Benchmark Status in Fixed-Income Asset Markets

What is a benchmark bond? We provide a formal theoretical treatment of this concept that relates endogenously determined benchmark status to the location of price discovery and we derive its implications. We describe a rich but little used econometric technique for identifying the benchmark that is congruent with our theoretical framework. We apply this in the context of the US corporate bond market and to the natural experiment that occurred when benchmark status was contested in the European sovereign bond markets after the introduction of the Euro. We show that France provides the benchmark at most maturities in the Euro-denominated sovereign bond market and that IBM provides the benchmark in the 10 year maturity in the US corporate bond market.

PLS modelling and fault detection on the Tennessee Eastman benchmark

This paper describes the application of multivariate regression techniques to the Tennessee Eastman benchmark process for modelling and fault detection. Two methods are applied : linear partial least squares, and a nonlinear variant of this procedure using a radial basis function inner relation. The performance of the RBF networks is enhanced through the use of a recently developed training algorithm which uses quasi-Newton optimization to ensure an efficient and parsimonious network; details of this algorithm can be found in this paper. The PLS and PLS/RBF methods are then used to create on-line inferential models of delayed process measurements. As these measurements relate to the final product composition, these models suggest that on-line statistical quality control analysis should be possible for this plant. The generation of `soft sensors' for these measurements has the further effect of introducing a redundant element into the system, redundancy which can then be used to generate a fault detection and isolation scheme for these sensors. This is achieved by arranging the sensors and models in a manner comparable to the dedicated estimator scheme of Clarke et al. 1975, IEEE Trans. Pero. Elect. Sys., AES-14R, 465-473. The effectiveness of this scheme is demonstrated on a series of simulated sensor and process faults, with full detection and isolation shown to be possible for sensor malfunctions, and detection feasible in the case of process faults. Suggestions for enhancing the diagnostic capacity in the latter case are covered towards the end of the paper.

Do benchmark African equity indices exhibit the stylized facts?

This paper investigates if benchmark African equity indices exhibit the stylized facts reported for financial time-series returns. The returns distributions of the Africa All-Share, Large, Medium and Small Company Indices were found to be leptokurtotic, had fat-tails, over time experienced volatility clustering and exhibited long memory in volatility. Both the All-Share and Large Company Indices were found to exhibit leverage effects. In contrast, positive shocks had a greater impact on future volatility for the Small Company Index which implies a reverse leverage effect. This finding could reflect a bull/bubble market for small capitalisation stocks in Africa.

Asymmetric profiles observed in the recombination of Bi79+: A benchmark for relativistic theories involving interference

Asymmetric profiles have been observed in the recombination cross section of Be-like Bi obtained by measuring the electron energy dependence of the ion abundance ratio in an electron-beam ion trap. In contrast to the previous x-ray measurements, the present measurement gives the integrated recombination cross section with higher statistical quality, which provides a benchmark to test the relativistic theory involving the interference between the resonant and continuum states. The comparison with our theoretical study shows that the Breit interaction plays an important role in this case.

Metastatic non-small cell lung cancer: a benchmark for quality end-of-life cancer care?

Objectives: To investigate the quality of end-of-life care for patients with metastatic non-small cell lung cancer (NSCLC). Design and participants: Retrospective cohort study of patients from first hospitalisation for metastatic disease until death, using hospital, emergency department and death registration data from Victoria, Australia, between 1 July 2003 and 30 June 2010. Main outcome measures: Emergency department and hospital use; aggressiveness of care including intensive care and chemotherapy in last 30 days; palliative and supportive care provision; and place of death. Results: Metastatic NSCLC patients underwent limited aggressive treatment such as intensive care (5%) and chemotherapy (< 1%) at the end of life; however, high numbers died in acute hospitals (42%) and 61% had a length of stay of greater than 14 days in the last month of life. Although 62% were referred to palliative care services, this occurred late in the illness. In a logistic regression model adjusted for year of metastasis, age, sex, metastatic site and survival, the odds ratio (OR) of dying in an acute hospital bed compared with death at home or in a hospice unit decreased with receipt of palliative care (OR, 0.25; 95% CI, 0.21–0.30) and multimodality supportive care (OR, 0.65; 95% CI, 0.56–0.75). Conclusion: Because early palliative care for patients with metastatic NSCLC is recommended, we propose that this group be considered a benchmark of quality end-of-life care. Future work is required to determine appropriate quality-of-care targets in this and other cancer patient cohorts, with particular focus on the timeliness of palliative care engagement.

