Estimating the parameters of stochastic volatility models using option price data

This article describes a maximum likelihood method for estimating the parameters of the standard square-root stochastic volatility model and a variant of the model that includes jumps in equity prices. The model is fitted to data on the S&P 500 Index and the prices of vanilla options written on the index, for the period 1990 to 2011. The method is able to estimate both the parameters of the physical measure (associated with the index) and the parameters of the risk-neutral measure (associated with the options), including the volatility and jump risk premia. The estimation is implemented using a particle filter whose efficacy is demonstrated under simulation. The computational load of this estimation method, which previously has been prohibitive, is managed by the effective use of parallel computing using graphics processing units (GPUs). The empirical results indicate that the parameters of the models are reliably estimated and consistent with values reported in previous work. In particular, both the volatility risk premium and the jump risk premium are found to be significant.

A parallel cooperative co-evolutionary genetic algorithm for the composite SaaS placement problem in Cloud computing

A composite SaaS (Software as a Service) is a software that is comprised of several software components and data components. The composite SaaS placement problem is to determine where each of the components should be deployed in a cloud computing environment such that the performance of the composite SaaS is optimal. From the computational point of view, the composite SaaS placement problem is a large-scale combinatorial optimization problem. Thus, an Iterative Cooperative Co-evolutionary Genetic Algorithm (ICCGA) was proposed. The ICCGA can find reasonable quality of solutions. However, its computation time is noticeably slow. Aiming at improving the computation time, we propose an unsynchronized Parallel Cooperative Co-evolutionary Genetic Algorithm (PCCGA) in this paper. Experimental results have shown that the PCCGA not only has quicker computation time, but also generates better quality of solutions than the ICCGA.

Implementation of parallel tridiagonal solvers for a heterogeneous computing environment

Tridiagonal diagonally dominant linear systems arise in many scientific and engineering applications. The standard Thomas algorithm for solving such systems is inherently serial forming a bottleneck in computation. Algorithms such as cyclic reduction and SPIKE reduce a single large tridiagonal system into multiple small independent systems which can be solved in parallel. We have developed portable cyclic reduction and SPIKE algorithm OpenCL implementations with the intent to target a range of co-processors in a heterogeneous computing environment including Field Programmable Gate Arrays (FPGAs), Graphics Processing Units (GPUs) and other multi-core processors. In this paper, we evaluate these designs in the context of solver performance, resource efficiency and numerical accuracy.

Theoretical investigation of thermal tweezers for parallel manipulation of atoms and nanoparticles on surfaces

A major focus of research in nanotechnology is the development of novel, high throughput techniques for fabrication of arbitrarily shaped surface nanostructures of sub 100 nm to atomic scale. A related pursuit is the development of simple and efficient means for parallel manipulation and redistribution of adsorbed atoms, molecules and nanoparticles on surfaces – adparticle manipulation. These techniques will be used for the manufacture of nanoscale surface supported functional devices in nanotechnologies such as quantum computing, molecular electronics and lab-on-achip, as well as for modifying surfaces to obtain novel optical, electronic, chemical, or mechanical properties. A favourable approach to formation of surface nanostructures is self-assembly. In self-assembly, nanostructures are grown by aggregation of individual adparticles that diffuse by thermally activated processes on the surface. The passive nature of this process means it is generally not suited to formation of arbitrarily shaped structures. The self-assembly of nanostructures at arbitrary positions has been demonstrated, though these have typically required a pre-patterning treatment of the surface using sophisticated techniques such as electron beam lithography. On the other hand, a parallel adparticle manipulation technique would be suited for directing the selfassembly process to occur at arbitrary positions, without the need for pre-patterning the surface. There is at present a lack of techniques for parallel manipulation and redistribution of adparticles to arbitrary positions on the surface. This is an issue that needs to be addressed since these techniques can play an important role in nanotechnology. In this thesis, we propose such a technique – thermal tweezers. In thermal tweezers, adparticles are redistributed by localised heating of the surface. This locally enhances surface diffusion of adparticles so that they rapidly diffuse away from the heated regions. Using this technique, the redistribution of adparticles to form a desired pattern is achieved by heating the surface at specific regions. In this project, we have focussed on the holographic implementation of this approach, where the surface is heated by holographic patterns of interfering pulsed laser beams. This implementation is suitable for the formation of arbitrarily shaped structures; the only condition is that the shape can be produced by holographic means. In the simplest case, the laser pulses are linearly polarised and intersect to form an interference pattern that is a modulation of intensity along a single direction. Strong optical absorption at the intensity maxima of the interference pattern results in approximately a sinusoidal variation of the surface temperature along one direction. The main aim of this research project is to investigate the feasibility of the holographic implementation of thermal tweezers as an adparticle manipulation technique. Firstly, we investigate theoretically the surface diffusion of adparticles in the presence of sinusoidal modulation of the surface temperature. Very strong redistribution of adparticles is predicted when there is strong interaction between the adparticle and the surface, and the amplitude of the temperature modulation is ~100 K. We have proposed a thin metallic film deposited on a glass substrate heated by interfering laser beams (optical wavelengths) as a means of generating very large amplitude of surface temperature modulation. Indeed, we predict theoretically by numerical solution of the thermal conduction equation that amplitude of the temperature modulation on the metallic film can be much greater than 100 K when heated by nanosecond pulses with an energy ~1 mJ. The formation of surface nanostructures of less than 100 nm in width is predicted at optical wavelengths in this implementation of thermal tweezers. Furthermore, we propose a simple extension to this technique where spatial phase shift of the temperature modulation effectively doubles or triples the resolution. At the same time, increased resolution is predicted by reducing the wavelength of the laser pulses. In addition, we present two distinctly different, computationally efficient numerical approaches for theoretical investigation of surface diffusion of interacting adparticles – the Monte Carlo Interaction Method (MCIM) and the random potential well method (RPWM). Using each of these approaches we have investigated thermal tweezers for redistribution of both strongly and weakly interacting adparticles. We have predicted that strong interactions between adparticles can increase the effectiveness of thermal tweezers, by demonstrating practically complete adparticle redistribution into the low temperature regions of the surface. This is promising from the point of view of thermal tweezers applied to directed self-assembly of nanostructures. Finally, we present a new and more efficient numerical approach to theoretical investigation of thermal tweezers of non-interacting adparticles. In this approach, the local diffusion coefficient is determined from solution of the Fokker-Planck equation. The diffusion equation is then solved numerically using the finite volume method (FVM) to directly obtain the probability density of adparticle position. We compare predictions of this approach to those of the Ermak algorithm solution of the Langevin equation, and relatively good agreement is shown at intermediate and high friction. In the low friction regime, we predict and investigate the phenomenon of ‘optimal’ friction and describe its occurrence due to very long jumps of adparticles as they diffuse from the hot regions of the surface. Future research directions, both theoretical and experimental are also discussed.

