Experimental Study on Gasketed Bell and Spigot Joint Behaviour of Lined-Corrugated HDPE Pipe Subjected to Normal Fault

Although structural response of pipelines has been studied in relation to different geohazards, few studies have focused on the behaviour of flexible pipeline joints. In this paper, the response of a bell and spigot joint in a 600 mm diameter lined-corrugated High Density Polyethylene (HDPE) pipe was investigated under the differential ground movements imposed using a facility that simulates a normal fault. Two experiments were undertaken in this facility. In the first experiment, the kinematic responses of the pipe joint (i.e. axial, shear displacements and rotational angles) were measured using Particle Image Velocimetry (PIV) and string potentiometers. Strains were also monitored using optical fibres. In the second experiment, the pipe was sealed and leakage of the joint was captured through monitoring of internal vacuum pressure of the pipe. The results show that axial shortening, rotational angle and shear displacement of the pipe joint increased with increasing fault offsets. The joint began to leak when axial shortening, rotational angle and shear displacement of the pipe joint were 0.65 mm, 0.44° and 3.40 mm, respectively, and the joint clearly lost its functionality when those values were 0.85 mm, 0.58° and 4.32 mm.

On the application of Wishart process to the pricing of equity derivatives: the multi-asset case

Given the inherent complexity of financial markets, a wide area of research in the field of mathematical finance is devoted to develop accurate models for the pricing of contingent claims. Focusing on the stochastic volatility approach (i.e. we assume to describe asset volatility as an additional stochastic process), it appears desirable to introduce reliable dynamics in order to take into account the presence of several assets involved in the definition of multi-asset payoffs. In this article we deal with the multi asset Wishart Affine Stochastic Correlation model, that makes use of Wishart process to describe the stochastic variance covariance matrix of assets return. The resulting parametrization turns out to be a genuine multi-asset extension of the Heston model: each asset is exactly described by a single instance of the Heston dynamics while the joint behaviour is enriched by cross-assets and cross-variances stochastic correlation, all wrapped in an affine modeling. In this framework, we propose a fast and accurate calibration procedure, and two Monte Carlo simulation schemes.

Common dynamic factors for cryptocurrencies and multiple pair-trading statistical arbitrages

In this paper, we apply dynamic factor analysis to model the joint behaviour of Bitcoin, Ethereum, Litecoin and Monero, as a representative basket of the cryptocurrencies asset class. The empirical results suggest that the basket price is suitably described by a model with two dynamic factors. More precisely, we detect one integrated and one stationary factor until the end of August 2019 and two integrated factors afterwards. Based on this evidence, we define a multiple long-short trading strategy which proves profitable when the second factor is stationary.

Behaviour of Steel Tubular Knee Joint in Aluminium Frames with Tension-Tie Element

Aluminium portal frames with a tension tie element are a commonly used type of aluminium structure. Due to the significant reduction in aluminium’s mechanical properties caused by welding, typical beam to column joints of such frames are formed using bolts and welded steel knee joints embedded in the structure. Expressions for the reliable assessment of the behaviour of such joints are lacking, thus limiting the use of aluminium portal frames. Although the behaviour of steel joints using hollow sections is well investigated, there are only a small number of studies regarding knee joints, none of which investigate the influence of the tie element on the joint behaviour. Therefore, the first stage of the research is focused on the flexural behaviour of steel knee joints with tension tie elements. Laboratory tests of three identical steel knee joints with a tension tie element were conducted as well as a parametric numerical study with variation of tie element stiffness. It was concluded that different stiffnesses of the tie element have little influence on moment–rotation behaviour of the knee joint, but greatly affect overall frame resistance to vertical loads. It was also concluded that different stiffnesses of the tie element can lead to different failure modes of the knee joint as well.

Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation

Association or interdependence of two stock prices is analyzed, and selection criteria for a suitable model developed in the present paper. The association is generated by stochastic correlation, given by a stochastic differential equation (SDE), creating interdependent Wiener processes. These, in turn, drive the SDEs in the Heston model for stock prices. To choose from possible stochastic correlation models, two goodness-of-fit procedures are proposed based on the copula of Wiener increments. One uses the confidence domain for the centered Kendall function, and the other relies on strong and weak tail dependence. The constant correlation model and two different stochastic correlation models, given by Jacobi and hyperbolic tangent transformation of Ornstein-Uhlenbeck (HtanOU) processes, are compared by analyzing daily close prices for Apple and Microsoft stocks. The constant correlation, i.e., the Gaussian copula model, is unanimously rejected by the methods, but all other two are acceptable at a 95% confidence level. The analysis also reveals that even for Wiener processes, stochastic correlation can create tail dependence, unlike constant correlation, which results in multivariate normal distributions and hence zero tail dependence. Hence models with stochastic correlation are suitable to describe more dangerous situations in terms of correlation risk.