Switching Model Research Articles

Maximum Likelihood Estimation of Multivariate Regime Switching Student‐t Copula Models

SummaryWe propose a multivariate regime switching model based on a Student‐ copula function with parameters controlling the strength of correlation between variables and that are governed by a latent Markov process. To estimate model parameters by maximum likelihood, we consider a two‐step procedure carried out through the Expectation–Maximisation algorithm. To address the main computational burden related to the estimation of the matrix of dependence parameters and the number of degrees of freedom of the Student‐ copula, we show a novel use of the Lagrange multipliers, which simplifies the estimation process. The simulation study shows that the estimators have good finite sample properties and the estimation procedure is computationally efficient. An application concerning log‐returns of five cryptocurrencies shows that the model permits identifying bull and bear market periods based on the intensity of the correlations between crypto assets.

Simulation of a physical reservoir made of a Ag2S islands network

Recently, a physical reservoir operation utilizing atomic switch technologies was demonstrated. Atomic switch operates by controlling the formation and annihilation of a metal filament between two electrodes using solid-state electrochemical reactions. In this study, we simulated the operation of an atomic switch-based reservoir by arranging modeled atomic switches in a network. The aim of this study is to confirm that nonlinear transformation and short-term memory in a reservoir operation observed in the experiment can be realized by the integration of atomic switches showing nonvolatile bipolar operation. We incorporated these characteristics by making a simple operating model of a single atomic switch, which successfully reproduced major characteristics of the experimental results of a reservoir operation.

Global oil price and stock markets in oil exporting and European countries: Evidence during the Covid-19 and the Russia-Ukraine war

The relationship between oil price movements and stock markets during the COVID-19 pandemic and the geopolitical crisis like the ongoing Russian-Ukraine war is yet unexplored extensively. This study therefore examines the return-correlation effects of oil prices on stock markets and their spillover effects in oil-exporting and European countries using daily closing data. After estimating the GARCH process, we employ the static and dynamic Markov Switching model that allow the relationship between oil price and stock market to switch between two regimes coined the COVID-19 and the Russia-Ukraine war periods. The static model shows stock price returns to respond positively and significantly to oil price returns in Italy, Germany and the US during the Covid-19 period while the response is significantly positive only for US in the Russia-Ukraine war period. As regards the volatility spillover, significant spillover is found from stock to oil market for Nigeria, vice versa for Saudi Arabia and bi-directional volatility spillover found for the US, Italy and Germany during the COVID-19 period. The policy implication is that Nigeria and Saudi Arabia should prioritize financial policy and energy policy respectively while US, Italy and Germany should adopt policy coordination to stabilize oil-stock market volatility during low oil price period like the COVID-19 period.

Multitasking scheduling with job switching allowed between alternate periods

This paper explores the multitasking scheduling problem via alternate periods, which is common in manufacturing and service industries. The shift pattern comprises regular shifts interspersed with breaks, allowing job switching. We focus on two alternate periods consisting of odd periods and even periods. Each job is not only processed completely within odd periods or completely within even periods, but job switching is also allowed between alternate periods with additional overhead. For this problem, we propose two job switching models. The first model is alternate periods multitasking scheduling with switching time, where a fixed switching time is incurred whenever a job is switched from one period to its adjacent period. The second model is alternate periods multitasking scheduling with diverse speeds, where an urgent switching cost is produced if a job is processed through the alternate periods with different speeds. For the two models, we study three scheduling objectives including minimising the total completion time, minimising the maximum lateness, and minimising the number of tardy jobs, respectively. For each of the problems under consideration, we investigate the structural properties of the optimal schedule and develop the corresponding pseudo-polynomial time dynamic programming algorithm. Furthermore, we give examples to effectively illustrate the proposed algorithms.

