention to the social forces that select individuals into incarceration, show that incarceration is negatively associated with ownership of a bank account, vehicle, and home among men and that these consequences for asset ownership extend to the romantic partners of these men. These associations are concentrated among men who previously held assets. Results also show that post-incarceration changes in romantic relationships are an important pathway by which even short-term incarceration depletes assets.

  9. Allan deviation analysis of financial return series

    Hernández-Pérez, R.

    2012-05-01

    We perform a scaling analysis for the return series of different financial assets applying the Allan deviation (ADEV), which is used in the time and frequency metrology to characterize quantitatively the stability of frequency standards since it has demonstrated to be a robust quantity to analyze fluctuations of non-stationary time series for different observation intervals. The data used are opening price daily series for assets from different markets during a time span of around ten years. We found that the ADEV results for the return series at short scales resemble those expected for an uncorrelated series, consistent with the efficient market hypothesis. On the other hand, the ADEV results for absolute return series for short scales (first one or two decades) decrease following approximately a scaling relation up to a point that is different for almost each asset, after which the ADEV deviates from scaling, which suggests that the presence of clustering, long-range dependence and non-stationarity signatures in the series drive the results for large observation intervals.

  10. Fractal nature of hydrocarbon deposits. 2. Spatial distribution

    Barton, C.C.; Schutter, T.A; Herring, P.R.; Thomas, W.J.; Scholz, C.H.

    1991-01-01

    Hydrocarbons are unevenly distributed within reservoirs and are found in patches whose size distribution is a fractal over a wide range of scales. The spatial distribution of the patches is also fractal and this can be used to constrain the design of drilling strategies also defined by a fractal dimension. Fractal distributions are scale independent and are characterized by a power-law scaling exponent termed the fractal dimension. The authors have performed fractal analyses on the spatial distribution of producing and showing wells combined and of dry wells in 1,600-mi 2 portions of the Denver and Powder River basins that were nearly completely drilled on quarter-mile square-grid spacings. They have limited their analyses to wells drilled to single stratigraphic intervals so that the map pattern revealed by drilling is representative of the spatial patchiness of hydrocarbons at depth. The fractal dimensions for the spatial patchiness of hydrocarbons in the two basins are 1.5 and 1.4, respectively. The fractal dimension for the pattern of all wells drilled is 1.8 for both basins, which suggests a drilling strategy with a fractal dimension significantly higher than the dimensions 1.5 and 1.4 sufficient to efficiently and economically explore these reservoirs. In fact, the fractal analysis reveals that the drilling strategy used in these basins approaches a fractal dimension of 2.0, which is equivalent to random drilling with no geologic input. Knowledge of the fractal dimension of a reservoir prior to drilling would provide a basis for selecting and a criterion for halting a drilling strategy for exploration whose fractal dimension closely matches that of the spatial fractal dimension of the reservoir, such a strategy should prove more efficient and economical than current practice

  11. The asset pricing model of musharakah factors

    Simon, Shahril; Omar, Mohd; Lazam, Norazliani Md

    2015-02-01

    The existing three-factor model developed by Fama and French for conventional investment was formulated based on risk-free rates element in which contradict with Shariah principles. We note that the underlying principles that govern Shariah investment were mutual risk and profit sharing between parties, the assurance of fairness for all and that transactions were based on an underlying asset. In addition, the three-factor model did not exclude stock that was not permissible by Shariah such as financial services based on riba (interest), gambling operator, manufacture or sale of non-halal products or related products and other activities deemed non-permissible according to Shariah. Our approach to construct the factor model for Shariah investment was based on the basic tenets of musharakah in tabulating the factors. We start by noting that Islamic stocks with similar characteristics should have similar returns and risks. This similarity between Islamic stocks was defined by the similarity of musharakah attributes such as business, management, profitability and capital. These attributes define factor exposures (or betas) to factors. The main takeaways were that musharakah attributes we chose had explain stock returns well in cross section and were significant in different market environments. The management factor seemed to be responsible for the general dynamics of the explanatory power.

  12. Inverse Statistics and Asset Allocation Efficiency

    Bolgorian, Meysam

    In this paper using inverse statistics analysis, the effect of investment horizon on the efficiency of portfolio selection is examined. Inverse statistics analysis is a general tool also known as probability distribution of exit time that is used for detecting the distribution of the time in which a stochastic process exits from a zone. This analysis was used in Refs. 1 and 2 for studying the financial returns time series. This distribution provides an optimal investment horizon which determines the most likely horizon for gaining a specific return. Using samples of stocks from Tehran Stock Exchange (TSE) as an emerging market and S&P 500 as a developed market, effect of optimal investment horizon in asset allocation is assessed. It is found that taking into account the optimal investment horizon in TSE leads to more efficiency for large size portfolios while for stocks selected from S&P 500, regardless of portfolio size, this strategy does not only not produce more efficient portfolios, but also longer investment horizons provides more efficiency.

  13. Loss Aversion, Adaptive Beliefs, and Asset Pricing Dynamics

    Kamal Samy Selim

    2015-01-01

    Full Text Available We study asset pricing dynamics in artificial financial markets model. The financial market is populated with agents following two heterogeneous trading beliefs, the technical and the fundamental prediction rules. Agents switch between trading rules with respect to their past performance. The agents are loss averse over asset price fluctuations. Loss aversion behaviour depends on the past performance of the trading strategies in terms of an evolutionary fitness measure. We propose a novel application of the prospect theory to agent-based modelling, and by simulation, the effect of evolutionary fitness measure on adaptive belief system is investigated. For comparison, we study pricing dynamics of a financial market populated with chartists perceive losses and gains symmetrically. One of our contributions is validating the agent-based models using real financial data of the Egyptian Stock Exchange. We find that our framework can explain important stylized facts in financial time series, such as random walk price behaviour, bubbles and crashes, fat-tailed return distributions, power-law tails in the distribution of returns, excess volatility, volatility clustering, the absence of autocorrelation in raw returns, and the power-law autocorrelations in absolute returns. In addition to this, we find that loss aversion improves market quality and market stability.

  14. Electron spin-lattice relaxation in fractals

    Shrivastava, K.N.

    1986-08-01

    We have developed the theory of the spin-fracton interaction for paramagnetic ions in fractal structures. The interaction is exponentially damped by the self-similarity length of the fractal and by the range dimensionality d Φ . The relaxation time of the spin due to the absorption and emission of the fracton has been calculated for a general dimensionality called the Raman dimensionality d R , which for the fractons differs from the Hausdorff (fractal) dimensionality, D, as well as from the Euclidean dimensionality, d. The exponent of the energy level separation in the relaxation rate varies with d R d Φ /D. We have calculated the spin relaxation rate due to a new type of Raman process in which one fracton is absorbed to affect a spin transition from one electronic level to another and later another fracton is emitted along with a spin transition such that the difference in the energies of the two fractons is equal to the electronic energy level separation. The temperature and the dimensionality dependence of such a process has been found in several approximations. In one of the approximations where the van Vleck relaxation rate for a spin in a crystal is known to vary with temperature as T 9 , our calculated variation for fractals turns out to be T 6.6 , whereas the experimental value for Fe 3+ in frozen solutions of myoglobin azide is T 6.3 . Since we used d R =4/3 and the fracton range dimensionality d Φ =D/1.8, we expect to measure the dimensionalities of the problem by measuring the temperature dependence of the relaxation times. We have also calculated the shift of the paramagnetic resonance transition for a spin in a fractal for general dimensionalities. (author)

  15. Cross section of equity returns and assets’ fundamental cash-flow risk

    Galsband, V.

    2010-01-01

    The decomposition of consumption beta into a component driven by assets' cash-flow news and one related to assets' discount-rate news reveals that macroeconomic risks embodied in cash flows largely account for the cross-sectional dynamics of average stock returns. Empirically, we find that

  16. ASSET guidelines. Revised 1991 Edition

    1991-12-01

    The present publication is an updated version of the IAEA Assessment of Safety Significant Events Team (ASSET) Guidelines, IAEA-TECDOC-573, published in 1990. Sections 5 and 6 include revised definitions and investigation guidelines for identification of both direct and root causes. These revisions were recommended by a Consultants Meeting held in Vienna on 3-7 December 1990. This guidance is not intended to infringe an expert's prerogative to investigate additional items. Its main purpose is to provide a basic structure and ensure consistency in the assessments. Use of the ASSET guidelines should also facilitate comparison between the observations made in different nuclear power plants and harmonize the reporting of generic ASSET results. The guidelines should always be used with a critical attitude and a view to possible improvements

  17. ASSETS STRUCTURE AT CREDIT UNIONS

    Tiplea Augustin

    2011-12-01

    Full Text Available Balance is a static tool for assessing the entity's position, profit and loss on one hand and cash flow statement on the other hand. These are dynamic situations on one hand showing the effectiveness or ineffectiveness of the total consumption of resources ( profit and loss and on the other hand entity's business viability (by cash flows. As reflection of financial position, the balance, established at the end of the reporting period (called a financial year, describes separately items of assets, liabilities and equity of the company. Assets are resources controlled by the enterprise as a result of past events and from which is expected to generate future economic benefits for the enterprise. The economic benefits correspond to a production potential, a possibility for conversion into cash or a reduction in output capacity of funds (cost reduction that an asset contributes, directly or indirectly to a company-specific cash flow.

  18. MANAJEMEN LABA, RETURN SAHAM, DAN KINERJA OPERASI SEBAGAI PEMODERASI

    Farid Addy Sumantri

    2017-09-01

    Full Text Available The purpose of this study was to determine the indications of the practice of earnings management at the time of the IPO, one year after the IPO, and two years after the IPO. This study also examined the effect of earnings management on stock returns and operating performance in moderating the relationship between earnings management and stock returns. The study sample comprised 33 firms that go public in the year 2007 to 2011 using a purposive sampling method. Earnings management is proxied by discretionary accruals using the Modified Jones Model, which used proxy for the stock return is cummulative abnormal returns (CAR, while for the company's operating performance used proxy for the return on assets (ROA. The results showed that there were indications of earnings management at the time of the IPO, one year after the IPO, and two years after the IPO with a lower profit rate. No effect on earnings management is proxied by stock return cummulative abnormal returns (CAR. Operating performance of the company also can not moderate the relationship between earnings management with stock return.   Keywords: Earning Management, Initial Public Offering, Cummulative Abnormal Return, Return On Asset

  19. 2014 World Congress on Engineering Asset Management

    Hoohlo, Changela; Mathew, Joe

    2015-01-01

    Engineering asset management encompasses all types of engineered assets including built environment, infrastructure, plant, equipment, hardware systems and components. Following the release of ISO 5500x set of standards, the 9th WCEAM addresses the hugely important issue of what constitutes the body of knowledge in Engineering Asset Management. Topics discussed by Congress delegates are grouped into a number of tracks including strategies for investment and divestment of assets, operations and maintenance of assets, assessments of assets condition, risk and vulnerability, technologies and systems for management of asset, standards, education, training and certification. These proceedings include a sample of the wide range of topics presented during the 9th World Congress on Engineering Asset Management in Pretoria South Africa 28 – 31 October, 2014 and complements other emerging publications and standards that embrace the wide ranging issues concerning the management of engineered physical assets.

