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Local projection stabilized finite element method for Navier-Stokes equations 被引量:1
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作者 覃燕梅 冯民富 +1 位作者 罗鲲 吴开腾 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2010年第5期651-664,共14页
This paper extends the results of Matthies, Skrzypacz, and Tubiska for the Oseen problem to the Navier-Stokes problem. For the stationary incompressible Navier- Stokes equations, a local projection stabilized finite e... This paper extends the results of Matthies, Skrzypacz, and Tubiska for the Oseen problem to the Navier-Stokes problem. For the stationary incompressible Navier- Stokes equations, a local projection stabilized finite element scheme is proposed. The scheme overcomes convection domination and improves the restrictive inf-sup condition. It not only is a two-level approach but also is adaptive for pairs of spaces defined on the same mesh. Using the approximation and projection spaces defined on the same mesh, the scheme leads to much more compact stencils than other two-level approaches. On the same mesh, besides the class of local projection stabilization by enriching the approximation spaces, two new classes of local projection stabilization of the approximation spaces are derived, which do not need to be enriched by bubble functions. Based on a special interpolation, the stability and optimal prior error estimates are shown. Numerical results agree with some benchmark solutions and theoretical analysis very well. 展开更多
关键词 local projection Navier-Stokes equations Reynolds number
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Nonconforming local projection stabilization for generalized Oseen equations
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作者 白艳红 冯民富 王川龙 《Applied Mathematics and Mechanics(English Edition)》 SCIE EI 2010年第11期1439-1452,共14页
A new method of nonconforming local projection stabilization for the gen- eralized Oseen equations is proposed by a nonconforming inf-sup stable element pair for approximating the velocity and the pressure. The method... A new method of nonconforming local projection stabilization for the gen- eralized Oseen equations is proposed by a nonconforming inf-sup stable element pair for approximating the velocity and the pressure. The method has several attractive features. It adds a local projection term only on the sub-scale (H ≥ h). The stabilized term is simple compared with the residual-free bubble element method. The method can handle the influence of strong convection. The numerical results agree with the theoretical expectations very well. 展开更多
关键词 generalized Oseen equation local projection stabilization Crouzeix-Raviart element
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SELF-DEPENDENT LOCALITY PRESERVING PROJECTION WITH TRANSFORMED SPACE-ORIENTED NEIGHBORHOOD GRAPH
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作者 乔立山 张丽梅 孙忠贵 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI 2010年第3期261-268,共8页
Locality preserving projection (LPP) is a typical and popular dimensionality reduction (DR) method,and it can potentially find discriminative projection directions by preserving the local geometric structure in da... Locality preserving projection (LPP) is a typical and popular dimensionality reduction (DR) method,and it can potentially find discriminative projection directions by preserving the local geometric structure in data. However,LPP is based on the neighborhood graph artificially constructed from the original data,and the performance of LPP relies on how well the nearest neighbor criterion work in the original space. To address this issue,a novel DR algorithm,called the self-dependent LPP (sdLPP) is proposed. And it is based on the fact that the nearest neighbor criterion usually achieves better performance in LPP transformed space than that in the original space. Firstly,LPP is performed based on the typical neighborhood graph; then,a new neighborhood graph is constructed in LPP transformed space and repeats LPP. Furthermore,a new criterion,called the improved Laplacian score,is developed as an empirical reference for the discriminative power and the iterative termination. Finally,the feasibility and the effectiveness of the method are verified by several publicly available UCI and face data sets with promising results. 展开更多
关键词 graphic methods Laplacian transforms unsupervised learning dimensionality reduction locality preserving projection
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Improved Local Projection for the Generalized Stokes Problem
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作者 Kamel Nafa 《Advances in Applied Mathematics and Mechanics》 SCIE 2009年第6期862-873,共12页
