FPGA Acceleration of Monte Carlo-based Financial Simulation: Design Challenges and Lessons Learnt

The simulation of interest rate derivatives is a powerful tool to face the current market fluctuations. However, the complexity of the financial models and the way they are processed require exorbitant computation times, what is in clear conflict with the need of a processing time as short as possible to operate in the financial market. To shorten the computation time of financial derivatives the use of hardware accelerators becomes a must.

Accurate pedestrian indoor navigation by tightly coupling foot-mounted IMU and RFID measurements

We present a new method to accurately locate persons indoors by fusing inertial navigation system (INS) techniques with active RFID technology. A foot-mounted inertial measuring units (IMUs)-based position estimation method, is aided by the received signal strengths (RSSs) obtained from several active RFID tags placed at known locations in a building. In contrast to other authors that integrate IMUs and RSS with a loose Kalman filter (KF)-based coupling (by using the residuals of inertial- and RSS-calculated positions), we present a tight KF-based INS/RFID integration, using the residuals between the INS-predicted reader-to-tag ranges and the ranges derived from a generic RSS path-loss model. Our approach also includes other drift reduction methods such as zero velocity updates (ZUPTs) at foot stance detections, zero angular-rate updates (ZARUs) when the user is motionless, and heading corrections using magnetometers. A complementary extended Kalman filter (EKF), throughout its 15-element error state vector, compensates the position, velocity and attitude errors of the INS solution, as well as IMU biases. This methodology is valid for any kind of motion (forward, lateral or backward walk, at different speeds), and does not require an offline calibration for the user gait. The integrated INS+RFID methodology eliminates the typical drift of IMU-alone solutions (approximately 1% of the total traveled distance), resulting in typical positioning errors along the walking path (no matter its length) of approximately 1.5 m.

Hard transition to chaotic dynamics in Alfven wave fronts

The derivative nonlinear Schrodinger DNLS equation, describing propagation of circularly polarized Alfven waves of finite amplitude in a cold plasma, is truncated to explore the coherent, weakly nonlinear, cubic coupling of three waves near resonance, one wave being linearly unstable and the other waves damped. In a reduced three-wave model equal dampings of daughter waves, three-dimensional flow for two wave amplitudes and one relative phase, no matter how small the growth rate of the unstable wave there exists a parametric domain with the flow exhibiting chaotic relaxation oscillations that are absent for zero growth rate. This hard transition in phase-space behavior occurs for left-hand LH polarized waves, paralleling the known fact that only LH time-harmonic solutions of the DNLS equation are modulationally unstable, with damping less than about unstable wave frequency 2/4 x ion cyclotron frequency. The structural stability of the transition was explored by going into a fully 3-wave model different dampings of daughter waves,four-dimensional flow; both models differ in significant phase-space features but keep common features essential for the transition.

Reduced three-wave model to study the hard transition to chaotic dynamics in Alfven wave-fronts

The derivative nonlinear Schrödinger (DNLS) equation, describing propagation of circularly polarized Alfven waves of finite amplitude in a cold plasma, is truncated to explore the coherent, weakly nonlinear, cubic coupling of three waves near resonance, one wave being linearly unstable and the other waves damped. In a reduced three-wave model (equal damping of daughter waves, three-dimensional flow for two wave amplitudes and one relative phase), no matter how small the growth rate of the unstable wave there exists a parametric domain with the flow exhibiting chaotic dynamics that is absent for zero growth-rate. This hard transition in phase-space behavior occurs for left-hand (LH) polarized waves, paralelling the known fact that only LH time-harmonic solutions of the DNLS equation are modulationally unstable.

