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Brownian motion</title> <meta name="description" content="Search results for: geometric Brownian motion"> <meta name="keywords" content="geometric Brownian motion"> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button 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action="https://publications.waset.org/abstracts/search"> <div id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value="geometric Brownian motion"> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 1906</div> </div> </div> </div> <h1 class="mt-3 mb-3 text-center" style="font-size:1.6rem;">Search results for: geometric Brownian motion</h1> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1906</span> Mixed Sub-Fractional Brownian Motion</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mounir%20Zili">Mounir Zili</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We will introduce a new extension of the Brownian motion, that could serve to get a good model of many natural phenomena. It is a linear combination of a finite number of sub-fractional Brownian motions; that is why we will call it the mixed sub-fractional Brownian motion. We will present some basic properties of this process. Among others, we will check that our process is non-Markovian and that it has non-stationary increments. We will also give the conditions under which it is a semimartingale. Finally, the main features of its sample paths will be specified. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=mixed%20Gaussian%20processes" title="mixed Gaussian processes">mixed Gaussian processes</a>, <a href="https://publications.waset.org/abstracts/search?q=Sub-fractional%20Brownian%20motion" title=" Sub-fractional Brownian motion"> Sub-fractional Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=sample%20paths" title=" sample paths"> sample paths</a> </p> <a href="https://publications.waset.org/abstracts/32479/mixed-sub-fractional-brownian-motion" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/32479.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">488</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1905</span> Mixed-Sub Fractional Brownian Motion</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mounir%20Zili">Mounir Zili</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We will introduce a new extension of the Brownian motion, that could serve to get a good model of many natural phenomena. It is a linear combination of a finite number of sub-fractional Brownian motions; that is why we will call it the mixed sub-fractional Brownian motion. We will present some basic properties of this process. Among others, we will check that our process is non-markovian and that it has non-stationary increments. We will also give the conditions under which it is a semi-martingale. Finally, the main features of its sample paths will be specified. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=fractal%20dimensions" title="fractal dimensions">fractal dimensions</a>, <a href="https://publications.waset.org/abstracts/search?q=mixed%20gaussian%20processes" title=" mixed gaussian processes"> mixed gaussian processes</a>, <a href="https://publications.waset.org/abstracts/search?q=sample%20paths" title=" sample paths"> sample paths</a>, <a href="https://publications.waset.org/abstracts/search?q=sub-fractional%20brownian%20motion" title=" sub-fractional brownian motion "> sub-fractional brownian motion </a> </p> <a href="https://publications.waset.org/abstracts/36677/mixed-sub-fractional-brownian-motion" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/36677.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">420</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1904</span> Forecasting Silver Commodity Prices Using Geometric Brownian Motion: A Stochastic Approach</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Sina%20Dehghani">Sina Dehghani</a>, <a href="https://publications.waset.org/abstracts/search?q=Zhikang%20Rong"> Zhikang Rong</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Historically, a variety of approaches have been taken to forecast commodity prices due to the significant implications of these values on the global economy. An accurate forecasting tool for a valuable commodity would significantly benefit investors and governmental agencies. Silver, in particular, has grown significantly as a commodity in recent years due to its use in healthcare and technology. This manuscript aims to utilize the Geometric Brownian Motion predictive model to forecast silver commodity prices over multiple 3-year periods. The results of the study indicate that the model has several limitations, particularly its inability to work effectively over longer periods of time, but still was extremely effective over shorter time frames. This study sets a baseline for silver commodity forecasting with GBM, and the model could be further strengthened with refinement. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=geometric%20Brownian%20motion" title="geometric Brownian motion">geometric Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=commodity" title=" commodity"> commodity</a>, <a href="https://publications.waset.org/abstracts/search?q=risk%20management" title=" risk management"> risk management</a>, <a href="https://publications.waset.org/abstracts/search?q=volatility" title=" volatility"> volatility</a>, <a href="https://publications.waset.org/abstracts/search?q=stochastic%20behavior" title=" stochastic behavior"> stochastic behavior</a>, <a href="https://publications.waset.org/abstracts/search?q=price%20forecasting" title=" price forecasting"> price forecasting</a> </p> <a href="https://publications.waset.org/abstracts/192474/forecasting-silver-commodity-prices-using-geometric-brownian-motion-a-stochastic-approach" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/192474.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">23</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1903</span> Approximation of the Time Series by Fractal Brownian Motion</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Valeria%20Bondarenko">Valeria Bondarenko</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we propose two problems related to fractal Brownian motion. First problem is simultaneous estimation of two parameters, Hurst exponent and the volatility, that describe this random process. Numerical tests for the simulated fBm provided an efficient method. Second problem is approximation of the increments of the observed time series by a power function by increments from the fractional Brownian motion. Approximation and estimation are shown on the example of real data, daily deposit interest rates. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=fractional%20Brownian%20motion" title="fractional Brownian motion">fractional Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=Gausssian%20processes" title=" Gausssian processes"> Gausssian processes</a>, <a href="https://publications.waset.org/abstracts/search?q=approximation" title=" approximation"> approximation</a>, <a href="https://publications.waset.org/abstracts/search?q=time%20series" title=" time series"> time series</a>, <a href="https://publications.waset.org/abstracts/search?q=estimation%20of%20properties%20of%20the%20model" title=" estimation of properties of the model"> estimation of properties of the model</a> </p> <a href="https://publications.waset.org/abstracts/4285/approximation-of-the-time-series-by-fractal-brownian-motion" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/4285.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">376</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1902</span> Derivation of Fractional Black-Scholes Equations Driven by Fractional G-Brownian Motion and Their Application in European Option Pricing</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Changhong%20Guo">Changhong Guo</a>, <a href="https://publications.waset.org/abstracts/search?q=Shaomei%20Fang"> Shaomei Fang</a>, <a href="https://publications.waset.org/abstracts/search?q=Yong%20He"> Yong He</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, fractional Black-Scholes models for the European option pricing were established based on the fractional G-Brownian motion (fGBm), which generalizes the concepts of the classical Brownian motion, fractional Brownian motion and the G-Brownian motion, and that can be used to be a tool for considering the long range dependence and uncertain volatility for the financial markets simultaneously. A generalized fractional Black-Scholes equation (FBSE) was derived by using the Taylor’s series of fractional order and the theory of absence of arbitrage. Finally, some explicit option pricing formulas for the European call option and put option under the FBSE were also solved, which extended the classical option pricing formulas given by F. Black and M. Scholes. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=European%20option%20pricing" title="European option pricing">European option pricing</a>, <a href="https://publications.waset.org/abstracts/search?q=fractional%20Black-Scholes%20equations" title=" fractional Black-Scholes equations"> fractional Black-Scholes equations</a>, <a href="https://publications.waset.org/abstracts/search?q=fractional%20g-Brownian%20motion" title=" fractional g-Brownian motion"> fractional g-Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=Taylor%27s%20series%20of%20fractional%20order" title=" Taylor's series of fractional order"> Taylor's series of fractional order</a>, <a href="https://publications.waset.org/abstracts/search?q=uncertain%20volatility" title=" uncertain volatility"> uncertain volatility</a> </p> <a href="https://publications.waset.org/abstracts/127107/derivation-of-fractional-black-scholes-equations-driven-by-fractional-g-brownian-motion-and-their-application-in-european-option-pricing" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/127107.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">163</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1901</span> Flow and Heat Transfer of a Nanofluid over a Shrinking Sheet</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=N.%20Bachok">N. Bachok</a>, <a href="https://publications.waset.org/abstracts/search?q=N.%20L.%20Aleng"> N. L. Aleng</a>, <a href="https://publications.waset.org/abstracts/search?q=N.%20M.%20Arifin"> N. M. Arifin</a>, <a href="https://publications.waset.org/abstracts/search?q=A.%20Ishak"> A. Ishak</a>, <a href="https://publications.waset.org/abstracts/search?q=N.%20Senu"> N. Senu</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The problem of laminar fluid flow which results from the shrinking of a permeable surface in a nanofluid has been investigated numerically. The model used for the nanofluid incorporates the effects of Brownian motion and thermophoresis. A similarity solution is presented which depends on the mass suction parameter S, Prandtl number Pr, Lewis number Le, Brownian motion number Nb and thermophoresis number Nt. It was found that the reduced Nusselt number is decreasing function of each dimensionless number. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Boundary%20layer" title="Boundary layer">Boundary layer</a>, <a href="https://publications.waset.org/abstracts/search?q=nanofluid" title=" nanofluid"> nanofluid</a>, <a href="https://publications.waset.org/abstracts/search?q=shrinking%20sheet" title=" shrinking sheet"> shrinking sheet</a>, <a href="https://publications.waset.org/abstracts/search?q=Brownian%20motion" title=" Brownian motion"> Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=thermophoresis" title=" thermophoresis"> thermophoresis</a>, <a href="https://publications.waset.org/abstracts/search?q=similarity%20solution" title=" similarity solution"> similarity solution</a> </p> <a href="https://publications.waset.org/abstracts/13057/flow-and-heat-transfer-of-a-nanofluid-over-a-shrinking-sheet" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/13057.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">415</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1900</span> Covariance of the Queue Process Fed by Isonormal Gaussian Input Process</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Samaneh%20Rahimirshnani">Samaneh Rahimirshnani</a>, <a href="https://publications.waset.org/abstracts/search?q=Hossein%20Jafari"> Hossein Jafari</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, we consider fluid queueing processes fed by an isonormal Gaussian process. We study the correlation structure of the queueing process and the rate of convergence of the running supremum in the queueing process. The Malliavin calculus techniques are applied to obtain relations that show the workload process inherits the dependence properties of the input process. As examples, we consider two isonormal Gaussian processes, the sub-fractional Brownian motion (SFBM) and the fractional Brownian motion (FBM). For these examples, we obtain upper bounds for the covariance function of the queueing process and its rate of convergence to zero. We also discover that the rate of convergence of the queueing process is related to the structure of the covariance function of the input process. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=queue%20length%20process" title="queue length process">queue length process</a>, <a href="https://publications.waset.org/abstracts/search?q=Malliavin%20calculus" title=" Malliavin calculus"> Malliavin calculus</a>, <a href="https://publications.waset.org/abstracts/search?q=covariance%20function" title=" covariance function"> covariance function</a>, <a href="https://publications.waset.org/abstracts/search?q=fractional%20Brownian%20motion" title=" fractional Brownian motion"> fractional Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=sub-fractional%20Brownian%20motion" title=" sub-fractional Brownian motion"> sub-fractional Brownian motion</a> </p> <a href="https://publications.waset.org/abstracts/182769/covariance-of-the-queue-process-fed-by-isonormal-gaussian-input-process" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/182769.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">63</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1899</span> Distribution of Maximum Loss of Fractional Brownian Motion with Drift</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ceren%20Vardar%20Acar">Ceren Vardar Acar</a>, <a href="https://publications.waset.org/abstracts/search?q=Mine%20Caglar"> Mine Caglar</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In finance, the price of a volatile asset can be modeled using fractional Brownian motion (fBm) with Hurst parameter H>1/2. The Black-Scholes model for the values of returns of an asset using fBm is given as, 〖Y_t=Y_0 e^((r+μ)t+σB)〗_t^H, 0≤t≤T where Y_0 is the initial value, r is constant interest rate, μ is constant drift and σ is constant diffusion coefficient of fBm, which is denoted by B_t^H where t≥0. Black-Scholes model can be constructed with some Markov processes such as Brownian motion. The advantage of modeling with fBm to Markov processes is its capability of exposing the dependence between returns. The real life data for a volatile asset display long-range dependence property. For this reason, using fBm is a more realistic model compared to Markov processes. Investors would be interested in any kind of information on the risk in order to manage it or hedge it. The maximum possible loss is one way to measure highest possible risk. Therefore, it is an important variable for investors. In our study, we give some theoretical bounds on the distribution of maximum possible loss of fBm. We provide both asymptotical and strong estimates for the tail probability of maximum loss of standard fBm and fBm with drift and diffusion coefficients. In the investment point of view, these results explain, how large values of possible loss behave and its bounds. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=maximum%20drawdown" title="maximum drawdown">maximum drawdown</a>, <a href="https://publications.waset.org/abstracts/search?q=maximum%20loss" title=" maximum loss"> maximum loss</a>, <a href="https://publications.waset.org/abstracts/search?q=fractional%20brownian%20motion" title=" fractional brownian motion"> fractional brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=large%20deviation" title=" large deviation"> large deviation</a>, <a href="https://publications.waset.org/abstracts/search?q=Gaussian%20process" title=" Gaussian process"> Gaussian process</a> </p> <a href="https://publications.waset.org/abstracts/18394/distribution-of-maximum-loss-of-fractional-brownian-motion-with-drift" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/18394.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">483</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1898</span> Estimation of Thermal Conductivity of Nanofluids Using MD-Stochastic Simulation-Based Approach</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Sujoy%20Das">Sujoy Das</a>, <a href="https://publications.waset.org/abstracts/search?q=M.%20M.%20Ghosh"> M. M. Ghosh</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The thermal conductivity of a fluid can be significantly enhanced by dispersing nano-sized particles in it, and the resultant fluid is termed as "nanofluid". A theoretical model for estimating the thermal conductivity of a nanofluid has been proposed here. It is based on the mechanism that evenly dispersed nanoparticles within a nanofluid undergo Brownian motion in course of which the nanoparticles repeatedly collide with the heat source. During each collision a rapid heat transfer occurs owing to the solid-solid contact. Molecular dynamics (MD) simulation of the collision of nanoparticles with the heat source has shown that there is a pulse-like pick up of heat by the nanoparticles within 20-100 ps, the extent of which depends not only on thermal conductivity of the nanoparticles, but also on the elastic and other physical properties of the nanoparticle. After the collision the nanoparticles undergo Brownian motion in the base fluid and release the excess heat to the surrounding base fluid within 2-10 ms. The Brownian motion and associated temperature variation of the nanoparticles have been modeled by stochastic analysis. Repeated occurrence of these events by the suspended nanoparticles significantly contributes to the characteristic thermal conductivity of the nanofluids, which has been estimated by the present model for a ethylene glycol based nanofluid containing Cu-nanoparticles of size ranging from 8 to 20 nm, with Gaussian size distribution. The prediction of the present model has shown a reasonable agreement with the experimental data available in literature. