An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

Open Source Telecommunications Framework for Time-Series Data from Smart Grid Sensors.

This paper presents a framework for a telecommunications interface which allows data from sensors embedded in Smart Grid applications to reliably archive data in an appropriate time-series database. The challenge in doing so is two-fold, firstly the various formats in which sensor data is represented, secondly the problems of telecoms reliability. A prototype of the authors' framework is detailed which showcases the main features of the framework in a case study featuring Phasor Measurement Units (PMU) as the application. Useful analysis of PMU data is achieved whenever data from multiple locations can be compared on a common time axis. The prototype developed highlights its reliability, extensibility and adoptability; features which are largely deferred from industry standards for data representation to proprietary database solutions. The open source framework presented provides link reliability for any type of Smart Grid sensor and is interoperable with existing proprietary database systems, and open database systems. The features of the authors' framework allow for researchers and developers to focus on the core of their real-time or historical analysis applications, rather than having to spend time interfacing with complex protocols.

An optimized stereo vision implementation for embedded systems: application to RGB and Infra-Red images

The aim of this paper is to demonstrate the applicability and the effectiveness of a computationally demanding stereo matching algorithm in different lowcost and low-complexity embedded devices, by focusing on the analysis of timing and image quality performances. Various optimizations have been implemented to allow its deployment on specific hardware architectures while decreasing memory and processing time requirements: (1) reduction of color channel information and resolution for input images, (2) low-level software optimizations such as parallel computation, replacement of function calls or loop unrolling, (3) reduction of redundant data structures and internal data representation. The feasibility of a stereovision system on a low cost platform is evaluated by using standard datasets and images taken from Infra-Red (IR) cameras. Analysis of the resulting disparity map accuracy with respect to a full-size dataset is performed as well as the testing of suboptimal solutions

Shortening design time through multiplatform simulations with a portable OpenCL golden-model: the LDPC decoder case

Hardware designers and engineers typically need to explore a multi-parametric design space in order to find the best configuration for their designs using simulations that can take weeks to months to complete. For example, designers of special purpose chips need to explore parameters such as the optimal bitwidth and data representation. This is the case for the development of complex algorithms such as Low-Density Parity-Check (LDPC) decoders used in modern communication systems. Currently, high-performance computing offers a wide set of acceleration options, that range from multicore CPUs to graphics processing units (GPUs) and FPGAs. Depending on the simulation requirements, the ideal architecture to use can vary. In this paper we propose a new design flow based on OpenCL, a unified multiplatform programming model, which accelerates LDPC decoding simulations, thereby significantly reducing architectural exploration and design time. OpenCL-based parallel kernels are used without modifications or code tuning on multicore CPUs, GPUs and FPGAs. We use SOpenCL (Silicon to OpenCL), a tool that automatically converts OpenCL kernels to RTL for mapping the simulations into FPGAs. To the best of our knowledge, this is the first time that a single, unmodified OpenCL code is used to target those three different platforms. We show that, depending on the design parameters to be explored in the simulation, on the dimension and phase of the design, the GPU or the FPGA may suit different purposes more conveniently, providing different acceleration factors. For example, although simulations can typically execute more than 3x faster on FPGAs than on GPUs, the overhead of circuit synthesis often outweighs the benefits of FPGA-accelerated execution.

Enhancing design space exploration by extending CPU/GPU specifications onto FPGAs

The design cycle for complex special-purpose computing systems is extremely costly and time-consuming. It involves a multiparametric design space exploration for optimization, followed by design verification. Designers of special purpose VLSI implementations often need to explore parameters, such as optimal bitwidth and data representation, through time-consuming Monte Carlo simulations. A prominent example of this simulation-based exploration process is the design of decoders for error correcting systems, such as the Low-Density Parity-Check (LDPC) codes adopted by modern communication standards, which involves thousands of Monte Carlo runs for each design point. Currently, high-performance computing offers a wide set of acceleration options that range from multicore CPUs to Graphics Processing Units (GPUs) and Field Programmable Gate Arrays (FPGAs). The exploitation of diverse target architectures is typically associated with developing multiple code versions, often using distinct programming paradigms. In this context, we evaluate the concept of retargeting a single OpenCL program to multiple platforms, thereby significantly reducing design time. A single OpenCL-based parallel kernel is used without modifications or code tuning on multicore CPUs, GPUs, and FPGAs. We use SOpenCL (Silicon to OpenCL), a tool that automatically converts OpenCL kernels to RTL in order to introduce FPGAs as a potential platform to efficiently execute simulations coded in OpenCL. We use LDPC decoding simulations as a case study. Experimental results were obtained by testing a variety of regular and irregular LDPC codes that range from short/medium (e.g., 8,000 bit) to long length (e.g., 64,800 bit) DVB-S2 codes. We observe that, depending on the design parameters to be simulated, on the dimension and phase of the design, the GPU or FPGA may suit different purposes more conveniently, thus providing different acceleration factors over conventional multicore CPUs.

