Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications

In this paper we briefly present the results obtained in our paper ( Talay and Zheng 2002a ) on the convergence rate of the approximation of quantiles of the law of one component of  ( X_t )  , where  ( X_t )  is a diffusion process, when one uses a Monte Carlo method combined with the Euler discretization scheme. We consider the case where  ( X_t )  is uniformly hypoelliptic (in the sense of Condition (UH) below), or the inverse of the Malliavin covariance of the component under consideration satisfies the condition (M) below. We then show that Condition (M) seems widely satisfied in applied contexts. We particularly study financial applications: the computation of quantiles of models with stochastic volatility, the computation of the VaR of a portfolio, and the computation of a model risk measurement for the profit and loss of a misspecified hedging strategy.     

Identification of simultaneous equation models with measurement error: a computerized evaluation

Rank conditions for identification in structural models are often difficult evaluate. Here we consider simultaneous equation models with measurement error and we show that previously published rank conditions for identification are not well-suited for evaluation. An alternative rank condition is derived and a computer algebra program is presented that takes care of both the construction and the computation of the rank of the relevant Jacobian matrix. It uses the parameter restrictions as input in order to characterize the identification situation of the individual parameters in the output.     

非淹没刚性植被影响下孤立波在岸滩上的爬高

为探究海岸刚性植被对海啸波的削弱效应,通过物理模型试验和数值模拟研究了孤立波与不同坡度岸滩上非淹没刚性植被的相互作用问题。物理模型试验在波浪槽中进行,测试了不同的入射波波高、植被密度和岸滩坡度对孤立波爬高的影响,并运用物理模型试验数据校核改进后的Boussinesq方程,得到植被的拖曳力系数。结果表明:拖曳力系数随植被密度的增大而增大,随坡度增大而减小;植被后的无量纲透射波高和无量纲岸滩爬高随着无量纲的入射波高的增大而减小,随着植被密度的增大而减小;当岸滩坡度增大时,无量纲透射波高增大而无量纲爬高并无显著差异。最后根据回归分析得出了岸滩爬高与相对入射波高、植被密度和岸滩坡度的幂函数型经验关系式。     

Numerical simulation of flow past twin near-wall circular cylinders in tandem arrangement at low Reynolds number

Fluid flow past twin circular cylinders in a tandem arrangement placed near a plane wall was investigated by means of numerical simulations. The two-dimensional Navier-Stokes equations were solved with a three-step finite element method at a relatively low Reynolds number of Re = 200 for various dimensionless ratios of 0.25 ≤ G/D ≤ 2.0 and 1.0 ≤ L/D ≤ 4.0, where D is the cylinder diameter, L is the center-to-center distance between the two cylinders, and G is the gap between the lowest surface of the twin cylinders and the plane wall. The influences of G/D and L/D on the hydrodynamic force coefficients, Strouhal numbers, and vortex shedding modes were examined. Three different vortex shedding modes of the near wake were identified according to the numerical results. It was found that the hydrodynamic force coefficients and vortex shedding modes are quite different with respect to various combinations of G/D and L/D. For very small values of G/D, the vortex shedding is completely suppressed, resulting in the root mean square (RMS) values of drag and lift coefficients of both cylinders and the Strouhal number for the downstream cylinder being almost zero. The mean drag coefficient of the upstream cylinder is larger than that of the downstream cylinder for the same combination of G/D and L/D. It is also observed that change in the vortex shedding modes leads to a significant increase in the RMS values of drag and lift coefficients.     

A TVD-WAF-based hybrid finite volume and finite difference scheme for nonlinearly dispersive wave equations

A total variation diminishing-weighted average flux(TVD-WAF)-based hybrid numerical scheme for the enhanced version of nonlinearly dispersive Boussinesq-type equations was developed. The one-dimensional governing equations were rewritten in the conservative form and then discretized on a uniform grid. The finite volume method was used to discretize the flux term while the remaining terms were approximated with the finite difference method. The second-order TVD-WAF method was employed in conjunction with the Harten-Lax-van Leer(HLL) Riemann solver to calculate the numerical flux, and the variables at the cell interface for the local Riemann problem were reconstructed via the fourthorder monotone upstream-centered scheme for conservation laws(MUSCL). The time marching scheme based on the third-order TVD RungeKutta method was used to obtain numerical solutions. The model was validated through a series of numerical tests, in which wave breaking and a moving shoreline were treated. The good agreement between the computed results, documented analytical solutions, and experimental data demonstrates the correct discretization of the governing equations and high accuracy of the proposed scheme, and also conforms the advantages of the proposed shock-capturing scheme for the enhanced version of the Boussinesq model, including the convenience in the treatment of wave breaking and moving shorelines and without the need for a numerical filter.     

