Semi-parametric forecasting of realized volatility

Forecasts generated by time series models traditionally place greater weight on more recent observations. This paper develops an alternative semi-parametric method for forecasting that does not rely on this convention and applies it to the problem of forecasting asset return volatility. In this approach, a forecast is a weighted average of historical volatility, with the greatest weight given to periods that exhibit similar market conditions to the time at which the forecast is being formed. Weighting is determined by comparing short-term trends in volatility across time (as a measure of market conditions) by means of a multivariate kernel scheme. It is found that the semi-parametric method produces forecasts that are significantly more accurate than a number of competing approaches at both short and long forecast horizons.

Semi-parametric modelling of ultrafine particle number concentration

Quantifying spatial and/or temporal trends in environmental modelling data requires that measurements be taken at multiple sites. The number of sites and duration of measurement at each site must be balanced against costs of equipment and availability of trained staff. The split panel design comprises short measurement campaigns at multiple locations and continuous monitoring at reference sites [2]. Here we present a modelling approach for a spatio-temporal model of ultrafine particle number concentration (PNC) recorded according to a split panel design. The model describes the temporal trends and background levels at each site. The data were measured as part of the “Ultrafine Particles from Transport Emissions and Child Health” (UPTECH) project which aims to link air quality measurements, child health outcomes and a questionnaire on the child’s history and demographics. The UPTECH project involves measuring aerosol and particle counts and local meteorology at each of 25 primary schools for two weeks and at three long term monitoring stations, and health outcomes for a cohort of students at each school [3].

Anomalous event detection using a semi-two dimensional hidden Markov model

The rapid increase in the deployment of CCTV systems has led to a greater demand for algorithms that are able to process incoming video feeds. These algorithms are designed to extract information of interest for human operators. During the past several years, there has been a large effort to detect abnormal activities through computer vision techniques. Typically, the problem is formulated as a novelty detection task where the system is trained on normal data and is required to detect events which do not fit the learned `normal' model. Many researchers have tried various sets of features to train different learning models to detect abnormal behaviour in video footage. In this work we propose using a Semi-2D Hidden Markov Model (HMM) to model the normal activities of people. The outliers of the model with insufficient likelihood are identified as abnormal activities. Our Semi-2D HMM is designed to model both the temporal and spatial causalities of the crowd behaviour by assuming the current state of the Hidden Markov Model depends not only on the previous state in the temporal direction, but also on the previous states of the adjacent spatial locations. Two different HMMs are trained to model both the vertical and horizontal spatial causal information. Location features, flow features and optical flow textures are used as the features for the model. The proposed approach is evaluated using the publicly available UCSD datasets and we demonstrate improved performance compared to other state of the art methods.

A semi-supervised graph-based algorithm for detecting outliers in online-social-networks

In this paper, we propose a semi-supervised approach of anomaly detection in Online Social Networks. The social network is modeled as a graph and its features are extracted to detect anomaly. A clustering algorithm is then used to group users based on these features and fuzzy logic is applied to assign degree of anomalous behavior to the users of these clusters. Empirical analysis shows effectiveness of this method.

Reusable surface confined semi-conducting metal-TCNQ and metal-TCNQF4 catalysts for electron transfer reactions

The synthesis of organic semiconducting materials based on silver and copper-TCNQ (TCNQ = 7,7,8,8-tetracyanoquinodimethane) and their fluorinated analogues has received a significant amount of attention due to their potential use in organic electronic applications. However, there is a scarcity in the identification of different applications for which these interesting materials may be suitable candidates. In this work, we address this by investigating the catalytic properties of such materials for the electron transfer reaction between ferricyanide and thiosulphate ions in aqueous solution, which to date has been almost solely limited to metallic nanomaterials. Significantly it was found that all the materials investigated, namely CuTCNQ, AgTCNQ, CuTCNQF4 and AgTCNQF4, were catalytically active and, interestingly, the fluorinated analogues were superior. AgTCNQF4 demonstrated the highest activity and was tested for its stability and re-usability for up to 50 cycles without degradation in performance. The catalytic reaction was monitored via UV-vis spectroscopy and open circuit potential versus time measurements, as well as an investigation of the transport properties of the films via electrochemical impedance spectroscopy. It is suggested that morphology and bulk conductivity are not the limiting factors, but rather the balance between the accumulated surface charge from electron injection via thiosulphate ions on the catalyst surface and transfer to the ferricyanide ions which controls the reaction rate. The facile fabrication of re-usable surface confined organic materials that are catalytically active may have important uses for many more electron transfer reactions.

