Multistage optimization of option portfolio using higher order coherent risk measures

Choosing a suitable risk measure to optimize an option portfolio’s performance represents a significant challenge. This paper is concerned with illustrating the advantages of Higher order coherent risk measures to evaluate option risk’s evolution. It discusses the detailed implementation of the resulting dynamic risk optimization problem using stochastic programming. We propose an algorithmic procedure to optimize an option portfolio based on minimization of conditional higher order coherent risk measures. Illustrative examples demonstrate some advantages in the performance of the portfolio’s levels when higher order coherent risk measures are used in the risk optimization criterion.     

Combining evolutionary and stochastic gradient techniques for system identification

In the present contribution, a novel method combining evolutionary and stochastic gradient techniques for system identification is presented. The method attempts to solve the AutoRegressive Moving Average (ARMA) system identification problem using a hybrid evolutionary algorithm which combines Genetic Algorithms (GAs) and the Least Mean Squares LMS algorithm. More precisely, LMS is used in the step of the evaluation of the fitness function in order to enhance the chromosomes produced by the GA. Experimental results demonstrate that the proposed method manages to identify unknown systems, even in cases with high additive noise. Furthermore, it is observed that, in most cases, the proposed method finds the correct order of the unknown system without using a lot of a priori information, compared to other system identification methods presented in the literature. So, the proposed hybrid evolutionary algorithm builds models that not only have small MSE, but also are very similar to the real systems. Except for that, all models derived from the proposed algorithm are stable.     

Applying robust multibit watermarks to digital images

The current work is focusing on the implementation of a robust multibit watermarking algorithm for digital images, which is based on an innovative spread spectrum technique analysis. The paper presents the watermark embedding and detection algorithms, which use both wavelets and the Discrete Cosine Transform and analyzes the arising issues.     

Effective Use of Empirical Data for Virtual Screening against APJR GPCR Receptor

Alzheimer’s disease is a neurodegenerative disorder incompatible with normal daily activity, affecting one in nine people. One of its potential targets is the apelin receptor (APJR), a G-protein coupled receptor, which presents considerably high expression levels in the central nervous system. In silico studies of APJR drug-like molecule binding are in small numbers while high throughput screenings (HTS) are already sufficiently many to devise efficient drug design strategies. This presents itself as an opportunity to optimize different steps in future large scale virtual screening endeavours. Here, we ran a first stage docking simulation against a library of 95 known binders and 3829 generated decoys in an effort to improve the rescoring stage. We then analyzed receptor binding site structure and ligands binding poses to describe their interactions. As a result, we devised a simple and straightforward virtual screening Stage II filtering score based on search space extension followed by a geometric estimation of the ligand—binding site fitness. Having this score, we used an ensemble of receptors generated by Hamiltonian Monte Carlo simulation and reported the results. The improvements shown herein prove that our ensemble docking protocol is suited for APJR and can be easily extrapolated to other GPCRs.     

Analysis of elements on the surface deposit of titanium anode used in the process of sodium chloride electrolysis

Analysis of elements deposited on the surface layer of titanium anode was carried out with the aim of establishing their consumption during electrolysis process of natrium chloride solution. Mass spectrometry and neutron activation method associated with gamma-spectrometry were used and have permitted to find out the behaviour of different elements on titanium surface layers.     

Heavy metal adsorption ability of a new composite material based on starch strengthened with chemically modified cellulose

Adsorption of heavy metals (Pb, Zn, and Cu) on a new bioadsorbent based on starch reinforced with modified cellulose with toluene‐diisocyanate has been studied using batch‐adsorption technology. The study was carried out in order to find if this bio material, designed for seedling pots manufacture, is able to act like a barrier between soil pollutants and plants. The influence of contact time, pH, adsorbent dose, and salt concentrations was also evaluated. The obtained data were examined using the Langmuir and Freundlich adsorption models. Optimal results were obtained at pH 5.0, temperature of 25°C, contact time of 120 minutes, and an adsorbent dose of 4 mg/mL. Experimental data along with computed Langmuir parameters show that the adsorption process is favorable, and the maximum adsorption capacity of the adsorbent for lead, zinc, and copper was 66.66, 58.82, and 47.61 mg/g, respectively.     

Influence of Accelerated Weathering on the Properties of Polypropylene/Polylactic Acid/Eucalyptus Wood Composites

In the view of producing environmentally friendly materials without compromising properties, new composites containing polypropylene as a matrix and eucalyptus wood, with or without 15% of polylactic acid, were melt processed. In order to improve compatibility between components, a chemical modification of wood with toluene-2,4-diisocyanate (TDI) was realized and evidenced by changes in FT-IR and XPS spectra. The morphological, mechanical, and thermal characterizations of the obtained composites were evaluated before and after accelerating weathering. The results showed that the material comprising 15% TDI-modified wood, PP, and 15% PLA exhibited the best properties.     

Esterification of palmitic acid with epichlorohydrin on anion exchange resin catalyst

The esterification reaction of palmitic acid with epichlorohydrin catalyzed by an anionic macroporous resin was studied. Purolite A-500 resin proved to be a very effective catalyst in the synthesis of 3-chloro-2-hydroxypropyl palmitate. The effects of certain parameters such as speed of agitation, catalyst particle size, catalyst loading, temperature, initial molar ratio between reactants on the rate of reaction were studied. It was found that the overall rate is intrinsically kinetically controlled. The structure of synthesized ester was confirmed by FTIR and ¹H NMR analyses.      

Gamma irradiation of protein-based textiles for historical collections decontamination

In order to investigate the effect of gamma rays on cultural heritage materials, samples of silk and wool fabrics were subjected to accelerated ageing testing and then irradiated with different gamma-ray doses: 10 and 25 kGy. In the data analysis, combining thermal analysis (TG and DTG), infrared spectroscopy (FTIR-ATR) and mechanical tests allowed us to explore the changes in physical and chemical features for silk and wool, in relationship to the radiation doses. This analytical protocol offers a way to examine the behaviour of the textiles made of wool and silk within museum collections and their response to gamma-rays irradiation treatment. An exposure to a dose of 10 kGy did not cause significant changes in the tested properties; however, higher doses initiated irreversible loss in the physical and chemical stability of protein-based fabrics. Increasing the irradiation dose above 10 kGy has drastic effects in the loss of elasticity and the mechanical resistance of the tested yarns.     

New Polylactic Acid Composites for Packaging Applications: Mechanical Properties,Thermal Behavior,and Antimicrobial Activity

The interest in antimicrobial packaging materials based on polylactic acid (PLA) polymers has increased due to the need to improve food safety and environment quality and also to find alternatives to synthetic polymers made from petrochemicals. PLA films by addition of different fillers (grape wastes and celery fibers) were obtained. The mechanical, thermal, surface, and antimicrobial properties of the films were evaluated. The incorporation of inexpensive fillers into the PLA matrix could reduce costs and the studied formulations offer approaches to realize composites with high performances and antimicrobial response, suitable for film food-active packaging materials, especially by use of grape wastes.