  20. FRACTAL ANALYSIS OF TRABECULAR BONE: A STANDARDISED METHODOLOGY

    Ian Parkinson

    2011-05-01

    Full Text Available A standardised methodology for the fractal analysis of histological sections of trabecular bone has been established. A modified box counting method has been developed for use on a PC based image analyser (Quantimet 500MC, Leica Cambridge. The effect of image analyser settings, magnification, image orientation and threshold levels, was determined. Also, the range of scale over which trabecular bone is effectively fractal was determined and a method formulated to objectively calculate more than one fractal dimension from the modified Richardson plot. The results show that magnification, image orientation and threshold settings have little effect on the estimate of fractal dimension. Trabecular bone has a lower limit below which it is not fractal (λ<25 μm and the upper limit is 4250 μm. There are three distinct fractal dimensions for trabecular bone (sectional fractals, with magnitudes greater than 1.0 and less than 2.0. It has been shown that trabecular bone is effectively fractal over a defined range of scale. Also, within this range, there is more than 1 fractal dimension, describing spatial structural entities. Fractal analysis is a model independent method for describing a complex multifaceted structure, which can be adapted for the study of other biological systems. This may be at the cell, tissue or organ level and compliments conventional histomorphometric and stereological techniques.

  1. Closed contour fractal dimension estimation by the Fourier transform

    Florindo, J.B.; Bruno, O.M.

    2011-01-01

    Highlights: → A novel fractal dimension concept, based on Fourier spectrum, is proposed. → Computationally simple. Computational time smaller than conventional fractal methods. → Results are closer to Hausdorff-Besicovitch than conventional methods. → The method is more accurate and robustness to geometric operations and noise addition. - Abstract: This work proposes a novel technique for the numerical calculus of the fractal dimension of fractal objects which can be represented as a closed contour. The proposed method maps the fractal contour onto a complex signal and calculates its fractal dimension using the Fourier transform. The Fourier power spectrum is obtained and an exponential relation is verified between the power and the frequency. From the parameter (exponent) of the relation, is obtained the fractal dimension. The method is compared to other classical fractal dimension estimation methods in the literature, e.g., Bouligand-Minkowski, box-counting and classical Fourier. The comparison is achieved by the calculus of the fractal dimension of fractal contours whose dimensions are well-known analytically. The results showed the high precision and robustness of the proposed technique.

  2. A critical evaluation of risk-return characteristics of environmentally focused stock’s companies

    Stanislav Škapa

    2013-01-01

    Full Text Available The objective of the paper is to critically evaluate and determine risk-return profile environmentally focused stock’s companies which are covered by STOXX Global ESG Environmental Leaders Index and whether this index should be taken in as an independent asset class of investments portfolio for its risk-return improvement. This paper gives an empirical view on the ex-post asset classes characteristics focused mainly on risk side of investment.

  3. Entrainment to a real time fractal visual stimulus modulates fractal gait dynamics.

    Rhea, Christopher K; Kiefer, Adam W; D'Andrea, Susan E; Warren, William H; Aaron, Roy K

    2014-08-01

    Fractal patterns characterize healthy biological systems and are considered to reflect the ability of the system to adapt to varying environmental conditions. Previous research has shown that fractal patterns in gait are altered following natural aging or disease, and this has potential negative consequences for gait adaptability that can lead to increased risk of injury. However, the flexibility of a healthy neurological system to exhibit different fractal patterns in gait has yet to be explored, and this is a necessary step toward understanding human locomotor control. Fifteen participants walked for 15min on a treadmill, either in the absence of a visual stimulus or while they attempted to couple the timing of their gait with a visual metronome that exhibited a persistent fractal pattern (contained long-range correlations) or a random pattern (contained no long-range correlations). The stride-to-stride intervals of the participants were recorded via analog foot pressure switches and submitted to detrended fluctuation analysis (DFA) to determine if the fractal patterns during the visual metronome conditions differed from the baseline (no metronome) condition. DFA α in the baseline condition was 0.77±0.09. The fractal patterns in the stride-to-stride intervals were significantly altered when walking to the fractal metronome (DFA α=0.87±0.06) and to the random metronome (DFA α=0.61±0.10) (both p<.05 when compared to the baseline condition), indicating that a global change in gait dynamics was observed. A variety of strategies were identified at the local level with a cross-correlation analysis, indicating that local behavior did not account for the consistent global changes. Collectively, the results show that a gait dynamics can be shifted in a prescribed manner using a visual stimulus and the shift appears to be a global phenomenon. Copyright © 2014 Elsevier B.V. All rights reserved.

  4. Fractal analysis of fractures and microstructures in rocks

    Merceron, T.; Nakashima, S.; Velde, B.; Badri, A.

    1991-01-01

    Fractal geometry was used to characterize the distribution of fracture fields in rocks, which represent main pathways for material migration such as groundwater flow. Fractal investigations of fracture distribution were performed on granite along Auriat and Shikoku boreholes. Fractal dimensions range between 0.3 and 0.5 according to the different sets of fracture planes selected for the analyses. Shear, tension and compressional modes exhibit different fractal values while the composite fracture patterns are also fractal but with a different, median, fractal value. These observations indicate that the fractal method can be used to distinguish fracture types of different origins in a complex system. Fractal results for Shikoku borehole also correlate with geophysical parameters recorded along, drill-holes such as resistivity and possibly permeability. These results represent the first steps of the fractal investigation along drill-holes. Future studies will be conducted to verify relationships between fractal dimensions and permeability by using available geophysical data. Microstructures and microcracks were analysed in the Inada granite. Microcrack patterns are fractal but fractal dimensions values vary according to both mineral type and orientations of measurement within the mineral. Microcracks in quartz are characterized by more irregular distribution (average D = 0.40) than those in feldspars (D = 0.50) suggesting a different mode of rupture. Highest values of D are reported along main cleavage planes for feldspars or C axis for quartz. Further fractal investigations of microstructure in granite will be used to characterize the potential pathways for fluid migration and diffusion in the rock matrix. (author)

  5. Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming

    Vercher, Enriqueta

    2008-08-01

    This paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.

  6. Comprehensive transportation asset management : making a business case and prioritizing assets for inclusion in formal asset management programs.

    2011-12-01

    Several agencies are applying asset management principles as a business tool and paradigm to help them define goals and prioritize agency resources in decision making. Previously, transportation asset management (TAM) has focused more on big ticke...

  7. Saving-Based Asset Pricing

    Dreyer, Johannes Kabderian; Schneider, Johannes; T. Smith, William

    2013-01-01

    This paper explores the implications of a novel class of preferences for the behavior of asset prices. Following a suggestion by Marshall (1920), we entertain the possibility that people derive utility not only from consumption, but also from the very act of saving. These ‘‘saving-based’’ prefere...

  8. Strategic Asset Seeking by EMNEs

    Petersen, Bent; Seifert, Jr., Rene E.

    2014-01-01

    Purpose: The chapter provides an economic explanation and perspectivation of strategic asset seeking of multinational enterprises from emerging economies (EMNEs) as a prominent feature of today’s global economy. Approach: The authors apply and extend the “springboard perspective.” This perspective...

  9. Asset tracking in harsh environments

    O'Neal, E.S.

    2009-01-01

    Current economic times require tight control of all assets / inventory and processes a company manages. These items if managed correctly and timely can mean the difference between success and failure of a company. Cost savings in hard economic times are essential to allow a company to utilize its assets to the fullest potential by eliminating duplication and waste. Accurate process management leads to greater customer satisfaction and loyalty. Many industries and processes have believed it to be impossible to track their products or assets using bar-codes due to the unique conditions of their environment; whether it is high temperature, rough handling or chemicals. That has now changed. Companies specializing in identification methods have stepped up to the challenge and have overcome many obstacles of the past. It's no longer a paper or plastic bar-code world. The presentation will be broken down into four parts: 1) The differences between Asset and ID tracking; 2) Why does a company need to bar-code?; 3) The objections many companies use for not bar-coding; and, 4) What's new in bar-coding? Case study handouts and a reference list of various companies including software, labeling and attachment techniques will be available at the end of the presentation. (author)

  10. Asset tracking in harsh environments

    O' Neal, E.S. [Infosight Corp., Chillicothe, OH (United States)

    2009-07-01

    Current economic times require tight control of all assets / inventory and processes a company manages. These items if managed correctly and timely can mean the difference between success and failure of a company. Cost savings in hard economic times are essential to allow a company to utilize its assets to the fullest potential by eliminating duplication and waste. Accurate process management leads to greater customer satisfaction and loyalty. Many industries and processes have believed it to be impossible to track their products or assets using bar-codes due to the unique conditions of their environment; whether it is high temperature, rough handling or chemicals. That has now changed. Companies specializing in identification methods have stepped up to the challenge and have overcome many obstacles of the past. It's no longer a paper or plastic bar-code world. The presentation will be broken down into four parts: 1) The differences between Asset and ID tracking; 2) Why does a company need to bar-code?; 3) The objections many companies use for not bar-coding; and, 4) What's new in bar-coding? Case study handouts and a reference list of various companies including software, labeling and attachment techniques will be available at the end of the presentation. (author)

  11. Fractal zeta functions and fractal drums higher-dimensional theory of complex dimensions

    Lapidus, Michel L; Žubrinić, Darko

    2017-01-01

    This monograph gives a state-of-the-art and accessible treatment of a new general higher-dimensional theory of complex dimensions, valid for arbitrary bounded subsets of Euclidean spaces, as well as for their natural generalization, relative fractal drums. It provides a significant extension of the existing theory of zeta functions for fractal strings to fractal sets and arbitrary bounded sets in Euclidean spaces of any dimension. Two new classes of fractal zeta functions are introduced, namely, the distance and tube zeta functions of bounded sets, and their key properties are investigated. The theory is developed step-by-step at a slow pace, and every step is well motivated by numerous examples, historical remarks and comments, relating the objects under investigation to other concepts. Special emphasis is placed on the study of complex dimensions of bounded sets and their connections with the notions of Minkowski content and Minkowski measurability, as well as on fractal tube formulas. It is shown for the f...

