Towards a framework for combining stochastic and deterministic descriptions of nonstationary financial time series

We present in this paper ideas to tackle the problem of analysing and forecasting nonstationary time series within the financial domain. Accepting the stochastic nature of the underlying data generator we assume that the evolution of the generator's parameters is restricted on a deterministic manifold. Therefore we propose methods for determining the characteristics of the time-localised distribution. Starting with the assumption of a static normal distribution we refine this hypothesis according to the empirical results obtained with the methods anc conclude with the indication of a dynamic non-Gaussian behaviour with varying dependency for the time series under consideration.

Computer control of chemical process plants with special reference to distillation

A sieve plate distillation column has been constructed and interfaced to a minicomputer with the necessary instrumentation for dynamic, estimation and control studies with special bearing on low-cost and noise-free instrumentation. A dynamic simulation of the column with a binary liquid system has been compiled using deterministic models that include fluid dynamics via Brambilla's equation for tray liquid holdup calculations. The simulation predictions have been tested experimentally under steady-state and transient conditions. The simulator's predictions of the tray temperatures have shown reasonably close agreement with the measured values under steady-state conditions and in the face of a step change in the feed rate. A method of extending linear filtering theory to highly nonlinear systems with very nonlinear measurement functional relationships has been proposed and tested by simulation on binary distillation. The simulation results have proved that the proposed methodology can overcome the typical instability problems associated with the Kalman filters. Three extended Kalman filters have been formulated and tested by simulation. The filters have been used to refine a much simplified model sequentially and to estimate parameters such as the unmeasured feed composition using information from the column simulation. It is first assumed that corrupted tray composition measurements are made available to the filter and then corrupted tray temperature measurements are accessed instead. The simulation results have demonstrated the powerful capability of the Kalman filters to overcome the typical hardware problems associated with the operation of on-line analyzers in relation to distillation dynamics and control by, in effect, replacirig them. A method of implementing estimator-aided feedforward (EAFF) control schemes has been proposed and tested by simulation on binary distillation. The results have shown that the EAFF scheme provides much better control and energy conservation than the conventional feedback temperature control in the face of a sustained step change in the feed rate or multiple changes in the feed rate, composition and temperature. Further extensions of this work are recommended as regards simulation, estimation and EAFF control.

Mach edges: local features predicted by 3rd derivative spatial filtering

Edges are key points of information in visual scenes. One important class of models supposes that edges correspond to the steepest parts of the luminance profile, implying that they can be found as peaks and troughs in the response of a gradient (1st derivative) filter, or as zero-crossings in the 2nd derivative (ZCs). We tested those ideas using a stimulus that has no local peaks of gradient and no ZCs, at any scale. The stimulus profile is analogous to the Mach ramp, but it is the luminance gradient (not the absolute luminance) that increases as a linear ramp between two plateaux; the luminance profile is a blurred triangle-wave. For all image-blurs tested, observers marked edges at or close to the corner points in the gradient profile, even though these were not gradient maxima. These Mach edges correspond to peaks and troughs in the 3rd derivative. Thus Mach edges are inconsistent with many standard edge-detection schemes, but are nicely predicted by a recent model that finds edge points with a 2-stage sequence of 1st then 2nd derivative operators, each followed by a half-wave rectifier.

Binocular combination at threshold: temporal filtering and summation of signals in separate ON and OFF channels

How does the brain combine spatio-temporal signals from the two eyes? We quantified binocular summation as the improvement in 2AFC contrast sensitivity for flickering gratings seen by two eyes compared with one. Binocular gratings in-phase showed sensitivity up to 1.8 times higher, suggesting nearly linear summation of contrasts. The binocular advantage decreased to 1.4 at lower spatial and higher temporal frequencies (0.25 cycle deg-1, 30 Hz). Dichoptic, antiphase gratings showed only a small binocular advantage, by a factor of 1.1 to 1.2, but no evidence of cancellation. We present a signal-processing model to account for the contrast-sensitivity functions and the pattern of binocular summation. It has linear sustained and transient temporal filters, nonlinear transduction, and half-wave rectification that creates ON and OFF channels. Binocular summation occurs separately within ON and OFF channels, thus explaining the phase-specific binocular advantage. The model also accounts for earlier findings on detection of brief antiphase flashes and the surprising finding that dichoptic antiphase flicker is seen as frequency-doubled (Cavonius et al, 1992 Ophthalmic and Physiological Optics 12 153 - 156). [Supported by EPSRC project GR/S74515/01].

