Arrival Intensity Research Articles

Filtered likelihood for point processes

Point processes are widely used in finance and economics to model the timing of defaults, market transactions, unemployment spells, births, and a range of other events. We develop and analyze likelihood estimators for the parameters of a marked point process and incompletely observed explanatory factors that influence the arrival intensity and mark distribution. We establish an approximation to the likelihood and analyze the convergence and large-sample properties of the associated estimators. Numerical results illustrate the behavior of our estimators.

Comprehensive analysis of elevator static sectoring control systems using Monte Carlo simulation

For a long time, there was no action that a group controller could take during incoming traffic conditions other than returning the elevators back to the main entrance and opening their doors. Passengers would arrive in the main entrance and board the first available elevator car. However, in the early 1990s, sectoring was introduced during incoming traffic conditions. Sectoring is the soft division of the building into groups of (usually but not necessarily contiguous) floors, usually of equal populations. One or more elevators are assigned to a sector. The allocation of the elevator(s) to a sector can either be fixed (static sectoring) or variable (dynamic sectoring) within consecutive round trips. In addition, the size and composition of the different sectors can be static or dynamic. Sectoring is thus a powerful tool in dealing with peaks of incoming traffic demand. However, most of the analysis carried out to understand the effects of sectoring on the performance of the elevator traffic system has been based on simulation only. This paper presents a comprehensive calculation-based analysis of static sectoring control for incoming traffic as a control tool. The analysis is based on the approach of progressively increasing the number of sectors in a building, starting from a single sector (i.e., no sectoring) and proceeding to full sectoring (where the number of sectors equals the number of elevators in the group) and even increasing the number of sectors up to the total number of floors above the main entrance (which has been given the new term: super-sectoring). An analysis is carried out in each case showing the handling capacity, car loading, average waiting time, and average traveling time. Practical application: This paper allows a control system designer to adapt the actions of the controller to the change in passenger arrivals. The control can detect the intensity of passenger arrivals and adjust the number of sectors to suit such an arrival intensity. The aim would be to maximize the handling capacity of the system or minimize the car loading.

Do Implied Volatility Comovements Measure Macro-Connectedness?

Prior literature exploits option implied volatility to extract information about expectations of future information arrival intensity. We explore relations across implied volatilities, in contrast to the prior literature’s focus on implied volatilities of individual firms or indices. We investigate implied volatility comovement, IVC, the comovement between a firm’s implied volatility and the implied volatility of the market index. We hypothesize that IVC reflects the extent to which firm managers’ private information is informative about future aggregate equity returns. Using insider purchase intensity as a proxy for firms’ private information, we find that the association between insider purchases and future unexpected market returns significantly increases with IVC. Further, firms with higher IVC have stock returns that are more informative about future aggregate earnings and have stronger aggregate market reactions to their earnings announcements. This suggests that a firm’s implied volatility embeds important information about the nature of private information generated inside the firm.

Hedging the impact of climate change in the catastrophe space

Unprecedented increases in climate change-induced extreme loss events have raised major concerns about the inadequacies of catastrophe risk financing in the insurance/reinsurance industry. The US Federal Reserve’s ultra-low interest rate policy following the 2008–2009 financial crisis, however, has transformed the catastrophe space into a new normal. Demand shocks from an influx of third-party capital have prompted capacity expansion, risk capital redistribution and premium reduction, resulting in a convergence and expansion of the traditional reinsurance and the securitised catastrophe bond markets. This research investigates optimal allocation of these two inherently different assets to help achieve ex ante full catastrophe risk sharing and intermediation. By constructing a novel two-agent sequential optimisation framework that mimics the economics of the reinsurance/insurance markets, we demonstrate through simulation how net present value (NPV)-maximising reinsurers and hedging cost-minimising insurers optimally allocate these two assets and mitigate the impact of climate change relative to catastrophe arrival intensity and severity, and other reinsurance and catastrophe bond characteristics.

Subordinated Binomial Option Pricing with Stochastic Arrival Intensity and Untraded Underlying Asset

We extend the subordinated binomial option pricing model with stochastic arrival intensity (Chang, Chang and Lu, 2010) to allow for untraded underlying assets by using matching futures prices to imply out the underlying asset values. We empirically apply the model to VIX option pricing vis-à-vis the original model with constant arrival intensity (Chang, Chang and Tian, 2006) using a two-year set of daily VIX options and futures data to specifically examine the efficacy of adding stochastic arrival intensity and untraded underlying assets. We find that the extended version significantly outperforms the original model both in sample and out-of-sample in terms of the MSE, with pricing error reduction about 37% and 32%, respectively, and additionally the outperformance is robust to the selection of the constant arrival intensity level. We attribute the outperformance to the extended model’s incorporation of the stylized effects of mean-reversion and clustering in intensity arrivals as well as of the information content conveyed by the matching futures prices.