We analyze pressure stabilized finite element methods for the solution of the generalized Stokes problem and investigate their stability and convergence properties.An important feature of the methods is that the press... We analyze pressure stabilized finite element methods for the solution of the generalized Stokes problem and investigate their stability and convergence properties.An important feature of the methods is that the pressure gradient unknowns can be eliminated locally thus leading to a decoupled system of equations.Although the stability of the method has been established,for the homogeneous Stokes equations,the proof given here is based on the existence of a special interpolant with additional orthogonal property with respect to the projection space.This makes it much simpler and more attractive.The resulting stabilized method is shown to lead to optimal rates of convergence for both velocity and pressure approximations. 展开更多
关键词 Generalized Stokes equations stabilized finite elements local projection CONVERGENCE error estimates
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Sparse Kernel Locality Preserving Projection and Its Application in Nonlinear Process Fault Detection 被引量:28
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作者 DENG Xiaogang TIAN Xuemin 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2013年第2期163-170,共8页
Locality preserving projection (LPP) is a newly emerging fault detection method which can discover local manifold structure of a data set to be analyzed, but its linear assumption may lead to monitoring performance de... Locality preserving projection (LPP) is a newly emerging fault detection method which can discover local manifold structure of a data set to be analyzed, but its linear assumption may lead to monitoring performance degradation for complicated nonlinear industrial processes. In this paper, an improved LPP method, referred to as sparse kernel locality preserving projection (SKLPP) is proposed for nonlinear process fault detection. Based on the LPP model, kernel trick is applied to construct nonlinear kernel model. Furthermore, for reducing the computational complexity of kernel model, feature samples selection technique is adopted to make the kernel LPP model sparse. Lastly, two monitoring statistics of SKLPP model are built to detect process faults. Simulations on a continuous stirred tank reactor (CSTR) system show that SKLPP is more effective than LPP in terms of fault detection performance. 展开更多
关键词 nonlinear locality preserving projection kernel trick sparse model fault detection
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Fault Diagnosis Model Based on Feature Compression with Orthogonal Locality Preserving Projection 被引量:14
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作者 TANG Baoping LI Feng QIN Yi 《Chinese Journal of Mechanical Engineering》 SCIE EI CAS CSCD 2011年第5期891-898,共8页
Based on feature compression with orthogonal locality preserving projection(OLPP),a novel fault diagnosis model is proposed in this paper to achieve automation and high-precision of fault diagnosis of rotating machi... Based on feature compression with orthogonal locality preserving projection(OLPP),a novel fault diagnosis model is proposed in this paper to achieve automation and high-precision of fault diagnosis of rotating machinery.With this model,the original vibration signals of training and test samples are first decomposed through the empirical mode decomposition(EMD),and Shannon entropy is constructed to achieve high-dimensional eigenvectors.In order to replace the traditional feature extraction way which does the selection manually,OLPP is introduced to automatically compress the high-dimensional eigenvectors of training and test samples into the low-dimensional eigenvectors which have better discrimination.After that,the low-dimensional eigenvectors of training samples are input into Morlet wavelet support vector machine(MWSVM) and a trained MWSVM is obtained.Finally,the low-dimensional eigenvectors of test samples are input into the trained MWSVM to carry out fault diagnosis.To evaluate our proposed model,the experiment of fault diagnosis of deep groove ball bearings is made,and the experiment results indicate that the recognition accuracy rate of the proposed diagnosis model for outer race crack、inner race crack and ball crack is more than 90%.Compared to the existing approaches,the proposed diagnosis model combines the strengths of EMD in fault feature extraction,OLPP in feature compression and MWSVM in pattern recognition,and realizes the automation and high-precision of fault diagnosis. 展开更多