Efficient Prototyping of a Field-Programmable Gate Array-Based Real-Time Model of a Modular Multilevel Converter

Field-programmable gate array (FPGA)-based real-time simulation plays a crucial role in testing power–electronic dominated systems with the formation of controller hardware-in-the-loop (CHIL) or power hardware-in-the-loop (PHIL). This work describes an efficient implementation of computation time and resource usage in the FPGA-based study of a modular multilevel converter (MMC) with detailed electromagnetic transients. The proposed modeling technique can be used in continuous control mode (CCM) and discontinuous control mode (DCM) for high-switching frequency semiconductor technologies. An FPGA-based designed solver structure is also presented to take advantage of the parallel features of FPGAs to achieve an ultra-fast calculation speed. In addition, two different switch modeling techniques are discussed with a five-level MMC case study. Experimental results on the NI PXIe platform show the feasibility of the proposed implementation, and a time step of 100 nanoseconds is achieved.

Predicting systemic financial risk with interpretable machine learning

Predicting systemic financial risk is essential for understanding the financial system's stability and early warning of financial crises. In this research, we use the financial stress index to measure systemic financial risk. We construct the stress index for five financial submarkets and composite stress index, employ the Markov regime switching model to identify the systemic financial risk stress state. On this basis, we use interpretable machine learning models to forecast systemic financial risk, analyze and compare the results of the intrinsic interpretable machine learning models and the post-hoc explainable methods. The results indicate that systemic financial risk can be effectively predicted using both the submarket stress index and the feature variables, with the submarket stress index as the independent variable providing relatively higher accuracy. There is a linearly positive relationship between the stress index of each submarket and systemic financial risk, with financial stress in the stock and money markets having the greatest impact on systemic financial risk. For each feature variable, stock–bond correlation coefficient, stock valuation risk, the maximum cumulative loss of the SSE Composite Index (SSE CMAX), and loan-deposit ratio have strong predictive power. Our research can provide reference for government to construct prediction model and indicator monitoring platform of systemic financial crisis.

Kaposi's sarcoma-associated herpesvirus terminal repeat regulates inducible lytic gene promoters.

The Kaposi's sarcoma-associated herpesvirus (KSHV) genome consists of an approximately 140-kb unique coding region flanked by 30-40 copies of a 0.8-kb terminal repeat (TR) sequence. A gene enhancer recruits transcription-related enzymes by having arrays of transcription factor binding sites. Here, we show that KSHV TR possesses transcription regulatory function with latency-associated nuclear antigen (LANA). Cleavage under targets and release using nuclease demonstrated that TR fragments were occupied by LANA-interacting histone-modifying enzymes in naturally infected cells. The TR was enriched with histone H3K27 acetylation (H3K27Ac) and H3K4 tri-methylation (H3K4me3) modifications and also expressed nascent RNAs. The sites of H3K27Ac and H3K4me3 modifications were also conserved in the KSHV unique region among naturally infected primary effusion lymphoma cells. KSHV origin of lytic replication (Ori-Lyt) showed similar protein and histone modification occupancies with that of TR. In the Ori-Lyt region, the LANA and LANA-interacting proteins colocalized with an H3K27Ac-modified nucleosome along with paused RNA polymerase II. The KSHV transactivator KSHV replication and transcription activator (K-Rta) recruitment sites franked the LANA-bound nucleosome, and reactivation evicted the LANA-bound nucleosome. Including TR fragments in reporter plasmid enhanced inducible viral gene promoter activities independent of the orientations. In the presence of TR in reporter plasmids, K-Rta transactivation was drastically increased, while LANA acquired the promoter repression function. KSHV TR, therefore, functions as an enhancer for KSHV inducible genes. However, in contrast to cellular enhancers bound by multiple transcription factors, perhaps the KSHV enhancer is predominantly regulated by the LANA nuclear body.IMPORTANCEEnhancers are a crucial regulator of differential gene expression programs. Enhancers are the cis-regulatory sequences determining target genes' spatiotemporal and quantitative expression. Here, we show that Kaposi's sarcoma-associated herpesvirus (KSHV) terminal repeats fulfill the enhancer definition for KSHV inducible gene promoters. The KSHV enhancer is occupied by latency-associated nuclear antigen (LANA) and its interacting proteins, such as CHD4. Neighboring terminal repeat (TR) fragments to lytic gene promoters drastically enhanced KSHV replication and transcription activator and LANA transcription regulatory functions. This study, thus, proposes a new latency-lytic switch model in which TR accessibility to the KSHV gene promoters regulates viral inducible gene expression.