Perceiving edge blur: Gaussian-derivative filtering and a rectifying nonlinearity

We studied the visual mechanisms that encode edge blur in images. Our previous work suggested that the visual system spatially differentiates the luminance profile twice to create the `signature' of the edge, and then evaluates the spatial scale of this signature profile by applying Gaussian derivative templates of different sizes. The scale of the best-fitting template indicates the blur of the edge. In blur-matching experiments, a staircase procedure was used to adjust the blur of a comparison edge (40% contrast, 0.3 s duration) until it appeared to match the blur of test edges at different contrasts (5% - 40%) and blurs (6 - 32 min of arc). Results showed that lower-contrast edges looked progressively sharper. We also added a linear luminance gradient to blurred test edges. When the added gradient was of opposite polarity to the edge gradient, it made the edge look progressively sharper. Both effects can be explained quantitatively by the action of a half-wave rectifying nonlinearity that sits between the first and second (linear) differentiating stages. This rectifier was introduced to account for a range of other effects on perceived blur (Barbieri-Hesse and Georgeson, 2002 Perception 31 Supplement, 54), but it readily predicts the influence of the negative ramp. The effect of contrast arises because the rectifier has a threshold: it not only suppresses negative values but also small positive values. At low contrasts, more of the gradient profile falls below threshold and its effective spatial scale shrinks in size, leading to perceived sharpening.

Perceiving edge blur: linear filtering and a rectifying nonlinearity

We studied the visual mechanisms that encode edge blur in images. Our previous work suggested that the visual system spatially differentiates the luminance profile twice to create the 'signature' of the edge, and then evaluates the spatial scale of this signature profile by applying Gaussian derivative templates of different sizes. The scale of the best-fitting template indicates the blur of the edge. In blur-matching experiments, a staircase procedure was used to adjust the blur of a comparison edge (40% contrast, 0.3 s duration) until it appeared to match the blur of test edges at different contrasts (5% - 40%) and blurs (6 - 32 min of arc). Results showed that lower-contrast edges looked progressively sharper.We also added a linear luminance gradient to blurred test edges. When the added gradient was of opposite polarity to the edge gradient, it made the edge look progressively sharper. Both effects can be explained quantitatively by the action of a half-wave rectifying nonlinearity that sits between the first and second (linear) differentiating stages. This rectifier was introduced to account for a range of other effects on perceived blur (Barbieri-Hesse and Georgeson, 2002 Perception 31 Supplement, 54), but it readily predicts the influence of the negative ramp. The effect of contrast arises because the rectifier has a threshold: it not only suppresses negative values but also small positive values. At low contrasts, more of the gradient profile falls below threshold and its effective spatial scale shrinks in size, leading to perceived sharpening.

The primal sketch revisited: locating and representing edges in human vision via Gaussian-derivative filtering

Marr's work offered guidelines on how to investigate vision (the theory - algorithm - implementation distinction), as well as specific proposals on how vision is done. Many of the latter have inevitably been superseded, but the approach was inspirational and remains so. Marr saw the computational study of vision as tightly linked to psychophysics and neurophysiology, but the last twenty years have seen some weakening of that integration. Because feature detection is a key stage in early human vision, we have returned to basic questions about representation of edges at coarse and fine scales. We describe an explicit model in the spirit of the primal sketch, but tightly constrained by psychophysical data. Results from two tasks (location-marking and blur-matching) point strongly to the central role played by second-derivative operators, as proposed by Marr and Hildreth. Edge location and blur are evaluated by finding the location and scale of the Gaussian-derivative `template' that best matches the second-derivative profile (`signature') of the edge. The system is scale-invariant, and accurately predicts blur-matching data for a wide variety of 1-D and 2-D images. By finding the best-fitting scale, it implements a form of local scale selection and circumvents the knotty problem of integrating filter outputs across scales. [Supported by BBSRC and the Wellcome Trust]

Implementation of microwave photonic filtering using a profiled superstructured fiber Bragg grating and dispersive fiber

The microwave photonic response of a superstructured fiber Bragg grating is investigated. A bandpass response is achieved with the optical taps controlled by the combination of superstructured fiber grating characteristics and fiber dispersion. A rejection level of >45 dB is demonstrated.

Multi-topic information filtering with a single user profile

In Information Filtering (IF) a user may be interested in several topics in parallel. But IF systems have been built on representational models derived from Information Retrieval and Text Categorization, which assume independence between terms. The linearity of these models results in user profiles that can only represent one topic of interest. We present a methodology that takes into account term dependencies to construct a single profile representation for multiple topics, in the form of a hierarchical term network. We also introduce a series of non-linear functions for evaluating documents against the profile. Initial experiments produced positive results.