  12. Life Assets in Teenage Pregnancy

    Thatsanee Soontrapirom

    2017-05-01

    Full Text Available Background: Teenage pregnancy is an evolving global public health problem. Level of life assets could predict behaviors and take effect to less sexual risk behaviors in teenagers. Objective: To compare life assets between pregnant and non-pregnant teenagers and to evaluate the relationship between basic factors and teenage pregnancy. Methods: A total of 172 female teenagers aged 12-19 years were included. The control group was matched with the case group by age with mean age of 17.07 years old. The case group consisted of 86 pregnant teenagers who attended the Teenage Antenatal Care Unit at Siriraj Hospital. The control group consisted of 86 teenagers who were not pregnant and who had never been pregnant. The research instruments were general information and life assets inventory questionnaires developed by Suriyadeo Tripathi with Cronbach’s Alpha coefficient at 0.890. Results: Mean life assets scores were significantly higher in the control group than in the case group (T-test analysis: Mean = 94.70/87.65, SD = 17.45/22.68, p-value =.024, respectively. The control group scored more favorably than the case group on 16 items. In addition, the case group could not meet the minimum assessment criteria on 21 items, which indicated their status as an at risk group. A total of 12 factors were found to be statistically significantly associated with teenage pregnancy. Conclusion: Overall life assets were significantly higher among teenagers who had not experienced pregnancy. The risk factors included level of education, GPA, family income, mothers or family members of teenagers having experience of teenage pregnancy, main guardians, father education, mother occupation, parental relationship, family warmth and smoking were found to be significantly associated with risk of teenage pregnancy in this study. These results will help to facilitate preventive interventions and the development of policies and guidelines to control and perhaps reverse current

  13. Prediction of future asset prices

    Seong, Ng Yew; Hin, Pooi Ah; Ching, Soo Huei

    2014-12-01

    This paper attempts to incorporate trading volumes as an additional predictor for predicting asset prices. Denoting r(t) as the vector consisting of the time-t values of the trading volume and price of a given asset, we model the time-(t+1) asset price to be dependent on the present and l-1 past values r(t), r(t-1), ....., r(t-1+1) via a conditional distribution which is derived from a (2l+1)-dimensional power-normal distribution. A prediction interval based on the 100(α/2)% and 100(1-α/2)% points of the conditional distribution is then obtained. By examining the average lengths of the prediction intervals found by using the composite indices of the Malaysia stock market for the period 2008 to 2013, we found that the value 2 appears to be a good choice for l. With the omission of the trading volume in the vector r(t), the corresponding prediction interval exhibits a slightly longer average length, showing that it might be desirable to keep trading volume as a predictor. From the above conditional distribution, the probability that the time-(t+1) asset price will be larger than the time-t asset price is next computed. When the probability differs from 0 (or 1) by less than 0.03, the observed time-(t+1) increase in price tends to be negative (or positive). Thus the above probability has a good potential of being used as a market indicator in technical analysis.

  14. Stock return distribution in the BRICS

    George Adu

    2015-12-01

    Full Text Available Stock returns in emerging market economies exhibit patterns that are distinctively different from developed countries: returns are noted to be highly volatile and autocorrelated, and long horizon returns are predictable. While these stylized facts are well established, the assumption underlying the distribution of returns is less understood. In particular, the empirical literature continues to rely on the normality assumption as a starting point, and most asset pricing models tend to overstretch this point. This paper questions the rationale behind this supposition and proceeds to test more formally for normality using multivariate joint test for skewness and kurtosis. Additionally, the paper extends the literature by examining a number of empirical regularities for Brazil, Russia, India, China and South Africa (the BRICS for short. Our main findings are that the distribution of stock returns for the BRICS exhibits peakedness with fatter and longer tails, and this is invariant to both the unit of measurement and the time horizon of returns. Volatility clustering is prevalent in all markets, and this decays exponentially for all but Brazil. The relationship between risk and return is found to be significant and risk premiums are prevalent in our sample.

  15. Fractal dimension analysis of complexity in Ligeti piano pieces

    Bader, Rolf

    2005-04-01

    Fractal correlation dimensional analysis has been performed with whole solo piano pieces by Gyrgy Ligeti at every 50ms interval of the pieces. The resulting curves of development of complexity represented by the fractal dimension showed up a very reasonable correlation with the perceptional density of events during these pieces. The seventh piece of Ligeti's ``Musica ricercata'' was used as a test case. Here, each new part of the piece was followed by an increase of the fractal dimension because of the increase of information at the part changes. The second piece ``Galamb borong,'' number seven of the piano Etudes was used, because Ligeti wrote these Etudes after studying fractal geometry. Although the piece is not fractal in the strict mathematical sense, the overall structure of the psychoacoustic event-density as well as the detailed event development is represented by the fractal dimension plot.

  16. A new numerical approximation of the fractal ordinary differential equation

    Atangana, Abdon; Jain, Sonal

    2018-02-01

    The concept of fractal medium is present in several real-world problems, for instance, in the geological formation that constitutes the well-known subsurface water called aquifers. However, attention has not been quite devoted to modeling for instance, the flow of a fluid within these media. We deem it important to remind the reader that the concept of fractal derivative is not to represent the fractal sharps but to describe the movement of the fluid within these media. Since this class of ordinary differential equations is highly complex to solve analytically, we present a novel numerical scheme that allows to solve fractal ordinary differential equations. Error analysis of the method is also presented. Application of the method and numerical approximation are presented for fractal order differential equation. The stability and the convergence of the numerical schemes are investigated in detail. Also some exact solutions of fractal order differential equations are presented and finally some numerical simulations are presented.

  17. Evaluation of 3D Printer Accuracy in Producing Fractal Structure.

    Kikegawa, Kana; Takamatsu, Kyuuichirou; Kawakami, Masaru; Furukawa, Hidemitsu; Mayama, Hiroyuki; Nonomura, Yoshimune

    2017-01-01

    Hierarchical structures, also known as fractal structures, exhibit advantageous material properties, such as water- and oil-repellency as well as other useful optical characteristics, owing to its self-similarity. Various methods have been developed for producing hierarchical geometrical structures. Recently, fractal structures have been manufactured using a 3D printing technique that involves computer-aided design data. In this study, we confirmed the accuracy of geometrical structures when Koch curve-like fractal structures with zero to three generations were printed using a 3D printer. The fractal dimension was analyzed using a box-counting method. This analysis indicated that the fractal dimension of the third generation hierarchical structure was approximately the same as that of the ideal Koch curve. These findings demonstrate that the design and production of fractal structures can be controlled using a 3D printer. Although the interior angle deviated from the ideal value, the side length could be precisely controlled.

  18. Transmission assets investment timing using net present value curves

    Garcia, Reinaldo C.; Contreras, Javier; Correia, Pedro F.; Munoz, Jose I.

    2010-01-01

    Improvement and expansion of the transmission grid is still an unresolved issue in the new competitive environment. In current electricity markets, transmission lines have become assets that need financial instruments for investors who wish to ensure steady long-term returns and to withstand short-term market volatility. The timing and the combination of new transmission investments is key to analyze their long-term effects. This paper presents the concept of net present value (NPV) curve to estimate the best investment time for the investor, where the curve is constructed by calculating the NPVs resulting from the investment in successive years. A specific contract model based on financial transmission rights (FTR) is used for the NPV evaluation of transmission assets, and the stochastic properties of all variables related to the investment market structure are considered. The model is applied to the IEEE 24-bus Reliability Test System (RTS) showing the approach capabilities as a decision-aid tool for transmission investors.

  19. Generation of fractals from complex logistic map

    Rani, Mamta [Galgotias College of Engg. and Technology, Greater Noida (India)], E-mail: mamtarsingh@rediffmail.com; Agarwal, Rashi [IEC College of Engg. and Tech., Greater Noida (India)], E-mail: agarwal_rashi@yahoo.com

    2009-10-15

    Remarkably benign looking logistic transformations x{sub n+1} = r x{sub n}(1 - x{sub n}) for choosing x{sub 0} between 0 and 1 and 0 < r {<=} 4 have found a celebrated place in chaos, fractals and discrete dynamics. The strong physical meaning of Mandelbrot and Julia sets is broadly accepted and nicely connected by Christian Beck [Beck C. Physical meaning for Mandelbrot and Julia sets. Physica D 1999;125(3-4):171-182. Zbl0988.37060] to the complex logistic maps, in the former case, and to the inverse complex logistic map, in the latter case. The purpose of this paper is to study the bounded behavior of the complex logistic map using superior iterates and generate fractals from the same. The analysis in this paper shows that many beautiful properties of the logistic map are extendable for a larger value of r.

  20. Static friction between rigid fractal surfaces.

    Alonso-Marroquin, Fernando; Huang, Pengyu; Hanaor, Dorian A H; Flores-Johnson, E A; Proust, Gwénaëlle; Gan, Yixiang; Shen, Luming

    2015-09-01

    Using spheropolygon-based simulations and contact slope analysis, we investigate the effects of surface topography and atomic scale friction on the macroscopically observed friction between rigid blocks with fractal surface structures. From our mathematical derivation, the angle of macroscopic friction is the result of the sum of the angle of atomic friction and the slope angle between the contact surfaces. The latter is obtained from the determination of all possible contact slopes between the two surface profiles through an alternative signature function. Our theory is validated through numerical simulations of spheropolygons with fractal Koch surfaces and is applied to the description of frictional properties of Weierstrass-Mandelbrot surfaces. The agreement between simulations and theory suggests that for interpreting macroscopic frictional behavior, the descriptors of surface morphology should be defined from the signature function rather than from the slopes of the contacting surfaces.

  1. Fractal Adaptive Web Service for Mobile Learning

    Ichraf Tirellil

    2006-06-01

    Full Text Available This paper describes our proposition for adaptive web services which is based on configurable, re-usable adaptive/personalized services. To realize our ideas, we have developed an approach for designing, implementing and maintaining personal service. This approach enables the user to accomplish an activity with a set of services answering to his preferences, his profiles and to a personalized context. In this paper, we describe the principle of our approach that we call fractal adaptation approach, and we discuss the implementation of personalization services in the context of mobile and collaborative scenario of learning. We have realized a platform in this context -a platform for mobile and collaborative learning- based on fractal adaptable web services. The platform is tested with a population of students and tutors, in order to release the gaps and the advantages of the approach suggested.

  2. Fractal Analysis of Stealthy Pathfinding Aesthetics

    Ron Coleman

    2009-01-01

    Full Text Available This paper uses a fractal model to analyze aesthetic values of a new class of obstacle-prone or “stealthy” pathfinding which seeks to avoid detection, exposure, openness, and so forth in videogames. This study is important since in general the artificial intelligence literature has given relatively little attention to aesthetic outcomes in pathfinding. The data we report, according to the fractal model, suggests that stealthy paths are statistically significantly unique in relative aesthetic value when compared to control paths. We show furthermore that paths generated with different stealth regimes are also statistically significantly unique. These conclusions are supported by statistical analysis of model results on experimental trials involving pathfinding in randomly generated, multiroom virtual worlds.

  3. A TUTORIAL INTRODUCTION TO ADAPTIVE FRACTAL ANALYSIS

    Michael A Riley

    2012-09-01

    Full Text Available The authors present a tutorial description of adaptive fractal analysis (AFA. AFA utilizes an adaptive detrending algorithm to extract globally smooth trend signals from the data and then analyzes the scaling of the residuals to the fit as a function of the time scale at which the fit is computed. The authors present applications to synthetic mathematical signals to verify the accuracy of AFA and demonstrate the basic steps of the analysis. The authors then present results from applying AFA to time series from a cognitive psychology experiment on repeated estimation of durations of time to illustrate some of the complexities of real-world data. AFA shows promise in dealing with many types of signals, but like any fractal analysis method there are special challenges and considerations to take into account, such as determining the presence of linear scaling regions.