Fully 3-wave model to study the hard transition to chaotic dynamics in alfven wave-fronts

The derivative nonlinear Schrödinger (DNLS) equation, describing propagation of circularly polarized Alfven waves of finite amplitude in a cold plasma, is truncated to explore the coherent, weakly nonlinear coupling of three waves near resonance, one wave being linearly unstable and the other waves damped. No matter how small the growth rate of the unstable wave, the four-dimensional flow for the three wave amplitudes and a relative phase, with both resistive damping and linear Landau damping, exhibits chaotic relaxation oscillations that are absent for zero growth-rate. This hard transition in phase-space behavior occurs for left-hand (LH) polarized waves, paralleling the known fact that only LH time-harmonic solutions of the DNLS equation are modulationally unstable. The parameter domain developing chaos is much broader than the corresponding domain in a reduced 3-wave model that assumes equal dampings of the daughter waves

Non-periodic driving of coupled oscillators:a spherical swing

Nonlinearly coupled, damped oscillators at 1:1 frequency ratio, one oscillator being driven coherently for efficient excitation, are exemplified by a spherical swing with some phase-mismatch between drive and response. For certain damping range, excitation is found to succeed if it lags behind, but to produce a chaotic attractor if it leads the response. Although a period-doubhng sequence, for damping increasing, leads to the attractor, this is actually born as a hard (as regards amplitude) bifurcation at a zero growth-rate parametric line; as damping decreases, an unstable fixed point crosses an invariant plane to enter as saddle-focus a phase-space domain of physical solutions. A second hard bifurcation occurs at the zero mismatch line, the saddle-focus leaving that domain. Times on the attractor diverge when approaching either fine, leading to exactly one-dimensional and noninvertible limit maps, which are analytically determined.

Sudden transition to chaos in plasma wave interactions

The coherent three-wave interaction, with linear growth in the higher frequency wave and damping in the two other waves, is reconsidered; for equal dampings, the resulting three-dimensional (3-D) flow of a relative phase and just two amplitudes behaved chaotically, no matter how small the growth of the unstable wave. The general case of different dampings is studied here to test whether, and how, that hard scenario for chaos is preserved in passing from 3-D to four-dimensional flows. It is found that the wave with higher damping is partially slaved to the other damped wave; this retains a feature of the original problem an invariant surface that meets an unstable fixed point, at zero growth rate! that gave rise to the chaotic attractor and determined its structure, and suggests that the sudden transition to chaos should appear in more complex wave interactions.

Codificador de voz MIDI

El presente proyecto tiene el objetivo de facilitar la composición de canciones mediante la creación de las distintas pistas MIDI que la forman. Se implementan dos controladores. El primero, con objeto de transcribir la parte melódica, convierte la voz cantada o tarareada a eventos MIDI. Para ello, y tras el estudio de las distintas técnicas del cálculo del tono (pitch), se implementará una técnica con ciertas variaciones basada en la autocorrelación. También se profundiza en el segmentado de eventos, en particular, una técnica basada en el análisis de la derivada de la envolvente. El segundo, dedicado a la base rítmica de la canción, permite la creación de la percusión mediante el golpe rítmico de objetos que