Development of the mathematical model of the biotreatment process of water-soluble gaseous emissions

In the experimental research, the kinetic characteristics of hydrogen sulfide, sulfur dioxide and ammonia biooxidation were determined. It was found that the hydrogen sulfide and sulfur dioxide oxidation rates varied from 12 mg/g of biomass per hour in the region of the minimum pollution concentrations to the maximum value of 40 mg/g·h. As for ammonia, the variation range was 1.5–5 mg/g·h, respectively. The analytical description of the dependence of the specific degradation rate of pollutants on their concentration was proposed. The obtained quantitative values and variation nature of the specific oxidation rate prove the technological possibility of using the trickle-bed bioreactor for treatment of water-solvable gaseous emissions. Based on the experimental research, the mathematical description of the non-stationary biooxidation process of water-soluble gaseous hydrogen sulfide, sulfur dioxide and ammonia was developed. The developed mathematical model is based on the mass balance in the trickling layer of the bioreactor in the course of absorption and biodegradation processes. The analytical dependencies consider the emergence of dynamic balance between the harmful matter arrival intensity and oxidation. The state of dynamic balance determines the boundary of the bioreactor efficiency. The results allow evidence-based calculations of the hydrogen sulfide, sulfur dioxide and ammonia biotreatment process in the trickle-bed bioreactor.

System-Level Analysis of Heterogeneous Networks Under Imperfect Traffic Hotspot Localization

We study, in this paper, the impact of imperfect small cell positioning with respect to traffic hotspots in cellular networks. In order to derive the throughput distribution in macro and small cells, we firstly perform static level analysis of the system considering a non-uniform distribution of user locations. We secondly introduce the dynamics of the system, characterized by random arrivals and departures of users after a finite service duration, with the service rates and distribution of radio conditions outfitted from the first part of the work. When dealing with the dynamics of the system, macro and small cells are modeled by multi-class processor sharing queues. Macro and small cells are assumed to be operating in the same bandwidth. Consequently, they are coupled due to the mutual interferences generated by each cell to the other. We derive several performance metrics such as the mean flow throughput and the gain, if any, generated from deploying small cells to manage traffic hotspots. Our results show that in case the hotspot is near the macro BS (Base Station), even a perfect positioning of the small cell will not yield improved performance due to the high interference experienced at macro and small cell users. However, in case the hotspot is located far enough from the macro BS, performing errors in small cell positioning is tolerated (since related results show positive gains) and it is still beneficial in offloading traffic from the congested macrocell. The best performance metrics depend also on several other important factors such as the users' arrival intensity, the capacity of the cell and the size of the traffic hotspot.

A regime-switching model with jumps and its application to bond pricing and insurance

In this paper, we consider a Markovian, regime-switching model with jumps and its application to bond pricing and insurance. The jumps in the model are described by a compound Cox process, where the arrival intensity of the counting number-process follows a regime-switching shot noise process. Using a martingale method, we derive exponential-affine form expressions for the price of a zero-coupon bond and the joint Laplace transform of the aggregate accumulated claims and the arrival intensity.

Intensity and angle-of-arrival spectra of laser light propagating through axially homogeneous buoyancy-driven turbulence.

Frequency spectra obtained from the measurements of light intensity and angle of arrival (AOA) of parallel laser light propagating through the axially homogeneous, axisymmetric buoyancy-driven turbulent flow at high Rayleigh numbers in a long (length-to-diameter ratio of about 10) vertical tube are reported. The flow is driven by an unstable density difference created across the tube ends using brine and fresh water. The highest Rayleigh number is about 8×109. The aim of the present work is to find whether the conventional Obukhov-Corrsin scaling or Bolgiano-Obukhov (BO) scaling is obtained for the intensity and AOA spectra in the case of light propagation in a buoyancy-driven turbulent medium. Theoretical relations for the frequency spectra of log amplitude and AOA fluctuations developed for homogeneous isotropic turbulent media are modified for the buoyancy-driven flow in the present case to obtain the asymptotic scalings for the high and low frequency ranges. For low frequencies, the spectra of intensity and vertical AOA fluctuations obtained from measurements follow BO scaling, while scaling for the spectra of horizontal AOA fluctuations shows a small departure from BO scaling.

Intensity statistics of very high frequency sound scattered from wind-driven waves.

