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• Higher-Order Simulations: Strategic Investment under Model-Induced Market Structures

  G. Peffer, B. Llacay

  (2004). Technical Report, IT439

  
  

  Abstract

  The trading and investment decision processes in financial markets becomes ever more dependent on the use of valuation and risk models. In certain, cases such as risk management, modelling practice has become so homogeneous that one is led to ask about the effect this has on the price formation process. Furthermore, should stable price patterns emerge from this, can sophisticated investors who have private information about the use and characteristics of these models make superior gains? The aim of this article is to test this hypothesis in a stylised market environment, where a strategic trader who trades on information about the valuation and risk management models used by competitors. Results show that for our particular market setting, such a strategy has an advantage over those that do not use this information.

  Abstract
  The trading and investment decision processes in financial markets becomes ever more dependent on the use of valuation and risk models. In certain, cases such as risk management, [...]

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• Modelo evolutivo del impacto de técnicas VaR en los mercados financieros

  B. Llacay, G. Peffer

  (2004). Research Report, Nº PI260

  
  

  Abstract

  Recently, some authors have warned of the increasingly widespread use of risk management techniques by financial institutions, arguing that this can cause the market to become more unstable. To analyse these claims, we present a model based on  evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study the evolution of this market through simulation, and we confirm that the use of risk management models can induce instability regimes in the market, characterised by sudden changes in the asset price and sharp increases in the volatility.

  Abstract
  Recently, some authors have warned of the increasingly widespread use of risk management techniques by financial institutions, arguing that this can cause the market to become [...]

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• On application of robustness test for error estimators to patches near kinked boundaries in three dimensional problems: Part I: Formulation

  B. Boroomand, F. Mossaiby

  (2004). Research Report, Nº PI250

  
  

  Abstract

  In this part of the paper we shall use the formulation given in the first part to assess the quality of recovery based error estimators using two recovery methods, i.e. Superconvergent Patch Recovery (SPR) and Recovery by Equilibrium in Patches (REP). The recovery methods have been shown to be asymptotically robust and superconvergent when applied to two dimensional problems. In this study we shall examine the behavior of the recovery methods on several three dimensional mesh patterns for patches located either inside or at boundaries. This is performed by first finding an asymptotic finite element solution, irrespective of boundary conditions at far ends of the domain, and then applying the recovery methods. The test procedure near kinked boundaries is explained in a step by step manner. The results are given in a series of tables and figures for various cases of three dimensional mesh patterns. It has been experienced that the full superconvergent property is generally lost due to presence of boundary layer solution and the definition of the recoveries near boundaries though the results of the robustness test is still within an acceptable range.

  Abstract
  In this part of the paper we shall use the formulation given in the first part to assess the quality of recovery based error estimators using two recovery methods, i.e. Superconvergent [...]

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• On application of the finite point method to heat and elasticity problems

  B. Boroomand, A. Tabatabaie, E. Oñate

  (2004). Research Report, Nº PI249

  
  

  Abstract

  A stabilized version of the Finite Point Method (FPM) is presented. A source of instability due to the evaluation of the base function using a least square procedure is discussed. A suitable mapping is proposed and employed to eliminate the ill-conditioning effect due to directional arrangement of the points. A step by step algorithm is given for finding the local rotated axes and the dimensions of the cloud using local average spacing and inertia moments of the points distribution. It is shown that the conventional version of FPM may lead to wrong results when the proposed mapping algorithm is not used.It is shown that another source for instability and non-monotonic convergence rate in collocation methods lies in the treatment of Neumann boundary conditions. Unlike the conventional FPM, in this work the Neumann boundary conditions and the equilibrium equations appear simultaneously in a weight equation similar to that of weighted residual methods. The stabilization procedure may be considered as an interpretation of the Finite Calculus (FIC) method. The main difference between the two stabilization procedures lies in choosing the characteristic length in FIC and the weight of the boundary residual in the proposed method. The new approach also provides a unique definition for the sign of the stabilization terms. The reason for using stabilization terms only at the boundaries is discussed and the two methods are compared. Several numerical examples are presented to demonstrate the performance and convergence of the proposed methods.

  Abstract
  A stabilized version of the Finite Point Method (FPM) is presented. A source of instability due to the evaluation of the base function using a least square procedure is discussed. [...]

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• On using linear elements in incompressible plane strain problems. A simple edge based approach for triangles

  B. Boroomand, B. Khalilian

  (2004). Research Report, Nº PI248

  
  

  Abstract

  In this paper a simple iterative method is presented for finite element solution of incompressible plane strain problems using linear elements. Instead of using a mixed formulation approach, we use an equivalent displacement/velocity approach in an iterative manner. Control volumes are taken for regions where are to exhibit incompressible behavior. For triangular elements the control volume is chosen as the area built on the parts of each pair of elements at the sides of an edge. In this case, elements are let to exchange volume. It is shown that the proposed edge based approach removes the deficiency of the linear triangular elements i.e. locking effect.Similar edge based approach is applied to the linear quadrilateral elements. However, if the control volume is chosen as the element volume the formulation gives similar results as the discontinuous mixed formulation using one pressure point without exhibiting instability behavior. The formulation is based on decomposition of the displacement/velocity field into deviatoric and volumetric parts. The volumetric part is iteratively eliminated without confronting locking or instability phenomenon. The iterative procedure is very cheap and simple to be implemented in any FEM code. Several examples are given to demonstrate the performance of the procedure.