disponga el usuario, que serán asignados a los distintos elementos de percusión elegidos. Los resultados de la grabación de estos impactos serán señales de corta duración, no lineales y no armónicas, dificultando su discriminación. La herramienta elegida para la clasificación de los distintos patrones serán las redes neuronales artificiales (RNA). Se realizara un estudio de la metodología de diseño de redes neuronales especifico para este tipo de señales, evaluando la importancia de las variables de diseño como son el número de capas ocultas y neuronas en cada una de ellas, algoritmo de entrenamiento y funciones de activación. El estudio concluirá con la implementación de dos redes de diferente naturaleza. Una red de Elman, cuyas propiedades de memoria permiten la clasificación de patrones temporales, procesará las cualidades temporales analizando el ataque de su forma de onda. Una red de propagación hacia adelante feed-forward, que necesitará de robustas características espectrales y temporales para su clasificación. Se proponen 26 descriptores como los derivados de los momentos del espectro: centroide, curtosis y simetría, los coeficientes cepstrales de la escala de Mel (MFCCs), y algunos temporales como son la tasa de cruces por cero y el centroide de la envolvente temporal. Las capacidades de discriminación inter e intra clase de estas características serán evaluadas mediante un algoritmo de selección, habiéndose elegido RELIEF, un método basado en el algoritmo de los k vecinos mas próximos (KNN). Ambos controladores tendrán función de trabajar en tiempo real y offline, permitiendo tanto la composición de canciones, como su utilización como un instrumento más junto con mas músicos. ABSTRACT. The aim of this project is to make song composition easier by creating each MIDI track that builds it. Two controllers are implemented. In order to transcribe the melody, the first controler converts singing voice or humming into MIDI files. To do this a technique based on autocorrelation is implemented after having studied different pitch detection methods. Event segmentation has also been dealt with, to be more precise a technique based on the analysis of the signal's envelope and it's derivative have been used. The second one, can be used to make the song's rhythm . It allows the user, to create percussive patterns by hitting different objects of his environment. These recordings results in short duration, non-linear and non-harmonic signals. Which makes the classification process more complicated in the traditional way. The tools to used are the artificial neural networks (ANN). We will study the neural network design to deal with this kind of signals. The goal is to get a design methodology, paying attention to the variables involved, as the number of hidden layers and neurons in each, transfer functions and training algorithm. The study will end implementing two neural networks with different nature. Elman network, which has memory properties, is capable to recognize sequences of data and analyse the impact's waveform, precisely, the attack portion. A feed-forward network, needs strong spectral and temporal features extracted from the hit. Some descriptors are proposed as the derivates from the spectrum moment as centroid, kurtosis and skewness, the Mel-frequency cepstral coefficients, and some temporal features as the zero crossing rate (zcr) and the temporal envelope's centroid. Intra and inter class discrimination abilities of those descriptors will be weighted using the selection algorithm RELIEF, a Knn (K-nearest neighbor) based algorithm. Both MIDI controllers can be used to compose, or play with other musicians as it works on real-time and offline.

