Based on constructal theory, the disc-shaped solid–gas reactors combined heat and mass transfer are investigated in this paper. Radial- and branched-pattern of the discs are considered, and the two pattern discs are optimized based on entropy generation rate minimization. The results show that...

Based on constructal theory, generalized constructal optimization of a solidification heat transfer process of slab continuous casting is carried out by taking a complex function as optimization objective. The complex function is composed of the functions of the heat loss rate and surface...

The heating load and coefficient of performance (COP) of a class of generalized irreversible universal steady-flow heat pump cycle model with variable-temperature heat reservoirs and the losses of heat transfer, heat leakage and internal irreversibility are investigated by using the theory of...

The exergoeconomic performance of a class of universal steady-flow endoreversible heat pump cycle model consisting of one heat-absorbing branch, two heat-releasing branches and two adiabatic branches is optimized by using the theory of finite-time thermodynamics. The analytical formulae about...

This paper proposes a new approach of valuing portfolios that contain illiquid assets. The approach has three major advantages. First, the estimators are arithmetic averages of individual asset returns or their proxies, so they strictly correspond to actual portfolio returns. Second, the...

This paper develops a real-time structural model of price formation, and uses it to investigate the dynamics of effective quotes and bid-ask spreads between consecutive trades. There is some evidence that the effective bid-ask spreads increase over time when no orders arrive. The effective...

After analyzing retail investors' stock trades for potential learning behavior, we present evidence that individual investors learn from their trading experience. Initially, we question whether investors' previous forecasting ability (inferred from prior purchases' subsequent risk-adjusted...

Estimators of the extreme-value index are based on a set of upper order statistics. We present an adaptivemethod to choose the number of order statistics involved in an optimal way, balancing variance and biascomponents. Recently this has been achieved for the similar but somewhat less involved...

The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.

Markov processes are used in a wide range of disciplines, including finance. The transition densities of these processes are often unknown. However, the conditional characteristic functions are more likely to be available, especially for Lévy-driven processes. We propose an empirical likelihood...