Corporate credit risk prediction under stochastic volatility and jumps

This paper examines the impact of allowing for stochastic volatility and jumps (SVJ) in a structural model on corporate credit risk prediction. The results from a simulation study verify the better performance of the SVJ model compared with the commonly used Merton model, and three sources are provided to explain the superiority. The empirical analysis on two real samples further ascertains the importance of recognizing the stochastic volatility and jumps by showing that the SVJ model decreases bias in spread prediction from the Merton model, and better explains the time variation in actual CDS spreads. The improvements are found particularly apparent in small firms or when the market is turbulent such as the recent financial crisis.

Frequency-motivated observer design for the prediction of parametric roll resonance control applications in marine systems

This work deals with estimators for predicting when parametric roll resonance is going to occur in surface vessels. The roll angle of the vessel is modeled as a second-order linear oscillatory system with unknown parameters. Several algorithms are used to estimate the parameters and eigenvalues of the system based on data gathered experimentally on a 1:45 scale model of a tanker. Based on the estimated eigenvalues, the system predicts whether or not parametric roll occurred. A prediction accuracy of 100% is achieved for regular waves, and up to 87.5% for irregular waves.

Natural ventilation heuristics in high-rise residential buildings : evaluation and prediction

Complex behaviour of air flow in the buildings makes it difficult to predict. Consequently, architects use common strategies for designing buildings with adequate natural ventilation. However, each climate needs specific strategies and there are not many heuristics for subtropical climate in literature. Furthermore, most of these common strategies are based on low-rise buildings and their performance for high-rise buildings might be different due to the increase of the wind speed with increase in the height. This study uses Computational Fluid Dynamics (CFD) to evaluate these rules of thumb for natural ventilation for multi-residential buildings in subtropical climate. Four design proposals for multi-residential towers with natural ventilation which were produced in intensive two days charrette were evaluated using CFD. The results show that all the buildings reach acceptable level of wind speed in living areas and poor amount of air flow in sleeping areas.

Anomaly detection in online social networks : using data-mining techniques and fuzzy logic

This research is a step forward in improving the accuracy of detecting anomaly in a data graph representing connectivity between people in an online social network. The proposed hybrid methods are based on fuzzy machine learning techniques utilising different types of structural input features. The methods are presented within a multi-layered framework which provides the full requirements needed for finding anomalies in data graphs generated from online social networks, including data modelling and analysis, labelling, and evaluation.

Deterrence of drug driving : the impact of the ACT drug driving legislation and detection techniques

Overarching Research Questions Are ACT motorists aware of roadside saliva based drug testing operations? What is the perceived deterrent impact of the operations? What factors are predictive of future intentions to drug drive? What are the differences between key subgroups

Identifying product families using data mining techniques in manufacturing paradigm

Identifying product families has been considered as an effective way to accommodate the increasing product varieties across the diverse market niches. In this paper, we propose a novel framework to identifying product families by using a similarity measure for a common product design data BOM (Bill of Materials) based on data mining techniques such as frequent mining and clus-tering. For calculating the similarity between BOMs, a novel Extended Augmented Adjacency Matrix (EAAM) representation is introduced that consists of information not only of the content and topology but also of the fre-quent structural dependency among the various parts of a product design. These EAAM representations of BOMs are compared to calculate the similarity between products and used as a clustering input to group the product fami-lies. When applied on a real-life manufacturing data, the proposed framework outperforms a current baseline that uses orthogonal Procrustes for grouping product families.

Investigations on road noise level spatial variability within a specially designed acoustic balcony

An investigation into the spatial distribution of road traffic noise levels on a balcony is conducted. A balcony constructed to a special acoustic design due to its elevation above an 8 lane motorway is selected for detailed measurements. The as-constructed balcony design includes solid parapets, side walls, ceiling shields and highly absorptive material placed on the ceiling. Road traffic noise measurements are conducted spatially using a five channel acoustic analyzer, where four microphones are located at various positions within the balcony space and one microphone placed outside the parapet at a reference position. Spatial distributions in both vertical and horizontal planes are measured. A theoretical model and prediction configuration is presented that assesses the acoustic performance of the balcony under existing traffic flow conditions. The prediction model implements a combined direct path, specular reflection path and diffuse reflection path utilizing image source and radiosity techniques. Results obtained from the prediction model are presented and compared to the measurement results. The predictions are found to correlate well with measurements with some minor differences that are explained. It is determined that the prediction methodology is acceptable to assess a wider range of street and balcony configuration scenarios.