关键词 orthogonal locality preserving projection(OLPP) manifold learning feature compression Morlet wavelet support vector machine(MWSVM) empirical mode decomposition(EMD) fault diagnosis
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Multimode Process Monitoring Based on Fuzzy C-means in Locality Preserving Projection Subspace 被引量:5
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作者 解翔 侍洪波 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2012年第6期1174-1179,共6页
For complex industrial processes with multiple operational conditions, it is important to develop effective monitoring algorithms to ensure the safety of production processes. This paper proposes a novel monitoring st... For complex industrial processes with multiple operational conditions, it is important to develop effective monitoring algorithms to ensure the safety of production processes. This paper proposes a novel monitoring strategy based on fuzzy C-means. The high dimensional historical data are transferred to a low dimensional subspace spanned by locality preserving projection. Then the scores in the novel subspace are classified into several overlapped clusters, each representing an operational mode. The distance statistics of each cluster are integrated though the membership values into a novel BID (Bayesian inference distance) monitoring index. The efficiency and effectiveness of the proposed method are validated though the Tennessee Eastman benchmark process. 展开更多
关键词 multimode process monitoring fuzzy C-means locality preserving projection integrated monitoring index Tennessee Eastman process
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Supervised local and non-local structure preserving projections with application to just-in-time learning for adaptive soft sensor 被引量:4
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作者 邵伟明 田学民 王平 《Chinese Journal of Chemical Engineering》 SCIE EI CAS CSCD 2015年第12期1925-1934,共10页
In soft sensor field, just-in-time learning(JITL) is an effective approach to model nonlinear and time varying processes. However, most similarity criterions in JITL are computed in the input space only while ignoring... In soft sensor field, just-in-time learning(JITL) is an effective approach to model nonlinear and time varying processes. However, most similarity criterions in JITL are computed in the input space only while ignoring important output information, which may lead to inaccurate construction of relevant sample set. To solve this problem, we propose a novel supervised feature extraction method suitable for the regression problem called supervised local and non-local structure preserving projections(SLNSPP), in which both input and output information can be easily and effectively incorporated through a newly defined similarity index. The SLNSPP can not only retain the virtue of locality preserving projections but also prevent faraway points from nearing after projection,which endues SLNSPP with powerful discriminating ability. Such two good properties of SLNSPP are desirable for JITL as they are expected to enhance the accuracy of similar sample selection. Consequently, we present a SLNSPP-JITL framework for developing adaptive soft sensor, including a sparse learning strategy to limit the scale and update the frequency of database. Finally, two case studies are conducted with benchmark datasets to evaluate the performance of the proposed schemes. The results demonstrate the effectiveness of LNSPP and SLNSPP. 展开更多
关键词 Adaptive soft sensor Just-in-time learning Supervised local and non-local structure preserving projections locality preserving projections Database monitoring
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Locality Preserving Discriminant Projection for Speaker Verification 被引量:1
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作者 Chunyan Liang Wei Cao Shuxin Cao 《Journal of Computer and Communications》 2020年第11期14-22,共9页
In this paper, a manifold subspace learning algorithm based on locality preserving discriminant projection (LPDP) is used for speaker verification. LPDP can overcome the deficiency of the total variability factor anal... In this paper, a manifold subspace learning algorithm based on locality preserving discriminant projection (LPDP) is used for speaker verification. LPDP can overcome the deficiency of the total variability factor analysis and locality preserving projection (LPP). LPDP can effectively use the speaker label information of speech data. Through optimization, LPDP can maintain the inherent manifold local structure of the speech data samples of the same speaker by reducing the distance between them. At the same time, LPDP can enhance the discriminability of the embedding space by expanding the distance between the speech data samples of different speakers. The proposed method is compared with LPP and total variability factor analysis on the NIST SRE 2010 telephone-telephone core condition. The experimental results indicate that the proposed LPDP can overcome the deficiency of LPP and total variability factor analysis and can further improve the system performance. 展开更多
