Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Multivariate volatility forecasts are an important input in many financial applications, in particular portfolio optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is obvious that selecting the optimal forecasting model is challenging. The aim of this thesis is to thoroughly investigate how effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions are at discriminating between competing multivariate volatility forecasts. An analytical investigation of the loss functions is performed to determine whether they identify the correct forecast as the best forecast. This is followed by an extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical power within tests of predictive ability. For the tests of predictive ability, the model confidence set (MCS) approach of Hansen, Lunde and Nason (2003, 2011) is employed. As well, an empirical study investigates whether simulation findings hold in a realistic setting. In light of these earlier studies, a major empirical study seeks to identify the set of superior multivariate volatility forecasting models from 43 models that use either daily squared returns or realised volatility to generate forecasts. This study also assesses how the choice of volatility proxy affects the ability of the statistical loss functions to discriminate between forecasts. Analysis of the loss functions shows that QLIKE, MSE and portfolio variance can discriminate between multivariate volatility forecasts, while portfolio utility cannot. An examination of the effective loss functions shows that they all can identify the correct forecast at a point in time, however, their ability to discriminate between competing forecasts does vary. That is, QLIKE is identified as the most effective loss function, followed by portfolio variance which is then followed by MSE. The major empirical analysis reports that the optimal set of multivariate volatility forecasting models includes forecasts generated from daily squared returns and realised volatility. Furthermore, it finds that the volatility proxy affects the statistical loss functions’ ability to discriminate between forecasts in tests of predictive ability. These findings deepen our understanding of how to choose between competing multivariate volatility forecasts.

Event-related brain potentials dissociate the developmental time-course of automatic numerical magnitude analysis and cognitive control functions during the first three years of primary school

In this study we set out to dissociate the developmental time course of automatic symbolic number processing and cognitive control functions in grade 1-3 British primary school children. Event-related potential (ERP) and behavioral data were collected in a physical size discrimination numerical Stroop task. Task-irrelevant numerical information was processed automatically already in grade 1. Weakening interference and strengthening facilitation indicated the parallel development of general cognitive control and automatic number processing. Relationships among ERP and behavioral effects suggest that control functions play a larger role in younger children and that automaticity of number processing increases from grade 1 to 3.

Structural damage detection using frequency response functions and neural networks

This paper illustrates the damage identification and condition assessment of a three story bookshelf structure using a new frequency response functions (FRFs) based damage index and Artificial Neural Networks (ANNs). A major obstacle of using measured frequency response function data is a large size input variables to ANNs. This problem is overcome by applying a data reduction technique called principal component analysis (PCA). In the proposed procedure, ANNs with their powerful pattern recognition and classification ability were used to extract damage information such as damage locations and severities from measured FRFs. Therefore, simple neural network models are developed, trained by Back Propagation (BP), to associate the FRFs with the damage or undamaged locations and severity of the damage of the structure. Finally, the effectiveness of the proposed method is illustrated and validated by using the real data provided by the Los Alamos National Laboratory, USA. The illustrated results show that the PCA based artificial Neural Network method is suitable and effective for damage identification and condition assessment of building structures. In addition, it is clearly demonstrated that the accuracy of proposed damage detection method can also be improved by increasing number of baseline datasets and number of principal components of the baseline dataset.

Structural damage identification with noise polluted Frequency Response Functions (FRFs)

Damage detection in structures has become increasingly important in recent years. While a number of damage detection and localization methods have been proposed, very few attempts have been made to explore the structure damage with noise polluted data which is unavoidable effect in real world. The measurement data are contaminated by noise because of test environment as well as electronic devices and this noise tend to give error results with structural damage identification methods. Therefore it is important to investigate a method which can perform better with noise polluted data. This paper introduces a new damage index using principal component analysis (PCA) for damage detection of building structures being able to accept noise polluted frequency response functions (FRFs) as input. The FRF data are obtained from the function datagen of MATLAB program which is available on the web site of the IASC-ASCE (International Association for Structural Control– American Society of Civil Engineers) Structural Health Monitoring (SHM) Task Group. The proposed method involves a five-stage process: calculation of FRFs, calculation of damage index values using proposed algorithm, development of the artificial neural networks and introducing damage indices as input parameters and damage detection of the structure. This paper briefly describes the methodology and the results obtained in detecting damage in all six cases of the benchmark study with different noise levels. The proposed method is applied to a benchmark problem sponsored by the IASC-ASCE Task Group on Structural Health Monitoring, which was developed in order to facilitate the comparison of various damage identification methods. The illustrated results show that the PCA-based algorithm is effective for structural health monitoring with noise polluted FRFs which is of common occurrence when dealing with industrial structures.