Dynamic load-sharing of longitudinal-connected air suspensions of a tri-axle semi-trailer

The effects of suspension parameters and driving conditions on dynamic load-sharing of longitudinal-connected air suspensions of a tri-axle semi-trailer are investigated in this study. A novel nonlinear model of a multi-axle semi-trailer with longitudinal-connected air suspensions is formulated based on fluid mechanics and thermodynamics and validated through test results. The effects of road surface conditions, driving speeds, air line inside diameter and connector inside diameter on dynamic load-sharing capability of the semi-trailer were analyzed in terms of load-sharing criteria. Simulation results indicate that, when larger air lines and connectors are employed, the DLSC (Dynamic Load-Sharing Coefficient) optimization ratio reaches its peak value when the road roughness is medium. The optimization ratio fluctuates in a complex manner as driving speed increases. The results also indicate that if the air line inside diameter is always assumed to be larger than the connector inside diameter, the influence of air line inside diameter on load-sharing is more significant than that of the connector inside diameter. The proposed approach can be used for further study of the influence of additional factors (such as vehicle load, static absolute air pressure and static height of air spring) on load-sharing and the control methods for multi-axle air suspensions with longitudinal air line.

Semi-parametric forecasting of spikes in electricity prices

The occurrence of extreme movements in the spot price of electricity represents a significant source of risk to retailers. A range of approaches have been considered with respect to modelling electricity prices; these models, however, have relied on time-series approaches, which typically use restrictive decay schemes placing greater weight on more recent observations. This study develops an alternative, semi-parametric method for forecasting, which uses state-dependent weights derived from a kernel function. The forecasts that are obtained using this method are accurate and therefore potentially useful to electricity retailers in terms of risk management.

Semi-binary based video features for activity representation

Efficient and effective feature detection and representation is an important consideration when processing videos, and a large number of applications such as motion analysis, 3D scene understanding, tracking etc. depend on this. Amongst several feature description methods, local features are becoming increasingly popular for representing videos because of their simplicity and efficiency. While they achieve state-of-the-art performance with low computational complexity, their performance is still too limited for real world applications. Furthermore, rapid increases in the uptake of mobile devices has increased the demand for algorithms that can run with reduced memory and computational requirements. In this paper we propose a semi binary based feature detectordescriptor based on the BRISK detector, which can detect and represent videos with significantly reduced computational requirements, while achieving comparable performance to the state of the art spatio-temporal feature descriptors. First, the BRISK feature detector is applied on a frame by frame basis to detect interest points, then the detected key points are compared against consecutive frames for significant motion. Key points with significant motion are encoded with the BRISK descriptor in the spatial domain and Motion Boundary Histogram in the temporal domain. This descriptor is not only lightweight but also has lower memory requirements because of the binary nature of the BRISK descriptor, allowing the possibility of applications using hand held devices.We evaluate the combination of detectordescriptor performance in the context of action classification with a standard, popular bag-of-features with SVM framework. Experiments are carried out on two popular datasets with varying complexity and we demonstrate comparable performance with other descriptors with reduced computational complexity.

