Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.

Neonatal EEG classification using atomic decomposition

The electroencephalogram (EEG) is an important noninvasive tool used in the neonatal intensive care unit (NICU) for the neurologic evaluation of the sick newborn infant. It provides an excellent assessment of at-risk newborns and formulates a prognosis for long-term neurologic outcome.The automated analysis of neonatal EEG data in the NICU can provide valuable information to the clinician facilitating medical intervention. The aim of this thesis is to develop a system for automatic classification of neonatal EEG which can be mainly divided into two parts: (1) classification of neonatal EEG seizure from nonseizure, and (2) classifying neonatal background EEG into several grades based on the severity of the injury using atomic decomposition. Atomic decomposition techniques use redundant time-frequency dictionaries for sparse signal representations or approximations. The first novel contribution of this thesis is the development of a novel time-frequency dictionary coherent with the neonatal EEG seizure states. This dictionary was able to track the time-varying nature of the EEG signal. It was shown that by using atomic decomposition and the proposed novel dictionary, the neonatal EEG transition from nonseizure to seizure states could be detected efficiently. The second novel contribution of this thesis is the development of a neonatal seizure detection algorithm using several time-frequency features from the proposed novel dictionary. It was shown that the time-frequency features obtained from the atoms in the novel dictionary improved the seizure detection accuracy when compared to that obtained from the raw EEG signal. With the assistance of a supervised multiclass SVM classifier and several timefrequency features, several methods to automatically grade EEG were explored. In summary, the novel techniques proposed in this thesis contribute to the application of advanced signal processing techniques for automatic assessment of neonatal EEG recordings.

The role of synchronization in digital communications using chaos - Part II: Chaotic modulation and chaotic synchronization.

For pt. I see ibid., vol. 44, p. 927-36 (1997). In a digital communications system, data are transmitted from one location to another by mapping bit sequences to symbols, and symbols to sample functions of analog waveforms. The analog waveform passes through a bandlimited (possibly time-varying) analog channel, where the signal is distorted and noise is added. In a conventional system the analog sample functions sent through the channel are weighted sums of one or more sinusoids; in a chaotic communications system the sample functions are segments of chaotic waveforms. At the receiver, the symbol may be recovered by means of coherent detection, where all possible sample functions are known, or by noncoherent detection, where one or more characteristics of the sample functions are estimated. In a coherent receiver, synchronization is the most commonly used technique for recovering the sample functions from the received waveform. These sample functions are then used as reference signals for a correlator. Synchronization-based coherent receivers have advantages over noncoherent receivers in terms of noise performance, bandwidth efficiency (in narrow-band systems) and/or data rate (in chaotic systems). These advantages are lost if synchronization cannot be maintained, for example, under poor propagation conditions. In these circumstances, communication without synchronization may be preferable. The theory of conventional telecommunications is extended to chaotic communications, chaotic modulation techniques and receiver configurations are surveyed, and chaotic synchronization schemes are described