A novel quadratic Edge-based Smoothed Conforming Point Interpolation Method (ES-CPIM) for elasticity problems

his paper formulates an edge-based smoothed conforming point interpolation method (ES-CPIM) for solid mechanics using the triangular background cells. In the ES-CPIM, a technique for obtaining conforming PIM shape functions (CPIM) is used to create a continuous and piecewise quadratic displacement field over the whole problem domain. The smoothed strain field is then obtained through smoothing operation over each smoothing domain associated with edges of the triangular background cells. The generalized smoothed Galerkin weak form is then used to create the discretized system equations. Numerical studies have demonstrated that the ES-CPIM possesses the following good properties: (1) ES-CPIM creates conforming quadratic PIM shape functions, and can always pass the standard patch test; (2) ES-CPIM produces a quadratic displacement field without introducing any additional degrees of freedom; (3) The results of ES-CPIM are generally of very high accuracy.

Automatic Audio Segmentation Using the Generalized Likelihood Ratio

This paper presents a novel technique for segmenting an audio stream into homogeneous regions according to speaker identities, background noise, music, environmental and channel conditions. Audio segmentation is useful in audio diarization systems, which aim to annotate an input audio stream with information that attributes temporal regions of the audio into their specific sources. The segmentation method introduced in this paper is performed using the Generalized Likelihood Ratio (GLR), computed between two adjacent sliding windows over preprocessed speech. This approach is inspired by the popular segmentation method proposed by the pioneering work of Chen and Gopalakrishnan, using the Bayesian Information Criterion (BIC) with an expanding search window. This paper will aim to identify and address the shortcomings associated with such an approach. The result obtained by the proposed segmentation strategy is evaluated on the 2002 Rich Transcription (RT-02) Evaluation dataset, and a miss rate of 19.47% and a false alarm rate of 16.94% is achieved at the optimal threshold.

A comparison of safety climate and safety outcomes between construction and resource functions in a large case study organisation

The research described in this paper forms part of an in-depth investigation of safety culture in one of Australia’s largest construction companies. The research builds on a previous qualitative study with organisational safety leaders and further investigates how safety culture is perceived and experienced by organisational members, as well as how this relates to their safety behaviour and related outcomes at work. Participants were 2273 employees of the case study organisation, with 689 from the Construction function and 1584 from the Resources function. The results of several analyses revealed some interesting organisational variance on key measures. Specifically, the Construction function scored significantly higher on all key measures: safety climate, safety motivation, safety compliance, and safety participation. The results are discussed in terms of relevance in an applied research context.

Planar difference functions

In 1980 Alltop produced a family of cubic phase sequences that nearly meet the Welch bound for maximum non-peak correlation magnitude. This family of sequences were shown by Wooters and Fields to be useful for quantum state tomography. Alltop’s construction used a function that is not planar, but whose difference function is planar. In this paper we show that Alltop type functions cannot exist in fields of characteristic 3 and that for a known class of planar functions, x^3 is the only Alltop type function.

Principles of motor learning in ecological dynamics : a comment on functions of learning and the acquisition of motor skills (with reference to sport)

This paper provides a commentary on the contribution by Dr Chow who questioned whether the functions of learning are general across all categories of tasks or whether there are some task-particular aspects to the functions of learning in relation to task type. Specifically, they queried whether principles and practice for the acquisition of sport skills are different than what they are for musical, industrial, military and human factors skills. In this commentary we argue that ecological dynamics contains general principles of motor learning that can be instantiated in specific performance contexts to underpin learning design. In this proposal, we highlight the importance of conducting skill acquisition research in sport, rather than relying on empirical outcomes of research from a variety of different performance contexts. Here we discuss how task constraints of different performance contexts (sport, industry, military, music) provide different specific information sources that individuals use to couple their actions when performing and acquiring skills. We conclude by suggesting that his relationship between performance task constraints and learning processes might help explain the traditional emphasis on performance curves and performance outcomes to infer motor learning.