Feature Selection for Anomaly Detection Using Optical Emission Spectroscopy

To maintain the pace of development set by Moore's law, production processes in semiconductor manufacturing are becoming more and more complex. The development of efficient and interpretable anomaly detection systems is fundamental to keeping production costs low. As the dimension of process monitoring data can become extremely high anomaly detection systems are impacted by the curse of dimensionality, hence dimensionality reduction plays an important role. Classical dimensionality reduction approaches, such as Principal Component Analysis, generally involve transformations that seek to maximize the explained variance. In datasets with several clusters of correlated variables the contributions of isolated variables to explained variance may be insignificant, with the result that they may not be included in the reduced data representation. It is then not possible to detect an anomaly if it is only reflected in such isolated variables. In this paper we present a new dimensionality reduction technique that takes account of such isolated variables and demonstrate how it can be used to build an interpretable and robust anomaly detection system for Optical Emission Spectroscopy data.

A Longitudinal and Contextual Analysis of Media Representation of Business Ethics

Purpose – The purpose of this paper is to present an analysis of media representation of business ethics within 62 international newspapers to explore the longitudinal and contextual evolution of business ethics and associated terminology. Levels of coverage and contextual analysis of the content of the articles are used as surrogate measures of the penetration of business ethics concepts into society. Design/methodology/approach – This paper uses a text mining application based on two samples of data: analysis of 62 national newspapers in 21 countries from 1990 to 2008; analysis of the content of two samples of articles containing the term business ethics (comprised of 100 newspaper articles spread over an 18-year period from a sample of US and UK newspapers). Findings – The paper demonstrates increased coverage of sustainability topics within the media over the last 18 years associated with events such as the Rio Summit. Whilst some peaks are associated with business ethics scandals, the overall coverage remains steady. There is little apparent use in the media of concepts such as corporate citizenship. The academic community and company ethical codes appear to adopt a wider definition of business ethics more akin to that associated with sustainability, in comparison with the focus taken by the media, especially in the USA. Coverage demonstrates clear regional bias and contextual analysis of the articles in the UK and USA also shows interesting parallels and divergences in the media representation of business ethics. Originality/value – A promising avenue to explore how the evolution of sustainability issues including business ethics can be tracked within a societal context.

Incremental learning from stream data

Recent years have witnessed an incredibly increasing interest in the topic of incremental learning. Unlike conventional machine learning situations, data flow targeted by incremental learning becomes available continuously over time. Accordingly, it is desirable to be able to abandon the traditional assumption of the availability of representative training data during the training period to develop decision boundaries. Under scenarios of continuous data flow, the challenge is how to transform the vast amount of stream raw data into information and knowledge representation, and accumulate experience over time to support future decision-making process. In this paper, we propose a general adaptive incremental learning framework named ADAIN that is capable of learning from continuous raw data, accumulating experience over time, and using such knowledge to improve future learning and prediction performance. Detailed system level architecture and design strategies are presented in this paper. Simulation results over several real-world data sets are used to validate the effectiveness of this method.

Investigating the efficiency of fitting Coxian phase-type distributions to health care data

Coxian phase-type distributions are becoming a popular means of representing survival times within a health care environment. They are favoured as they show a distribution as a system of phases and can allow for an easy visual representation of the rate of flow of patients through a system. Difficulties arise, however, in determining the parameter estimates of the Coxian phase-type distribution. This paper examines ways of making the fitting of the Coxian phase-type distribution less cumbersome by outlining different software packages and algorithms available to perform the fit and assessing their capabilities through a number of performance measures. The performance measures rate each of the methods and help in identifying the more efficient. Conclusions drawn from these performance measures suggest SAS to be the most robust package. It has a high rate of convergence in each of the four example model fits considered, short computational times, detailed output, convergence criteria options, along with a succinct ability to switch between different algorithms.

