Dynamic style analysis of Spanish balanced pension plans: A Bayesian approach

This paper is focused on the dynamic allocations of Spanish balanced pension plans that invest predominantly in Euro‐zone equities. Applying a Bayesian method to a return‐based style analysis that includes the constraints of the strong version and time‐varying exposures, we provide evidence for no statistically significant changes over time in the main strategic asset allocations, namely, equity assets, long‐term debt and cash allocations. However, we find time‐varying selection abilities, indicating that the value added by managers is not the same over time. Although the investment style tends to be constant in each pension plan, these allocations are variable across plans which allow us to find different subsets of portfolios that present different mean returns and volatilities. Some pension plan features, such as size and type of financial institution that manages the portfolio, have been considered in trying to find concurrent characteristics in each subset. Copyright © 2010 John Wiley & Sons, Ltd.     

Ductile fracture: Experiments and computations

Numerous criteria have been developed for ductile fracture (DF) prediction in metal plastic deformation. Finding a way to select these DF criteria (DFCs) and identify their applicability and reliability, however, is a non-trivial issue that still needs to be addressed in greater depth. In this study, several criteria under the categories of ‘uncoupled damage criterion’ and the ‘coupled damage criterion’, including the continuum damage mechanics (CDM)-based Lemaitre model and the Gurson-Tvergaard-Needleman (GTN) model, are investigated to determine their reliability in ductile failure prediction. To create diverse stress and strain states and fracture modes, different deformation scenarios are generated using tensile and compression tests of Al-alloy 6061 (T6) with different sample geometries and dimensions. The two categories of criteria are coded into finite element (FE) models based on the unconditional stress integration algorithm in the VUMAT/ABAQUS platform. Through physical experiments, computations and three industrial case studies, the entire correlation panorama of the DFCs, deformation modes and DF mechanisms is established and articulated. The experimental and simulation results show the following. (1) The mixed DF mode exists in every deformation of concern in this study, even in the tensile test of the round bar sample with the smallest notch radius. A decrease of stress triaxiality (η-value) leads to a reduction in the accuracy of DF prediction by the two DFC categories of DFCs, due to the interplay between the principal stress dominant fracture and the shear-stress dominant factor. (2) For deformations with a higher η-value, both categories of DFCs predict the fracture location reasonably well. For those with a lower or even negative η-value, the GTN and CDM-based criteria and some of the uncoupled criteria, including the C&L, Ayada and Oyane models, provide relatively better predictions. Only the Tresca and Freudenthal models can properly predict the shear dominant fracture. The reliability sequence of fracture moment prediction is thus the GTN model, followed by the CDM-based model and the uncoupled models. (3) The applicability of the DFCs depends on the use of suitable damage evolution rules (void nucleation/growth/coalescence and shear band) and consideration of several influential factors, including pressure stress, stress triaxiality, the Lode parameter, and the equivalent plastic strain or shear stress. These parameters determine the deformation mode (shear dominant or maximum principal stress dominant deformation) and, further, the DF mechanism (dimple fracture/shear fracture/mixed fracture).     

整车多体动力学模型验证

迫切需要建立一个通用的汽车仿真开发平台为多种电子控制系统提供统一开发环境.采用Roberson和Wittenberg (R-W)多体动力学理论,建立了自由度(DOF)包含底盘单项和集成控制所需运动参数的整车模型,分别进行了动力学仿真和试验对比验证,结果表明模型的纵向、侧向和垂向动力学性能的正确性.     

风速影响回风换热器换热性能数值仿真及实验研究

针对回风速度对矿井回风换热器换热性能的影响,建立了回风与液滴气液两相流之间热质交换的数学模型,利用CFD仿真软件FLUENT模拟回风速度分别为5 m/s,8 m/s,10 m/s,12 m/s和15 m/s时制热和制冷两种工况下液滴温度的变化,得出了回风速度对回风换热器换热性能的影响规律,最后利用实验测试了制热工况下风速对液滴温度变化的影响,得出的实验结果与仿真结果比较吻合.     

Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures

This paper proposes a new approach to analyze stock return asymmetry and quantiles. We also present a new scale mixture of uniform (SMU) representation for the asymmetric Laplace distribution (ALD). The use of the SMU for a probability distribution is a data augmentation technique that simplifies the Gibbs sampler of the Bayesian Markov chain Monte Carlo algorithms. We consider a stochastic volatility (SV) model with an ALD error distribution. With the SMU representation, the full conditional distribution for some parameters is shown to have closed form. It is also known that the ALD can be used to obtain the coefficients of quantile regression models. This paper also considers a quantile SV model by fixing the skew parameter of the ALD at specific quantile level. Simulation study shows that the proposed methodology works well in both SV and quantile SV models using Bayesian approach. In the empirical study, we analyze index returns of the stock markets in Australia, Japan, Hong Kong, Thailand, and the UK and study the effect of S&P 500 on these returns. The results show the significant return asymmetry in some markets and the influence by S&P 500 in all markets at all quantile levels. Copyright © 2014 John Wiley & Sons, Ltd.     