  4. Reengineering through natural structures: the fractal factory

    Sihn, Wilfried

    1995-08-01

    Many branches of European industry have had to recognize that their lead in the world market has been caught up with, particularly through Asian competition. In many cases a deficit of up to 30% in costs and productivity already exists. The reasons are rigid, Tayloristic company structures. The companies are not in a position to react flexibly to constantly changing environmental conditions. This article illustrates the methods of the `fractal company' which are necessary to solve the structure crisis. The fractal company distinguishes itself through its dynamics and its vitality, as well as its independent reaction to the changing circumstances. The developed methods, procedures, and framework conditions such as company structuring, human networking, hierarchy formation, and models for renumeration and working time are explained. They are based on practical examples from IPA's work with the automobile industry, their suppliers, and the engineering industry.

  5. Enhanced Graphene Photodetector with Fractal Metasurface

    Fang, Jieran; Wang, Di; DeVault, Clayton T

    2017-01-01

    Graphene has been demonstrated to be a promising photodetection material because of its ultrabroadband optical absorption, compatibility with CMOS technology, and dynamic tunability in optical and electrical properties. However, being a single atomic layer thick, graphene has intrinsically small...... optical absorption, which hinders its incorporation with modern photodetecting systems. In this work, we propose a gold snowflake-like fractal metasurface design to realize broadband and polarization-insensitive plasmonic enhancement in graphene photodetector. We experimentally obtain an enhanced...... photovoltage from the fractal metasurface that is an order of magnitude greater than that generated at a plain gold-graphene edge and such an enhancement in the photovoltage sustains over the entire visible spectrum. We also observed a relatively constant photoresponse with respect to polarization angles...

  6. Generation of fractals from complex logistic map

    Rani, Mamta; Agarwal, Rashi

    2009-01-01

    Remarkably benign looking logistic transformations x n+1 = r x n (1 - x n ) for choosing x 0 between 0 and 1 and 0 < r ≤ 4 have found a celebrated place in chaos, fractals and discrete dynamics. The strong physical meaning of Mandelbrot and Julia sets is broadly accepted and nicely connected by Christian Beck [Beck C. Physical meaning for Mandelbrot and Julia sets. Physica D 1999;125(3-4):171-182. Zbl0988.37060] to the complex logistic maps, in the former case, and to the inverse complex logistic map, in the latter case. The purpose of this paper is to study the bounded behavior of the complex logistic map using superior iterates and generate fractals from the same. The analysis in this paper shows that many beautiful properties of the logistic map are extendable for a larger value of r.

  7. Tumor cells diagnostic through fractal dimensions

    Timbo, Christiano dos Santos

    2004-01-01

    This method relies on the application of an algorithm for the quantitative and statistic differentiation of a sample of cells stricken by a certain kind of pathology and a sample of healthy cells. This differentiation is made by applying the principles of fractal dimension to digital images of the cells. The algorithm was developed using the the concepts of Object- Oriented Programming, resulting in a simple code, divided in 5 distinct procedures, and a user-friendly interface. To obtain the fractal dimension of the images of the cells, the program processes the image, extracting its border, and uses it to characterize the complexity of the form of the cell in a quantitative way. In order to validate the code, it was used a digitalized image found in an article by W. Bauer, developer of an analog method. The result showed a difference of 6% between the value obtained by Bauer and the value obtained the algorithm developed in this work. (author)

  8. Recreational Assets in the State of Iowa

    Iowa State University GIS Support and Research Facility — This dataset is meant to be a comprehensive database of recreational assets in public areas. Recreational assets are considered amenities provided to the public for...

  9. Problems of intangible assets commercialization accounting

    S.F. Legenchyk

    2016-03-01

    Full Text Available The growing role of intangible assets in conditions of global economy postindustrialization is grounded. The problems of intangible assets accounting are singled out. The basic tasks of the intangible assets accounting commercialization process are determined. The difference between the commercialization of intellectual property and intangible assets is considered. The basic approaches to understanding the essence of the intangible assets commercialization are singled out and grounded. The basic forms and methods of intangible assets commercialization researched by the author are analyzed. The order of accounting reflection of licensee royalties is considered. The factors of influence on the accounting process of intangible assets commercialization are determined. The necessity of solving the problem of accounting of lease payments for computer program by providing access to SaaS environment is grounded. The prospects of further studies of intangible assets accounting commercialization are determined.

  10. Current approaches to assessing intangible assets

    Урусова, Зінаїда Петрівна

    2013-01-01

    The article analyzes methods of assessing intangible assets in Ukraine as well as in accordance with International Financial Reporting Standards. Contemporary approaches to assessing intangible assets have been researched.

  11. Asset Management Guidebook for Safety and Operations

    2012-09-01

    A primary product of this research was the Asset Management Guidebook that TxDOT division and district : personnel can use to help them define, develop, and implement asset management across all levels : particularly as it relates to establishing ...

  12. Asset management inventory and data collection.

    2009-10-01

    An efficient and accurate inventory of a state highway agencys assets, along with the means to assess the condition : of those assets and model their performance, is critical to enabling an agency to make informed investment decisions : in a Trans...

  13. Investment in Transportation Assets : Briefing Paper

    2017-11-21

    Highways, streets, railroad lines, transit systems, ports, and other transportation fixed assets enable the movement of people and goods. Investment in transportation fixed assets helps build and maintain these critical resources. The pattern of tran...

  14. a New Method for Calculating Fractal Dimensions of Porous Media Based on Pore Size Distribution

    Xia, Yuxuan; Cai, Jianchao; Wei, Wei; Hu, Xiangyun; Wang, Xin; Ge, Xinmin

    Fractal theory has been widely used in petrophysical properties of porous rocks over several decades and determination of fractal dimensions is always the focus of researches and applications by means of fractal-based methods. In this work, a new method for calculating pore space fractal dimension and tortuosity fractal dimension of porous media is derived based on fractal capillary model assumption. The presented work establishes relationship between fractal dimensions and pore size distribution, which can be directly used to calculate the fractal dimensions. The published pore size distribution data for eight sandstone samples are used to calculate the fractal dimensions and simultaneously compared with prediction results from analytical expression. In addition, the proposed fractal dimension method is also tested through Micro-CT images of three sandstone cores, and are compared with fractal dimensions by box-counting algorithm. The test results also prove a self-similar fractal range in sandstone when excluding smaller pores.

  15. A Fractal Perspective on Scale in Geography

    Bin Jiang

    2016-06-01

    Full Text Available Scale is a fundamental concept that has attracted persistent attention in geography literature over the past several decades. However, it creates enormous confusion and frustration, particularly in the context of geographic information science, because of scale-related issues such as image resolution and the modifiable areal unit problem (MAUP. This paper argues that the confusion and frustration arise from traditional Euclidean geometric thinking, in which locations, directions, and sizes are considered absolute, and it is now time to revise this conventional thinking. Hence, we review fractal geometry, together with its underlying way of thinking, and compare it to Euclidean geometry. Under the paradigm of Euclidean geometry, everything is measurable, no matter how big or small. However, most geographic features, due to their fractal nature, are essentially unmeasurable or their sizes depend on scale. For example, the length of a coastline, the area of a lake, and the slope of a topographic surface are all scale-dependent. Seen from the perspective of fractal geometry, many scale issues, such as the MAUP, are inevitable. They appear unsolvable, but can be dealt with. To effectively deal with scale-related issues, we present topological and scaling analyses illustrated by street-related concepts such as natural streets, street blocks, and natural cities. We further contend that one of the two spatial properties, spatial heterogeneity, is de facto the fractal nature of geographic features, and it should be considered the first effect among the two, because it is global and universal across all scales, which should receive more attention from practitioners of geography.

  16. FRACTAL DIMENSIONALITY ANALYSIS OF MAMMARY GLAND THERMOGRAMS

    Yu. E. Lyah

    2016-06-01

    Full Text Available Thermography may enable early detection of a cancer tumour within a mammary gland at an early, treatable stage of the illness, but thermogram analysis methods must be developed to achieve this goal. This study analyses the feasibility of applying the Hurst exponent readings algorithm for evaluation of the high dimensionality fractals to reveal any possible difference between normal thermograms (NT and malignant thermograms (MT.

  17. Fractal characterization of brain lesions in CT images

    Jauhari, Rajnish K.; Trivedi, Rashmi; Munshi, Prabhat; Sahni, Kamal

    2005-01-01

    Fractal Dimension (FD) is a parameter used widely for classification, analysis, and pattern recognition of images. In this work we explore the quantification of CT (computed tomography) lesions of the brain by using fractal theory. Five brain lesions, which are portions of CT images of diseased brains, are used for the study. These lesions exhibit self-similarity over a chosen range of scales, and are broadly characterized by their fractal dimensions

  18. A short history of fractal-Cantorian space-time

    Marek-Crnjac, L.

    2009-01-01

    The article attempts to give a short historical overview of the discovery of fractal-Cantorian space-time starting from the 17th century up to the present. In the last 25 years a great number of scientists worked on fractal space-time notably Garnet Ord in Canada, Laurent Nottale in France and Mohamed El Naschie in England who gave an exact mathematical procedure for the derivation of the dimensionality and curvature of fractal space-time fuzzy manifold.

  19. Enhancement of critical temperature in fractal metamaterial superconductors

    Smolyaninov, Igor I., E-mail: smoly@umd.edu [Department of Electrical and Computer Engineering, University of Maryland, College Park, MD 20742 (United States); Smolyaninova, Vera N. [Department of Physics Astronomy and Geosciences, Towson University, 8000 York Road, Towson, MD 21252 (United States)

    2017-04-15

    Fractal metamaterial superconductor geometry has been suggested and analyzed based on the recently developed theoretical description of critical temperature increase in epsilon near zero (ENZ) metamaterial superconductors. Considerable enhancement of critical temperature has been predicted in such materials due to appearance of large number of additional poles in the inverse dielectric response function of the fractal. Our results agree with the recent observation (Fratini et al. Nature 466, 841 (2010)) that fractal defect structure promotes superconductivity.

  20. Hybrid 3D Fractal Coding with Neighbourhood Vector Quantisation

    Zhen Yao

    2004-12-01

    Full Text Available A hybrid 3D compression scheme which combines fractal coding with neighbourhood vector quantisation for video and volume data is reported. While fractal coding exploits the redundancy present in different scales, neighbourhood vector quantisation, as a generalisation of translational motion compensation, is a useful method for removing both intra- and inter-frame coherences. The hybrid coder outperforms most of the fractal coders published to date while the algorithm complexity is kept relatively low.

  1. Optical diffraction from fractals with a structural transition

    Perez Rodriguez, F.; Canessa, E.