The interaction of vhf 100-1000 kHz underwater sound with the ocean surface is explored. The bistatic forward scatter of 300 kHz sound is measured in a wind driven wave channel. Fluctuations in arrival amplitude are described by the scintillation index (SI) which is a measure of arrival intensity variance. SI initially increases with wind speed but eventually saturates to a value of 0.5 when the root-mean-square (rms) roughness is 0.5 mm. An adjusted scintillation index (SI*) is suggested that accounts for the multiple arrivals and properly saturates to a value of 1. Fluctuations in arrival time do not saturate and increase proportionately to the dominant surface wave component. Forward scattering is modeled at frequencies ranging from 50 to 2000 kHz using the Helmholtz-Kirchhoff integral with surface wave realizations derived from wave gauge data. The amplitude and temporal statistics of the simulated scattering agree well with measured data. Intensity saturation occurs at lower wind speeds for higher frequency sound. Both measured and modeled vhf sound is characterized by many surface arrivals at saturation. Doppler shifts associated with wave motion are expected to vary rapidly for vhf sound however further analysis is required.

The Conceptual vs Reality of Ecotourism Approaches and Strategies in Pangkor Island, Malaysia

<p>Small islands are seen as iconic destinations for ecotourism due to their rich natural biodiversity and spectacular surroundings. Malaysia has a substantial number of islands, numbering approximately 878 islands. Pangkor Island is a popular destination among domestic and international tourists alike. However, the tourism industry can be a double-edged sword. On one hand, tourism development can improve quality of life and economic prospects of local communities; and on the other hand, it may inflict to destruction on the island’s sensitive ecosystem. Natural environment is the core attraction for Pangkor Island. However, the extensive development undertaken to match the high intensity of tourist arrivals can lead to deleterious effect on the natural environment and diminish the overall quality of the tourists’ experience. This paper attempts to explore the dichotomy between ecotourism concept and tourism development in Pangkor by exploring protection strategies and ecotourism management approaches in relation to Pangkor Island. The findings described in this paper are based on an evaluation of the existing planning strategies concerning tourism development, environmental conservation, observation and interviews with visitors in Pangkor Island. Lack of environmental practice among tour operators has led to significant threat to the island’s ecosystem. Consequently, Pangkor Island require imperative attention in ensuring the sustainability of the ecosystem. Planning and development strategies for managing Pangkor and adjacent smaller islands need to be taken into consideration by acknowledging baseline conditions and present day realities.</p>

Analysis of the GI/PH/∞ system with high-rate arrivals

The work presents an analysis of infinite-server queueing systems with renewal arrival process and phase-type services. Analysis was carried out using the N-dimensional Markov processes. The study was implemented in the asymptotic condition of high intensity of arrivals. It has been shown that, under these conditions, the stationary distribution of the number of customers in the system is Gaussian, and the parameters of this distribution were received. A prelimit analytical expression has also been derived for the dispersion of the number of customers in the system, and a numerical comparison has been carried out with asymptotic values that allow one to determine the domain of applicability of asymptotic results.

State-dependent jump risks for American gold futures option pricing

In this study, we investigate the valuation of American-style options when the underlying gold futures price follows a pure diffusion structure with state-dependent jump dynamics. Under such dynamics, the jump events are described as a compound Poisson process with a log-normal jump amplitude, and the regime-switching arrival intensity is captured by a hidden Markov chain whose states represent the economic states. Considering the different jump risk assumptions, we use the Merton measure and Esscher transform to derive risk-neutral gold futures price dynamics under an incomplete market setting. To achieve a desired accuracy level, the least-squares Monte Carlo method is used to approximate the values of American gold futures options. Our empirical and numerical results based on actual market data are provided to illustrate the importance of incorporating state-dependent jump risks when pricing American put options on gold futures.

THE EFFECTIVENESS STUDY OF THE DESIGN OF THE HUMP WITH CRESTS PLACED AT DIFFERENT LEVELS

Nowadays the operation of sorting complexes of railway stations is characterized by the considerable irregularity of the incoming flow of trains. In this regard, it is necessary to change dynamically the operation mode of the complex in accordance with the train arrival intensity. To solve this problem the hump with crests placed at different levels was designed. This classification device consists of the main and low humps. Usage of the first one during condensed arrival of trains provides high humping intensity. The application of the low hump at periods of falling traffic volumes will reduce the sorting process energy expenditure. The performance evaluation of the designed hump construction was made on the basis of the simulation of train flow breaking-up process. As a result of the simulation the dependencies of the fuel consumption rate, the time spacing between cuts, the car impact velocity, the quantity and length of the spacing between cars at the classification tracks on the breaking-up speed were established for both humps. As studies showing the usage of the low hump for the trains breaking-up does not lead to a significant deterioration in the sorting process and reduces fuel consumption by an average of 10 %. At the same time to provide favorable conditions for cut separation the breaking-up process at this hump must be performed with reduced speed.

