Outdoor simultaneous localisation and mapping using RatSLAM

In this paper an existing method for indoor Simultaneous Localisation and Mapping (SLAM) is extended to operate in large outdoor environments using an omnidirectional camera as its principal external sensor. The method, RatSLAM, is based upon computational models of the area in the rat brain that maintains the rodent’s idea of its position in the world. The system uses the visual appearance of different locations to build hybrid spatial-topological maps of places it has experienced that facilitate relocalisation and path planning. A large dataset was acquired from a dynamic campus environment and used to verify the system’s ability to construct representations of the world and simultaneously use these representations to maintain localisation.

A biphasic scaffold design combined with cell sheet technology for simultaneous regeneration of alveolar bone/periodontal ligament complex

This study describes the design of a biphasic scaffold composed of a Fused Deposition Modeling scaffold (bone compartment) and an electrospun membrane (periodontal compartment) for periodontal regeneration. In order to achieve simultaneous alveolar bone and periodontal ligament regeneration a cell-based strategy was carried out by combining osteoblast culture in the bone compartment and placement of multiple periodontal ligament (PDL) cell sheets on the electrospun membrane. In vitro data showed that the osteoblasts formed mineralized matrix in the bone compartment after 21 days in culture and that the PDL cell sheet harvesting did not induce significant cell death. The cell-seeded biphasic scaffolds were placed onto a dentin block and implanted for 8 weeks in an athymic rat subcutaneous model. The scaffolds were analyzed by μCT, immunohistochemistry and histology. In the bone compartment, a more intense ALP staining was obtained following seeding with osteoblasts, confirming the μCT results which showed higher mineralization density for these scaffolds. A thin mineralized cementum-like tissue was deposited on the dentin surface for the scaffolds incorporating the multiple PDL cell sheets, as observed by H&E and Azan staining. These scaffolds also demonstrated better attachment onto the dentin surface compared to no attachment when no cell sheets were used. In addition, immunohistochemistry revealed the presence of CEMP1 protein at the interface with the dentine. These results demonstrated that the combination of multiple PDL cell sheets and a biphasic scaffold allows the simultaneous delivery of the cells necessary for in vivo regeneration of alveolar bone, periodontal ligament and cementum. © 2012 Elsevier Ltd.

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.

Forecasting volatility and correlation : the role of option implied measures

Forecasts of volatility and correlation are important inputs into many practical financial problems. Broadly speaking, there are two ways of generating forecasts of these variables. Firstly, time-series models apply a statistical weighting scheme to historical measurements of the variable of interest. The alternative methodology extracts forecasts from the market traded value of option contracts. An efficient options market should be able to produce superior forecasts as it utilises a larger information set of not only historical information but also the market equilibrium expectation of options market participants. While much research has been conducted into the relative merits of these approaches, this thesis extends the literature along several lines through three empirical studies. Firstly, it is demonstrated that there exist statistically significant benefits to taking the volatility risk premium into account for the implied volatility for the purposes of univariate volatility forecasting. Secondly, high-frequency option implied measures are shown to lead to superior forecasts of the intraday stochastic component of intraday volatility and that these then lead on to superior forecasts of intraday total volatility. Finally, the use of realised and option implied measures of equicorrelation are shown to dominate measures based on daily returns.

On the efficacy of techniques for evaluating multivariate volatility forecasts

The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that a statistical-based method based on likelihood theory and an economic loss function based on portfolio variance are the most effective means of identifying optimal forecasts of conditional covariance matrices.

On the prediction of simultaneous inbreeding coefficients at multiple loci

A new deterministic method for predicting simultaneous inbreeding coefficients at three and four loci is presented. The method involves calculating the conditional probability of IBD (identical by descent) at one locus given IBD at other loci, and multiplying this probability by the prior probability of the latter loci being simultaneously IBD. The conditional probability is obtained applying a novel regression model, and the prior probability from the theory of digenic measures of Weir and Cockerham. The model was validated for a finite monoecious population mating at random, with a constant effective population size, and with or without selfing, and also for an infinite population with a constant intermediate proportion of selfing. We assumed discrete generations. Deterministic predictions were very accurate when compared with simulation results, and robust to alternative forms of implementation. These simultaneous inbreeding coefficients were more sensitive to changes in effective population size than in marker spacing. Extensions to predict simultaneous inbreeding coefficients at more than four loci are now possible.

Essays on volatility and liquidity in financial markets

The price formation of financial assets is a complex process. It extends beyond the standard economic paradigm of supply and demand to the understanding of the dynamic behavior of price variability, the price impact of information, and the implications of trading behavior of market participants on prices. In this thesis, I study aggregate market and individual assets volatility, liquidity dimensions, and causes of mispricing for US equities over a recent sample period. How volatility forecasts are modeled, what determines intradaily jumps and causes changes in intradaily volatility and what drives the premium of traded equity indexes? Are they induced, for example, by the information content of lagged volatility and return parameters or by macroeconomic news, changes in liquidity and volatility? Besides satisfying our intellectual curiosity, answers to these questions are of direct importance to investors developing trading strategies, policy makers evaluating macroeconomic policies and to arbitrageurs exploiting mispricing in exchange-traded funds. Results show that the leverage effect and lagged absolute returns improve forecasts of continuous components of daily realized volatility as well as jumps. Implied volatility does not subsume the information content of lagged returns in forecasting realized volatility and its components. The reported results are linked to the heterogeneous market hypothesis and demonstrate the validity of extending the hypothesis to returns. Depth shocks, signed order flow, the number of trades, and resiliency are the most important determinants of intradaily volatility. In contrast, spread shock and resiliency are predictive of signed intradaily jumps. There are fewer macroeconomic news announcement surprises that cause extreme price movements or jumps than those that elevate intradaily volatility. Finally, the premium of exchange-traded funds is significantly associated with momentum in net asset value and a number of liquidity parameters including the spread, traded volume, and illiquidity. The mispricing of industry exchange traded funds suggest that limits to arbitrage are driven by potential illiquidity.

The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks

Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.