    1994-04-01

    A macroscopic characterization of fractals showing up a structural transition from dense to multibranched growth is made using optical diffraction theory. Such fractals are generated via the numerical solution of the 2D Poisson and biharmonic equations and are compared to more 'regular' irreversible clusters such as diffusion limited and Laplacian aggregates. The optical diffraction method enables to identify a decrease of the fractal dimension above the structural point. (author). 19 refs, 6 figs

  2. The estimation of time-varying risks in asset pricing modelling using B-Spline method

    Nurjannah; Solimun; Rinaldo, Adji

    2017-12-01

    Asset pricing modelling has been extensively studied in the past few decades to explore the risk-return relationship. The asset pricing literature typically assumed a static risk-return relationship. However, several studies found few anomalies in the asset pricing modelling which captured the presence of the risk instability. The dynamic model is proposed to offer a better model. The main problem highlighted in the dynamic model literature is that the set of conditioning information is unobservable and therefore some assumptions have to be made. Hence, the estimation requires additional assumptions about the dynamics of risk. To overcome this problem, the nonparametric estimators can also be used as an alternative for estimating risk. The flexibility of the nonparametric setting avoids the problem of misspecification derived from selecting a functional form. This paper investigates the estimation of time-varying asset pricing model using B-Spline, as one of nonparametric approach. The advantages of spline method is its computational speed and simplicity, as well as the clarity of controlling curvature directly. The three popular asset pricing models will be investigated namely CAPM (Capital Asset Pricing Model), Fama-French 3-factors model and Carhart 4-factors model. The results suggest that the estimated risks are time-varying and not stable overtime which confirms the risk instability anomaly. The results is more pronounced in Carhart’s 4-factors model.

  3. CONTRADICTORY ASPECTS ASSESSMENT ON INTANGIBLE ASSETS

    Ecaterina Necşulescu

    2011-01-01

    In Romania, the evaluation of intangible assets is rarely used due to extremely poor casuistry. From a sample of 100 companies we analyzed, only 4.5% revealed the existence of intangible assets worth less than 3% of total assets and none of the companies has not reviewed the assets. In crisis conditions, the study concludes that companies value decreases (bad will), and while economic growth increases the value of companies (good will). An effective leadership in the crisis assessment may be ...

  4. Password Authentication Based on Fractal Coding Scheme

    Nadia M. G. Al-Saidi

    2012-01-01

    Full Text Available Password authentication is a mechanism used to authenticate user identity over insecure communication channel. In this paper, a new method to improve the security of password authentication is proposed. It is based on the compression capability of the fractal image coding to provide an authorized user a secure access to registration and login process. In the proposed scheme, a hashed password string is generated and encrypted to be captured together with the user identity using text to image mechanisms. The advantage of fractal image coding is to be used to securely send the compressed image data through a nonsecured communication channel to the server. The verification of client information with the database system is achieved in the server to authenticate the legal user. The encrypted hashed password in the decoded fractal image is recognized using optical character recognition. The authentication process is performed after a successful verification of the client identity by comparing the decrypted hashed password with those which was stored in the database system. The system is analyzed and discussed from the attacker’s viewpoint. A security comparison is performed to show that the proposed scheme provides an essential security requirement, while their efficiency makes it easier to be applied alone or in hybrid with other security methods. Computer simulation and statistical analysis are presented.

  5. Fractal analysis of Xylella fastidiosa biofilm formation

    Moreau, A. L. D.; Lorite, G. S.; Rodrigues, C. M.; Souza, A. A.; Cotta, M. A.

    2009-07-01

    We have investigated the growth process of Xylella fastidiosa biofilms inoculated on a glass. The size and the distance between biofilms were analyzed by optical images; a fractal analysis was carried out using scaling concepts and atomic force microscopy images. We observed that different biofilms show similar fractal characteristics, although morphological variations can be identified for different biofilm stages. Two types of structural patterns are suggested from the observed fractal dimensions Df. In the initial and final stages of biofilm formation, Df is 2.73±0.06 and 2.68±0.06, respectively, while in the maturation stage, Df=2.57±0.08. These values suggest that the biofilm growth can be understood as an Eden model in the former case, while diffusion-limited aggregation (DLA) seems to dominate the maturation stage. Changes in the correlation length parallel to the surface were also observed; these results were correlated with the biofilm matrix formation, which can hinder nutrient diffusion and thus create conditions to drive DLA growth.

  6. Fractal theory of radon emanation from solids

    Semkow, T.M.

    1991-01-01

    The author developed a fractal theory of Rn emanation from solids, based on α recoil from the α decay of Ra. Range straggling of the recoiling Rn atoms in the solid state is included and the fractal geometry is used to describe the roughness of the emanating surface. A fractal dimension D of the surface and the median projected range become important parameters in calculating the radon emanating power E R from solids. A relation between E R and the specific surface area measured by the gas adsorption is derived for the first time, assuming a uniform distribution of the precursor Ra throughout the samples. It is suggested that the E R measurements can be used to determine D of the surfaces on the scale from tens to hundreds of nm. One obtains, for instance, D = 2.17 ± 0.06 for Lipari volcanic glass and D = 2.83 ± 0.03 for pitchblende. In addition, the author suggests a new process of penetrating recoil and modify the role of indirect recoil. The penetrating recoil may be important for rough surfaces, in which case Rn loses its kinetic energy by penetrating a large number of small surface irregularities. The indirect recoil may be important at the very last stage of energy-loss process, for kinetic energies below ∼ 5 keV

  7. Aero-acoustic performance of Fractal Spoilers

    Nedic, J.; Ganapathisubramani, B.; Vassilicos, C.; Boree, J.; Brizzi, L.; Spohn, A.

    2010-11-01

    One of the major environmental problems facing the aviation industry is that of aircraft noise. The work presented in this paper, done as part of the OPENAIR Project, looks at reducing spoiler noise through means of large-scale fractal porosity. It is hypothesised that the highly turbulent flow generated by these grids, which have multi-length-scales, would remove the re-circulation region and with it, the low frequency noise it generates. In its place, a higher frequency noise is introduced which is susceptible to atmospheric attenuation, and would be deemed less offensive to the human ear. A total of nine laboratory scaled spoilers were looked at, seven of which had a fractal design, one conventionally porous and one solid for reference. All of the spoilers were mounted on a flat plate and inclined at 30^o to the horizontal. Far-field, microphone array and PIV measurements were taken in an anechoic chamber to determine the acoustic performance and to study the flow coming through the spoilers. A significant reduction in sound pressure level is recorded and is found to be very sensitive to small changes in fractal grid parameters. Wake and drag force measurements indicated that the spoilers increase the drag whilst having minimal effect on the lift.

  8. Static and dynamic factors in an information-based multi-asset artificial stock market

    Ponta, Linda; Pastore, Stefano; Cincotti, Silvano

    2018-02-01

    An information-based multi-asset artificial stock market characterized by different types of stocks and populated by heterogeneous agents is presented. In the market, agents trade risky assets in exchange for cash. Beside the amount of cash and of stocks owned, each agent is characterized by sentiments and agents share their sentiments by means of interactions that are determined by sparsely connected networks. A central market maker (clearing house mechanism) determines the price processes for each stock at the intersection of the demand and the supply curves. Single stock price processes exhibit volatility clustering and fat-tailed distribution of returns whereas multivariate price process exhibits both static and dynamic stylized facts, i.e., the presence of static factors and common trends. Static factors are studied making reference to the cross-correlation of returns of different stocks. The common trends are investigated considering the variance-covariance matrix of prices. Results point out that the probability distribution of eigenvalues of the cross-correlation matrix of returns shows the presence of sectors, similar to those observed on real empirical data. As regarding the dynamic factors, the variance-covariance matrix of prices point out a limited number of assets prices series that are independent integrated processes, in close agreement with the empirical evidence of asset price time series of real stock markets. These results remarks the crucial dependence of statistical properties of multi-assets stock market on the agents' interaction structure.

  9. 12 CFR 560.160 - Asset classification.

    2010-01-01

    ... 12 Banks and Banking 5 2010-01-01 2010-01-01 false Asset classification. 560.160 Section 560.160... Lending and Investment Provisions Applicable to all Savings Associations § 560.160 Asset classification... consistent with, or reconcilable to, the asset classification system used by OTS in its Thrift Activities...

  10. Community Asset Mapping. Trends and Issues Alert.

    Kerka, Sandra

    Asset mapping involves documenting tangible and intangible resources of a community viewed as a place with assets to be preserved and enhanced, not deficits to be remedied. Kretzmann and McKnight (1993) are credited with developing the concept of asset-based community development (ABCD) that draws on appreciative inquiry; recognition of social…

  11. Experience with the ASSET service in Slovakia

    Misak, J.

    1996-01-01

    The experience with the ASSET service in Slovakia is described, including the following: ASSET follow-up mission to Bohunice Unit 1-2 NPP; IAEA peer review of the national Incident Reporting System in the Slovak Republic; ASSET seminar on prevention of incidents, Bratislava, January 8-12, 1996

  12. Assets and Educational Achievement: Theory and Evidence

    Elliott, William; Sherraden, Michael

    2013-01-01

    This special issue of Economics of Education Review explores the role of savings and asset holding in post-secondary educational achievement. Most college success research has focused on income rather than assets as a predictor, and most college financing policy has focused on tuition support and educational debt, rather than asset accumulation.…

  13. Work at Forsmark since ASSET 1996

    Loewenhielm, G; Andersson, O [Forsmark Kraftgrupp AB, Oesthammar (Sweden)

    1997-10-01

    The following directions of work at Forsmark since ASSET 1996 are briefly described: peer review follow-up; work related to peer review, Forsmark 2 mini-ASSET; MTO(man-technology-organization)-analysis method, concept development, combination of MTO and ASSET methods; Forsmark INES manual.

  14. Intelligent tactical asset allocation support system

    Hiemstra, Y.

    1995-01-01

    This paper presents an advanced support system for Tactical Asset Allocation. Asset allocation explains over 90% of portfolio performance (Brinson, Hood and Beebower, 1988). Tactical asset allocation adjusts a strategic portfolio on the basis of short term market outlooks. The system includes

  15. Experience with the ASSET service in Slovakia

    Misak, J [Nuclear Regulatory Authority, Bratislava (Slovakia)

    1997-12-31

    The experience with the ASSET service in Slovakia is described, including the following: ASSET follow-up mission to Bohunice Unit 1-2 NPP; IAEA peer review of the national Incident Reporting System in the Slovak Republic; ASSET seminar on prevention of incidents, Bratislava, January 8-12, 1996.