Deduction and Application of the Average Switch Model in Power Electronic Devices for Simulation Time Reduction

Context: Time is a crucial issue in the simulation of power electronics (PE) devices, even more when these elements are integrated into microgrids.Method: This paper deals with the deduction of the average switch model for PE devices with the purpose of reducing simulation times. For doing this, the average model is only applied over the power switches of PE devices, not being applied over the complete topology as traditionally done. The proposed average model switch permits eliminating the ripple of voltage and currents but keeping the transient of the signals. The average model switch is derived for Boost and Buck converter switches and then generalized to power inverter switches. The proposed approach is validated using OpenModelica software.Results: A system featuring a battery, a DC/DC converter, and an inverter connected to the power grid was simulated. A comparison was performed between a simulation that considers the power switches and a simulation that uses the proposed average model switch, the time simulation was reduced up to 99.788 %, which validates the proposed approach.Conclusions: The proposed average switch model significantly reduces simulation times. This method offers a promising way to streamline power electronics device simulations, particularly in the context of microgrids and other applications where time efficiency is critical.

Examining the business cycle of the tourism industry in Mexico at the state level using the Markov Switching Model (1992 to 2017)

Despite being a popular tourist destination, state-level research on the business cycle in Mexico's tourism industry is lacking. This study aims to answer three research questions: Are the growth stages of the international tourism market similar across states? Are the growth stages of the domestic tourism market similar among entities? Is there a relation between the economic cycle of the international tourism market and the domestic market? We use the Markov Switching Model to estimate the business cycle of the tourism industry in each Mexican state from 1992 to 2017. We identify the most attractive states for international and domestic tourists. Notably, eleven of the coefficients belong to the economic cycle of the foreign tourist market, indicating a greater economic impact compared to the domestic market. The results show that each state has its own business cycle, requiring individual projections for each market. This information is relevant for tourism planners and policymakers to address the challenges posed by the SDGs.

Template switching between the leading and lagging strands at replication forks generates inverted copy number variants through hairpin-capped extrachromosomal DNA.

Inherited and germ-line de novo copy number variants (CNVs) are increasingly found to be correlated with human developmental and cancerous phenotypes. Several models for template switching during replication have been proposed to explain the generation of these gross chromosomal rearrangements. We proposed a model of template switching (ODIRA-origin dependent inverted repeat amplification) in which simultaneous ligation of the leading and lagging strands at diverging replication forks could generate segmental inverted triplications through an extrachromosomal inverted circular intermediate. Here, we created a genetic assay using split-ura3 cassettes to trap the proposed inverted intermediate. However, instead of recovering circular inverted intermediates, we found inverted linear chromosomal fragments ending in native telomeres-suggesting that a template switch had occurred at the centromere-proximal fork of a replication bubble. As telomeric inverted hairpin fragments can also be created through double strand breaks we tested whether replication errors or repair of double stranded DNA breaks were the most likely initiating event. The results from CRISPR/Cas9 cleavage experiments and growth in the replication inhibitor hydroxyurea indicate that it is a replication error, not a double stranded break that creates the inverted junctions. Since inverted amplicons of the SUL1 gene occur during long-term growth in sulfate-limited chemostats, we sequenced evolved populations to look for evidence of linear intermediates formed by an error in replication. All of the data are compatible with a two-step version of the ODIRA model in which sequential template switching at short inverted repeats between the leading and lagging strands at a replication fork, followed by integration via homologous recombination, generates inverted interstitial triplications.

