Monte Carlo simulation of the short-time behaviour of the dynamicXY-model

This study aimed to predict the JKII (Jakarta Islamic Index) price as a price index of sharia stocks and predict the loss risk. This study uses geometric Brownian motion (GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach) on the daily closing price of JKII from 1 August 2020–13 August 2021 to predict the price and loss risk of JKII at 16 August 2021–23 August 2021. The findings of this study were very accurate for predicting the JKII price with a MAPE value of 2.03%. Then, using VaR with a Monte Carlo Simulation approach, the loss risk prediction for 16 August 2021 (one-day trading period after 13 August 2021) at the 90%, 95%, and 99% confidence levels was 2.40%, 3.07%, and 4.27%, respectively. Most Indonesian Muslims have financial assets in the form of Islamic investments as they offer higher returns within a relatively short time. The movement of all Islamic stock prices traded on the Indonesian stock market can be seen through the Islamic stock price index, namely the JKII (Jakarta Islamic Index). Therefore, the focus of this study was predicting the price and loss risk of JKII as an index of Islamic stock prices in Indonesia. This study extends the previous literature to determine the prediction of JKII price and the loss risk through GBM and VaR using a Monte Carlo simulation approach.

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Global Analysis of Stochastic Systems by the Digraph Cell Mapping Method Based on Short-Time Gaussian Approximation

International Journal of Bifurcation and Chaos ◽

10.1142/s0218127420500716 ◽

2020 ◽

Vol 30 (05) ◽

pp. 2050071

Author(s):

Qun Han ◽

Wei Xu ◽

Huibing Hao ◽

Xiaole Yue

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Stochastic Systems ◽

Gaussian Approximation ◽

Global Analysis ◽

Mapping Method ◽

Periodic Excitation ◽

Cell Mapping ◽

One Step ◽

Short Time

The digraph cell mapping method is popular in the global analysis of stochastic systems. Traditionally, the Monte Carlo simulation is used in finding the image cells of one-step mapping, and it is notably costly in the computation time. In this paper, a novel short-time Gaussian approximation (STGA) scheme is incorporated into the digraph cell mapping method to study the global analysis of nonlinear dynamical systems under Gaussian white noise excitations. In order to find out all the active image cells in one-step cell mapping quickly, the STGA scheme together with a probability truncation method is introduced for systems without periodic excitation, and then in the case with periodic excitation. The global structures, such as the stochastic attractors, stochastic basins of attraction and stochastic saddles, are calculated by the digraph analysis algorithm. The proposed methodology has been applied to three typical stochastic dynamical systems. For each system, the effectiveness and superiority of the proposed STGA scheme are verified by checking the image cells of one-step mapping and comparing with the results of Monte Carlo simulation. It is found in the global analysis that the change of the amplitude of periodic excitation induces stochastic bifurcations in the stochastic Duffing system. Moreover, a stochastic bifurcation occurs in the stochastic Lorenz system with the increase of noise intensities.

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Thermal Robustness and Mass Optimization of Heat Pipe Shape for Spacecraft Panel Using a Combination of Response Surface Methodology and Monte Carlo Simulation

Volume 2: 28th Design Automation Conference ◽

10.1115/detc2002/dac-34055 ◽

2002 ◽

Cited By ~ 3

Author(s):

Takashi Kobayashi ◽

Takehide Nomura ◽

Masaki Kamifuji ◽

Akira Yao ◽

Tetsurou Ogushi

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Response Surface Methodology ◽

Heat Pipe ◽

Response Surface ◽

Thermal Control ◽

Optimization Method ◽

Thermal Design ◽

Design Parameters ◽

Short Time

A commercial spacecraft should survive on orbit for more than 10 years under the severe circumstances without any maintenance. To realize this subject, not only performance but also other design factors such as reliability, mass, robustness, cost, etc. should be taken into consideration. From point of the thermal design, it is very important to obtain the robust thermal control subsystem with matrix heat pipe layout while minimizing the mass (weight). A new thermal optimization method without compromising the thermal robustness and the mass of thermal subsystem is highly anticipated. This paper proposes a robust thermal design approach for optimizing the heat pipe shape to minimize the mass of the spacecraft panel. We apply a combination of Design of Experiments (DOE), Response Surface Methodology (RSM) and Monte Carlo Simulation to determine the robust design parameters that minimize the mass of the heat pipe structure. Dimensions of the heat pipe design parameters were determined with rationally in a short time and practical robust optimization method was established.