  16. Defining ecosystem assets for natural capital accounting

    Hein, Lars; Bagstad, Ken; Edens, Bram; Obst, Carl; Jong, de Rixt; Lesschen, Jan Peter

    2016-01-01

    In natural capital accounting, ecosystems are assets that provide ecosystem services to people. Assets can be measured using both physical and monetary units. In the international System of Environmental-Economic Accounting, ecosystem assets are generally valued on the basis of the net present

  17. Approaches of Improving University Assets Management Efficiency

    Wang, Jingliang

    2015-01-01

    University assets management, as an important content of modern university management, is generally confronted with the issue of low efficiency. Currently, to address the problems exposed in university assets management and take appropriate modification measures is an urgent issue in front of Chinese university assets management sectors. In this…

  18. International Conference on Advances of Fractals and Related Topics

    Lau, Ka-Sing

    2014-01-01

    This volume collects thirteen expository or survey articles on topics including Fractal Geometry, Analysis of Fractals, Multifractal Analysis, Ergodic Theory and Dynamical Systems, Probability and Stochastic Analysis, written by the leading experts in their respective fields. The articles are based on papers presented at the International Conference on Advances on Fractals and Related Topics, held on December 10-14, 2012 at the Chinese University of Hong Kong. The volume offers insights into a number of exciting, cutting-edge developments in the area of fractals, which has close ties to and applications in other areas such as analysis, geometry, number theory, probability and mathematical physics.   

  19. Fractal-Based Image Analysis In Radiological Applications

    Dellepiane, S.; Serpico, S. B.; Vernazza, G.; Viviani, R.

    1987-10-01

    We present some preliminary results of a study aimed to assess the actual effectiveness of fractal theory and to define its limitations in the area of medical image analysis for texture description, in particular, in radiological applications. A general analysis to select appropriate parameters (mask size, tolerance on fractal dimension estimation, etc.) has been performed on synthetically generated images of known fractal dimensions. Moreover, we analyzed some radiological images of human organs in which pathological areas can be observed. Input images were subdivided into blocks of 6x6 pixels; then, for each block, the fractal dimension was computed in order to create fractal images whose intensity was related to the D value, i.e., texture behaviour. Results revealed that the fractal images could point out the differences between normal and pathological tissues. By applying histogram-splitting segmentation to the fractal images, pathological areas were isolated. Two different techniques (i.e., the method developed by Pentland and the "blanket" method) were employed to obtain fractal dimension values, and the results were compared; in both cases, the appropriateness of the fractal description of the original images was verified.

  20. FAST TRACK COMMUNICATION: Weyl law for fat fractals

    Spina, María E.; García-Mata, Ignacio; Saraceno, Marcos

    2010-10-01

    It has been conjectured that for a class of piecewise linear maps the closure of the set of images of the discontinuity has the structure of a fat fractal, that is, a fractal with positive measure. An example of such maps is the sawtooth map in the elliptic regime. In this work we analyze this problem quantum mechanically in the semiclassical regime. We find that the fraction of states localized on the unstable set satisfies a modified fractal Weyl law, where the exponent is given by the exterior dimension of the fat fractal.

  1. Electro-chemical manifestation of nanoplasmonics in fractal media

    Baskin, Emmanuel; Iomin, Alexander

    2013-06-01

    Electrodynamics of composite materials with fractal geometry is studied in the framework of fractional calculus. This consideration establishes a link between fractal geometry of the media and fractional integrodifferentiation. The photoconductivity in the vicinity of the electrode-electrolyte fractal interface is studied. The methods of fractional calculus are employed to obtain an analytical expression for the giant local enhancement of the optical electric field inside the fractal composite structure at the condition of the surface plasmon excitation. This approach makes it possible to explain experimental data on photoconductivity in the nano-electrochemistry.

  2. Fractal characteristic study of shearer cutter cutting resistance curves

    Liu, C. [Heilongjiang Scientific and Technical Institute, Haerbin (China). Dept of Mechanical Engineering

    2004-02-01

    The cutting resistance curve is the most useful tool for reflecting the overall cutting performance of a cutting machine. The cutting resistance curve is influenced by many factors such as the pick structure and arrangement, the cutter operation parameters, coal quality and geologic conditions. This paper discusses the use of fractal geometry to study the properties of the cutting resistance curve, and the use of fractal dimensions to evaluate cutting performance. On the basis of fractal theory, the general form and calculation method of fractal characteristics are given. 4 refs., 3 figs., 1 tab.

  3. The Earnings/Price Risk Factor in Capital Asset Pricing Models

    Rafael Falcão Noda

    2015-01-01

    Full Text Available This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low earnings/price ratios have higher (lower risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates, which reduce the information content of book values, thus making the models based on earnings/price ratios better than those based on market/book ratios. Such results are different from those obtained in more developed markets and the superiority of the earnings/price ratio for asset pricing may also exist in other emerging markets.

  4. Global Tactical Cross-Asset Allocation: Applying Value and Momentum Across Asset Classes

    D.C. Blitz (David); P. van Vliet (Pim)

    2008-01-01

    textabstractIn this paper we examine global tactical asset allocation (GTAA) strategies across a broad range of asset classes. Contrary to market timing for single asset classes and tactical allocation across similar assets, this topic has received little attention in the existing literature. Our

  5. Fractal-based exponential distribution of urban density and self-affine fractal forms of cities

    Chen Yanguang; Feng Jian

    2012-01-01

    Highlights: ► The model of urban population density differs from the common exponential function. ► Fractal landscape influences the exponential distribution of urban density. ► The exponential distribution of urban population suggests a self-affine fractal. ► Urban space can be divided into three layers with scaling and non-scaling regions. ► The dimension of urban form with characteristic scale can be treated as 2. - Abstract: Urban population density always follows the exponential distribution and can be described with Clark’s model. Because of this, the spatial distribution of urban population used to be regarded as non-fractal pattern. However, Clark’s model differs from the exponential function in mathematics because that urban population is distributed on the fractal support of landform and land-use form. By using mathematical transform and empirical evidence, we argue that there are self-affine scaling relations and local power laws behind the exponential distribution of urban density. The scale parameter of Clark’s model indicating the characteristic radius of cities is not a real constant, but depends on the urban field we defined. So the exponential model suggests local fractal structure with two kinds of fractal parameters. The parameters can be used to characterize urban space filling, spatial correlation, self-affine properties, and self-organized evolution. The case study of the city of Hangzhou, China, is employed to verify the theoretical inference. Based on the empirical analysis, a three-ring model of cities is presented and a city is conceptually divided into three layers from core to periphery. The scaling region and non-scaling region appear alternately in the city. This model may be helpful for future urban studies and city planning.

  6. Application of quantum master equation for long-term prognosis of asset-prices

    Khrennikova, Polina

    2016-05-01

    This study combines the disciplines of behavioral finance and an extension of econophysics, namely the concepts and mathematical structure of quantum physics. We apply the formalism of quantum theory to model the dynamics of some correlated financial assets, where the proposed model can be potentially applied for developing a long-term prognosis of asset price formation. At the informational level, the asset price states interact with each other by the means of a ;financial bath;. The latter is composed of agents' expectations about the future developments of asset prices on the finance market, as well as financially important information from mass-media, society, and politicians. One of the essential behavioral factors leading to the quantum-like dynamics of asset prices is the irrationality of agents' expectations operating on the finance market. These expectations lead to a deeper type of uncertainty concerning the future price dynamics of the assets, than given by a classical probability theory, e.g., in the framework of the classical financial mathematics, which is based on the theory of stochastic processes. The quantum dimension of the uncertainty in price dynamics is expressed in the form of the price-states superposition and entanglement between the prices of the different financial assets. In our model, the resolution of this deep quantum uncertainty is mathematically captured with the aid of the quantum master equation (its quantum Markov approximation). We illustrate our model of preparation of a future asset price prognosis by a numerical simulation, involving two correlated assets. Their returns interact more intensively, than understood by a classical statistical correlation. The model predictions can be extended to more complex models to obtain price configuration for multiple assets and portfolios.

  7. 49 CFR 1152.34 - Return on investment.

    2010-10-01

    ... to which the nominal return element shall apply shall be the sum of: (i) The allowable working capital computed at 15 days on-branch cash avoidable costs (on branch avoidable costs less depreciation... liquidation purposes of all assets having a negative salvage value. (1) In calculating the net liquidation...

  8. An analysis of the relation between return and beta for portfolios of Turkish equities

    Salvatore J. Terregrossa

    2016-12-01

    Full Text Available The present study investigates the possible existence of a systematic relation between beta and excess-return for portfolios of Turkish equities. In the process, no systematic relation is found between beta and realized portfolio excess-return, in an unconditional sense. However, the study does find a systematic relation between realized portfolio excess-return and beta, conditioned upon the sign of realized market-portfolio excess-return. Moreover, an even stronger systematic relation is found between realized portfolio excess-return and beta, conditioned not only upon the sign, but also the magnitude of realized market-portfolio excess-return, with the estimation of the security market plane (SMP model. The study has several useful implications for portfolio managers. Firstly, the empirical findings strongly suggest that employment of the SMP model may generate more accurate estimations of expected asset-return, compared with straightforward application of the capital asset pricing model (CAPM. Enhanced accuracy of expected asset-return, in turn, may lead to more accurate appraisals of asset value, resulting in more profitable investment opportunities and decisions. Employment of the SMP model may thus lead to enhanced efficient-portfolio development, by leading to construction of portfolios with greater expected-return, for a given class of quantifiable-risk.

  9. Fractal characteristics investigation on electromagnetic scattering from 2-D Weierstrass fractal dielectric rough surface

    Ren Xincheng; Guo Lixin

    2008-01-01

    A normalized two-dimensional band-limited Weierstrass fractal function is used for modelling the dielectric rough surface. An analytic solution of the scattered field is derived based on the Kirchhoff approximation. The variance of scattering intensity is presented to study the fractal characteristics through theoretical analysis and numerical calculations. The important conclusion is obtained that the diffracted envelope slopes of scattering pattern can be approximated as a slope of linear equation. This conclusion will be applicable for solving the inverse problem of reconstructing rough surface and remote sensing. (classical areas of phenomenology)

  10. Financial Assets [share, bonds] & Ancylia

    Maksoed, Wh-

    2016-11-01

    Instead Elaine Scarry: "Thermonuclear monarchy" reinvent Carry Nation since Aug 17, 1965 the Republic of Indonesia's President speech: "Reach to the Star", for "cancellation" usually found in External Debt herewith retrieved from "the Window of theWorld": Ancylia, feast in March, a month named after Mars, the god of war. "On March 19 they used to put on their biggest performance of gymnastics in order to "bribe" their god for another good year", further we have vacancy & "vacuum tube"- Bulat Air karena Pembuluh, Bulat Kata karena Mufakat" proverb from Minangkabau, West Sumatra. Follows March 19, 1984 are first prototype flight of IAI Astra Jet as well as March 19, 2012 invoice accompanies Electric car Kujang-193, Fainancial Assets [share, bonds] are the answer for "infrastructure" & state owned enterprises assets to be hedged first initial debt per capita accordances. Heartfelt gratitudes to HE. Mr. Ir. Sarwono Kusumaatmadja/PT. Smartfren INDONESIA.

