Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Deficits in sensory prediction are related to delusional ideation in healthy individuals.

Motor control strongly relies on neural processes that predict the sensory consequences of self-generated actions. Previous research has demonstrated deficits in such sensory-predictive processes in schizophrenic patients and these low-level deficits are thought to contribute to the emergence of delusions of control. Here, we examined the extent to which individual differences in sensory prediction are associated with a tendency towards delusional ideation in healthy participants. We used a force-matching task to quantify sensory-predictive processes, and administered questionnaires to assess schizotypy and delusion-like thinking. Individuals with higher levels of delusional ideation showed more accurate force matching suggesting that such thinking is associated with a reduced tendency to predict and attenuate the sensory consequences of self-generated actions. These results suggest that deficits in sensory prediction in schizophrenia are not simply consequences of the deluded state and are not related to neuroleptic medication. Rather they appear to be stable, trait-like characteristics of an individual, a finding that has important implications for our understanding of the neurocognitive basis of delusions.

Large eddy simulations for fan-OGV broadband noise prediction

The work in this paper forms part of a project on the use of large eddy simulation (LES) for broadband rotor-stator interaction noise prediction. Here we focus on LES of the flow field near a fan blade trailing edge. The first part of the paper aims to evaluate LES suitability for predicting the near-field velocity field for a blunt NACA-0012 airfoil at moderate Reynolds numbers (2× 10 5 and 4× 10 5). Preliminary computations of turbulent mean and root-mean-square velocities, as well as energy spectra at the trailing edge, are compared with those from a recent experiment.1 The second part of the paper describes preliminary progress on an LES calculation of the fan wakes on a fan rig. 2 The CFD code uses a mixed element unstructured mesh with a median dual control volume. A wall-adapting local eddy-viscosity sub-grid scale model is employed. A very small amount of numerical dissipation is added in the numerical scheme to keep the compressible solver stable. Further results for the fan turbulentmean and RMS velocity, and especially the aeroacoustics field will be presented at a later stage. Copyright © 2008 by Qinling LI, Nigel Peake & Mark Savill.

Rotor - Stator broadband noise prediction

In this paper a semi analytic model for rotor - stator broadband noise is presented. The work can be split into two sections. The first examines the distortion of the rotor wake in mean swirling flow, downstream of the fan. Previous work by Cooper and Peake4 is extended to include dissipative effects. In the second section we consider the interaction of this gust with the downstream stator row. We examine the way in which an unsteady pressure field is generated by the interaction of this wake flow with the stator blades and obtain estimates for the radiated noise. A new method is presented to extend the well known LINSUB code to the third dimension to capture the effect of the spanwise wavenumber and stator lean and sweep. Copyright © 2008 by Adrian Lloyd and Nigel Peake.