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Fractional Dynamics of Computer Virus Propagation
Bonyah Ebenezer,
Nyabadza Farai,
Asiedu-Addo Samuel Kwesi
Issue:
Volume 3, Issue 3, June 2015
Pages:
63-69
Received:
9 March 2015
Accepted:
3 April 2015
Published:
14 April 2015
Abstract: This paper studies the fractional order model for computer virus in SEIR model. Firstly, the basic reproduction number R0, which determines the threshold of the spread of the virus is determined. The stability of equilibra was also determined and studied. The Adams-Bashforth-Moulton algorithm was employed to solve and simulate the system of differential equations. The results of the simulation depicts that by small change in α led to big change in the associated numerical results.
Abstract: This paper studies the fractional order model for computer virus in SEIR model. Firstly, the basic reproduction number R0, which determines the threshold of the spread of the virus is determined. The stability of equilibra was also determined and studied. The Adams-Bashforth-Moulton algorithm was employed to solve and simulate the system of differe...
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Study on Financial Market Risk Measurement Based on GJR-GARCH and FHS
Hong Zhang,
Jian Guo,
Li Zhou
Issue:
Volume 3, Issue 3, June 2015
Pages:
70-74
Received:
30 March 2015
Accepted:
16 April 2015
Published:
27 April 2015
Abstract: In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of one kind of Chinese stock index--- Shanghai Composite Index and the series of independent and identically distribution standardized residuals is formed from the filtered model residuals and conditional volatilities from the return series with an GJR-GARCH model. The results show that from the contrast of actual value and lower limit of predicted VaR value, actual index value for 8 days breaks below the prediction lower limit. The fitting result of VaR method to the market risk of the Shanghai composite index is better than that of the Traditional Historical Simulation.
Abstract: In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of one kind of Chinese stock index--- Shanghai Composite Index and the series of independent and identically distribution standardized residuals is formed from the filtered model residuals and conditional volatilities from the return series with an GJR-GARC...
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Effect of Chemical Reaction on Statistical Theory of Dusty Fluid MHD Turbulent Flow for Certain Variables at Three- Point Distribution Functions
M. Abul Kalam Azad,
M. Abu Bkar Pk,
Abdul Malek
Issue:
Volume 3, Issue 3, June 2015
Pages:
75-98
Received:
24 March 2015
Accepted:
18 April 2015
Published:
4 May 2015
Abstract: In this paper, an attempt is made to study the three-point distribution functions in dusty fluid MHD turbulent flow for simultaneous velocity, magnetic temperature and concentration fields in a first order chemical reaction. It has been discussed the various properties of constructed distribution functions. From beginning to end out the study, the transport equation for three-point distribution functions in dusty fluid MHD turbulent flow undergoing a first order chemical reaction has been obtained. The obtained equation is compared with the first equation of BBGKY hierarchy of equations and the closure difficulty is to be removed as in the case of ordinary turbulence.
Abstract: In this paper, an attempt is made to study the three-point distribution functions in dusty fluid MHD turbulent flow for simultaneous velocity, magnetic temperature and concentration fields in a first order chemical reaction. It has been discussed the various properties of constructed distribution functions. From beginning to end out the study, the ...
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Hope for the Future: Overcoming the DEEP Ignorance on the CI (Confidence Intervals) and on the DOE (Design of Experiments)
Issue:
Volume 3, Issue 3, June 2015
Pages:
99-123
Received:
17 March 2015
Accepted:
31 March 2015
Published:
15 May 2015
Abstract: The document shows the ideas to overcome the deep ignorance on the CI (Confidence Intervals) and on DOE (Design Of Experiments); the first part poses the problem that was originated in the RG (Research Gate): it analyses few of the answers, found in the forum, AND some wrong ideas one can find in Wikipedia; connection with the Test of Hypotheses is given; some figures are provided that make “intuitive” the concept of the Confidence Interval with the Theory (Classical Statistics). The second part considers some cases one can find in a very WWU (World Wide Used) Book: we show that high scores on documents do not prove the Quality of those documents. This paper is especially written to settle the matter for the researchers who use CI and DOE: Researchers must be alert in order to do a good job…. Many others cases should be shown: the paper should be 10 times longer; to make the paper shorter … I had to cancel pages providing the ideas on the “Scientificness”, forgotten by many people and other providing ideas misleading the readers taken from Wikipedia.