Parallel user profiling based on folksonomy for Large Scaled Recommender Systems : an implimentation of Cascading MapReduce

The Large scaled emerging user created information in web 2.0 such as tags, reviews, comments and blogs can be used to profile users’ interests and preferences to make personalized recommendations. To solve the scalability problem of the current user profiling and recommender systems, this paper proposes a parallel user profiling approach and a scalable recommender system. The current advanced cloud computing techniques including Hadoop, MapReduce and Cascading are employed to implement the proposed approaches. The experiments were conducted on Amazon EC2 Elastic MapReduce and S3 with a real world large scaled dataset from Del.icio.us website.

Computing with motile bio-agents

We describe a model of computation of the parallel type, which we call 'computing with bio-agents', based on the concept that motions of biological objects such as bacteria or protein molecular motors in confined spaces can be regarded as computations. We begin with the observation that the geometric nature of the physical structures in which model biological objects move modulates the motions of the latter. Consequently, by changing the geometry, one can control the characteristic trajectories of the objects; on the basis of this, we argue that such systems are computing devices. We investigate the computing power of mobile bio-agent systems and show that they are computationally universal in the sense that they are capable of computing any Boolean function in parallel. We argue also that using appropriate conditions, bio-agent systems can solve NP-complete problems in probabilistic polynomial time.

High-voltage modular power supply using parallel and series configurations of flyback converter for pulsed power applications

To cover wide range of pulsed power applications, this paper proposes a modularity concept to improve the performance and flexibility of the pulsed power supply. The proposed scheme utilizes the advantage of parallel and series configurations of flyback modules in obtaining high-voltage levels with fast rise time (dv/dt). Prototypes were implemented using 600-V insulated-gate bipolar transistor (IGBT) switches to generate up to 4-kV output pulses with 1-kHz repetition rate for experimentation. To assess the proposed modular approach for higher number of the modules, prototypes were implemented using 1700-V IGBTs switches, based on ten-series modules, and tested up to 20 kV. Conducted experimental results verified the effectiveness of the proposed method

Radiotherapy Monte Carlo simulation using cloud computing technology

Cloud computing allows for vast computational resources to be leveraged quickly and easily in bursts as and when required. Here we describe a technique that allows for Monte Carlo radiotherapy dose calculations to be performed using GEANT4 and executed in the cloud, with relative simulation cost and completion time evaluated as a function of machine count. As expected, simulation completion time decreases as 1=n for n parallel machines, and relative simulation cost is found to be optimal where n is a factor of the total simulation time in hours. Using the technique, we demonstrate the potential usefulness of cloud computing as a solution for rapid Monte Carlo simulation for radiotherapy dose calculation without the need for dedicated local computer hardware as a proof of principal. Funding source Cancer Australia (Department of Health and Ageing) Research Grant 614217

An English-translated parallel corpus for the CJK Wikipedia collections

In this paper, we describe a machine-translated parallel English corpus for the NTCIR Chinese, Japanese and Korean (CJK) Wikipedia collections. This document collection is named CJK2E Wikipedia XML corpus. The corpus could be used by the information retrieval research community and knowledge sharing in Wikipedia in many ways; for example, this corpus could be used for experimentations in cross-lingual information retrieval, cross-lingual link discovery, or omni-lingual information retrieval research. Furthermore, the translated CJK articles could be used to further expand the current coverage of the English Wikipedia.