  Abstract
  In this paper a simple iterative method is presented for finite element solution of incompressible plane strain problems using linear elements. Instead of using a mixed formulation [...]

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• Metodología para la obtención de información geográfica, geofísica y geo-ambiental desde imágenes satelitales.

  J. Piazzese, E. Oñate

  (2004). Research Report, Nº PI244

  
  

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• The particle finite element method. An overview

  E. Oñate, S. Idelsohn, F. Pin, R. Aubry

  (2004). Research Report, Nº PI243

  
  

  Abstract

  We present a general formulation for analysis of fluid-structure interaction problems using the particle finite element method (PFEM). The key feature of the PFEM is the use of a Lagrangian description to model the motion of nodes (particles) in both the fluid and the structure domains. Nodes are thus viewed as particles which can freely move and even separate from the main analysis domain representing, for instance, the effect of water drops. A mesh connects the nodes defining the discretized domain where the governing equations, expressed in an integral from, are solved as in the standard FEM. The necessary stabilization for dealing with the incompressibility condition in the fluid is introduced via the finite calculus (FIC) method. A fractional step scheme for the transient coupled fluid-structure solution is described. Examples of application of the PFEM method to solve a number of fluid-structure interaction problems involving large motions of the free surface and splashing of waves are presented.

  Abstract
  We present a general formulation for analysis of fluid-structure interaction problems using the particle finite element method (PFEM). The key feature of the PFEM is the use [...]

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• Advances in the formulation of the rotation-free basic shell triangle

  E. Oñate, F. Flores

  (2003). Research Report, Nº PI241

  
  

  Abstract

  A family of rotation-free three node triangular shell elements is presented. The simplest element of the family is based on an assumed constant curvature field expressed in terms of the nodal deflections of a patch of four elements and a constant membrane field computed from the standard linear interpolation of the displacements within each triangle. An enhanced version of the element is obtained by using a quadratic interpolation of the geometry in terms of the six patch nodes. This allows to compute an assumed linear membrane strain field which improves the in-plane behaviour of the original element. A simple and economic version of the element using a single integration point is presented. The efficiency of the different rotation-free shell triangles is demonstrated in many examples of application including linear and non linear analysis of shells under static and dynamic loads, the inflation and de-inflation of membranes and a sheet stamping problem.

  Abstract
  A family of rotation-free three node triangular shell elements is presented. The simplest element of the family is based on an assumed constant curvature field expressed in [...]

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• Calibración de funciones de atenuación basadas en el espectro de fuente radiado y su aplicación en Colombia

  G. Bernal, O. Cardona

  Monograph Series in Earthquake Engineering, editor A. H. Barbat (2015). MIS71, ISBN: 978-84-944244-2-7

  
  

  Abstract

  En esta monografía se propone el desarrollo de una metodología numérica para la calibración de un modelo de espectro de fuente a partir de información acelerográfica disponible. Esta metodología será aplicable a cualquier territorio donde se cuente con una muestra representativa de mediciones de movimiento sísmico. 

  Abstract
  En esta monografía se propone el desarrollo de una metodología numérica para la calibración de un modelo de espectro de fuente a partir de información [...]

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• Sistemas de ayuda a la decisión en ingeniería civil. posibilidades y perspectivas

  E. Oñate, J. Marcipar, J. Piazzese

  (2003). Research Report, Nº PI238

  
  

  Abstract

  La eclosión de las Tecnologías de la Información y las Comunicaciones (TIC), y en particular de Internet, ha facilitado el desarrollo de sistemas que, apoyados por bases de datos y potentes programas de simulación, transforman la información que existe en relación con un problema concreto, en conocimiento que permite tomar decisiones para su solución. Los denominados Sistemas de Ayuda a la Decisión (SAD) son ya una realidad en múltiples áreas de la ingeniería. En este trabajo se analizan las posibilidades y perspectivas de los SAD en ingeniería civil y se presentan tres ejemplos concretos de su aplicación a la prevención del riesgo de inundaciones y a la gestión de las emergencias correspondientes, al diseño de instalaciones en proyectos urbanísticos y a la gestión energética en municipios.

  Abstract
  La eclosión de las Tecnologías de la Información y las Comunicaciones (TIC), y en particular de Internet, ha facilitado el desarrollo de sistemas que, [...]

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