Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.

Bayesian parameter identification for vibro-acoustic models with nonparametric uncertainty

Vibration and acoustic analysis at higher frequencies faces two challenges: computing the response without using an excessive number of degrees of freedom, and quantifying its uncertainty due to small spatial variations in geometry, material properties and boundary conditions. Efficient models make use of the observation that when the response of a decoupled vibro-acoustic subsystem is sufficiently sensitive to uncertainty in such spatial variations, the local statistics of its natural frequencies and mode shapes saturate to universal probability distributions. This holds irrespective of the causes that underly these spatial variations and thus leads to a nonparametric description of uncertainty. This work deals with the identification of uncertain parameters in such models by using experimental data. One of the difficulties is that both experimental errors and modeling errors, due to the nonparametric uncertainty that is inherent to the model type, are present. This is tackled by employing a Bayesian inference strategy. The prior probability distribution of the uncertain parameters is constructed using the maximum entropy principle. The likelihood function that is subsequently computed takes the experimental information, the experimental errors and the modeling errors into account. The posterior probability distribution, which is computed with the Markov Chain Monte Carlo method, provides a full uncertainty quantification of the identified parameters, and indicates how well their uncertainty is reduced, with respect to the prior information, by the experimental data. © 2013 Taylor & Francis Group, London.

Trial Test of a Bulk-Type Fully HTS Synchronous Motor

© 2013 IEEE. The world's first bulk-type fully high temperature superconducting synchronous motor (HTS-SM) was assembled and tested in our laboratory at the University of Cambridge. The fully HTS-SM was designed with 75 Y123 HTS bulks mounted on the surface of the rotor and six air core 2G HTS racetrack coils used for stator windings. We successfully applied a light fan load test for this fully HTS-SM at its operating temperature of 77 K. The detected decay of the trapped magnetic flux densities at the centre of the HTS bulks was up to 16.5% after 5 h of synchronous rotation. Due to the high current density of the HTS material, the ac stator field for the 2G HTS winding was 49.2% stronger compared with a comparable copper winding. In the meantime, we estimated that the efficiency was about 86% potentially under stable low frequency rotation at 150 r/min. The results show that the performance of this HTS motor is acceptable for practical applications.

Semantic transform: Weakly supervised semantic inference for relating visual attributes

Relative (comparative) attributes are promising for thematic ranking of visual entities, which also aids in recognition tasks. However, attribute rank learning often requires a substantial amount of relational supervision, which is highly tedious, and apparently impractical for real-world applications. In this paper, we introduce the Semantic Transform, which under minimal supervision, adaptively finds a semantic feature space along with a class ordering that is related in the best possible way. Such a semantic space is found for every attribute category. To relate the classes under weak supervision, the class ordering needs to be refined according to a cost function in an iterative procedure. This problem is ideally NP-hard, and we thus propose a constrained search tree formulation for the same. Driven by the adaptive semantic feature space representation, our model achieves the best results to date for all of the tasks of relative, absolute and zero-shot classification on two popular datasets. © 2013 IEEE.

Bayesian inference and learning in Gaussian process state-space models with Particle MCMC

State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference and learning (i.e. state estimation and system identification) in nonlinear nonparametric state-space models. We place a Gaussian process prior over the state transition dynamics, resulting in a flexible model able to capture complex dynamical phenomena. To enable efficient inference, we marginalize over the transition dynamics function and, instead, infer directly the joint smoothing distribution using specially tailored Particle Markov Chain Monte Carlo samplers. Once a sample from the smoothing distribution is computed, the state transition predictive distribution can be formulated analytically. Our approach preserves the full nonparametric expressivity of the model and can make use of sparse Gaussian processes to greatly reduce computational complexity.

Classification using log Gaussian Cox processes

McCullagh and Yang (2006) suggest a family of classification algorithms based on Cox processes. We further investigate the log Gaussian variant which has a number of appealing properties. Conditioned on the covariates, the distribution over labels is given by a type of conditional Markov random field. In the supervised case, computation of the predictive probability of a single test point scales linearly with the number of training points and the multiclass generalization is straightforward. We show new links between the supervised method and classical nonparametric methods. We give a detailed analysis of the pairwise graph representable Markov random field, which we use to extend the model to semi-supervised learning problems, and propose an inference method based on graph min-cuts. We give the first experimental analysis on supervised and semi-supervised datasets and show good empirical performance.