Evaluación de la distribución de riesgos en los distintos modelos de asociación público-privada para la provisión de infraestructura carretera en México

México es de los pocos países en el mundo que ha realizado dos grandes programas para la construcción de autopistas en colaboración con el sector privado. El primero, fue realizado entre 1989 y 1994, con resultados adversos por el mal diseño del esquema de concesiones; y, el segundo con mejores resultados, en operación desde 2003 mediante nuevos modelos de asociación público-privada (APP). El objetivo de la presente investigación es estudiar los modelos de asociación público-privada empleados en México para la provisión de infraestructura carretera, realizando el análisis y la evaluación de la distribución de riesgos entre el sector público y privado en cada uno de los modelos con el propósito de establecer una propuesta de reasignación de riesgos para disminuir el costo global y la incertidumbre de los proyectos. En la primera parte se describe el estado actual del conocimiento de las asociaciones público-privadas para desarrollar proyectos de infraestructura, incluyendo los antecedentes, la definición y las tipologías de los esquemas APP, así como la práctica internacional de programas como el modelo británico Private Finance Initiative (PFI), resultados de proyectos en la Unión Europea y programas APP en otros países. También, se destaca la participación del sector privado en el financiamiento de la infraestructura del transporte de México en la década de 1990. En los capítulos centrales se aborda el estudio de los modelos APP que se han utilizado en el país en la construcción de la red de carreteras de alta capacidad. Se presentan las características y los resultados del programa de autopistas 1989-94, así como el rescate financiero y las medidas de reestructuración de los proyectos concesionados, aspectos que obligaron a las autoridades mexicanas a cambiar la normatividad para la aprobación de los proyectos según su rentabilidad, modificar la legislación de caminos y diseñar nuevos esquemas de colaboración entre el gobierno y el sector privado. Los nuevos modelos APP vigentes desde 2003 son: nuevo modelo de concesiones para desarrollar autopistas de peaje, modelo de proyectos de prestación de servicios (peaje sombra) para modernizar carreteras existentes y modelo de aprovechamiento de activos para concesionar autopistas de peaje en operación a cambio de un pago. De estos modelos se realizaron estudios de caso en los que se determinan medidas de desempeño operativo (niveles de tráfico, costos y plazos de construcción) y rentabilidad financiera (tasa interna de retorno y valor presente neto). En la última parte se efectúa la identificación, análisis y evaluación de los riesgos que afectaron los costos, el tiempo de ejecución y la rentabilidad de los proyectos de ambos programas. Entre los factores de riesgo analizados se encontró que los más importantes fueron: las condiciones macroeconómicas del país (inflación, producto interno bruto, tipo de cambio y tasa de interés), deficiencias en la planificación de los proyectos (diseño, derecho de vía, tarifas, permisos y estimación del tránsito) y aportaciones públicas en forma de obra. Mexico is one of the few countries in the world that has developed two major programs for highway construction in collaboration with the private sector. The first one was carried out between 1989 and 1994 with adverse outcomes due to the wrong design of concession schemes; and, the second one, in operation since 2003, through new public-private partnership models (PPPs). The objective of this research is to study public-private partnership models used in Mexico for road infrastructure provision, performing the analysis and evaluation of risk’s distribution between the public and the private sector in each model in order to draw up a proposal for risk’s allocation to reduce the total cost and the uncertainty of projects. The first part describes the current state of knowledge in public-private partnership to develop infrastructure projects, including the history, definition and types of PPP models, as well as international practice of programs such as the British Private Finance Initiative (PFI) model, results in the European Union and PPP programs in other countries. Also, it stands out the private sector participation in financing of Mexico’s transport infrastructure in 1990s. The next chapters present the study of public-private partnerships models that have been used in the country in the construction of the high capacity road network. Characteristics and outcomes of the highway program 1989-94 are presented, as well as the financial bailout and restructuring measures of the concession projects, aspects that forced the Mexican authorities to change projects regulations, improve road’s legislation and design new schemes of cooperation between the Government and the private sector. The new PPP models since 2003 are: concession model to develop toll highways, private service contracts model (shadow toll) to modernize existing roads and highway assets model for the concession of toll roads in operation in exchange for a payment. These models were analyzed using case studies in which measures of operational performance (levels of traffic, costs and construction schedules) and financial profitability (internal rate of return and net present value) are determined. In the last part, the analysis and assessment of risks that affect costs, execution time and profitability of the projects are carried out, for both programs. Among the risk factors analyzed, the following ones were found to be the most important: country macroeconomic conditions (inflation, gross domestic product, exchange rate and interest rate), deficiencies in projects planning (design, right of way, tolls, permits and traffic estimation) and public contributions in the form of construction works.

Deforestación y Pérdida de hábitat en Bosques de montaña en la Cuenca alta del Río Zamora (Loja, Ecuador)