A new approach to spatial data interpolation using higher-order statistics

Interpolation techniques for spatial data have been applied frequently in various fields of geosciences. Although most conventional interpolation methods assume that it is sufficient to use first- and second-order statistics to characterize random fields, researchers have now realized that these methods cannot always provide reliable interpolation results, since geological and environmental phenomena tend to be very complex, presenting non-Gaussian distribution and/or non-linear inter-variable relationship. This paper proposes a new approach to the interpolation of spatial data, which can be applied with great flexibility. Suitable cross-variable higher-order spatial statistics are developed to measure the spatial relationship between the random variable at an unsampled location and those in its neighbourhood. Given the computed cross-variable higher-order spatial statistics, the conditional probability density function (CPDF) is approximated via polynomial expansions, which is then utilized to determine the interpolated value at the unsampled location as an expectation. In addition, the uncertainty associated with the interpolation is quantified by constructing prediction intervals of interpolated values. The proposed method is applied to a mineral deposit dataset, and the results demonstrate that it outperforms kriging methods in uncertainty quantification. The introduction of the cross-variable higher-order spatial statistics noticeably improves the quality of the interpolation since it enriches the information that can be extracted from the observed data, and this benefit is substantial when working with data that are sparse or have non-trivial dependence structures.

Design, construction and evaluation of systems to predict risk in obstetrics

We present a systematic, practical approach to developing risk prediction systems, suitable for use with large databases of medical information. An important part of this approach is a novel feature selection algorithm which uses the area under the receiver operating characteristic (ROC) curve to measure the expected discriminative power of different sets of predictor variables. We describe this algorithm and use it to select variables to predict risk of a specific adverse pregnancy outcome: failure to progress in labour. Neural network, logistic regression and hierarchical Bayesian risk prediction models are constructed, all of which achieve close to the limit of performance attainable on this prediction task. We show that better prediction performance requires more discriminative clinical information rather than improved modelling techniques. It is also shown that better diagnostic criteria in clinical records would greatly assist the development of systems to predict risk in pregnancy. We present a systematic, practical approach to developing risk prediction systems, suitable for use with large databases of medical information. An important part of this approach is a novel feature selection algorithm which uses the area under the receiver operating characteristic (ROC) curve to measure the expected discriminative power of different sets of predictor variables. We describe this algorithm and use it to select variables to predict risk of a specific adverse pregnancy outcome: failure to progress in labour. Neural network, logistic regression and hierarchical Bayesian risk prediction models are constructed, all of which achieve close to the limit of performance attainable on this prediction task. We show that better prediction performance requires more discriminative clinical information rather than improved modelling techniques. It is also shown that better diagnostic criteria in clinical records would greatly assist the development of systems to predict risk in pregnancy.

Using upper bounds on attainable discrimination to select discrete valued features

Selection of features that will permit accurate pattern classification is a difficult task. However, if a particular data set is represented by discrete valued features, it becomes possible to determine empirically the contribution that each feature makes to the discrimination between classes. This paper extends the discrimination bound method so that both the maximum and average discrimination expected on unseen test data can be estimated. These estimation techniques are the basis of a backwards elimination algorithm that can be use to rank features in order of their discriminative power. Two problems are used to demonstrate this feature selection process: classification of the Mushroom Database, and a real-world, pregnancy related medical risk prediction task - assessment of risk of perinatal death.

The BAD project: data mining, database and prediction of protein adsorption on surfaces

Protein adsorption at solid-liquid interfaces is critical to many applications, including biomaterials, protein microarrays and lab-on-a-chip devices. Despite this general interest, and a large amount of research in the last half a century, protein adsorption cannot be predicted with an engineering level, design-orientated accuracy. Here we describe a Biomolecular Adsorption Database (BAD), freely available online, which archives the published protein adsorption data. Piecewise linear regression with breakpoint applied to the data in the BAD suggests that the input variables to protein adsorption, i.e., protein concentration in solution; protein descriptors derived from primary structure (number of residues, global protein hydrophobicity and range of amino acid hydrophobicity, isoelectric point); surface descriptors (contact angle); and fluid environment descriptors (pH, ionic strength), correlate well with the output variable-the protein concentration on the surface. Furthermore, neural network analysis revealed that the size of the BAD makes it sufficiently representative, with a neural network-based predictive error of 5% or less. Interestingly, a consistently better fit is obtained if the BAD is divided in two separate sub-sets representing protein adsorption on hydrophilic and hydrophobic surfaces, respectively. Based on these findings, selected entries from the BAD have been used to construct neural network-based estimation routines, which predict the amount of adsorbed protein, the thickness of the adsorbed layer and the surface tension of the protein-covered surface. While the BAD is of general interest, the prediction of the thickness and the surface tension of the protein-covered layers are of particular relevance to the design of microfluidics devices.