  11. Essays in Empirical Asset Pricing

    Rzeznik, Aleksandra

    This thesis consists of three essays investigating financial and real estate markets and identifying a relationship between them. A 2008 financial crises provides a perfect example of sizeable interactions between US housing market and equity prices, where a negative shock to house prices trigger...... a word-wide recession. Therefore, understanding forces driving investors behaviour and preferences, which in turn affect asset prices in both equity and housing market are of great interest....

  12. Ambiguity Aversion, Asset Prices, and the Welfare Costs of Aggregate Fluctuations

    Alonso, Irasema; Prado, Mauricio

    2015-01-01

    with a representative agent facing consumption fluctuations calibrated to match U.S. data from 1889 to 2008. Our experiment is to restrict preference parameters in order to as well as possible match some asset-price facts—the average returns on equity and a short-term risk-free bond—and then compute the welfare...

  13. The capital-asset pricing model reconsidered: tests in real terms on ...

    This paper extends previous work of the authors to reconsider the capital-asset pricing model (CAPM) in South Africa in real terms. As in that work, the main question this study aimed to answer remains: Can the CAPM be accepted in the South African market for the purposes of the stochastic modelling of investment returns ...

  14. Infusing Financial Capability and Asset Building Content into a Community Organizing Class

    Doran, Joanna K.; Bagdasaryan, Sofya

    2018-01-01

    As social work's fight for social and economic justice returns to its historical attention to finances, faculty are called to infuse financial capability and asset building (FCAB) content into their classes. Given few published models, this study contributes a redesign that infuses FCAB in a community organization course, with additional attention…

  15. An asset pricing approach to liquidity effects in corporate bond markets

    Bongaerts, Dion; de Jong, Frank; Driessen, Joost

    We use an asset pricing approach to compare the effects of expected liquidity and liquidity risk on expected U.S. corporate bond returns. Liquidity measures are constructed for bond portfolios using a Bayesian approach to estimate Roll’s measure. The results show that expected bond liquidity and

  16. Pore Structure and Fractal Characteristics of Niutitang Shale from China

    Zhaodong Xi

    2018-04-01

    Full Text Available A suite of shale samples from the Lower Cambrian Niutitang Formation in northwestern Hunan Province, China, were investigated to better understand the pore structure and fractal characteristics of marine shale. Organic geochemistry, mineralogy by X-ray diffraction, porosity, permeability, mercury intrusion and nitrogen adsorption and methane adsorption experiments were conducted for each sample. Fractal dimension D was obtained from the nitrogen adsorption data using the fractal Frenkel-Halsey-Hill (FHH model. The relationships between total organic carbon (TOC content, mineral compositions, pore structure parameters and fractal dimension are discussed, along with the contributions of fractal dimension to shale gas reservoir evaluation. Analysis of the results showed that Niutitang shale samples featured high TOC content (2.51% on average, high thermal maturity (3.0% on average, low permeability and complex pore structures, which are highly fractal. TOC content and mineral compositions are two major factors affecting pore structure but they have different impacts on the fractal dimension. Shale samples with higher TOC content had a larger specific surface area (SSA, pore volume (PV and fractal dimension, which enhanced the heterogeneity of the pore structure. Quartz content had a relatively weak influence on shale pore structure, whereas SSA, PV and fractal dimension decreased with increasing clay mineral content. Shale with a higher clay content weakened pore structure heterogeneity. The permeability and Langmuir volume of methane adsorption were affected by fractal dimension. Shale samples with higher fractal dimension had higher adsorption capacity but lower permeability, which is favorable for shale gas adsorption but adverse to shale gas seepage and diffusion.

  17. New accounting rules: asset allocation and portfolio management.

    Andrew, B K

    1997-01-01

    New accounting rules went into effect at the end of 1995 that are now starting to affect how medical practices must report income from equity and fixed income investments. This article explores the new accounting rules and considers the other factors that help practices determine investment strategies, including desired investment return, comfort with level of risk, appropriate time horizons, liquidity needs and legal restrictions. The author also presents an example that examines the different considerations that may affect an asset allocation decision, including endowments and operating reserve funds.

  18. Asset allocation with different covariance/correlation estimators

    Μανταφούνη, Σοφία

    2007-01-01

    The subject of the study is to test whether the use of different covariance – correlation estimators than the historical covariance matrix that is widely used, would help in portfolio optimization through the mean-variance analysis. In other words, if an investor would like to use the mean-variance analysis in order to invest in assets like stocks or indices, would it be of some help to use more sophisticated estimators for the covariance matrix of the returns of his portfolio? The procedure ...

  19. MODEL PENENTUAN HARGA SAHAM: PENGUJIAN CAPITAL ASSET PRICING MODEL MELALUI PENGUJIAN ECONOMIC VALUE ADDED

    Suripto Suripto

    2017-03-01

    Full Text Available This research tested the influence of characteristics of the firms and of EVA (Eco-nomic Value Added to stock of returns. This Research sample was company Self-100 ValueCreator of year 2001 until 2006. Result of research indicated that company size measure,profitability, capital structure (characteristics of the firms and EVA by stimulant had aneffect on significant to stock of returns, but by partial only characteristics company. Condi-tion of company fundamentals had an effect on significance to stock of returns. This indica-tion that investor still considered factors of fundamentals was having investment. EVA didnot have an effect on significant to stock of returns. This finding indicated that Model deter-mination of stock of returns (CAPM Irrelevant determined the level of EVA and also indicatedthat CAPM (Capital Assets Pricing Model was not relevant in determining stock of returns inIndonesian Stock Exchange.

  20. Fractal dimension of the fractured surface of materials

    Lung, C.W.; Zhang, S.Z.

    1989-05-01

    Fractal dimension of the fractured surface of materials is discussed to show that the origin of the negative correlation between D F and toughness lies in the method of fractal dimension measurement with perimeter-area relation and also in the physical mechanism of crack propagation. (author). 8 refs, 4 figs, 1 tab

  1. Three-dimensional fractal geometry for gas permeation in microchannels

    Malankowska, Magdalena; Schlautmann, Stefan; Berenschot, Erwin J.W.; Tiggelaar, Roald M.; Pina, Maria Pilar; Mallada, Reyes; Tas, Niels R.; Gardeniers, Han

    2018-01-01

    The novel concept of a microfluidic chip with an integrated three-dimensional fractal geometry with nanopores, acting as a gas transport membrane, is presented. The method of engineering the 3D fractal structure is based on a combination of anisotropic etching of silicon and corner lithography. The

  2. The fractal nature of vacuum arc cathode spots

    Anders, Andre

    2005-01-01

    Cathode spot phenomena show many features of fractals, for example self-similar patterns in the emitted light and arc erosion traces. Although there have been hints on the fractal nature of cathode spots in the literature, the fractal approach to spot interpretation is underutilized. In this work, a brief review of spot properties is given, touching the differences between spot type 1 (on cathodes surfaces with dielectric layers) and spot type 2 (on metallic, clean surfaces) as well as the known spot fragment or cell structure. The basic properties of self-similarity, power laws, random colored noise, and fractals are introduced. Several points of evidence for the fractal nature of spots are provided. Specifically power laws are identified as signature of fractal properties, such as spectral power of noisy arc parameters (ion current, arc voltage, etc) obtained by fast Fourier transform. It is shown that fractal properties can be observed down to the cutoff by measurement resolution or occurrence of elementary steps in physical processes. Random walk models of cathode spot motion are well established: they go asymptotically to Brownian motion for infinitesimal step width. The power spectrum of the arc voltage noise falls as 1/f 2 , where f is frequency, supporting a fractal spot model associated with Brownian motion

  3. Fractal sets generated by chemical reactions discrete chaotic dynamics

    Gontar, V.; Grechko, O.

    2007-01-01

    Fractal sets composed by the parameters values of difference equations derived from chemical reactions discrete chaotic dynamics (DCD) and corresponding to the sequences of symmetrical patterns were obtained in this work. Examples of fractal sets with the corresponding symmetrical patterns have been presented

  4. Fractal Dimension analysis for seismicity spatial and temporal ...

    23

    The research can further promote the application of fractal theory in the study ... spatial-temporal propagation characteristics of seismic activities, fractal theory is not ... provide a theoretical basis for the prevention and control of earthquakes. 2. ... random self-similar structure of the earthquake in the time series and the spatial.

  5. a Fractal Network Model for Fractured Porous Media

    Xu, Peng; Li, Cuihong; Qiu, Shuxia; Sasmito, Agus Pulung

    2016-04-01

    The transport properties and mechanisms of fractured porous media are very important for oil and gas reservoir engineering, hydraulics, environmental science, chemical engineering, etc. In this paper, a fractal dual-porosity model is developed to estimate the equivalent hydraulic properties of fractured porous media, where a fractal tree-like network model is used to characterize the fracture system according to its fractal scaling laws and topological structures. The analytical expressions for the effective permeability of fracture system and fractured porous media, tortuosity, fracture density and fraction are derived. The proposed fractal model has been validated by comparisons with available experimental data and numerical simulation. It has been shown that fractal dimensions for fracture length and aperture have significant effect on the equivalent hydraulic properties of fractured porous media. The effective permeability of fracture system can be increased with the increase of fractal dimensions for fracture length and aperture, while it can be remarkably lowered by introducing tortuosity at large branching angle. Also, a scaling law between the fracture density and fractal dimension for fracture length has been found, where the scaling exponent depends on the fracture number. The present fractal dual-porosity model may shed light on the transport physics of fractured porous media and provide theoretical basis for oil and gas exploitation, underground water, nuclear waste disposal and geothermal energy extraction as well as chemical engineering, etc.

  6. Experiencia en el aula de secundaria con fractales

    Gallardo, Sandra; Martínez-Santaolalla, Manuel José; Molina, Marta; Peñas, María; Cañadas, María C.; Crisóstomo, Edson

    2006-01-01

    Presentamos una experiencia docente en un aula de 2º ESO en la que trabajamos los fractales mediante el uso de material de carácter manipulativo. La metodología seguida se basa en la construcción de casos particulares con el fin de llegar al concepto de fractal.

  7. Growth of fractal structures in flames with silicon admixture

    Smirnov, B. M.; Dutka, M.; van Essen, V. M.; Gersen, S.; Visser, P.; Vainchtein, D.; De Hosson, J. Th. M.; Levinsky, H. B.; Mokhov, A. V.

    Transmission electron microscopy (TEM) measurements and theoretical analysis are combined to construct the physical picture of formation of SiO2 fractal aggregates in a methane/hexamethyldisiloxane/air atmospheric pressure flame. The formation of SiO2 fractal aggregates is described as a multistage

  8. Evaluation of surface quality by Fractal Dimension and Volume ...

    Experimental and simulation results have enabled to show than the large diameter ball under low loads and medium feed speeds, favors the elimination of peaks and reduction of fractal dimension whence quality improvement of surface. Keywords: burnishing, volume parameters, fractal dimension, experimental designs ...

