A Radial Basis Function Approach to Financial Time Series Analysis

Nonlinear multivariate statistical techniques on fast computers offer the potential to capture more of the dynamics of the high dimensional, noisy systems underlying financial markets than traditional models, while making fewer restrictive assumptions. This thesis presents a collection of practical techniques to address important estimation and confidence issues for Radial Basis Function networks arising from such a data driven approach, including efficient methods for parameter estimation and pruning, a pointwise prediction error estimator, and a methodology for controlling the "data mining'' problem. Novel applications in the finance area are described, including customized, adaptive option pricing and stock price prediction.

Syntax-Based Analytic Reading of Musical Scores

As part of a larger research project in musical structure, a program has been written which "reads" scores encoded in an input language isomorphic to music notation. The program is believed to be the first of its kind. From a small number of parsing rules the program derives complex configurations, each of which is associated with a set of reference points in a numerical representation of a time-continuum. The logical structure of the program is such that all and only the defined classes of events are represented in the output. Because the basis of the program is syntactic (in the sense that parsing operations are performed on formal structures in the input string), many extensions and refinements can be made without excessive difficulty. The program can be applied to any music which can be represented in the input language. At present, however, it constitutes the first stage in the development of a set of analytic tools for the study of so-called atonal music, the revolutionary and little understood music which has exerted a decisive influence upon contemporary practice of the art. The program and the approach to automatic data-structuring may be of interest to linguists and scholars in other fields concerned with basic studies of complex structures produced by human beings.