From Old to New Technologies: Exploring the Role and Impact of Value Resonance

In the research of technology switch, theories such as Push-Pull-Mooring (PPM), Behavioral Reasoning (BRT), Innovation Resistance (IRT), and Status Quo Bias (SQB) have been employed to extend the Technology Acceptance Model (TAM), focusing on how old technology factors such as inertia as barriers to embracing new technological innovations. However, our research contends that the impact of these old technology factors on the technology switch is not unequivocal, as they may either hinder or facilitate the transition, depending on whether the new technology retains valued features of the old technology. To delve into this complexity, we introduce the concept of value resonance between old and new technologies. Utilizing Nintendo Switch for empirical analysis, two quantitative studies were conducted. Out of 630 distributed questionnaires, 553 valid responses were collected, yielding an 87.7% response rate. The first study used multi-groups analysis within TAM to differentiate between the technology acceptance group (TAG) and the technology switch group (TSG), contributing to the development of the Technology Switch Model (TSM). The second study applied Covariance-Based Structural Equation Modeling (CB-SEM) to examine value resonance’s mediating role in the TSM. The empirical results revealed discernible differences between TAG and TSG within the TAM framework, providing a robust theoretical basis for the TSM. Furthermore, the result indicated that factors associated with old technology could enhance users’ switching intentions through the mediating mechanism of value resonance. These findings aim to provide a more nuanced understanding of technology switch, highlighting that the dynamics between old and new technologies are more complex and variable than previously assumed.

Research of simulation and experiment on arc characteristics of gas mechanical switch

AbstractAn arc is the high‐temperature discharge plasma produced in the opening process of mechanical switches, which directly affects the breaking capability of a hybrid DC circuit breaker. According to the physical mechanism of an electric arc, the construction of an arc model for simulation analysis is an important technical means in the electrical field. In this study, based on the theory of magneto hydrodynamics (MHD), a gas mechanical switch model of a natural commutation DC circuit breaker with a compound gap is established. The arc motion process under different conditions is simulated and calculated. The influence of different initial pressures, different opening speeds, and different striking currents on the arc voltage characteristics is analysed. The results show that the larger the gas pressure, the smaller the arc volume and the higher the arc voltage. The faster the opening speed, the longer the arc and the higher the arc voltage; with the increase of the current, the arc voltage increases rapidly at a low current, while the arc voltage increases slowly at a high current.

Exchange rate expectations and exchange rate behaviour in the South African context

The literature maintains that exchange rate movements are largely dependent on expectations formed by economic agents. The study attempts to understand the impact of exchange rate expectations on the behaviour of the exchange rates. We use the Markov Switch Model to estimate the probability of the exchange rates transitioning from regime-to-regime. The study finds that the exchange rate movement is asymmetric to its expectations.

An analytical transient coal permeability model: Sorption non-equilibrium index-based swelling switch

Long-term permeability experiments have indicated that sorption-induced swelling can switch from internal to bulk depending on the evolutive sorption status. However, this sorption swelling switch mechanism has not been considered in current analytical permeability models. This study introduces a normalized sorption non-equilibrium index (SNEI) to characterize the sorption status, quantify the dynamical variations of matrix swelling accumulation and internal swelling partition, and formulate the sorption swelling switch model. The incorporation of this index into the extended total effective stress concept leads to an analytical transient coal permeability model. Model results show that the sorption swelling switch itself results in the permeability switch under stress-constrained conditions, while the confined bulk swelling suppresses the permeability recovery to the continuous reduction under displacement-constrained conditions. Model verifications show that current experimental observations correspond to the early stages of the transient process, and they could be extended to the whole process with these models. This study demonstrates the importance of the sorption swelling switch in determining permeability evolution using simple boundary conditions. It provides new insights into experimentally revealing the sorption swelling switch in the future, and underscores the requirement of a rigorous model for complex coupled processes in large-scale coal seams.