Mach Bands: multi-scale spatial filtering and co-operative coding of edges and bars

Perception of Mach bands may be explained by spatial filtering ('lateral inhibition') that can be approximated by 2nd derivative computation, and several alternative models have been proposed. To distinguish between them, we used a novel set of ‘generalised Gaussian’ images, in which the sharp ramp-plateau junction of the Mach ramp was replaced by smoother transitions. The images ranged from a slightly blurred Mach ramp to a Gaussian edge and beyond, and also included a sine-wave edge. The probability of seeing Mach Bands increased with the (relative) sharpness of the junction, but was largely independent of absolute spatial scale. These data did not fit the predictions of MIRAGE, nor 2nd derivative computation at a single fine scale. In experiment 2, observers used a cursor to mark features on the same set of images. Data on perceived position of Mach bands did not support the local energy model. Perceived width of Mach bands was poorly explained by a single-scale edge detection model, despite its previous success with Mach edges (Wallis & Georgeson, 2009, Vision Research, 49, 1886-1893). A more successful model used separate (odd and even) scale-space filtering for edges and bars, local peak detection to find candidate features, and the MAX operator to compare odd- and even-filter response maps (Georgeson, VSS 2006, Journal of Vision 6(6), 191a). Mach bands are seen when there is a local peak in the even-filter (bar) response map, AND that peak value exceeds corresponding responses in the odd-filter (edge) maps.

Tail-free operation of an overdriven gain-switched DFB laser by spectral filtering

The tail-free operation of an overdriven gain-switched distributed feedback (DFB) laser by spectral filtering was demonstrated. The filtering was realized using a mechanically tunable fiber Bragg grating (FBG). The unfiltered and filtered signals were traced by corresponding oscilloscope. The spectral filtering removed the nonlinearly chirped components resulting in the pulse shortening. The results showed unwanted relaxation in the overdriven DFB laser were supressed by using a steep-edge notch filter.

High frequency sensing interrogation system using fiber Bragg grating based microwave photonic filtering

A high frequency sensing interrogation system by using fiber Bragg grating based microwave photonic filtering is proposed, in which the wavelength measurement sensitivity is proportional to the RF modulation frequency applied to the optical signal.

High-frequency fiber Bragg grating sensing interrogation system using Sagnac-loop-based microwave photonic filtering

A novel high-frequency fiber Bragg grating (FBG) sensing interrogation system by using fiber Sagnac-loop-based microwave photonic filtering is proposed and experimentally demonstrated. By adopting the microwave photonic filtering, the wavelength shift of sensing FBG can be converted into amplitude variation of the modulated electronic radio-frequency (RF) signal. In the experiment, the strain applied onto the sensing FBG has been demodulated by measuring the intensity of the recovered RF signal, and by modulating the RF signal with different frequencies, different interrogation sensitivities can be achieved.

The use of deterministic parsers on sublanguage for machine translation

For more than forty years, research has been on going in the use of the computer in the processing of natural language. During this period methods have evolved, with various parsing techniques and grammars coming to prominence. Problems still exist, not least in the field of Machine Translation. However, one of the successes in this field is the translation of sublanguage. The present work reports Deterministic Parsing, a relatively new parsing technique, and its application to the sublanguage of an aircraft maintenance manual for Machine Translation. The aim has been to investigate the practicability of using Deterministic Parsers in the analysis stage of a Machine Translation system. Machine Translation, Sublanguage and parsing are described in general terms with a review of Deterministic parsing systems, pertinent to this research, being presented in detail. The interaction between machine Translation, Sublanguage and Parsing, including Deterministic parsing, is also highlighted. Two types of Deterministic Parser have been investigated, a Marcus-type parser, based on the basic design of the original Deterministic parser (Marcus, 1980) and an LR-type Deterministic Parser for natural language, based on the LR parsing algorithm. In total, four Deterministic Parsers have been built and are described in the thesis. Two of the Deterministic Parsers are prototypes from which the remaining two parsers to be used on sublanguage have been developed. This thesis reports the results of parsing by the prototypes, a Marcus-type parser and an LR-type parser which have a similar grammatical and linguistic range to the original Marcus parser. The Marcus-type parser uses a grammar of production rules, whereas the LR-type parser employs a Definite Clause Grammar(DGC).