关键词 Speaker Verification locality Preserving Discriminant projection locality Preserving projection Manifold Learning Total Variability Factor Analysis
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Face recognition using illuminant locality preserving projections
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作者 刘朋樟 沈庭芝 林健文 《Journal of Beijing Institute of Technology》 EI CAS 2011年第1期111-116,共6页
A novel supervised manifold learning method was proposed to realize high accuracy face recognition under varying illuminant conditions. The proposed method, named illuminant locality preserving projections (ILPP), e... A novel supervised manifold learning method was proposed to realize high accuracy face recognition under varying illuminant conditions. The proposed method, named illuminant locality preserving projections (ILPP), exploited illuminant directions to alleviate the effect of illumination variations on face recognition. The face images were first projected into low dimensional subspace, Then the ILPP translated the face images along specific direction to reduce lighting variations in the face. The ILPP reduced the distance between face images of the same class, while increase the dis tance between face images of different classes. This proposed method was derived from the locality preserving projections (LPP) methods, and was designed to handle face images with various illumi nations. It preserved the face image' s local structure in low dimensional subspace. The ILPP meth od was compared with LPP and discriminant locality preserving projections (DLPP), based on the YaleB face database. Experimental results showed the effectiveness of the proposed algorithm on the face recognition with various illuminations. 展开更多
关键词 locality preserving projections LPP illuminant direction illuminant locality preser ving projections (ILPP) face recognition
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3-D Reconstruction and Visualization of Laser-Scanned Trees by Weighted Locally Optimal Projection and Accurate Modeling Method
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作者 TAMAYO Alexis LI Minglei +1 位作者 LIU Qin ZHANG Meng 《Transactions of Nanjing University of Aeronautics and Astronautics》 EI CSCD 2022年第S01期135-142,共8页
This paper presents a method to reconstruct 3-D models of trees from terrestrial laser scan(TLS)point clouds.This method uses the weighted locally optimal projection(WLOP)and the AdTree method to reconstruct detailed ... This paper presents a method to reconstruct 3-D models of trees from terrestrial laser scan(TLS)point clouds.This method uses the weighted locally optimal projection(WLOP)and the AdTree method to reconstruct detailed 3-D tree models.To improve its representation accuracy,the WLOP algorithm is introduced to consolidate the point cloud.Its reconstruction accuracy is tested using a dataset of ten trees,and the one-sided Hausdorff distances between the input point clouds and the resulting 3-D models are measured.The experimental results show that the optimal projection modeling method has an average one-sided Hausdorff distance(mean)lower by 30.74%and 6.43%compared with AdTree and AdQSM methods,respectively.Furthermore,it has an average one-sided Hausdorff distance(RMS)lower by 29.95%and 12.28%compared with AdTree and AdQSM methods.Results show that the 3-D model generated fits closely to the input point cloud data and ensures a high geometrical accuracy. 展开更多
关键词 light detection and ranging(LiDAR) point cloud weighted locally optimal projection(WLOP) 3-D reconstruction AdTree
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A Comparative Study of Locality Preserving Projection and Principle Component Analysis on Classification Performance Using Logistic Regression
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作者 Azza Kamal Ahmed Abdelmajed 《Journal of Data Analysis and Information Processing》 2016年第2期55-63,共9页