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=brownian%20dynamics" title="brownian dynamics">brownian dynamics</a>, <a href="https://publications.waset.org/abstracts/search?q=molecular%20dynamics" title=" molecular dynamics"> molecular dynamics</a>, <a href="https://publications.waset.org/abstracts/search?q=nanofluid" title=" nanofluid"> nanofluid</a>, <a href="https://publications.waset.org/abstracts/search?q=thermal%20conductivity" title=" thermal conductivity"> thermal conductivity</a> </p> <a href="https://publications.waset.org/abstracts/16894/estimation-of-thermal-conductivity-of-nanofluids-using-md-stochastic-simulation-based-approach" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/16894.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">371</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1897</span> Investigation of Airship Motion Sensitivity to Geometric Parameters</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Han%20Ding">Han Ding</a>, <a href="https://publications.waset.org/abstracts/search?q=Wang%20Xiaoliang"> Wang Xiaoliang</a>, <a href="https://publications.waset.org/abstracts/search?q=Duan%20Dengping"> Duan Dengping</a> </p> <p class="card-text"><strong>Abstract:</strong></p> During the process of airship design, the layout and the geometric shape of the hull and fins are crucial to the motion characteristics of the airship. In this paper, we obtained the quantification motion sensitivity of the airship to geometric parameters through turning circles and horizontal/vertical zigzag maneuvers by the parameterization of airship shape and building the dynamic model using Lagrangian approach and MATLAB Simulink program. In the dynamics simulation program, the affection of geometric parameters to the mass, center of gravity, moments of inertia, product of inertia, added mass and the aerodynamic forces and moments have been considered. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=airship" title="airship">airship</a>, <a href="https://publications.waset.org/abstracts/search?q=Lagrangian%20approach" title=" Lagrangian approach"> Lagrangian approach</a>, <a href="https://publications.waset.org/abstracts/search?q=turning%20circles" title=" turning circles"> turning circles</a>, <a href="https://publications.waset.org/abstracts/search?q=horizontal%2Fvertical%20zigzag%20maneuvers" title=" horizontal/vertical zigzag maneuvers"> horizontal/vertical zigzag maneuvers</a> </p> <a href="https://publications.waset.org/abstracts/40146/investigation-of-airship-motion-sensitivity-to-geometric-parameters" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/40146.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">425</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1896</span> A Mathematical Study of Magnetic Field, Heat Transfer and Brownian Motion of Nanofluid over a Nonlinear Stretching Sheet</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Madhu%20Aneja">Madhu Aneja</a>, <a href="https://publications.waset.org/abstracts/search?q=Sapna%20Sharma"> Sapna Sharma</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Thermal conductivity of ordinary heat transfer fluids is not adequate to meet today’s cooling rate requirements. Nanoparticles have been shown to increase the thermal conductivity and convective heat transfer to the base fluids. One of the possible mechanisms for anomalous increase in the thermal conductivity of nanofluids is the Brownian motions of the nanoparticles in the basefluid. In this paper, the natural convection of incompressible nanofluid over a nonlinear stretching sheet in the presence of magnetic field is studied. The flow and heat transfer induced by stretching sheets is important in the study of extrusion processes and is a subject of considerable interest in the contemporary literature. Appropriate similarity variables are used to transform the governing nonlinear partial differential equations to a system of nonlinear ordinary (similarity) differential equations. For computational purpose, Finite Element Method is used. The effective thermal conductivity and viscosity of nanofluid are calculated by KKL (Koo – Klienstreuer – Li) correlation. In this model effect of Brownian motion on thermal conductivity is considered. The effect of important parameter i.e. nonlinear parameter, volume fraction, Hartmann number, heat source parameter is studied on velocity and temperature. Skin friction and heat transfer coefficients are also calculated for concerned parameters. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Brownian%20motion" title="Brownian motion">Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=convection" title=" convection"> convection</a>, <a href="https://publications.waset.org/abstracts/search?q=finite%20element%20method" title=" finite element method"> finite element method</a>, <a href="https://publications.waset.org/abstracts/search?q=magnetic%20field" title=" magnetic field"> magnetic field</a>, <a href="https://publications.waset.org/abstracts/search?q=nanofluid" title=" nanofluid"> nanofluid</a>, <a href="https://publications.waset.org/abstracts/search?q=stretching%20sheet" title=" stretching sheet"> stretching sheet</a> </p> <a href="https://publications.waset.org/abstracts/64215/a-mathematical-study-of-magnetic-field-heat-transfer-and-brownian-motion-of-nanofluid-over-a-nonlinear-stretching-sheet" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/64215.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">218</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1895</span> Chern-Simons Equation in Financial Theory and Time-Series Analysis</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ognjen%20Vukovic">Ognjen Vukovic</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Chern-Simons equation represents the cornerstone of quantum physics. The question that is often asked is if the aforementioned equation can be successfully applied to the interaction in international financial markets. By analysing the time series in financial theory, it is proved that Chern-Simons equation can be successfully applied to financial time-series. The aforementioned statement is based on one important premise and that is that the financial time series follow the fractional Brownian motion. All variants of Chern-Simons equation and theory are applied and analysed. Financial theory time series movement is, firstly, topologically analysed. The main idea is that exchange rate represents two-dimensional projections of three-dimensional Brownian motion movement. Main principles of knot theory and topology are applied to financial time series and setting is created so the Chern-Simons equation can be applied. As Chern-Simons equation is based on small particles, it is multiplied by the magnifying factor to mimic the real world movement. Afterwards, the following equation is optimised using Solver. The equation is applied to n financial time series in order to see if it can capture the interaction between financial time series and consequently explain it. The aforementioned equation represents a novel approach to financial time series analysis and hopefully it will direct further research. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Brownian%20motion" title="Brownian motion">Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=Chern-Simons%20theory" title=" Chern-Simons theory"> Chern-Simons theory</a>, <a href="https://publications.waset.org/abstracts/search?q=financial%20time%20series" title=" financial time series"> financial time series</a>, <a href="https://publications.waset.org/abstracts/search?q=econophysics" title=" econophysics"> econophysics</a> </p> <a href="https://publications.waset.org/abstracts/30127/chern-simons-equation-in-financial-theory-and-time-series-analysis" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/30127.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">473</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1894</span> FEM Simulation of Triple Diffusive Magnetohydrodynamics Effect of Nanofluid Flow over a Nonlinear Stretching Sheet</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Rangoli%20Goyal">Rangoli Goyal</a>, <a href="https://publications.waset.org/abstracts/search?q=Rama%20Bhargava"> Rama Bhargava</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The triple diffusive boundary layer flow of nanofluid under the action of constant magnetic field over a non-linear stretching sheet has been investigated numerically. The model includes the effect of Brownian motion, thermophoresis, and cross-diffusion; slip mechanisms which are primarily responsible for the enhancement of the convective features of nanofluid. The governing partial differential equations are transformed into a system of ordinary differential equations (by using group theory transformations) and solved numerically by using variational finite element method. The effects of various controlling parameters, such as the magnetic influence number, thermophoresis parameter, Brownian motion parameter, modified Dufour parameter, and Dufour solutal Lewis number, on the fluid flow as well as on heat and mass transfer coefficients (both of solute and nanofluid) are presented graphically and discussed quantitatively. The present study has industrial applications in aerodynamic extrusion of plastic sheets, coating and suspensions, melt spinning, hot rolling, wire drawing, glass-fibre production, and manufacture of polymer and rubber sheets, where the quality of the desired product depends on the stretching rate as well as external field including magnetic effects. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=FEM" title="FEM">FEM</a>, <a href="https://publications.waset.org/abstracts/search?q=thermophoresis" title=" thermophoresis"> thermophoresis</a>, <a href="https://publications.waset.org/abstracts/search?q=diffusiophoresis" title=" diffusiophoresis"> diffusiophoresis</a>, <a href="https://publications.waset.org/abstracts/search?q=Brownian%20motion" title=" Brownian motion"> Brownian motion</a> </p> <a href="https://publications.waset.org/abstracts/51131/fem-simulation-of-triple-diffusive-magnetohydrodynamics-effect-of-nanofluid-flow-over-a-nonlinear-stretching-sheet" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/51131.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">420</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1893</span> Boundary Layer Flow of a Casson Nanofluid Past a Vertical Exponentially Stretching Cylinder in the Presence of a Transverse Magnetic Field with Internal Heat Generation/Absorption</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=G.%20Sarojamma">G. Sarojamma</a>, <a href="https://publications.waset.org/abstracts/search?q=K.%20Vendabai"> K. Vendabai</a> </p> <p class="card-text"><strong>Abstract:</strong></p> An analysis is carried out to investigate the effect of magnetic field and heat source on the steady boundary layer flow and heat transfer of a Casson nanofluid over a vertical cylinder stretching exponentially along its radial direction. Using a similarity transformation, the governing mathematical equations, with the boundary conditions are reduced to a system of coupled, non –linear ordinary differential equations. The resulting system is solved numerically by the fourth order Runge – Kutta scheme with shooting technique. The influence of various physical parameters such as Reynolds number, Prandtl number, magnetic field, Brownian motion parameter, thermophoresis parameter, Lewis number and the natural convection parameter are presented graphically and discussed for non – dimensional velocity, temperature and nanoparticle volume fraction. Numerical data for the skin – friction coefficient, local Nusselt number and the local Sherwood number have been tabulated for various parametric conditions. It is found that the local Nusselt number is a decreasing function of Brownian motion parameter Nb and the thermophoresis parameter Nt. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=casson%20nanofluid" title="casson nanofluid">casson nanofluid</a>, <a href="https://publications.waset.org/abstracts/search?q=boundary%20layer%20flow" title=" boundary layer flow"> boundary layer flow</a>, <a href="https://publications.waset.org/abstracts/search?q=internal%20heat%20generation%2Fabsorption" title=" internal heat generation/absorption"> internal heat generation/absorption</a>, <a href="https://publications.waset.org/abstracts/search?q=exponentially%20stretching%20cylinder" title=" exponentially stretching cylinder"> exponentially stretching cylinder</a>, <a href="https://publications.waset.org/abstracts/search?q=heat%20transfer" title=" heat transfer"> heat transfer</a>, <a href="https://publications.waset.org/abstracts/search?q=brownian%20motion" title=" brownian motion"> brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=thermophoresis" title=" thermophoresis "> thermophoresis </a> </p> <a href="https://publications.waset.org/abstracts/22055/boundary-layer-flow-of-a-casson-nanofluid-past-a-vertical-exponentially-stretching-cylinder-in-the-presence-of-a-transverse-magnetic-field-with-internal-heat-generationabsorption" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/22055.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">389</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1892</span> Gravity and Geometric String Mechanics</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Joe%20Price%20LeClair">Joe Price LeClair</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Understanding the geometry of the universe using hydrogen as a representation of a balance point between energy and matter in motion while using the neutron to explain the stability in threes. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=gravity" title="gravity">gravity</a>, <a href="https://publications.waset.org/abstracts/search?q=geometric%20string%20mechanics" title=" geometric string mechanics"> geometric string mechanics</a>, <a href="https://publications.waset.org/abstracts/search?q=physics" title=" physics"> physics</a>, <a href="https://publications.waset.org/abstracts/search?q=theoretical%20physics" title=" theoretical physics"> theoretical physics</a> </p> <a href="https://publications.waset.org/abstracts/194933/gravity-and-geometric-string-mechanics" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/194933.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">5</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1891</span> Simulation of Colombian Exchange Rate to Cover the Exchange Risk Using Financial Options Like Hedge Strategy</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Natalia%20M.%20Acevedo">Natalia M. Acevedo</a>, <a href="https://publications.waset.org/abstracts/search?q=Luis%20M.%20Jimenez"> Luis M. Jimenez</a>, <a href="https://publications.waset.org/abstracts/search?q=Erick%20Lambis"> Erick Lambis</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Imperfections in the capital market are used to argue the relevance of the corporate risk management function. With corporate hedge, the value of the company is increased by reducing the volatility of the expected cash flow and making it possible to face a lower bankruptcy costs and financial difficulties, without sacrificing tax advantages for debt financing. With the propose to avoid exchange rate troubles over cash flows of Colombian exporting firms, this dissertation uses financial options, over exchange rate between Peso and Dollar, for realizing a financial hedge. In this study, a strategy of hedge is designed for an exporting company in Colombia with the objective of preventing fluctuations because, if the exchange rate down, the number of Colombian pesos that obtains the company by exports, is less than agreed. The exchange rate of Colombia is measured by the TRM (Representative Market Rate), representing the number of Colombian pesos for an American dollar. First, the TMR is modelled through the Geometric Brownian Motion, with this, the project price is simulated using Montecarlo simulations and finding the mean of TRM for three, six and twelve months. For financial hedging, currency options were used. The 6-month projection was covered with financial options on European-type currency with a strike price of $ 2,780.47 for each month; this value corresponds to the last value of the historical TRM. In the compensation of the options in each month, the price paid for the premium, calculated with the Black-Scholes method for currency options, was considered. Finally, with the modeling of prices and the Monte Carlo simulation, the effect of the exchange hedging with options on the exporting company was determined, this by means of the unit price estimate to which the dollars in the scenario without coverage were changed and scenario with coverage. After using the scenarios: is determinate that the TRM will have a bull trend and the exporting firm will be affected positively because they will get more pesos for each dollar. The results show that the financial options manage to reduce the exchange risk. The expected value with coverage is approximate to the expected value without coverage, but the 5% percentile with coverage is greater than without coverage. The foregoing indicates that in the worst scenarios the exporting companies will obtain better prices for the sale of the currencies if they cover. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=currency%20hedging" title="currency hedging">currency hedging</a>, <a href="https://publications.waset.org/abstracts/search?q=futures" title=" futures"> futures</a>, <a href="https://publications.waset.org/abstracts/search?q=geometric%20Brownian%20motion" title=" geometric Brownian motion"> geometric Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=options" title=" options"> options</a> </p> <a href="https://publications.waset.org/abstracts/93475/simulation-of-colombian-exchange-rate-to-cover-the-exchange-risk-using-financial-options-like-hedge-strategy" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/93475.