VaR and ES for linear portfolios with mixture of elliptic distributions risk factors

In this paper, we generalize the Linear VaR method from portfolios with normally distributed risk factors to portfolios with mixture of elliptically distributed ones. We treat both the Expected Shortfall and the Value-at-Risk of such portfolios. Special attention is given to the particular case of a mixture of multivariate t-distributions. This is a part of J. SADEFO-KAMDEM PhD Thesis[12] of the Université de Reims, France . It has been presented at the workshop on modelling and computation in Financial Engineering at Bad Herrenalb, Germany May 6-8, 2003. The author is an associate professor at the Department of mathematics, université d’Evry Val d’Essonne.     

Pervasive 2007: It's about the User

Pervasive computing is as much about the user as it is about the technology. So, the Fifth International Conference on Pervasive Computing emphasized desirability rather than just feasibility. Featured themes included user benefits, human-computer interaction, group and social interactions, context awareness, finding and positioning people and objects, and personal privacy.     

Unicode Steganographic Exploits: Maintaining Enterprise Border Security

Unicode is rapidly becoming the preferred means for representing symbols used in creating multimedia content, especially for information that's presented in multiple languages. This article discusses a unicode vulnerability that makes such content susceptible to being used for creation of covert channel communications. We also developed a solution architecture, the unified secure message augmentation (USMA) service. The USMA service incorporates rules (in an XML vocabulary) that we can apply to unicode transmissions that will detect an attempt to transmit a potential exploit, alert network managers to the presence of the unicode anomaly, and take action to mitigate the exploit.     

A Vision-Based Intelligent System for Packing 2-D Irregular Shapes

Packing two-dimensional shapes on a surface such that no shapes overlap and the uncovered surface area is minimized is an important problem that arises in a variety of industrial applications. This paper introduces an intelligent system which tackles the most difficult instance of this problem, where two-dimensional irregular shapes have to be packed on a regularly or irregularly shaped surface. The proposed system utilizes techniques not previously applied to packing, drawn from computer vision and artificial intelligence, and achieves high-quality solutions with short computational times. In addition, the system deals with complex shapes and constraints that occur in industrial applications, such as defective regions and irregularly shaped sheets. We evaluate the effectiveness and efficiency of the proposed method using 14 established benchmark problems that are available from the EURO Special Interest Group on Cutting and Packing.     

Slip Control System for a Deep-Sea Mining Machine

Tracked vehicles capable of locomotion in the deep sea are used for manganese nodule mining. This requires specific technical solutions in various respects. Locomotion in the soft sea bed is one of them. For the Crawler to safely maneuver, an automatic drive mode with slip control of the driving tracks is essential. Based on experimental studies at IKS, University of Siegen, slip control for the NIOT-IKS mining machine has been developed and implemented. The experimental setup for the development of the slip control along with the logic of the automatic driving mode is described. The system is critically discussed and the test results and future work are briefly outlined. Note to Practitioners-The work is carried out as part of the polymetallic nodule mining program of the Government of India. The technique of slip control is a specific requirement for a tracked vehicle used in the deep sea. Slip is common in many vehicles-tracked and otherwise. Examples are steam engines in the early days and ordinary cars while negotiating slush or snow/ice and dozers working in soft soil. While these are manually controlled by drivers who have firsthand knowledge of the environmental conditions, in the case of a mining machine in deep sea, it has to be completely automatic and, hence, is challenging. The knowledge generated in this work could be effectively used by practitioners in other related areas of automobile engineering for updating their expertise. Also, similar techniques may be used for maneuvering vehicles sent to other planets     

Applications of the discrete element method in mechanical engineering

Compared to other fields of engineering, in mechanical engineering, the Discrete Element Method (DEM) is not yet a well known method. Nevertheless, there is a variety of simulation problems where the method has obvious advantages due to its meshless nature. For problems where several free bodies can collide and break after having been largely deformed, the DEM is the method of choice. Neighborhood search and collision detection between bodies as well as the separation of large solids into smaller particles are naturally incorporated in the method. The main DEM algorithm consists of a relatively simple loop that basically contains the three substeps contact detection, force computation and integration. However, there exists a large variety of different algorithms to choose the substeps to compose the optimal method for a given problem. In this contribution, we describe the dynamics of particle systems together with appropriate numerical integration schemes and give an overview over different types of particle interactions that can be composed to adapt the method to fit to a given simulation problem. Surface triangulations are used to model complicated, non-convex bodies in contact with particle systems. The capabilities of the method are finally demonstrated by means of application examples. Commemorative Contribution.     