Origin of the log-periodic oscillations in the quantum dynamics of electrons in quasiperiodic systems

Recently, the occurrence of log-periodic oscillations in the quantum dynamics of electrons was reported for the one-dimensional Fibonacci quasicrystal by Lifshitz and Even-Dar Mandel. We apply a real-space renormalization group approach to show that these log-periodic oscillations are related to the underlying quasiperiodic structure of the Fibonacci quasicrystal. We find that they originate from the superposition of bonding and antibonding states associated to strongly coupled atoms in the chains, and that they show a hierarchical structure closely related to the atomic configurations.     

因子谱与诱导序列

对于任意给定的性质${\mathcal{P}}$和序列$\rho$, 词上的组合领域一个重要的研究课题是找出所有的因子$\omega$和序数$p$,使得序列$\rho$中第$p$次出现的因子$\omega$ (记为$\omega_p$) 满足性质${\mathcal{P}}$.这个问题等价于研究``因子谱''.确定因子谱是一个困难的问题. 为了实现目标,我们引入并研究了一系列的概念:核词、包络词、回归词和任意因子的诱导序列. 利用因子谱和诱导序列,我们可以解决序列中的一些计数问题.例如:在序列的任意一个片段中回文或者高次方词的个数. 本文中,我们将结合几个特殊的序列展示相关的研究结果.这些序列包括: Fibonacci序列、Tribonacci序列、Period-doubling序列等等. 我们相信这些概念和方法对于所有的一致常返序列都是有效的.     

Regulatory use of (Q)SARs in toxicological hazard assessment strategies

In 2001, the European Commission published a policy statement ("White Paper") on future chemicals regulation and risk reduction that proposed the use of non-animal test systems and tailor-made testing approaches, including (Q)SARs, to reduce financial costs and the number of test animals employed. The authors have compiled a database containing data submitted within the EU chemicals notification procedure. From these data, (Q)SARs for the prediction of local irritation/corrosion and/or sensitisation potential were developed and published. These (Q)SARs, together with an expert system supporting their use, will be submitted for official validation and application within regulatory hazard assessment strategies. The main features are: ? two sets of structural alerts for the prediction of skin sensitisation hazard classification as defined by the European risk phrase R43, comprising 15 rules for chemical substructures deemed to be sensitising by direct action with cells or proteins, and three rules for substructures acting indirectly, i.e., requiring biochemical transformation; ? a decision support system (DSS) for the prediction of skin and/or eye lesion potential built from information extracted from our database. This DSS combines SARs defining reactive chemical substructures relevant for local lesions to be classified, and QSARs for the prediction of the absence of such a potential. The role of the BfR database, and (Q)SARs derived from it, in the use of current and future (EU) testing strategies for irritation and sensitisation is discussed.     

Comparison of different statistical approaches to evaluate the orthogonality of chromatographic separations: application to reverse phase systems

Selectivity of phase system is of primary concern when designing a bidimensional chromatographic system and looking for the highest degree of orthogonality between the two separations. Several statistical or geometrical criteria can potentially be used to measure the degree of orthogonality. A comparison of eight candidate criteria has been carried out in this study. Analysis of variance (ANOVA) was used to evaluate the relevance of each criterion and its ability to reveal the significance of the influence of factors like pH, stationary phase, and organic modifier. Experimentally, a set of 32 chromatographic systems was evaluated by the same generic gradient with 63 probe solutes, likely to be present in biological and/or environmental samples and covering a wide range of physico-chemical properties: acidic, basic and neutral compounds with different pKa, molecular mass and hydrophobicity (logP). Each chromatographic system was defined by the nature of the stationary phase (8 different silica or grafting chemistries), the pH of the aqueous fraction of the mobile phase (2.5 or 7.0) and the nature of the organic modifier (acetonitrile or methanol). The orthogonality of the 496 couples of chromatographic systems was evaluated and ranked using the eight different approaches: the three correlation coefficients (Pearson, Spearman and Kendall), two geometric criteria characterizing the coverage of the 2D separation space, Slonecker's information similarity and two chi-square statistics of independence between normalized retention times. In fact, there were only seven distinct criteria, since we established the analytical equivalence between the rankings with the likelihood ratio statistics and Slonecker's information similarity. Kendall's correlation coefficient appeared to be the best measure of orthogonality since, according to ANOVA, it exhibited the highest sensitivity to all experimental factors. The chi-square measures, and hence Slonecker's information similarity, performed equally well provided the discretization of the separation space was carried out appropriately. Finally, from the compared study of the factors acting upon orthogonality carried out by ANOVA, it is possible to draw the conclusion that the pH of the mobile phases has the highest impact on the selectivity followed by the type of stationary phase and finally by the organic modifier.