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">130</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1890</span> Weak Solutions Of Stochastic Fractional Differential Equations</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Lev%20Idels">Lev Idels</a>, <a href="https://publications.waset.org/abstracts/search?q=Arcady%20Ponosov"> Arcady Ponosov</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Stochastic fractional differential equations have recently attracted considerable attention, as they have been used to model real-world processes, which are subject to natural memory effects and measurement uncertainties. Compared to conventional hereditary differential equations, one of the advantages of fractional differential equations is related to more realistic geometric properties of their trajectories that do not intersect in the phase space. In this report, a Peano-like existence theorem for nonlinear stochastic fractional differential equations is proven under very general hypotheses. Several specific classes of equations are checked to satisfy these hypotheses, including delay equations driven by the fractional Brownian motion, stochastic fractional neutral equations and many others. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=delay%20equations" title="delay equations">delay equations</a>, <a href="https://publications.waset.org/abstracts/search?q=operator%20methods" title=" operator methods"> operator methods</a>, <a href="https://publications.waset.org/abstracts/search?q=stochastic%20noise" title=" stochastic noise"> stochastic noise</a>, <a href="https://publications.waset.org/abstracts/search?q=weak%20solutions" title=" weak solutions"> weak solutions</a> </p> <a href="https://publications.waset.org/abstracts/146592/weak-solutions-of-stochastic-fractional-differential-equations" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/146592.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">209</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1889</span> Comparing the Motion of Solar System with Water Droplet Motion to Predict the Future of Solar System</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Areena%20Bhatti">Areena Bhatti</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The geometric arrangement of planet and moon is the result of a self-organizing system. In our solar system, the planets and moons are constantly orbiting around the sun. The aim of this theory is to compare the motion of a solar system with the motion of water droplet when poured into a water body. The basic methodology is to compare both motions to know how they are related to each other. The difference between both systems will be that one is extremely fast, and the other is extremely slow. The role of this theory is that by looking at the fast system we can conclude how slow the system will get to an end. Just like ripples are formed around water droplet that move away from the droplet and water droplet forming those ripples become small in size will tell us how solar system will behave in the same way. So it is concluded that large and small systems can work under the same process but with different motions of time, and motion of the solar system is the slowest form of water droplet motion. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=motion" title="motion">motion</a>, <a href="https://publications.waset.org/abstracts/search?q=water" title=" water"> water</a>, <a href="https://publications.waset.org/abstracts/search?q=sun" title=" sun"> sun</a>, <a href="https://publications.waset.org/abstracts/search?q=time" title=" time"> time</a> </p> <a href="https://publications.waset.org/abstracts/111769/comparing-the-motion-of-solar-system-with-water-droplet-motion-to-predict-the-future-of-solar-system" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/111769.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">151</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1888</span> The Use of Fractional Brownian Motion in the Generation of Bed Topography for Bodies of Water Coupled with the Lattice Boltzmann Method</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Elysia%20Barker">Elysia Barker</a>, <a href="https://publications.waset.org/abstracts/search?q=Jian%20Guo%20Zhou"> Jian Guo Zhou</a>, <a href="https://publications.waset.org/abstracts/search?q=Ling%20Qian"> Ling Qian</a>, <a href="https://publications.waset.org/abstracts/search?q=Steve%20Decent"> Steve Decent</a> </p> <p class="card-text"><strong>Abstract:</strong></p> A method of modelling topography used in the simulation of riverbeds is proposed in this paper, which removes the need for datapoints and measurements of physical terrain. While complex scans of the contours of a surface can be achieved with other methods, this requires specialised tools, which the proposed method overcomes by using fractional Brownian motion (FBM) as a basis to estimate the real surface within a 15% margin of error while attempting to optimise algorithmic efficiency. This removes the need for complex, expensive equipment and reduces resources spent modelling bed topography. This method also accounts for the change in topography over time due to erosion, sediment transport, and other external factors which could affect the topography of the ground by updating its parameters and generating a new bed. The lattice Boltzmann method (LBM) is used to simulate both stationary and steady flow cases in a side-by-side comparison over the generated bed topography using the proposed method and a test case taken from an external source. The method, if successful, will be incorporated into the current LBM program used in the testing phase, which will allow an automatic generation of topography for the given situation in future research, removing the need for bed data to be specified. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=bed%20topography" title="bed topography">bed topography</a>, <a href="https://publications.waset.org/abstracts/search?q=FBM" title=" FBM"> FBM</a>, <a href="https://publications.waset.org/abstracts/search?q=LBM" title=" LBM"> LBM</a>, <a href="https://publications.waset.org/abstracts/search?q=shallow%20water" title=" shallow water"> shallow water</a>, <a href="https://publications.waset.org/abstracts/search?q=simulations" title=" simulations"> simulations</a> </p> <a href="https://publications.waset.org/abstracts/152925/the-use-of-fractional-brownian-motion-in-the-generation-of-bed-topography-for-bodies-of-water-coupled-with-the-lattice-boltzmann-method" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/152925.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">98</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1887</span> The Volume–Volatility Relationship Conditional to Market Efficiency</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Massimiliano%20Frezza">Massimiliano Frezza</a>, <a href="https://publications.waset.org/abstracts/search?q=Sergio%20Bianchi"> Sergio Bianchi</a>, <a href="https://publications.waset.org/abstracts/search?q=Augusto%20Pianese"> Augusto Pianese</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The relation between stock price volatility and trading volume represents a controversial issue which has received a remarkable attention over the past decades. In fact, an extensive literature shows a positive relation between price volatility and trading volume in the financial markets, but the causal relationship which originates such association is an open question, from both a theoretical and empirical point of view. In this regard, various models, which can be considered as complementary rather than competitive, have been introduced to explain this relationship. They include the long debated Mixture of Distributions Hypothesis (MDH); the Sequential Arrival of Information Hypothesis (SAIH); the Dispersion of Beliefs Hypothesis (DBH); the Noise Trader Hypothesis (NTH). In this work, we analyze whether stock market efficiency can explain the diversity of results achieved during the years. For this purpose, we propose an alternative measure of market efficiency, based on the pointwise regularity of a stochastic process, which is the Hurst–H¨older dynamic exponent. In particular, we model the stock market by means of the multifractional Brownian motion (mBm) that displays the property of a time-changing regularity. Mostly, such models have in common the fact that they locally behave as a fractional Brownian motion, in the sense that their local regularity at time t0 (measured by the local Hurst–H¨older exponent in a neighborhood of t0 equals the exponent of a fractional Brownian motion of parameter H(t0)). Assuming that the stock price follows an mBm, we introduce and theoretically justify the Hurst–H¨older dynamical exponent as a measure of market efficiency. This allows to measure, at any time t, markets’ departures from the martingale property, i.e. from efficiency as stated by the Efficient Market Hypothesis. This approach is applied to financial markets; using data for the SP500 index from 1978 to 2017, on the one hand we find that when efficiency is not accounted for, a positive contemporaneous relationship emerges and is stable over time. Conversely, it disappears as soon as efficiency is taken into account. In particular, this association is more pronounced during time frames of high volatility and tends to disappear when market becomes fully efficient. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=volume%E2%80%93volatility%20relationship" title="volume–volatility relationship">volume–volatility relationship</a>, <a href="https://publications.waset.org/abstracts/search?q=efficient%20market%20hypothesis" title=" efficient market hypothesis"> efficient market hypothesis</a>, <a href="https://publications.waset.org/abstracts/search?q=martingale%20model" title=" martingale model"> martingale model</a>, <a href="https://publications.waset.org/abstracts/search?q=Hurst%E2%80%93H%C3%B6lder%20exponent" title=" Hurst–Hölder exponent"> Hurst–Hölder exponent</a> </p> <a href="https://publications.waset.org/abstracts/165930/the-volume-volatility-relationship-conditional-to-market-efficiency" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/165930.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">78</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1886</span> Islamic Geometric Design: Infinite Point or Creativity through Compass and Digital</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ridzuan%20Hussin">Ridzuan Hussin</a>, <a href="https://publications.waset.org/abstracts/search?q=Mohd%20Zaihidee%20Arshad"> Mohd Zaihidee Arshad</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The creativity of earlier artists and sculptors in designing geometric is extraordinary provided with only a compass. Indeed, geometric in Islamic art and design are unique and have their own aesthetic values. In order to further understand geometric, self-learning with the approach of hands on would be appropriate. For this study, Islamic themed geometric designed and created, concerning only; i. The Square Repetition Unit and √2, ii. The Hexagonal Repetition Unit and √3 and iii. Double Hexagon. The aim of this research is to evaluate the creativity of Islamic geometric pattern artworks, through Fundamental Arts and Gestalt theory. Data was collected using specific tasks, and this research intends to identify the difference of Islamic geometric between 21 untitled selected geometric artworks (conventional design method), and 25 digital untitled geometric pattern artworks method. The evaluation of creativity, colors, layout, pattern and unity is known to be of utmost importance, although there are differences in the conventional or the digital approach. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Islamic%20geometric%20design" title="Islamic geometric design">Islamic geometric design</a>, <a href="https://publications.waset.org/abstracts/search?q=Gestalt" title=" Gestalt"> Gestalt</a>, <a href="https://publications.waset.org/abstracts/search?q=fundamentals%20of%20art" title=" fundamentals of art"> fundamentals of art</a>, <a href="https://publications.waset.org/abstracts/search?q=patterns" title=" patterns"> patterns</a> </p> <a href="https://publications.waset.org/abstracts/59119/islamic-geometric-design-infinite-point-or-creativity-through-compass-and-digital" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/59119.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">248</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1885</span> Thermal and Geometric Effects on Nonlinear Response of Incompressible Hyperelastic Cylindrical Shells</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Morteza%20Shayan%20Arani">Morteza Shayan Arani</a>, <a href="https://publications.waset.org/abstracts/search?q=Mohammadamin%20Esmailzadehazimi"> Mohammadamin Esmailzadehazimi</a>, <a href="https://publications.waset.org/abstracts/search?q=Mohammadreza%20Moeini"> Mohammadreza Moeini</a>, <a href="https://publications.waset.org/abstracts/search?q=Mohammad%20Toorani"> Mohammad Toorani</a>, <a href="https://publications.waset.org/abstracts/search?q=Aouni%20A.%20Lakis"> Aouni A. Lakis</a> </p> <p class="card-text"><strong>Abstract:</strong></p> This paper investigates the nonlinear response of thin, incompressible, hyperelastic cylindrical shells in the presence of a time-varying temperature field while considering initial geometric imperfections. The governing equations of motion are derived using an improved Donnell's shallow shell theory. The hyperelastic material is modeled using the Mooney-Rivlin model with two parameters, incorporating temperature-dependent terms. The Lagrangian method is applied to obtain the equation of motion. The resulting governing equation is addressed through the Lindstedt-Poincaré and Multiple Scale methods. The linear and nonlinear models presented in this study are verified against existing open literature, demonstrating the accuracy and reliability of the presented model. The study focuses on understanding the influence of temperature variations and geometrical imperfections on the natural frequency and amplitude-frequency response of the systems. Notably, the investigation reveals the coexistence of hardening and softening peaks in the amplitude-frequency response, which vary in magnitude depending on these parameters. Additionally, resonance peaks exhibit changes as a result of temperature and geometric imperfections. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=hyperelastic%20material" title="hyperelastic material">hyperelastic material</a>, <a href="https://publications.waset.org/abstracts/search?q=cylindrical%20shell" title=" cylindrical shell"> cylindrical shell</a>, <a href="https://publications.waset.org/abstracts/search?q=geometrical%20nonlinearity" title=" geometrical nonlinearity"> geometrical nonlinearity</a>, <a href="https://publications.waset.org/abstracts/search?q=material%20naolinearity" title=" material naolinearity"> material naolinearity</a>, <a href="https://publications.waset.org/abstracts/search?q=initial%20geometric%20imperfection" title=" initial geometric imperfection"> initial geometric imperfection</a>, <a href="https://publications.waset.org/abstracts/search?q=temperature%20gradient" title=" temperature gradient"> temperature gradient</a>, <a href="https://publications.waset.org/abstracts/search?q=hardening%20and%20softening" title=" hardening and softening"> hardening and softening</a> </p> <a href="https://publications.waset.org/abstracts/176415/thermal-and-geometric-effects-on-nonlinear-response-of-incompressible-hyperelastic-cylindrical-shells" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/176415.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">72</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1884</span> Numerical Approach to a Mathematical Modeling of Bioconvection Due to Gyrotactic Micro-Organisms over a Nonlinear Inclined Stretching Sheet</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Madhu%20Aneja">Madhu Aneja</a>, <a href="https://publications.waset.org/abstracts/search?q=Sapna%20Sharma"> Sapna Sharma</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The water-based bioconvection of a nanofluid containing motile gyrotactic micro-organisms over nonlinear inclined stretching sheet has been investigated. The governing nonlinear boundary layer equations of the model are reduced to a system of ordinary differential equations via Oberbeck-Boussinesq approximation and similarity transformations. Further, the modified set of equations with associated boundary conditions are solved using Finite Element Method. The impact of various pertinent parameters on the velocity, temperature, nanoparticles concentration, density of motile micro-organisms profiles are obtained and analyzed in details. The results show that with the increase in angle of inclination δ, velocity decreases while temperature, nanoparticles concentration, a density of motile micro-organisms increases. Additionally, the skin friction coefficient, Nusselt number, Sherwood number, density number are computed for various thermophysical parameters. It is noticed that increasing Brownian motion and thermophoresis parameter leads to an increase in temperature of fluid which results in a reduction in Nusselt number. On the contrary, Sherwood number rises with an increase in Brownian motion and thermophoresis parameter. The findings have been validated by comparing the results of special cases with existing studies. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=bioconvection" title="bioconvection">bioconvection</a>, <a href="https://publications.waset.org/abstracts/search?q=finite%20element%20method" title=" finite element method"> finite element method</a>, <a href="https://publications.waset.org/abstracts/search?q=gyrotactic%20micro-organisms" title=" gyrotactic micro-organisms"> gyrotactic micro-organisms</a>, <a href="https://publications.waset.org/abstracts/search?q=inclined%20stretching%20sheet" title=" inclined stretching sheet"> inclined stretching sheet</a>, <a href="https://publications.waset.org/abstracts/search?q=nanofluid" title=" nanofluid"> nanofluid</a> </p> <a href="https://publications.waset.org/abstracts/73917/numerical-approach-to-a-mathematical-modeling-of-bioconvection-due-to-gyrotactic-micro-organisms-over-a-nonlinear-inclined-stretching-sheet" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/73917.