Emission of trace toxic metals during pulverized fuel combustion of Czech coals

A study of the trace elements emission (As, Se, Cd, Co, Cr, Cu, Zn, Hg, Tl, Pb, Ni, Sn, Sb, V, Mn and Fe) from pulverized coal combustion has been made at six heating and power stations situated in the Czech Republic. The amount of chlorine in coal has considerable influence on volatilization of some elements such as Zn, Cu, Pb, Hg and Tl, which is explained by the formation of thermodynamically stable compounds of these elements with chlorine. Generally, the affinities for Cl follows the order Tl > Cu > Zn > Pb > Co > Mn > Sn > Hg. The experimental data indicates enrichment of some of the trace toxic elements in the emissions (Cu, Zn, As, Se, Cd, Sn, Sb, Hg and Pb) and good agreement was obtained by thermodynamic equilibrium calculations with a few exceptions. In the case of Fe, Mn, Co, Cr and Sn calculated values are overestimated in the bottom ash and there are zero predicted amounts of these elements in the fly ash. In comparison, the results from experiments show up to 80% of these elements retained in fly ash. This implies that there exist additional steps leading to the enrichment by Fe, Mn, Co, Cr and Sn of small particles. Such mechanisms could include the ejection during devolatilization of small inorganic particles from the coal of bottom ash particles, or disintegration of the char containing these metals to small particles of fly ash. On the other hand, there are slightly overestimated or similar values of relative enrichment factors for As, V, Cu, Cd, Sb, Tl and Pb in the fly ashes and zero predicted values for bottom ashes. Our experimental results show about 5% or less of these elements are retained in bottom ashes, so they probably remain in the bottom ash inside unburned parts of coal. Copyright © 2003 John Wiley & Sons, Ltd.     

Action and reason in the theory of Āyurveda

The paper explores the relation between reason and action as it emerges from the texts of āyurveda. Life or Ayus (commonly understood as life-span) is primary subject matter of Ayurveda. Life is a locus of experience, action and disposition. Experiences and actions are differentially determined by dispositions that characterize the organism; otherwise all living organisms will be identical. Ayus of each living being is uniquely individual and remains constant between birth and death. In this journey, upkeep of ayus is the purpose of āyurveda or science of life. Ayurveda is a science of experienced matter as well as of experienced body. The living body is critically dependent on the influx of matter for its upkeep. āyurveda offers a conceptual system to reason about balance and imbalances of the system and the causal role of the material flux through the system. This sensate matter is causally open and makes room for definite causal role for the individual and the effective insertion of the felt-purpose of action. Some of the strengths of Ayurveda are brought forth in the paper such as (a) reasoning out the compatibility between the bodily processes and the selection of the natural products for diet and drug, (b) role for heuristics in medical diagnosis, which takes into cognizance the particularity of each living body and the teleology evident in the very act of diagnostic reasoning. The paper shows that āyurvedic theory is built on experiential datum whereas scientific medical theory is built on experience-independent datum. āyurveda explores causal efficacy of ‘secondary qualities’ whereas scientific medicine explores causal efficacy of ‘primary qualities’. The actionable experiential reasoning is at the foundations of āyurveda whereas modern medical science is ab initio saddled with difficult ‘hiatus theoreticus’ between theory and practice. For Ayurveda it is experience of qualities that discloses behavior of matter. The types of qualities that appear in experience have a special significance for theorizing about the actions of matter with the help of qualities. The paper explores the relation between experience of qualities and the method of science. It shows how efficacy of medical practice is based on the foundational stance of experiential realism in theory. To bring the point home, the paper borrows Aristotalian concepts to show how the relation between phantasm and phronesis is honored in the very theory of āyurveda.