Modelling sea water intrusion in coastal aquifers using heterogeneous computing

The objective of this PhD research program is to investigate numerical methods for simulating variably-saturated flow and sea water intrusion in coastal aquifers in a high-performance computing environment. The work is divided into three overlapping tasks: to develop an accurate and stable finite volume discretisation and numerical solution strategy for the variably-saturated flow and salt transport equations; to implement the chosen approach in a high performance computing environment that may have multiple GPUs or CPU cores; and to verify and test the implementation. The geological description of aquifers is often complex, with porous materials possessing highly variable properties, that are best described using unstructured meshes. The finite volume method is a popular method for the solution of the conservation laws that describe sea water intrusion, and is well-suited to unstructured meshes. In this work we apply a control volume-finite element (CV-FE) method to an extension of a recently proposed formulation (Kees and Miller, 2002) for variably saturated groundwater flow. The CV-FE method evaluates fluxes at points where material properties and gradients in pressure and concentration are consistently defined, making it both suitable for heterogeneous media and mass conservative. Using the method of lines, the CV-FE discretisation gives a set of differential algebraic equations (DAEs) amenable to solution using higher-order implicit solvers. Heterogeneous computer systems that use a combination of computational hardware such as CPUs and GPUs, are attractive for scientific computing due to the potential advantages offered by GPUs for accelerating data-parallel operations. We present a C++ library that implements data-parallel methods on both CPU and GPUs. The finite volume discretisation is expressed in terms of these data-parallel operations, which gives an efficient implementation of the nonlinear residual function. This makes the implicit solution of the DAE system possible on the GPU, because the inexact Newton-Krylov method used by the implicit time stepping scheme can approximate the action of a matrix on a vector using residual evaluations. We also propose preconditioning strategies that are amenable to GPU implementation, so that all computationally-intensive aspects of the implicit time stepping scheme are implemented on the GPU. Results are presented that demonstrate the efficiency and accuracy of the proposed numeric methods and formulation. The formulation offers excellent conservation of mass, and higher-order temporal integration increases both numeric efficiency and accuracy of the solutions. Flux limiting produces accurate, oscillation-free solutions on coarse meshes, where much finer meshes are required to obtain solutions with equivalent accuracy using upstream weighting. The computational efficiency of the software is investigated using CPUs and GPUs on a high-performance workstation. The GPU version offers considerable speedup over the CPU version, with one GPU giving speedup factor of 3 over the eight-core CPU implementation.

A new grouping genetic algorithm for the MapReduce placement problem in cloud computing

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. From the computational point of view, the mappers/reducers placement problem is a generation of the classical bin packing problem, which is NPcomplete. Thus, in this paper we propose a new grouping genetic algorithm for the mappers/reducers placement problem in cloud computing. Compared with the original one, our grouping genetic algorithm uses an innovative coding scheme and also eliminates the inversion operator which is an essential operator in the original grouping genetic algorithm. The new grouping genetic algorithm is evaluated by experiments and the experimental results show that it is much more efficient than four popular algorithms for the problem, including the original grouping genetic algorithm.

Parallel streaming signature EM-tree: A clustering algorithm for web scale applications

The proliferation of the web presents an unsolved problem of automatically analyzing billions of pages of natural language. We introduce a scalable algorithm that clusters hundreds of millions of web pages into hundreds of thousands of clusters. It does this on a single mid-range machine using efficient algorithms and compressed document representations. It is applied to two web-scale crawls covering tens of terabytes. ClueWeb09 and ClueWeb12 contain 500 and 733 million web pages and were clustered into 500,000 to 700,000 clusters. To the best of our knowledge, such fine grained clustering has not been previously demonstrated. Previous approaches clustered a sample that limits the maximum number of discoverable clusters. The proposed EM-tree algorithm uses the entire collection in clustering and produces several orders of magnitude more clusters than the existing algorithms. Fine grained clustering is necessary for meaningful clustering in massive collections where the number of distinct topics grows linearly with collection size. These fine-grained clusters show an improved cluster quality when assessed with two novel evaluations using ad hoc search relevance judgments and spam classifications for external validation. These evaluations solve the problem of assessing the quality of clusters where categorical labeling is unavailable and unfeasible.

A heterogeneous computing approach to simulation of the Heston Stochastic Volatility Model

Stochastic volatility models are of fundamental importance to the pricing of derivatives. One of the most commonly used models of stochastic volatility is the Heston Model in which the price and volatility of an asset evolve as a pair of coupled stochastic differential equations. The computation of asset prices and volatilities involves the simulation of many sample trajectories with conditioning. The problem is treated using the method of particle filtering. While the simulation of a shower of particles is computationally expensive, each particle behaves independently making such simulations ideal for massively parallel heterogeneous computing platforms. In this paper, we present our portable Opencl implementation of the Heston model and discuss its performance and efficiency characteristics on a range of architectures including Intel cpus, Nvidia gpus, and Intel Many-Integrated-Core (mic) accelerators.