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">189</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1883</span> Lie Symmetry Treatment for Pricing Options with Transactions Costs under the Fractional Black-Scholes Model</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=B.%20F.%20Nteumagne">B. F. Nteumagne</a>, <a href="https://publications.waset.org/abstracts/search?q=E.%20Pindza"> E. Pindza</a>, <a href="https://publications.waset.org/abstracts/search?q=E.%20Mare"> E. Mare</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We apply Lie symmetries analysis to price and hedge options in the fractional Brownian framework. The reputation of Lie groups is well spread in the area of Mathematical sciences and lately, in Finance. In the presence of transactions costs and under fractional Brownian motions, analytical solutions become difficult to obtain. Lie symmetries analysis allows us to simplify the problem and obtain new analytical solution. In this paper, we investigate the use of symmetries to reduce the partial differential equation obtained and obtain the analytical solution. We then proposed a hedging procedure and calibration technique for these types of options, and test the model on real market data. We show the robustness of our methodology by its application to the pricing of digital options. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=fractional%20brownian%20model" title="fractional brownian model">fractional brownian model</a>, <a href="https://publications.waset.org/abstracts/search?q=symmetry" title=" symmetry"> symmetry</a>, <a href="https://publications.waset.org/abstracts/search?q=transaction%20cost" title=" transaction cost"> transaction cost</a>, <a href="https://publications.waset.org/abstracts/search?q=option%20pricing" title=" option pricing"> option pricing</a> </p> <a href="https://publications.waset.org/abstracts/38502/lie-symmetry-treatment-for-pricing-options-with-transactions-costs-under-the-fractional-black-scholes-model" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/38502.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">399</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1882</span> Method to Find a ε-Optimal Control of Stochastic Differential Equation Driven by a Brownian Motion</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Francys%20Souza">Francys Souza</a>, <a href="https://publications.waset.org/abstracts/search?q=Alberto%20Ohashi"> Alberto Ohashi</a>, <a href="https://publications.waset.org/abstracts/search?q=Dorival%20Leao"> Dorival Leao</a> </p> <p class="card-text"><strong>Abstract:</strong></p> We present a general solution for finding the ε-optimal controls for non-Markovian stochastic systems as stochastic differential equations driven by Brownian motion, which is a problem recognized as a difficult solution. The contribution appears in the development of mathematical tools to deal with modeling and control of non-Markovian systems, whose applicability in different areas is well known. The methodology used consists to discretize the problem through a random discretization. In this way, we transform an infinite dimensional problem in a finite dimensional, thereafter we use measurable selection arguments, to find a control on an explicit form for the discretized problem. Then, we prove the control found for the discretized problem is a ε-optimal control for the original problem. Our theory provides a concrete description of a rather general class, among the principals, we can highlight financial problems such as portfolio control, hedging, super-hedging, pairs-trading and others. Therefore, our main contribution is the development of a tool to explicitly the ε-optimal control for non-Markovian stochastic systems. The pathwise analysis was made through a random discretization jointly with measurable selection arguments, has provided us with a structure to transform an infinite dimensional problem into a finite dimensional. The theory is applied to stochastic control problems based on path-dependent stochastic differential equations, where both drift and diffusion components are controlled. We are able to explicitly show optimal control with our method. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=dynamic%20programming%20equation" title="dynamic programming equation">dynamic programming equation</a>, <a href="https://publications.waset.org/abstracts/search?q=optimal%20control" title=" optimal control"> optimal control</a>, <a href="https://publications.waset.org/abstracts/search?q=stochastic%20control" title=" stochastic control"> stochastic control</a>, <a href="https://publications.waset.org/abstracts/search?q=stochastic%20differential%20equation" title=" stochastic differential equation"> stochastic differential equation</a> </p> <a href="https://publications.waset.org/abstracts/94746/method-to-find-a-e-optimal-control-of-stochastic-differential-equation-driven-by-a-brownian-motion" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/94746.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">188</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1881</span> Magnetohydrodynamic Flow of Viscoelastic Nanofluid and Heat Transfer over a Stretching Surface with Non-Uniform Heat Source/Sink and Non-Linear Radiation</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Md.%20S.%20Ansari">Md. S. Ansari</a>, <a href="https://publications.waset.org/abstracts/search?q=S.%20S.%20Motsa"> S. S. Motsa</a> </p> <p class="card-text"><strong>Abstract:</strong></p> In this paper, an analysis has been made on the flow of non-Newtonian viscoelastic nanofluid over a linearly stretching sheet under the influence of uniform magnetic field. Heat transfer characteristics is analyzed taking into the effect of nonlinear radiation and non-uniform heat source/sink. Transport equations contain the simultaneous effects of Brownian motion and thermophoretic diffusion of nanoparticles. The relevant partial differential equations are non-dimensionalized and transformed into ordinary differential equations by using appropriate similarity transformations. The transformed, highly nonlinear, ordinary differential equations are solved by spectral local linearisation method. The numerical convergence, error and stability analysis of iteration schemes are presented. The effects of different controlling parameters, namely, radiation, space and temperature-dependent heat source/sink, Brownian motion, thermophoresis, viscoelastic, Lewis number and the magnetic force parameter on the flow field, heat transfer characteristics and nanoparticles concentration are examined. The present investigation has many industrial and engineering applications in the fields of coatings and suspensions, cooling of metallic plates, oils and grease, paper production, coal water or coal–oil slurries, heat exchangers’ technology, and materials’ processing and exploiting. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=magnetic%20field" title="magnetic field">magnetic field</a>, <a href="https://publications.waset.org/abstracts/search?q=nonlinear%20radiation" title=" nonlinear radiation"> nonlinear radiation</a>, <a href="https://publications.waset.org/abstracts/search?q=non-uniform%20heat%20source%2Fsink" title=" non-uniform heat source/sink"> non-uniform heat source/sink</a>, <a href="https://publications.waset.org/abstracts/search?q=similar%20solution" title=" similar solution"> similar solution</a>, <a href="https://publications.waset.org/abstracts/search?q=spectral%20local%20linearisation%20method" title=" spectral local linearisation method"> spectral local linearisation method</a>, <a href="https://publications.waset.org/abstracts/search?q=Rosseland%20diffusion%20approximation" title=" Rosseland diffusion approximation"> Rosseland diffusion approximation</a> </p> <a href="https://publications.waset.org/abstracts/10974/magnetohydrodynamic-flow-of-viscoelastic-nanofluid-and-heat-transfer-over-a-stretching-surface-with-non-uniform-heat-sourcesink-and-non-linear-radiation" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/10974.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">372</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1880</span> Kýklos Dimensional Geometry: Entity Specific Core Measurement System</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Steven%20D.