A novel grid generation method based on multi-resolution data fusion for 2D shallow water models

Aiming at resolving the grid problems caused by the inconsistent resolution requirements when simulating overland flows using the 2D shallow water equations, a novel grid generation method based on multi-resolution data fusion is developed in this work. This method is able to not only reduce the computational burden associated with uniform structured grids but also ensure the simulation accuracy of the hydrodynamic model by reproducing the so-called small-scale effect. The efficiency of the method is assessed using different cases. Theoretical and laboratory cases demonstrate that fused non-uniform structured grids can reproduce hydrographs without appreciable accuracy losses. In addition, a high simulation accuracy (NRMSE ≤ 10.40 %, R² ≥ 0.87) is achieved in the simulation of a real flood event. The performance of this method is very promising in terms of the large-scale flood simulation accuracy, and it significantly reduces the data requirements and computational burden with globally fine uniform grids.     

On solving bias‐corrected non‐linear estimation equations with an application to the dynamic linear model

In a seminal paper, Mak, Journal of the Royal Statistical Society B, 55, 1993, 945, derived an efficient algorithm for solving non‐linear unbiased estimation equations. In this paper, we show that when Mak's algorithm is applied to biased estimation equations, it results in the estimates that would come from solving a bias‐corrected estimation equation, making it a consistent estimator if regularity conditions hold. In addition, the properties that Mak established for his algorithm also apply in the case of biased estimation equations but for estimates from the bias‐corrected equations. The marginal likelihood estimator is obtained when the approach is applied to both maximum likelihood and least squares estimation of the covariance matrix parameters in the general linear regression model. The new approach results in two new estimators when applied to the profile and marginal likelihood functions for estimating the lagged dependent variable coefficient in the dynamic linear regression model. Monte Carlo simulation results show the new approach leads to a better estimator when applied to the standard profile likelihood. It is therefore recommended for situations in which standard estimators are known to be biased.     

On a property of the sequential t-test

Abstract

1. Introduction. In one of his papers [1], and later in his book on sequential analysis [2], Wald introduced a general method for constructing sequential tests of composite hypotheses and applied the method to construct a sequential t-test. Since Wald devoted a considerable amount of space and mathematics on his t-test, it has been taken for granted that he proved certain optimum properties of the test. It is the purpose of this note to show that the test cannot possess one of the properties thought to hold for it.     

Examining the role of store design on consumers’ cross-sectional perceptions of retail brand loyalty

This paper compares new and established store design prototypes of the same retailer to examine the role of consumers’ cross-sectional perceptions of retail brand loyalty. In-store surveys were administered to capture consumers’ store-level perceptions towards a new store prototype and an older established prototype of the same fast fashion retailer. The data was subjected to multi-group analyzes with structural equations modeling. The findings suggest that store novelty and complexity promote both store design pleasure and retail brand loyalty outcomes. The different store designs do not, however, account for differences in brand loyalty perceptions at the overall retailer level when multi-group comparisons of both store designs are made. Consumers of newer store designs are found to possess a heightened sensitivity to price perceptions. Managerial implications of the effects of store novelty and complexity on retail brand loyalty are also presented.     

A Primer on Moderated Mediation Analysis: Exploring Logistics Involvement in New Product Development

Theorizing and empirically testing moderated mediation hypotheses allows logistics and supply chain management (L&SCM) scholars to extend the boundaries of our current understanding by examining how, when, and why relationships arise between constructs central to our theories. However, while moderated mediation analyses can enrich theory in L&SCM, they are few in number, likely due to the complexities associated with their execution. In this article, we provide a didactic treatment for executing moderated mediation analysis. We do so using primary data regarding logistics involvement in new product development. In the hopes of spurring greater application of moderated mediation in L&SCM, we devise a series of recommendations that guide scholars through the process of conducting such analyses. These recommendations extend prior treatments by explaining how to address challenges associated with devising theories to undergird moderated mediation hypotheses, measuring constructs using multiple indicators, providing guidance for detecting influential cases that can unduly affect results, and integrating what results should be reported.