Utility maximization of the exponential Lévy switching models

Данная статья посвящена максимизации HARA-полезности экспоненциальных процессов Леви с переключениями, заданных на конечном промежутке времени, используя дуальный метод. Дается описание всех минимальных по $f$-дивергенции мартингальных мер и выражения соответствующих процессов плотности Радона-Никодима, включающие в себя процессы Хеллингера и процессы Кульбака-Лейблера. Получены оптимальные стратегии, обеспечивающие максимизацию HARA-полезности в прогрессивно-расширенной фильтрации, а также значения соответствующих полезностей. В качестве примера приводятся результаты для броуновского движения с переключениями и их финансовая интерпретация в терминах процесса стоимости.

Geodynamics of basins above subducted slabs: An integrated modelling study of tectonics, sedimentation, and magmatism in the Timok Magmatic Complex

Volcano-sedimentary basins located in the orogenic hinterland area overlying subducted slabs are observed worldwide to be driven by the switching tectonic regimes induced by the changing mechanics of the slab. Despite many qualitative studies, the quantitative link between the subducted slab?s mechanics and the overlying basins? evolution is less understood. Among the many examples observed worldwide, the Timok Magmatic Complex (TMC) in Serbia represents an optimal natural laboratory due to the complex tectonic setting during the various stages of the Middle Jurassic-Paleogene evolution of the subduction system. The TMC is a segment of the larger Late Cretaceous Apuseni-Banat-Timok-Srednogorie (ABTS) magmatic belt, formed in response to the evolution of the subducted Mesozoic Neotethys oceanic slab beneath the Carpatho-Balkanides of south-eastern Europe. The TMC basin, with the associated intrusive and extrusive magmatics and volcano-sedimentary deposits, represents an excellent area for a process-oriented study on the interplay between tectonics, sedimentation, and magmatism in the basins above evolving subducted slabs. Within the scope of the newly funded TMCmod project, coupled field and laboratory kinematic and petrological investigations will be focused on creating a conceptual definition of the TMC geodynamic evolution, by combining near-surface observations with the known evolution of the subduction system. This definition will be subsequently validated through analogue modelling and integrated into a coherent geodynamic model of tectonic switching in basins driven by the evolution of subducted slabs. The new model of the TMC basin?s geodynamic evolution will quantitatively advance the strategy of prospecting and exploration of world-class porphyry copper- gold deposits, which have been actively exploited in this region for more than a century. Furthermore, reconstructed regional kinematic evolution will improve seismic hazard assessment during industrial and societal infrastructure planning and construction.

A Large-Signal SPICE Model for a Dual-Gate GaN RF Switch With OFF-State Harmonic Control

A Large-Signal SPICE Model for a Dual-Gate GaN RF Switch With OFF-State Harmonic Control

Modeling of Magnetic Tunnel Junction Switching by Voltage-Controlled Exchange Coupling

Modeling of Magnetic Tunnel Junction Switching by Voltage-Controlled Exchange Coupling

Self-oscillation model of switching for polymer brushes

Self-oscillation model of switching for polymer brushes

Multiscale non-linear tale risk spillover effect from oil to stocks – The case of East European emerging markets

This paper investigates the multiscale non-linear risk transmission effect from Brent oil to eleven European emerging stock markets. Dynamic extreme risk time series are created using the FIAPARCH-CVaR approach. The MODWT transformation is applied to make three wavelet details that represent different time horizons. In the final step, the MODWT time series are fitted into the Markov switching model to examine the spillover phenomenon. The results indicate that the Czech and Hungarian stock markets endure the spillover effect in crisis regime in the short term, probably because these markets are among the most efficient emerging European markets. On the other hand, a relatively high spillover effect is found in a peaceful rather than a crisis regime in the case of Poland. This is probably because the Polish index lists almost 300 stocks, which means that oil shocks disperse to a large number of different industry sectors. In small and less developed markets, such as Estonia, Slovenia, Bulgaria, and Croatia, a high spillover effect exists in a tranquil regime because these countries have high oil consumption per capita. Lithuania and Latvia do not report the spillover effect in the short run, while this is true for all time horizons in the case of Slovakia.