A comparative study of the semi-elastic and fully-elastic MapReduce models

MapReduce is a computation model for processing large data sets in parallel on large clusters of machines, in a reliable, fault-tolerant manner. A MapReduce computation is broken down into a number of map tasks and reduce tasks, which are performed by so called mappers and reducers, respectively. The placement of the mappers and reducers on the machines directly affects the performance and cost of the MapReduce computation in cloud computing. From the computational point of view, the mappers/reducers placement problem is a generation of the classical bin packing problem, which is NP-complete. Thus, in this paper we propose a new heuristic algorithm for the mappers/reducers placement problem in cloud computing and evaluate it by comparing with other several heuristics on solution quality and computation time by solving a set of test problems with various characteristics. The computational results show that our heuristic algorithm is much more efficient than the other heuristics and it can obtain a better solution in a reasonable time. Furthermore, we verify the effectiveness of our heuristic algorithm by comparing the mapper/reducer placement for a benchmark problem generated by our heuristic algorithm with a conventional mapper/reducer placement which puts a fixed number of mapper/reducer on each machine. The comparison results show that the computation using our mapper/reducer placement is much cheaper than the computation using the conventional placement while still satisfying the computation deadline.

Discussion of : constructing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation

This is a discussion of the journal article: "Construcing summary statistics for approximate Bayesian computation: semi-automatic approximate Bayesian computation". The article and discussion have appeared in the Journal of the Royal Statistical Society: Series B (Statistical Methodology).

Visible and near infrared spectroscopy of hayabusa reentry using semi-autonomous tracking

Aground-based tracking camera and coaligned slitless spectrograph were used to measure the spectral signature of visible radiation emitted from the Hayabusa capsule as it entered into the Earth’s atmosphere in June 2010. Good quality spectra were obtained, which showed the presence of radiation from the heat shield of the vehicle and the shock-heated air in front of the vehicle. An analysis of the blackbody nature of the radiation concluded that the peak average temperature of the surface was about (3100± 100)K. Line spectra from oxygen and nitrogen atoms were used to infer a peak average shock-heated gas temperature of around((7000±400))K.

Demonstration of nonlinear absorption in Au semi-continuous film by electrical measurement

We have demonstrated the nonlinear absorption at 532 nm wavelength in an Au semi-continuous film (SF) resulting from smearing of the Fermi distribution and diffusion of conduction electrons into the substrate. The Au SF was irradiated by a pulsed laser with 8 ns pulse width at 532 nm in near resonance with the interband transition of the Au. We determined the temperature increase in the SF for different intensities by electrical measurement. We calculated the temperature increase by using a 1D heat transport equation; comparing the results of the calculation with measured values for the temperature increase, revealed the nonlinear absorption in the Au SF. We employed this deviation from linear behaviour to determine the nonlinear absorption coefficient.

Reversible and semi-blind relational database watermarking

Database watermarking has received significant research attention in the current decade. Although, almost all watermarking models have been either irreversible (the original relation cannot be restored from the watermarked relation) and/or non-blind (requiring original relation to detect the watermark in watermarked relation). This model has several disadvantages over reversible and blind watermarking (requiring only watermarked relation and secret key from which the watermark is detected and original relation is restored) including inability to identify rightful owner in case of successful secondary watermarking, inability to revert the relation to original data set (required in high precision industries) and requirement to store unmarked relation at a secure secondary storage. To overcome these problems, we propose a watermarking scheme that is reversible as well as blind. We utilize difference expansion on integers to achieve reversibility. The major advantages provided by our scheme are reversibility to high quality original data set, rightful owner identification, resistance against secondary watermarking attacks, and no need to store original database at a secure secondary storage.

Biolistic transformation of elite indica rice (Oryza sativa L.) cultivars through semi-solid and liquid medium selection systems

Following microprojectile mediated delivery of a plasmid construct (pAHC-25) encoding bar (bialophos resistance) gene into five-day-old scutellar calli derived from mature embryos, the effectiveness of selection procedure for bar-gene expressing tissue was compared for two indica rice cultivars (IR-64 and Karnal Local). While IR-64 transformants could be selected through the generally used semi-solid selection medium, the same procedure was not effective in the basmati cultivar Karnal Local. In the latter case, while lower concentrations (2–4 mg 1−1) of the selective agent phosphinothricin (PPT) yielded only escapes, higher concentrations (6–8 mg l−1) inhibited proliferation of transformed as well as untransformed sectors. For Karnal Local, a liquid medium based selection system was successfully utilized for recovering transformed sectors and, eventually, regenerants. The study demonstrates the generation of transformants of two elite indica cultivars using the environment-independent system of mature embryos from seeds.