Abstract: The document shows the ideas to overcome the deep ignorance on the CI (Confidence Intervals) and on DOE (Design Of Experiments); the first part poses the problem that was originated in the RG (Research Gate): it analyses few of the answers, found in the forum, AND some wrong ideas one can find in Wikipedia; connection with the Test of Hypotheses is...
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Application of Vector Autoregressive (VAR) Process in Modelling Reshaped Seasonal Univariate Time Series
Chepngetich Mercy,
John Kihoro
Issue:
Volume 3, Issue 3, June 2015
Pages:
124-135
Received:
5 March 2015
Accepted:
20 March 2015
Published:
18 May 2015
Abstract: Seasonal Autoregressive Integrated Moving Averages (SARIMA) model has been applied in most research work to forecast seasonal univariate data. Less has been done on Vector Autoregressive (VAR) process. In this research project, seasonal univariate time series data has been used to estimate a VAR model for a reshaped seasonal univariate time series for forecasting. This was done by modeling a reshaped seasonal univariate time series data using VAR. The quarterly data is reshaped to vector form and analyzed to vector form and analyzed using VAR for the year 1959 and 1997 to fit the model and the prediction for the year 1998 is used to evaluate the prediction performance. The performance measures used include; mean square error (MSE), root mean square error (RMSE), mean percentage error (MPE), mean absolute percentage error (MAPE) and Theil’s U statistic. Forecasting future values from the fitted models in both SARIMA and VAR using Box Jenkins procedures, (Box and Jenkins; 1976) was done. The results showed that both models are appropriate in forecasting but VAR is more appropriate model than SARIMA model since its predictive performance was shown to be the best. Other data sets were also used for analysis and comparison purpose.
Abstract: Seasonal Autoregressive Integrated Moving Averages (SARIMA) model has been applied in most research work to forecast seasonal univariate data. Less has been done on Vector Autoregressive (VAR) process. In this research project, seasonal univariate time series data has been used to estimate a VAR model for a reshaped seasonal univariate time series ...
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Empirical Research on VAR Model Based on GJR-GARCH, EVT and Copula
Hong Zhang,
Li Zhou,
Shucong Ming,
Yanming Yang,
Mengdan Zhou
Issue:
Volume 3, Issue 3, June 2015
Pages:
136-143
Received:
18 April 2015
Accepted:
29 April 2015
Published:
23 May 2015
Abstract: In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of two index--- New York stock exchange composite index (NYA) and NASDAQ. and estimate the distribution function of the residuals utilizing Gaussian kernel method and Extreme Value Theory. The kernel cumulative distribution function estimates are well suited for the interior of the distribution where most of the residuals are found and the POT method of Extreme Value Theory fits the extreme residuals in upper and lower tails well. The monte carlo technique is used to simulate the income of securities index 20000 times after we get the marginal distribution of the residual income of securities index. Secondly, By using the copula function to get the joint distribution of mthe two stock index. Lastly, According to the theory of VAR calculate VAR value of the portfolio consisting of two equal weight comprehensive index in different confidence levels.
Abstract: In this paper, we establish GJR-GARCH models to extract the residuals of logarithmic returns of two index--- New York stock exchange composite index (NYA) and NASDAQ. and estimate the distribution function of the residuals utilizing Gaussian kernel method and Extreme Value Theory. The kernel cumulative distribution function estimates are well suite...
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Research on Logistics Demand Forecasting and Transportation Structure of Beijing Based on Grey Prediction Model
Jie Zhu,
Hong Zhang,
Li Zhou
Issue:
Volume 3, Issue 3, June 2015
Pages:
144-152
Received:
23 April 2015
Accepted:
6 May 2015
Published:
1 June 2015
Abstract: This paper analyzes the present situation of Beijing logistics development, starting from the total economic output, economic structure, economic location and other aspects, basic economic situation of Beijing is analyzed. From the transportation infrastructure construction present situation, the current status of development of logistics industry, logistics enterprises are analyzed in terms of status and problems of Beijing logistics development; then further analysis of Beijing logistics development environment, all of these indicate that it is very necessary for Beijing logistics demand forecast. Using the econometric model to analyze and forecast the total demand analysis of Beijing logistics, discusses the influencing factors of Beijing logistics demand, thus the construction of index system of logistics demand forecast, and selects freight, freight turnover as a quantitative index to measure the total quantity of logistics demand, using the Eviews model and the analysis, obtains the Beijing logistics demand presents the fast growth to the situation in the future five years.
Abstract: This paper analyzes the present situation of Beijing logistics development, starting from the total economic output, economic structure, economic location and other aspects, basic economic situation of Beijing is analyzed. From the transportation infrastructure construction present situation, the current status of development of logistics industry,...