Los bosques húmedos de montaña se encuentran reconocidos como uno de los ecosistemas más amenazados en el mundo, llegando inclusive a ser considerado como un “hotspot” por su alta diversidad y endemismo. La acelerada pérdida de cobertura vegetal de estos bosques ha ocasionado que, en la actualidad, se encuentren restringidos a una pequeña fracción de su área de distribución histórica. Pese a esto, los estudios realizados sobre cual es efecto de la deforestación, fragmentación, cambios de uso de suelo y su efecto en las comunidades de plantas presentes en este tipo de vegetación aún son muy escuetos, en comparación a los realizados con sus similares amazónicos. En este trabajo, el cual se encuentra dividido en seis capítulos, abordaremos los siguientes objetivos: a) Comprender cuál es la dinámica que han seguido los diferentes tipos de bosques montanos andinos de la cuenca del Rio Zamora, Sur de Ecuador durante entre 1976 y 2002. b) Proveer de evidencia de las tasas de deforestación y fragmentación de todos los tipos diferentes de bosques montanos andinos presentes en la cuenca del Rio Zamora, Sur de Ecuador entre 1976 y 2002. c) Determinar qué factores inducen a la fragmentación de bosques de montaña en la cuenca alta del río Zamora entre 1976 y 2002. d) Determinar cuáles son y cómo afectan los factores ambientales y socioeconómicos a la dinámica de la deforestación y regeneración (pérdida y recuperación del hábitat) sufrida por los bosques de montaña dentro de la zona de estudio y e) Determinar si la deforestación y fragmentación actúan sobre la diversidad y estructura de las comunidades de tres tipos de organismos (comunidades de árboles, comunidades de líquenes epífitos y comunidades de hepáticas epífitas). Este estudio se centró en el cuenca alta del río Zamora, localizada al sur de Ecuador entre las coordenadas 3º 00´ 53” a 4º 20´ 24.65” de latitud sur y 79º 49´58” a 78º 35´ 38” de longitud oeste, que cubre alrededor de 4300 km2 de territorio situado entre las capitales de las provincias de Loja y Zamora-Chinchipe. Con objeto de predecir la dinámica futura de la deforestación en la región de Loja y cómo se verán afectados los diferentes tipos de hábitat, así como para detectar los factores que más influyen en dicha dinámica, se han construido modelos basados en la historia de la deforestación derivados de fotografías aéreas e imágenes satelitales de tres fechas (1976, 1989 y 2002). La cuantificación de la deforestación se realizó mediante la tasa de interés compuesto y para la caracterización de la configuración espacial de los fragmentos de bosque nativo se calcularon índices de paisaje los cuales fueron calculados utilizando el programa Fragstats 3.3. Se ha clasificado el recubrimiento del terreno en forestal y no forestal y se ha modelado su evolución temporal con Modelos Lineales Generalizados Mixtos (GLMM), empleando como variables explicativas tanto variables ambientales espacialmente explícitas (altitud, orientación, pendiente, etc) como antrópicas (distancia a zonas urbanizadas, deforestadas, caminos, entre otras). Para medir el efecto de la deforestación sobre las comunidades modelo (de árboles, líquenes y hepáticas) se monitorearon 11 fragmentos de vegetación de distinto tamaño: dos fragmentos de más de cien hectáreas, tres fragmentos de entre diez y noventa ha y seis fragmentos de menos de diez hectáreas. En ellos se instalaron un total de 38 transectos y 113 cuadrantes de 20 x 20 m a distancias que se alejaban progresivamente del borde en 10, 40 y 80 m. Nuestros resultados muestran una tasa media anual de deforestación del 1,16% para todo el período de estudio, que el tipo de vegetación que más alta tasa de destrucción ha sufrido, es el páramo herbáceo, con un 2,45% anual. El análisis de los patrones de fragmentación determinó un aumento en 2002 de más del doble de fragmentos presentes en 1976, lo cual se repite en el análisis del índice de densidad promedio. El índice de proximidad media entre fragmentos muestra una reducción progresiva de la continuidad de las áreas forestadas. Si bien las formas de los fragmentos se han mantenido bastante similares a lo largo del período de estudio, la conectividad entre estos ha disminuido en un 84%. Por otro lado, de nuestros análisis se desprende que las zonas con mayor probabilidad de deforestarse son aquellas que están cercanas a zonas previamente deforestadas; la cercanía a las vías también influye significativamente en la deforestación, causando un efecto directo en la composición y estructura de las comunidades estudiadas, que en el caso de los árboles viene mediado por el tamaño del fragmento y en el caso del componente epífito (hepáticas y líquenes), viene mediado tanto por el tamaño del fragmento como por la distancia al borde del mismo. Se concluye la posibilidad de que, de mantenerse esta tendencia, este tipo de bosques desaparecerá en corto tiempo y los servicios ecosistémicos que prestan, se verán seriamente comprometidos. ABSTRACT Mountain rainforests are recognized as one of the most threatened ecosystems in the world, and have even come to be considered as a “hotspot” due to their high degree of diversity and endemism. The accelerated loss of plant cover of these forests has caused them to be restricted today to a small fraction of their area of historic distribution. In spite of this, studies done on the effect of deforestation, fragmentation, changes in soil use and their effect on the plant communities present in this type of vegetation are very brief compared to those done