There are a variety of classification techniques such as neural network, decision tree, support vector machine and logistic regression. The problem of dimensionality is pertinent to many learning algorithms, and it de... There are a variety of classification techniques such as neural network, decision tree, support vector machine and logistic regression. The problem of dimensionality is pertinent to many learning algorithms, and it denotes the drastic raise of computational complexity, however, we need to use dimensionality reduction methods. These methods include principal component analysis (PCA) and locality preserving projection (LPP). In many real-world classification problems, the local structure is more important than the global structure and dimensionality reduction techniques ignore the local structure and preserve the global structure. The objectives is to compare PCA and LPP in terms of accuracy, to develop appropriate representations of complex data by reducing the dimensions of the data and to explain the importance of using LPP with logistic regression. The results of this paper find that the proposed LPP approach provides a better representation and high accuracy than the PCA approach. 展开更多
关键词 Logistic Regression (LR) Principal Component Analysis (PCA) locality Preserving projection (LPP)
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货币政策、企业异质性与债务期限结构
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作者 雷国胜 杨阳 《管理现代化》 北大核心 2024年第4期59-69,共11页
基于2007-2022年A股上市公司季度数据,考察货币政策冲击对企业债务期限结构的影响。研究结果表明:在紧缩性货币政策冲击的影响下,企业债务期限结构受到显著的负面影响,但是这种影响不是瞬时的,而是在冲击发生后的第一个季度才显示出来,... 基于2007-2022年A股上市公司季度数据,考察货币政策冲击对企业债务期限结构的影响。研究结果表明:在紧缩性货币政策冲击的影响下,企业债务期限结构受到显著的负面影响,但是这种影响不是瞬时的,而是在冲击发生后的第一个季度才显示出来,并且随时间的推移其下降趋势先增后减,整体呈现“U”型;从融资约束视角来看,融资约束越大的企业其债务期限结构在货币政策冲击发生时受到影响更大,且受影响时间更长;从行业视角来看,相较于技术密集型行业,资本密集型和劳动密集型行业更为敏感,对货币政策冲击对债务期限结构的影响更加显著。研究结果丰富了货币政策对债务期限结构影响的研究,并为相关政策的制定提供了有益参考。 展开更多
关键词 货币政策 债务期限结构 融资约束 Proxy-SVAR local projection
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Energy Efficient Access Point Selection and Signal Projection for Accurate Indoor Positioning 被引量:5
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作者 Deng Zhian Xu Yubin Ma Lin 《China Communications》 SCIE CSCD 2012年第2期52-65,共14页
We propose a method to improve positioning accuracy while reducing energy consumption in an indoor Wireless Local Area Network(WLAN) environment.First,we intelligently and jointly select the subset of Access Points(AP... We propose a method to improve positioning accuracy while reducing energy consumption in an indoor Wireless Local Area Network(WLAN) environment.First,we intelligently and jointly select the subset of Access Points(APs) used in positioning via Maximum Mutual Information(MMI) criterion.Second,we propose Orthogonal Locality Preserving Projection(OLPP) to reduce the redundancy among selected APs.OLPP effectively extracts the intrinsic location features in situations where previous linear signal projection techniques failed to do,while maintaining computational efficiency.Third,we show that the combination of AP selection and OLPP simultaneously exploits their complementary advantages while avoiding the drawbacks.Experimental results indicate that,compared with the widely used weighted K-nearest neighbor and maximum likelihood estimation method,the proposed method leads to 21.8%(0.49 m) positioning accuracy improvement,while decreasing the computation cost by 65.4%. 展开更多
关键词 indoor positioning energy efficientcomputing WLAN maximum mutual information orthogonal locality preserving projection
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A class of fully third-order accurate projection methods for solving the incompressible Navier-Stokes equations 被引量:2
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作者 Yuxin Ren Yuxi Jiang +1 位作者 Miao'er Liu Hanxin Zhang 《Acta Mechanica Sinica》 SCIE EI CAS CSCD 2005年第6期542-549,共8页
In this paper, a fully third-order accurate projection method for solving the incompressible Navier-Stokes equations is proposed. To construct the scheme, a continuous projection procedure is firstly presented. We the... In this paper, a fully third-order accurate projection method for solving the incompressible Navier-Stokes equations is proposed. To construct the scheme, a continuous projection procedure is firstly presented. We then derive a sufficient condition for the continuous projection equations to be temporally third-order accurate approximations of the original Navier-Stokes equations by means of the localtruncation-error-analysis technique. The continuous projection equations are discretized temporally and spatially to third-order accuracy on the staggered grids, resulting in a fully third-order discrete projection scheme. The possibility to design higher-order projection methods is thus demonstrated in the present paper. A heuristic stability analysis is performed on this projection method showing the probability of its being stable. The stability of the present scheme is further verified through numerical tests. The third-order accuracy of the present projection method is validated by several numerical test cases. 展开更多