%20P%20Moore">Steven D. P Moore</a> </p> <p class="card-text"><strong>Abstract:</strong></p> A novel method referred to asKýklos(Ky) dimensional geometry is proposed as an entity specific core geometric dimensional measurement system. Ky geometric measures can constructscaled multi-dimensionalmodels using regular and irregular sets in IRn. This entity specific-derived geometric measurement system shares similar fractal methods in which a ‘fractal transformation operator’ is applied to a set S to produce a union of N copies. The Kýklos’ inputs use 1D geometry as a core measure. One-dimensional inputs include the radius interval of a circle/sphere or the semiminor/semimajor axes intervals of an ellipse or spheroid. These geometric inputs have finite values that can be measured by SI distance units. The outputs for each interval are divided and subdivided 1D subcomponents with a union equal to the interval geometry/length. Setting a limit of subdivision iterations creates a finite value for each 1Dsubcomponent. The uniqueness of this method is captured by allowing the simplest 1D inputs to define entity specific subclass geometric core measurements that can also be used to derive length measures. Current methodologies for celestial based measurement of time, as defined within SI units, fits within this methodology, thus combining spatial and temporal features into geometric core measures. The novel Ky method discussed here offers geometric measures to construct scaled multi-dimensional structures, even models. Ky classes proposed for consideration include celestial even subatomic. The application of this offers incredible possibilities, for example, geometric architecture that can represent scaled celestial models that incorporates planets (spheroids) and celestial motion (elliptical orbits). <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Kyklos" title="Kyklos">Kyklos</a>, <a href="https://publications.waset.org/abstracts/search?q=geometry" title=" geometry"> geometry</a>, <a href="https://publications.waset.org/abstracts/search?q=measurement" title=" measurement"> measurement</a>, <a href="https://publications.waset.org/abstracts/search?q=celestial" title=" celestial"> celestial</a>, <a href="https://publications.waset.org/abstracts/search?q=dimension" title=" dimension"> dimension</a> </p> <a href="https://publications.waset.org/abstracts/141798/kyklos-dimensional-geometry-entity-specific-core-measurement-system" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/141798.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">166</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1879</span> A Deep Explanation for the Formation of Force as a Foundational Law of Physics by Incorporating Unknown Degrees of Freedom into Space</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Mohsen%20Farshad">Mohsen Farshad</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Information and force definition has been intertwined with the concept of entropy for many years. The displacement information of degrees of freedom with Brownian motions at a given temperature in space emerges as an entropic force between species. Here, we use this concept of entropy to understand the underlying physics behind the formation of attractive and repulsive forces by imagining that space is filled with free Brownian degrees of freedom. We incorporate the radius of bodies and the distance between them into entropic force relation systematically. Using this modified gravitational entropic force, we derive the attractive entropic force between bodies without considering their spin. We further hypothesize a possible mechanism for the formation of the repulsive force between two bodies. We visually elaborate that the repulsive entropic force will be manifested through the rotation of degrees of freedom around the spinning particles. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=entropy" title="entropy">entropy</a>, <a href="https://publications.waset.org/abstracts/search?q=information" title=" information"> information</a>, <a href="https://publications.waset.org/abstracts/search?q=force" title=" force"> force</a>, <a href="https://publications.waset.org/abstracts/search?q=Brownian%20Motions" title=" Brownian Motions"> Brownian Motions</a> </p> <a href="https://publications.waset.org/abstracts/150175/a-deep-explanation-for-the-formation-of-force-as-a-foundational-law-of-physics-by-incorporating-unknown-degrees-of-freedom-into-space" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/150175.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">76</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1878</span> The Shannon Entropy and Multifractional Markets</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Massimiliano%20Frezza">Massimiliano Frezza</a>, <a href="https://publications.waset.org/abstracts/search?q=Sergio%20Bianchi"> Sergio Bianchi</a>, <a href="https://publications.waset.org/abstracts/search?q=Augusto%20Pianese"> Augusto Pianese</a> </p> <p class="card-text"><strong>Abstract:</strong></p> Introduced by Shannon in 1948 in the field of information theory as the average rate at which information is produced by a stochastic set of data, the concept of entropy has gained much attention as a measure of uncertainty and unpredictability associated with a dynamical system, eventually depicted by a stochastic process. In particular, the Shannon entropy measures the degree of order/disorder of a given signal and provides useful information about the underlying dynamical process. It has found widespread application in a variety of fields, such as, for example, cryptography, statistical physics and finance. In this regard, many contributions have employed different measures of entropy in an attempt to characterize the financial time series in terms of market efficiency, market crashes and/or financial crises. The Shannon entropy has also been considered as a measure of the risk of a portfolio or as a tool in asset pricing. This work investigates the theoretical link between the Shannon entropy and the multifractional Brownian motion (mBm), stochastic process which recently is the focus of a renewed interest in finance as a driving model of stochastic volatility. In particular, after exploring the current state of research in this area and highlighting some of the key results and open questions that remain, we show a well-defined relationship between the Shannon (log)entropy and the memory function H(t) of the mBm. In details, we allow both the length of time series and time scale to change over analysis to study how the relation modify itself. On the one hand, applications are developed after generating surrogates of mBm trajectories based on different memory functions; on the other hand, an empirical analysis of several international stock indexes, which confirms the previous results, concludes the work. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=Shannon%20entropy" title="Shannon entropy">Shannon entropy</a>, <a href="https://publications.waset.org/abstracts/search?q=multifractional%20Brownian%20motion" title=" multifractional Brownian motion"> multifractional Brownian motion</a>, <a href="https://publications.waset.org/abstracts/search?q=Hurst%E2%80%93Holder%20exponent" title=" Hurst–Holder exponent"> Hurst–Holder exponent</a>, <a href="https://publications.waset.org/abstracts/search?q=stock%20indexes" title=" stock indexes"> stock indexes</a> </p> <a href="https://publications.waset.org/abstracts/166023/the-shannon-entropy-and-multifractional-markets" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/166023.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">110</span> </span> </div> </div> <div class="card paper-listing mb-3 mt-3"> <h5 class="card-header" style="font-size:.9rem"><span class="badge badge-info">1877</span> ISME: Integrated Style Motion Editor for 3D Humanoid Character</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/abstracts/search?q=Ismahafezi%20Ismail">Ismahafezi Ismail</a>, <a href="https://publications.waset.org/abstracts/search?q=Mohd%20Shahrizal%20Sunar"> Mohd Shahrizal Sunar</a> </p> <p class="card-text"><strong>Abstract:</strong></p> The motion of a realistic 3D humanoid character is very important especially for the industries developing computer animations and games. However, this type of motion is seen with a very complex dimensional data as well as body position, orientation, and joint rotation. Integrated Style Motion Editor (ISME), on the other hand, is a method used to alter the 3D humanoid motion capture data utilised in computer animation and games development. Therefore, this study was carried out with the purpose of demonstrating a method that is able to manipulate and deform different motion styles by integrating Key Pose Deformation Technique and Trajectory Control Technique. This motion editing method allows the user to generate new motions from the original motion capture data using a simple interface control. Unlike the previous method, our method produces a realistic humanoid motion style in real time. <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/abstracts/search?q=computer%20animation" title="computer animation">computer animation</a>, <a href="https://publications.waset.org/abstracts/search?q=humanoid%20motion" title=" humanoid motion"> humanoid motion</a>, <a href="https://publications.waset.org/abstracts/search?q=motion%20capture" title=" motion capture"> motion capture</a>, <a href="https://publications.waset.org/abstracts/search?q=motion%20editing" title=" motion editing"> motion editing</a> </p> <a href="https://publications.waset.org/abstracts/54401/isme-integrated-style-motion-editor-for-3d-humanoid-character" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/abstracts/54401.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> 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