on their analogues in the Amazon region. In this study, which is divided into six chapters, we will address the following objectives: a) To understand what the dynamic followed by the different types of Andean mountain forests in the Zamora River watershed of southern Ecuador has been between 1976 and 2002. b) To provide evidence of the rates of deforestation and fragmentation of all the different types of Andean mountain forests existing in the upper watershed of the Zamora River between 1976 and 2002. c) To determine the factors that induces fragmentation of all different types of Andean mountain forests existing in the upper watershed of the Zamora River between 1976 and 2002. d) To determine what the environmental and anthropogenic factors are driving the dynamic of deforestation and regeneration (loss and recuperation of the habitat) suffered by the mountain forests in the area of the study and e) To determine if the deforestation and fragmentation act upon the diversity and structure of three model communities: trees, epiphytic lichens and epiphytic liverworts. This study is centered on the upper Zamora River watershed, located in southern Ecuador between 3º 00´ 53” and 4º 20´ 24.65 south latitude and 79º 49´ 58” to 78º 35´ 38” west longitude, and covers around 4,300 km2 of territory located between Loja and Zamora-Chinchipe provinces. For the purpose of predicting the future dynamic of deforestation in the Loja region and how different types of habitats will be affected, as well as detecting the environmental and socioeconomic factors that influence landscape dynamics, models were constructed based on deforestation history, derived from aerial photographs and satellite images for three dates (1976, 1989 and 2002). Quantifying the deforestation was done using the compound interest rate; to characterize the spatial configuration of fragments of native forest, landscape indices were calculated with Fragstats 3.3 program. Land cover was classified as forested and not forested and its evolution over time was modeled with Generalized Linear Mixed Models (GLMM), using spatially explicit environmental variables (altitude, orientation, slope, etc.) as well as anthropic variables (distance to urbanized, deforested areas and roads, among others) as explanatory variables. To measure the effects of fragmentation on three types of model communities (forest trees and epiphytic lichen and liverworts), 11 vegetation fragments of different sizes were monitored: two fragments of more than one hundred hectares, three fragments of between ten and ninety ha and six fragments of fewer than ten hectares . In these fragments, a total of 38 transects and 113 20 x 20 m quadrats were installed at distances that progressively moved away from the edge of the fragment by 10, 40 and 80 m. Our results show an average annual rate of deforestation of 1.16% for the entire period of the study, and that the type of vegetation that suffered the highest rate of destruction was grassy paramo, with an annual rate of 2.45%. The analysis of fragmentation patterns determined the number of fragments in 2002 more than doubled the number of fragments present in 1976, and the same occurred for the average density index. The variation of the average proximity index among fragments showed a progressive reduction of the continuity of forested areas. Although fragment shapes have remained quite similar over the period of the study, connectivity among them has diminished by 84%. On the other hand, it emerged from our analysis that the areas of greatest probability of deforestation were those that are close to previously deforested areas; proximity to roads also significantly favored the deforestation causing a direct effect on the composition of our model communities, that in the case of forest trees is determined by the size of the fragment, and in the case of the epiphyte communities (liverworts and lichens), is determined, by the size of the fragment as well as the distance to edge. A subject under discussion is the possibility that if this tendency continues, this type of forest will disappear in a short time, and the ecological services it provides, will be seriously endangered.

Explanation of changes in real estate stock market

The aim of this study is to explain the changes in the real estate prices as well as in the real estate stock market prices, using some macro-economic explanatory variables, such as the gross domestic product (GDP), the real interest rate and the unemployment rate. Several regressions have been carried out in order to express some types of incremental and absolute deflated real estate lock market indexes in terms of the macro-economic variables. The analyses are applied to the Swedish economy. The period under study is 1984-1994. Time series on monthly data are used. i.e. the number of data-points is 132. If time leads/lags are introduced in the e regressions, significant improvements in the already high correlations are achieved. The signs of the coefficients for IR, UE and GDP are all what one would expect to see from an economic point of view: those for GDP are all positive, those for both IR and UE are negative. All the regressions have high R2 values. Both markets anticipate change in the unemployment rate by 6 to 9 months, which seems reasonable because such change can be forecast quite reliably. But, on the contrary, there is no reason why they should anticipate by 3-6 months changes in the interest rate that can hardly be reliably forecast so far in advance.