关键词 Incompressible Navier-Stokes equations projection methods - Third-order scheme - local truncation error
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Which return regime induces overconfidence behavior?Artificial intelligence and a nonlinear approach
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作者 Esra Alp Coşkun Hakan Kahyaoglu Chi Keung Marco Lau 《Financial Innovation》 2023年第1期1135-1168,共34页
Overconfidence behavior,one form of positive illusion,has drawn considerable attention throughout history because it is viewed as the main reason for many crises.Investors’overconfidence,which can be observed as over... Overconfidence behavior,one form of positive illusion,has drawn considerable attention throughout history because it is viewed as the main reason for many crises.Investors’overconfidence,which can be observed as overtrading following positive returns,may lead to inefficiencies in stock markets.To the best of our knowledge,this is the first study to examine the presence of investor overconfidence by employing an artificial intelligence technique and a nonlinear approach to impulse responses to analyze the impact of different return regimes on the overconfidence attitude.We examine whether investors in an emerging stock market(Borsa Istanbul)exhibit overconfidence behavior using a feed-forward,neural network,nonlinear Granger causality test and nonlinear impulseresponse functions based on local projections.These are the first applications in the relevant literature due to the novelty of these models in forecasting high-dimensional,multivariate time series.The results obtained from distinguishing between the different market regimes to analyze the responses of trading volume to return shocks contradict those in the literature,which is the key contribution of the study.The empirical findings imply that overconfidence behavior exhibits asymmetries in different return regimes and is persistent during the 20-day forecasting horizon.Overconfidence is more persistent in the low-than in the high-return regime.In the negative interest-rate period,a high-return regime induces overconfidence behavior,whereas in the positive interest-rate period,a low-return regime induces overconfidence behavior.Based on the empirical findings,investors should be aware that portfolio gains may result in losses depending on aggressive and excessive trading strategies,particularly in low-return regimes. 展开更多
关键词 OVERCONFIDENCE Nonlinear Granger causality Artificial intelligence Feedforward neural networks Nonlinear impulse-response functions local projections Return regime
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3D Face Reconstruction from a Single Image Using a Combined PCA-LPP Method
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作者 Jee-Sic Hur Hyeong-Geun Lee +2 位作者 Shinjin Kang Yeo Chan Yoon Soo Kyun Kim 《Computers, Materials & Continua》 SCIE EI 2023年第3期6213-6227,共15页
In this paper, we proposed a combined PCA-LPP algorithm toimprove 3D face reconstruction performance. Principal component analysis(PCA) is commonly used to compress images and extract features. Onedisadvantage of PCA ... In this paper, we proposed a combined PCA-LPP algorithm toimprove 3D face reconstruction performance. Principal component analysis(PCA) is commonly used to compress images and extract features. Onedisadvantage of PCA is local feature loss. To address this, various studies haveproposed combining a PCA-LPP-based algorithm with a locality preservingprojection (LPP). However, the existing PCA-LPP method is unsuitable for3D face reconstruction because it focuses on data classification and clustering.In the existing PCA-LPP, the adjacency graph, which primarily shows the connectionrelationships between data, is composed of the e-or k-nearest neighbortechniques. By contrast, in this study, complex and detailed parts, such aswrinkles around the eyes and mouth, can be reconstructed by composing thetopology of the 3D face model as an adjacency graph and extracting localfeatures from the connection relationship between the 3D model vertices.Experiments verified the effectiveness of the proposed method. When theproposed method was applied to the 3D face reconstruction evaluation set,a performance improvement of 10% to 20% was observed compared with theexisting PCA-based method. 展开更多
关键词 Principal component analysis locality preserving project 3DMM face reconstruction face modeling
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Speech emotion recognition via discriminant-cascading dimensionality reduction 被引量:1