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Simulation of Heterogeneous Financial Market Model Based on Cellular Automaton
Hong Zhang,
Li Zhou,
Yifan Yang,
Lu Qiu
Issue:
Volume 3, Issue 3, June 2015
Pages:
153-159
Received:
25 April 2015
Accepted:
6 May 2015
Published:
1 June 2015
Abstract: In recent years, researchers analyzed the historical data from the financial markets. They found that the statistical result is different from the classical financial theories, models, and methods. The difference is challenging the three hypotheses which are rational people hypothesis, efficient market hypothesis and random walk hypothesis. We need new perspective and tools to re-study the financial market as a complex system. A cellular automata based heterogeneous financial market model is proposed in this categories which dissertation. In this model, the market participant id divided in to two is the fundamentalists and chartists. A learn rules is used to make sure all the market participant can convert in these two categories. The method emulates the interact behaviors between the market participants, and emulates the overall market behavior. The author analyzes the randomness sources, mean-reverting property, bubble happen and bust, and stationary of this model. The author analyzes the relationships between cellular automata based heterogeneous financial market model and the Ornstein-Uhlenbeck model and GARCH models. The data simulated by the financial market model is fit the characteristics such as the fat tail of return's distribution, negative skewness, relationship between return and trading volume, the randomness of volatility, and volatility cluster, which the classical theory is failed to explain. How to add more heterogeneity into the model is discussed in this dissertation. In this dissertation, by using the cellular automata as a tool, an option pricing model and a heterogeneous financial market model are proposed. The result of the option pricing model is close to the result calculated by the formula. The simulation of heterogeneous financial market model can explain many phenomenons which can not be explained by the classical theory, such as the fat-tail of return and the bubble happen and bust. The author also preliminary designs the financial market model based on the asynchronous cellular automata. These models and conclusions indicate that cellular automata have a ability to show the randomness of the financial markets and simulate the behaves of the participants in the financial maket.
Abstract: In recent years, researchers analyzed the historical data from the financial markets. They found that the statistical result is different from the classical financial theories, models, and methods. The difference is challenging the three hypotheses which are rational people hypothesis, efficient market hypothesis and random walk hypothesis. We need...
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Reliability Equivalence Analysis of a Parallel-Series System Subject to Degradation Facility
Issue:
Volume 3, Issue 3, June 2015
Pages:
160-164
Received:
13 May 2015
Accepted:
26 May 2015
Published:
8 June 2015
Abstract: The performance of a reliability system can be improved by different methods, e.g. the reliability of one or more components can be improved, hot or cold redundant components can be added to the system. Sometimes these measures can be equivalent as they will have the same effect on some performance measure of the system. This paper discusses the reliability equivalences of a parallel–series system. The system considered here consists of m subsystems connected in parallel, with subsystem i consisting of ni independent and identical components in series for i=1, 2, …, m. Three different methods are used to improve the system reliability: (i) the reduction method, (ii) the hot duplication method and (iii) the cold duplication method. Each component of the system has four states and two types of partial failure rates. In this study, the lifetimes of the system components are exponentially distributed. A numerical example is introduced to illustrate how the idea of this work can be applied.
Abstract: The performance of a reliability system can be improved by different methods, e.g. the reliability of one or more components can be improved, hot or cold redundant components can be added to the system. Sometimes these measures can be equivalent as they will have the same effect on some performance measure of the system. This paper discusses the re...
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Multivariate Approach to Partial Correlation Analysis
Onyeneke Casmir Chidiebere
Issue:
Volume 3, Issue 3, June 2015
Pages:
165-170
Received:
13 May 2015
Accepted:
29 May 2015
Published:
11 June 2015
Abstract: Multivariate approach to generate variance covariance and partial correlation coefficients of one or more independent variables has been the concern of advanced statisticians and users of statistical tools. This work tackled the problem by keeping one or some variables constant and partitioned the variance covariance matrices to find multivariate partial correlations. Due to the challenges that faced the analysis and computation of complex variables, this research used matrix to ascertain the level of relationship that exist among these variables and obtained correlation coefficients from variance covariance matrices. It was proved that partial correlation coefficients are diagonal matrices that are normally distributed. (Work count = 101).
Abstract: Multivariate approach to generate variance covariance and partial correlation coefficients of one or more independent variables has been the concern of advanced statisticians and users of statistical tools. This work tackled the problem by keeping one or some variables constant and partitioned the variance covariance matrices to find multivariate p...
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