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Mixed initial conditions to estimate the dynamic critical exponent in short-time Monte Carlo simulation

Physics Letters A ◽

10.1016/s0375-9601(02)00571-6 ◽

2002 ◽

Vol 298 (5-6) ◽

pp. 325-329 ◽

Cited By ~ 39

Author(s):

Roberto da Silva ◽

Nelson A Alves ◽

J.R Drugowich de Felı́cio

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Critical Exponent ◽

Initial Conditions ◽

Short Time

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Electron Scattering in Solids

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100133618 ◽

1990 ◽

Vol 48 (2) ◽

pp. 4-5

Author(s):

Ryuichi Shimizu ◽

Ze-Jun Ding

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Angular Distribution ◽

Elastic Scattering ◽

Electron Scattering ◽

Cross Sections ◽

Expansion Method ◽

Electron Excitation ◽

Partial Wave Expansion ◽

Backscattered Electrons

Monte Carlo simulation has been becoming most powerful tool to describe the electron scattering in solids, leading to more comprehensive understanding of the complicated mechanism of generation of various types of signals for microbeam analysis.The present paper proposes a practical model for the Monte Carlo simulation of scattering processes of a penetrating electron and the generation of the slow secondaries in solids. The model is based on the combined use of Gryzinski’s inner-shell electron excitation function and the dielectric function for taking into account the valence electron contribution in inelastic scattering processes, while the cross-sections derived by partial wave expansion method are used for describing elastic scattering processes. An improvement of the use of this elastic scattering cross-section can be seen in the success to describe the anisotropy of angular distribution of elastically backscattered electrons from Au in low energy region, shown in Fig.l. Fig.l(a) shows the elastic cross-sections of 600 eV electron for single Au-atom, clearly indicating that the angular distribution is no more smooth as expected from Rutherford scattering formula, but has the socalled lobes appearing at the large scattering angle.

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Determination of Stoichiometry of GaAs Component in (Gaas)Ge Epitaxially Grown Thin Films by Electron Microprobe X-Ray Analysis

Proceedings, annual meeting, Electron Microscopy Society of America ◽

10.1017/s0424820100134922 ◽

1990 ◽

Vol 48 (2) ◽

pp. 264-265

Author(s):

D. R. Liu ◽

S. S. Shinozaki ◽

R. J. Baird

Keyword(s):

Thin Film ◽

Thin Films ◽

Monte Carlo Simulation ◽

Monte Carlo ◽

Compound Semiconductors ◽

Energy Dispersive Analysis ◽

X Ray ◽

Metastable Alloys ◽

Lower Voltage

The epitaxially grown (GaAs)Ge thin film has been arousing much interest because it is one of metastable alloys of III-V compound semiconductors with germanium and a possible candidate in optoelectronic applications. It is important to be able to accurately determine the composition of the film, particularly whether or not the GaAs component is in stoichiometry, but x-ray energy dispersive analysis (EDS) cannot meet this need. The thickness of the film is usually about 0.5-1.5 μm. If Kα peaks are used for quantification, the accelerating voltage must be more than 10 kV in order for these peaks to be excited. Under this voltage, the generation depth of x-ray photons approaches 1 μm, as evidenced by a Monte Carlo simulation and actual x-ray intensity measurement as discussed below. If a lower voltage is used to reduce the generation depth, their L peaks have to be used. But these L peaks actually are merged as one big hump simply because the atomic numbers of these three elements are relatively small and close together, and the EDS energy resolution is limited.

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A Monte Carlo simulation of cosmic rays interactions with Earth's atmosphere

Nuclear Physics B - Proceedings Supplements ◽

10.1016/s0920-5632(02)80121-9 ◽

2002 ◽

Vol 110 (2) ◽

pp. 182-185

Author(s):

P Zuccon

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Cosmic Rays ◽

Earth’S Atmosphere ◽

Earth's Atmosphere

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