Two Birds, One Stone: Combining Student Assessment and Socio-Legal Research

We describe here a method of assessment for students. A number of short-comings of traditional assessment methods, especially essays and examinations, are discussed and an alternative assessment method, the student project, is suggested. The method aims not just to overcome the short-comings of more traditional methods, but also to provide over-worked and under-resourced academics with viable primary data for socio-legal research work. Limitations to the method are discussed, with proposals for minimising the impact of these limitations. The whole �student project� approach is also discussed with reference to the Quality Assurance Agency benchmark standards for law degrees, standards which are expected of all institutions in the UK.

An Extended Implementation of the Great Deluge Algorithm for Course Timetabling

Course Scheduling consists of assigning lecture events to a limited set of specific timeslots and rooms. The objective is to satisfy as many soft constraints as possible, while maintaining a feasible solution timetable. The most successful techniques to date require a compute-intensive examination of the solution neighbourhood to direct searches to an optimum solution. Although they may require fewer neighbourhood moves than more exhaustive techniques to gain comparable results, they can take considerably longer to achieve success. This paper introduces an extended version of the Great Deluge Algorithm for the Course Timetabling problem which, while avoiding the problem of getting trapped in local optima, uses simple Neighbourhood search heuristics to obtain solutions in a relatively short amount of time. The paper presents results based on a standard set of benchmark datasets, beating over half of the currently published best results with in some cases up to 60% of an improvement.

Distribution-based adaptive bounding genetic algorithm for continuous optimisation problems

A new search-space-updating technique for genetic algorithms is proposed for continuous optimisation problems. Other than gradually reducing the search space during the evolution process with a fixed reduction rate set ‘a priori’, the upper and the lower boundaries for each variable in the objective function are dynamically adjusted based on its distribution statistics. To test the effectiveness, the technique is applied to a number of benchmark optimisation problems in comparison with three other techniques, namely the genetic algorithms with parameter space size adjustment (GAPSSA) technique [A.B. Djurišic, Elite genetic algorithms with adaptive mutations for solving continuous optimization problems – application to modeling of the optical constants of solids, Optics Communications 151 (1998) 147–159], successive zooming genetic algorithm (SZGA) [Y. Kwon, S. Kwon, S. Jin, J. Kim, Convergence enhanced genetic algorithm with successive zooming method for solving continuous optimization problems, Computers and Structures 81 (2003) 1715–1725] and a simple GA. The tests show that for well-posed problems, existing search space updating techniques perform well in terms of convergence speed and solution precision however, for some ill-posed problems these techniques are statistically inferior to a simple GA. All the tests show that the proposed new search space update technique is statistically superior to its counterparts.

FPGA-based minutia matching for biometric fingerprint image database retrieval

In this paper, a parallel-matching processor architecture with early jump-out (EJO) control is proposed to carry out high-speed biometric fingerprint database retrieval. The processor performs the fingerprint retrieval by using minutia point matching. An EJO method is applied to the proposed architecture to speed up the large database retrieval. The processor is implemented on a Xilinx Virtex-E, and occupies 6,825 slices and runs at up to 65 MHz. The software/hardware co-simulation benchmark with a database of 10,000 fingerprints verifies that the matching speed can achieve the rate of up to 1.22 million fingerprints per second. EJO results in about a 22% gain in computing efficiency.

Stochastic protein folding simulation in the three-dimensional HP-model

We present results from three-dimensional protein folding simulations in the HP-model on ten benchmark problems. The simulations are executed by a simulated annealing-based algorithm with a time-dependent cooling schedule. The neighbourhood relation is determined by the pull-move set. The results provide experimental evidence that the maximum depth D of local minima of the underlying energy landscape can be upper bounded by D < n(2/3). The local search procedure employs the stopping criterion (In/delta)(D/gamma) where m is an estimation of the average number of neighbouring conformations, gamma relates to the mean of non-zero differences of the objective function for neighbouring conformations, and 1-delta is the confidence that a minimum conformation has been found. The bound complies with the results obtained for the ten benchmark problems. (c) 2008 Elsevier Ltd. All rights reserved.