Exploring the validity and predictive power of an extended volunteer functions inventory within the context of episodic skilled volunteering by retirees

The current study examined the structure of the volunteer functions inventory within a sample of older individuals (N = 187). The career items were replaced with items examining the concept of continuity of work, a potentially more useful and relevant concept for this population. Factor analysis supported a four factor solution, with values, social and continuity emerging as single factors and enhancement and protective items loading together on a single factor. Understanding items did not load highly on any factor. The values and continuity functions were the only dimensions to emerge as predictors of intention to volunteer. This research has important implications for understanding the motivation of older adults to engage in contemporary volunteering settings.

Numerical methods of the variable-order Rayleigh-Stokes problem for a heated generalized second grade fluid with fractional derivative

Rayleigh–Stokes problems have in recent years received much attention due to their importance in physics. In this article, we focus on the variable-order Rayleigh–Stokes problem for a heated generalized second grade fluid with fractional derivative. Implicit and explicit numerical methods are developed to solve the problem. The convergence, stability of the numerical methods and solvability of the implicit numerical method are discussed via Fourier analysis. Moreover, a numerical example is given and the results support the effectiveness of the theoretical analysis.

Robust image hash functions using higher order spectra

Robust hashing is an emerging field that can be used to hash certain data types in applications unsuitable for traditional cryptographic hashing methods. Traditional hashing functions have been used extensively for data/message integrity, data/message authentication, efficient file identification and password verification. These applications are possible because the hashing process is compressive, allowing for efficient comparisons in the hash domain but non-invertible meaning hashes can be used without revealing the original data. These techniques were developed with deterministic (non-changing) inputs such as files and passwords. For such data types a 1-bit or one character change can be significant, as a result the hashing process is sensitive to any change in the input. Unfortunately, there are certain applications where input data are not perfectly deterministic and minor changes cannot be avoided. Digital images and biometric features are two types of data where such changes exist but do not alter the meaning or appearance of the input. For such data types cryptographic hash functions cannot be usefully applied. In light of this, robust hashing has been developed as an alternative to cryptographic hashing and is designed to be robust to minor changes in the input. Although similar in name, robust hashing is fundamentally different from cryptographic hashing. Current robust hashing techniques are not based on cryptographic methods, but instead on pattern recognition techniques. Modern robust hashing algorithms consist of feature extraction followed by a randomization stage that introduces non-invertibility and compression, followed by quantization and binary encoding to produce a binary hash output. In order to preserve robustness of the extracted features, most randomization methods are linear and this is detrimental to the security aspects required of hash functions. Furthermore, the quantization and encoding stages used to binarize real-valued features requires the learning of appropriate quantization thresholds. How these thresholds are learnt has an important effect on hashing accuracy and the mere presence of such thresholds are a source of information leakage that can reduce hashing security. This dissertation outlines a systematic investigation of the quantization and encoding stages of robust hash functions. While existing literature has focused on the importance of quantization scheme, this research is the first to emphasise the importance of the quantizer training on both hashing accuracy and hashing security. The quantizer training process is presented in a statistical framework which allows a theoretical analysis of the effects of quantizer training on hashing performance. This is experimentally verified using a number of baseline robust image hashing algorithms over a large database of real world images. This dissertation also proposes a new randomization method for robust image hashing based on Higher Order Spectra (HOS) and Radon projections. The method is non-linear and this is an essential requirement for non-invertibility. The method is also designed to produce features more suited for quantization and encoding. The system can operate without the need for quantizer training, is more easily encoded and displays improved hashing performance when compared to existing robust image hashing algorithms. The dissertation also shows how the HOS method can be adapted to work with biometric features obtained from 2D and 3D face images.