Optimal technology adoption when the arrival rate of new technologies changes

Our paper contributes to the literature of technology adoption. In most of these models it is assumed that the intensity rate of new arrivals is constant. We extend this approach by assuming that after the last technology jump the intensity of a new arrival can change. Right after the arrival of a new technology the intensity equals a specific value that switches if no new technology arrival has taken place within a certain period after the last technology arrival. We look at different scenarios, dependent on whether the firm is threatened by a drop in the arrival rate after a certain time period or expects the rate to rise. We analyze the effect of a mean preserving spread of the time between two consecutive arrivals on the optimal investment timing and show that larger variance can accelerate investment in case the arrival rate rises while it can decelerate investment in case the arrival rate drops. We find that firms often adopt a new technology a time lag after its introduction, which is a phenomenon frequently observed in practice. Regarding a firm’s technology releasing strategy we explain why additional uncertainty can stimulate customers’ buying behavior. The optimal adoption timing changes significantly, depending on whether the arrival rate is assumed to change or be constant over time. Adding uncertainty about the length of the time period after which the arrival intensity changes, we find that increasing uncertainty accelerates investment, a result that is opposite to the standard real options theory.

Detection of regular variations in the intensity and pulse time of arrival of the anomalous pulsar PSR B0943+10

Timing of the anomalous pulsar PSR B0943+10 during 2007–2013 was carried out on the Large Phased Array radio telescope of the Pushchino Radio Astronomy Observatory at 112 MHz. The astrometric and rotational parameters for epoch MJD=56 500 have been determined. Considerable deviations of the pulse times of arrival from the precalculated values with a characteristic period of several years due to the presence of correlated low-frequency noise in the pulsar spin phase have been detected. These deviations can be explained in a planetary model by the presence of two companions of the pulsar, whose orbital parameters have been determined. A continuous increase in the longitude of the pulse maximum within the emission window, the pulse width, and the intensity have been detected after each switch to the burst mode. Together with the changes in pulse shape, degree of linear polarization of the pulse, and drift rate of individual pulses detected earlier, this indicates that all the main parameters of the radio emission in the B mode are unstable. This distinguishes PSR B0943+10 from all other modes-witching pulsars. The origin of the observed properties of this pulsar are probably associated with the interaction of its extended magnetosphere with the surrounding medium.

Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models

This paper investigates the optimal portfolio investment policies of an insurer with Markov-modulated jump-diffusion risk process. Assume that there are two asset available for the insurer: a risk-free asset and a risky asset. The market interest rate, the drift and the volatility of the risky asset, and the premium rate of the insurer and claim arrival intensity switch over time according to transitions of the Markov chain. Given an insurer maximizing utility from terminal wealth, we present a verification result for portfolio problems, and obtain the explicit forms of the optimal policy with CARA utility function. And we conduct Monte Carlo simulation and perform a sensitivity analysis of the optimal asset allocation strategies and the terminal expected utility.

Optimal Asset Pricing

We describe an R package for determining the optimal price of an asset which is “perishable” in a certain sense, given the intensity of customer arrivals and a time-varying price sensitivity function which specifies the probability that a customer will purchase an asset offered at a given price at a given time. The package deals with the case of customers arriving in groups, with a probability distribution for the group size being specified. The methodology and software allow for both discrete and continuous pricing. The class of possible models for price sensitivity functions is very wide, and includes piecewise linear models. A mechanism for constructing piecewise linear price sensitivity functions is provided.

Ultrasonic imaging characteristics of transplanted kidneys with delayed graft function.

We investigated the ultrasonic imaging characteristics of transplanted kidneys with delayed graft function (DGF). Ultrasonography was performed in 44 patients after kidney transplantation, and a time-intensity analysis was performed to compare the differences between patients with normal graft function (NGF) and those with DGF. Compared with the NGF group, the DGF group had earlier arrival time, shorter time to peak, and higher arrival intensity and peak intensity (P < 0.05). The variation-of-intensity parameters in different renal cortices increased, whereas the variation-of-time parameter decreased, in those with DGF (P < 0.05). In conclusion, compared with the NGF group, the microcirculation perfusion of transplanted kidneys in the DGF group showed higher perfusion with earlier arrival time, shorter time to peak, and higher arrival intensity and peak intensity. In addition, the intensity variations of contrast agent in different renal cortices from patients with DGF were greater, whereas the variations in perfusion time were smaller than those in patients with NGF.

Mass serving theory application to the analysis of maintenance system functioning

Mass serving theory application to the analysis of maintenance system functioning