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作者 王如刚 徐新洲 +3 位作者 黄程韦 吴尘 张昕然 赵力 《Journal of Southeast University(English Edition)》 EI CAS 2016年第2期151-157,共7页
In order to accurately identify speech emotion information, the discriminant-cascading effect in dimensionality reduction of speech emotion recognition is investigated. Based on the existing locality preserving projec... In order to accurately identify speech emotion information, the discriminant-cascading effect in dimensionality reduction of speech emotion recognition is investigated. Based on the existing locality preserving projections and graph embedding framework, a novel discriminant-cascading dimensionality reduction method is proposed, which is named discriminant-cascading locality preserving projections (DCLPP). The proposed method specifically utilizes supervised embedding graphs and it keeps the original space for the inner products of samples to maintain enough information for speech emotion recognition. Then, the kernel DCLPP (KDCLPP) is also proposed to extend the mapping form. Validated by the experiments on the corpus of EMO-DB and eNTERFACE'05, the proposed method can clearly outperform the existing common dimensionality reduction methods, such as principal component analysis (PCA), linear discriminant analysis (LDA), locality preserving projections (LPP), local discriminant embedding (LDE), graph-based Fisher analysis (GbFA) and so on, with different categories of classifiers. 展开更多
关键词 speech emotion recognition discriminant-cascading locality preserving projections DISCRIMINANTANALYSIS dimensionality reduction
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Stabilization for Equal-Order Polygonal Finite Element Method for High Fluid Velocity and Pressure Gradient 被引量:2
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作者 T.Vu-Huu C.Le-Thanh +1 位作者 H.Nguyen-Xuan M.Abdel-Wahab 《Computers, Materials & Continua》 SCIE EI 2020年第3期1109-1123,共15页
This paper presents an adapted stabilisation method for the equal-order mixed scheme of finite elements on convex polygonal meshes to analyse the high velocity and pressure gradient of incompressible fluid flows that ... This paper presents an adapted stabilisation method for the equal-order mixed scheme of finite elements on convex polygonal meshes to analyse the high velocity and pressure gradient of incompressible fluid flows that are governed by Stokes equations system.This technique is constructed by a local pressure projection which is extremely simple,yet effective,to eliminate the poor or even non-convergence as well as the instability of equal-order mixed polygonal technique.In this research,some numerical examples of incompressible Stokes fluid flow that is coded and programmed by MATLAB will be presented to examine the effectiveness of the proposed stabilised method. 展开更多
关键词 Polygonal finite element method fluid computation stokes equation mixed method local projection
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Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios:a nonlinear VAR approach 被引量:1
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作者 François-Éric Racicot Raymond Théoret 《Financial Innovation》 2022年第1期696-751,共56页
The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial... The subprime crisis was quite damaging for hedge funds.Using the local projection method(Jordà2004,2005,2009),we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks—especially volatility and illiquidity shocks—over the subprime crisis in order to investigate their market timing activities.In a robustness check,using TVAR(Balke 2000),we simulate the reaction of hedge fund strategies’betas in extreme scenarios allowing moderate and strong adverse shocks.Our results show that the behavior of hedge fund strategies regarding the monitoring of systematic risk is highly nonlinear in extreme scenarios—especially during the subprime crisis.We find that countercyclical strategies have an investment technology which differs from procyclical ones.During crises,the former seek to capture non-traditional risk premia by deliberately increasing their systematic risk while the later focus more on minimizing risk.Our results suggest that the hedge fund strategies’betas respond more to illiquidity uncertainty than to illiquidity risk during crises.We find that illiquidity and VIX shocks are the major drivers of systemic risk in the hedge fund industry. 展开更多
关键词 Hedge fund PROCYCLICALITY Illiquidity risk shock Illiquidity uncertainty shock local projection model TVAR Optimal forecast Measurement errors
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