  9. Bouguer correction density determination from fractal analysis using ...

    In this work, Bouguer density is determined using the fractal approach. This technique was applied to the gravity data of the Kwello area of the Basement Complex, north-western Nigeria. The density obtained using the fractal approach is 2500 kgm which is lower than the conventional value of 2670 kgm used for average ...

  10. Fractal analysis of rainfall occurrence observed in the synoptic ...

    Fractal analysis is important for characterizing and modeling rainfall's space-time variations in hydrology. The purpose of this study consists on determining, in a mono-fractal framework, the scale invariance of rainfall series in Benin synopticstations located in two main geographical area: Cotonou, Bohicon , Savè in a sub ...

  11. Variability of fractal dimension of solar radio flux

    Bhatt, Hitaishi; Sharma, Som Kumar; Trivedi, Rupal; Vats, Hari Om

    2018-04-01

    In the present communication, the variation of the fractal dimension of solar radio flux is reported. Solar radio flux observations on a day to day basis at 410, 1415, 2695, 4995, and 8800 MHz are used in this study. The data were recorded at Learmonth Solar Observatory, Australia from 1988 to 2009 covering an epoch of two solar activity cycles (22 yr). The fractal dimension is calculated for the listed frequencies for this period. The fractal dimension, being a measure of randomness, represents variability of solar radio flux at shorter time-scales. The contour plot of fractal dimension on a grid of years versus radio frequency suggests high correlation with solar activity. Fractal dimension increases with increasing frequency suggests randomness increases towards the inner corona. This study also shows that the low frequency is more affected by solar activity (at low frequency fractal dimension difference between solar maximum and solar minimum is 0.42) whereas, the higher frequency is less affected by solar activity (here fractal dimension difference between solar maximum and solar minimum is 0.07). A good positive correlation is found between fractal dimension averaged over all frequencies and yearly averaged sunspot number (Pearson's coefficient is 0.87).

  12. Usefulness of fractal analysis for the diagnosis of periodontitis

    Cha, Sang Yun; Han, Won Jeong; Kim, Eun Kyung [Dankook Univ. School of Dentistry, Seoul (Korea, Republic of)

    2001-03-15

    To evaluate the usefulness of fractal analysis for diagnosis of periodontitis. Each 30 cases of periapical films of male mandibular molar were selected in normal group and patient group which had complete furcation involvement. They were digitized at 300 dpi, 256 gray levels and saved with gif format. Rectangular ROIs (10 X 20 pixel) were selected at furcation, interdental crest, and interdental middle 1/3 area. Fractal dimensions were calculated three times at each area by mass radius method and were determined using a mean of three measurements. We computed fractal dimensions at furcation and interdental crest area of normal group with those of patient group. And then we compared ratio of fractal dimensions at furcation area, interdental crest area to interdental middle 1/3 area. Fractal dimension at interdental crest area of normal group was 1.979{+-}0.018 (p<0.05). The radio of fractal dimension at furcation area to interdental middle 1/3 of normal group was 1.006{+-}0.018 and that of patient group 0.9940.018 (p<0.05). The radio of fractal dimension at interdental crest and furcation area to interdental middle 1/3 area showed a statistically significant difference between normal and patient group. In conclusion, it is thought that fractal analysis might be useful for the diagnosis of periodontitis.

  13. Separation in Data Mining Based on Fractal Nature of Data

    Jiřina, Marcel; Jiřina jr., M.

    2013-01-01

    Roč. 3, č. 1 (2013), s. 44-60 ISSN 2225-658X Institutional support: RVO:67985807 Keywords : nearest neighbor * fractal set * multifractal * IINC method * correlation dimension Subject RIV: JC - Computer Hardware ; Software http://sdiwc.net/digital-library/separation-in-data-mining-based-on-fractal-nature-of-data.html

  14. Fractal Dimension Of CT Images Of Normal Parotid Glands

    Lee, Sang Jin; Heo, Min Suk; You, Dong Soo

    1999-01-01

    This study was to investigate the age and sex differences of the fractal dimension of the normal parotid glands in the digitized CT images. The six groups, which were composed of 42 men and women from 20's, 40's and 60's and over were picked. Each group contained seven people of the same sex. The normal parotid CT images were digitized, and their fractal dimensions were calculated using Scion Image PC program. The mean of fractal dimensions in males was 1.7292 (+/-0.0588) and 1.6329 (+/-0.0425) in females. The mean of fractal dimensions in young males was 1.7617, 1.7328 in middle males, and 1.6933 in old males. The mean of fractal dimensions in young females was 1.6318, 1.6365 in middle females, and 1.6303 in old females. There was no statistical difference in fractal dimension between left and right parotid gland of the same subject (p>0.05). Fractal dimensions in male were decreased in older group (p 0.05). The fractal dimension of parotid glands in the digitized CT images will be useful to evaluate the age and sex differences.

  15. Biophysical Chemistry of Fractal Structures and Processes in Environmental Systems

    Buffle, J.; Leeuwen, van H.P.

    2008-01-01

    This book aims to provide the scientific community with a novel and valuable approach based on fractal geometry concepts on the important properties and processes of diverse environmental systems. The interpretation of complex environmental systems using modern fractal approaches is compared and

  16. Price returns efficiency of the Shanghai A-Shares

    Long, Wang Jiang; Jaaman, Saiful Hafizah; Samsudin, Humaida Banu

    2014-06-01

    Beta measured from the capital asset pricing model (CAPM) is the most widely used risk to estimate expected return. In this paper factors that influence Shanghai A-share stock return based on CAPM are explored and investigated. Price data of 312 companies listed on Shanghai Stock Exchange (SSE) from the year 2000 to 2011 are investigated. This study employed the Fama-MacBeth cross-sectional method to avoid weakness of traditional CAPM. In addition, this study improves the model by adjusting missing data. Findings of this study justifies that systematic risk can explain the portfolios' returns of China SSE stock market.

  17. Global economic growth and expected returns around the world: The end-of-the-year effect

    Møller, Stig Vinther; Rangvid, Jesper

    2017-01-01

    Global economic growth at the end of the year strongly predicts returns from a wide spectrum of international assets, such as global, regional, and individual-country stocks, FX, and commodities. Global economic growth at other times of the year does not predict international returns. Low growth...

  18. Fractal ventilation enhances respiratory sinus arrhythmia

    Girling Linda G

    2005-05-01

    Full Text Available Abstract Background Programming a mechanical ventilator with a biologically variable or fractal breathing pattern (an example of 1/f noise improves gas exchange and respiratory mechanics. Here we show that fractal ventilation increases respiratory sinus arrhythmia (RSA – a mechanism known to improve ventilation/perfusion matching. Methods Pigs were anaesthetised with propofol/ketamine, paralysed with doxacurium, and ventilated in either control mode (CV or in fractal mode (FV at baseline and then following infusion of oleic acid to result in lung injury. Results Mean RSA and mean positive RSA were nearly double with FV, both at baseline and following oleic acid. At baseline, mean RSA = 18.6 msec with CV and 36.8 msec with FV (n = 10; p = 0.043; post oleic acid, mean RSA = 11.1 msec with CV and 21.8 msec with FV (n = 9, p = 0.028; at baseline, mean positive RSA = 20.8 msec with CV and 38.1 msec with FV (p = 0.047; post oleic acid, mean positive RSA = 13.2 msec with CV and 24.4 msec with FV (p = 0.026. Heart rate variability was also greater with FV. At baseline the coefficient of variation for heart rate was 2.2% during CV and 4.0% during FV. Following oleic acid the variation was 2.1 vs. 5.6% respectively. Conclusion These findings suggest FV enhances physiological entrainment between respiratory, brain stem and cardiac nonlinear oscillators, further supporting the concept that RSA itself reflects cardiorespiratory interaction. In addition, these results provide another mechanism whereby FV may be superior to conventional CV.

  19. A fractal nature for polymerized laminin.

    Camila Hochman-Mendez

    Full Text Available Polylaminin (polyLM is a non-covalent acid-induced nano- and micro-structured polymer of the protein laminin displaying distinguished biological properties. Polylaminin stimulates neuritogenesis beyond the levels achieved by ordinary laminin and has been shown to promote axonal regeneration in animal models of spinal cord injury. Here we used confocal fluorescence microscopy (CFM, scanning electron microscopy (SEM and atomic force microscopy (AFM to characterize its three-dimensional structure. Renderization of confocal optical slices of immunostained polyLM revealed the aspect of a loose flocculated meshwork, which was homogeneously stained by the antibody. On the other hand, an ordinary matrix obtained upon adsorption of laminin in neutral pH (LM was constituted of bulky protein aggregates whose interior was not accessible to the same anti-laminin antibody. SEM and AFM analyses revealed that the seed unit of polyLM was a flat polygon formed in solution whereas the seed structure of LM was highly heterogeneous, intercalating rod-like, spherical and thin spread lamellar deposits. As polyLM was visualized at progressively increasing magnifications, we observed that the morphology of the polymer was alike independently of the magnification used for the observation. A search for the Hausdorff dimension in images of the two matrices showed that polyLM, but not LM, presented fractal dimensions of 1.55, 1.62 and 1.70 after 1, 8 and 12 hours of adsorption, respectively. Data in the present work suggest that the intrinsic fractal nature of polymerized laminin can be the structural basis for the fractal-like organization of basement membranes in the neurogenic niches of the central nervous system.

  20. A fractal nature for polymerized laminin.

    Hochman-Mendez, Camila; Cantini, Marco; Moratal, David; Salmeron-Sanchez, Manuel; Coelho-Sampaio, Tatiana

    2014-01-01

    Polylaminin (polyLM) is a non-covalent acid-induced nano- and micro-structured polymer of the protein laminin displaying distinguished biological properties. Polylaminin stimulates neuritogenesis beyond the levels achieved by ordinary laminin and has been shown to promote axonal regeneration in animal models of spinal cord injury. Here we used confocal fluorescence microscopy (CFM), scanning electron microscopy (SEM) and atomic force microscopy (AFM) to characterize its three-dimensional structure. Renderization of confocal optical slices of immunostained polyLM revealed the aspect of a loose flocculated meshwork, which was homogeneously stained by the antibody. On the other hand, an ordinary matrix obtained upon adsorption of laminin in neutral pH (LM) was constituted of bulky protein aggregates whose interior was not accessible to the same anti-laminin antibody. SEM and AFM analyses revealed that the seed unit of polyLM was a flat polygon formed in solution whereas the seed structure of LM was highly heterogeneous, intercalating rod-like, spherical and thin spread lamellar deposits. As polyLM was visualized at progressively increasing magnifications, we observed that the morphology of the polymer was alike independently of the magnification used for the observation. A search for the Hausdorff dimension in images of the two matrices showed that polyLM, but not LM, presented fractal dimensions of 1.55, 1.62 and 1.70 after 1, 8 and 12 hours of adsorption, respectively. Data in the present work suggest that the intrinsic fractal nature of polymerized laminin can be the structural basis for the fractal-like organization of basement membranes in the neurogenic niches of the central nervous system.