Max separation clustering for feature extraction from Optical Emission Spectroscopy Data

This paper proposes max separation clustering (MSC), a new non-hierarchical clustering method used for feature extraction from optical emission spectroscopy (OES) data for plasma etch process control applications. OES data is high dimensional and inherently highly redundant with the result that it is difficult if not impossible to recognize useful features and key variables by direct visualization. MSC is developed for clustering variables with distinctive patterns and providing effective pattern representation by a small number of representative variables. The relationship between signal-to-noise ratio (SNR) and clustering performance is highlighted, leading to a requirement that low SNR signals be removed before applying MSC. Experimental results on industrial OES data show that MSC with low SNR signal removal produces effective summarization of the dominant patterns in the data.

A Data Model for Content Modelling of Temporal Media

This paper describes a data model for content representation of temporal media in an IP based sensor network. The model is formed by introducing the idea of semantic-role from linguistics into the underlying concepts of formal event representation with the aim of developing a common event model. The architecture of a prototype system for a multi camera surveillance system, based on the proposed model is described. The important aspects of the proposed model are its expressiveness, its ability to model content of temporal media, and its suitability for use with a natural language interface. It also provides a platform for temporal information fusion, as well as organizing sensor annotations by help of ontologies.

Simplifying the representation of complex free-energy landscapes using sketch-map

A new scheme, sketch-map, for obtaining a low-dimensional representation of the region of phase space explored during an enhanced dynamics simulation is proposed. We show evidence, from an examination of the distribution of pairwise distances between frames, that some features of the free-energy surface are inherently high-dimensional. This makes dimensionality reduction problematic because the data does not satisfy the assumptions made in conventional manifold learning algorithms We therefore propose that when dimensionality reduction is performed on trajectory data one should think of the resultant embedding as a quickly sketched set of directions rather than a road map. In other words, the embedding tells one about the connectivity between states but does not provide the vectors that correspond to the slow degrees of freedom. This realization informs the development of sketch-map, which endeavors to reproduce the proximity information from the high-dimensionality description in a space of lower dimensionality even when a faithful embedding is not possible.

Laughter Induction Techniques Suitable for Generating Motion Capture Data of Laughter Associated Body Movements

Laughter is a frequently occurring social signal and an important part of human non-verbal communication. However it is often overlooked as a serious topic of scientific study. While the lack of research in this area is mostly due to laughter’s non-serious nature, it is also a particularly difficult social signal to produce on demand in a convincing manner; thus making it a difficult topic for study in laboratory settings. In this paper we provide some techniques and guidance for inducing both hilarious laughter and conversational laughter. These techniques were devised with the goal of capturing mo- tion information related to laughter while the person laughing was either standing or seated. Comments on the value of each of the techniques and general guidance as to the importance of atmosphere, environment and social setting are provided.

Robust Multimodal Person Identification With Limited Training Data

This paper presents a novel method of audio-visual feature-level fusion for person identification where both the speech and facial modalities may be corrupted, and there is a lack of prior knowledge about the corruption. Furthermore, we assume there are limited amount of training data for each modality (e.g., a short training speech segment and a single training facial image for each person). A new multimodal feature representation and a modified cosine similarity are introduced to combine and compare bimodal features with limited training data, as well as vastly differing data rates and feature sizes. Optimal feature selection and multicondition training are used to reduce the mismatch between training and testing, thereby making the system robust to unknown bimodal corruption. Experiments have been carried out on a bimodal dataset created from the SPIDRE speaker recognition database and AR face recognition database with variable noise corruption of speech and occlusion in the face images. The system's speaker identification performance on the SPIDRE database, and facial identification performance on the AR database, is comparable with the literature. Combining both modalities using the new method of multimodal fusion leads to significantly improved accuracy over the unimodal systems, even when both modalities have been corrupted. The new method also shows improved identification accuracy compared with the bimodal systems based on multicondition model training or missing-feature decoding alone.

Low-rank representation based action recognition

Human action recognition is an important problem in computer vision, which has been applied to many applications. However, how to learn an accurate and discriminative representation of videos based on the features extracted from videos still remains to be a challenging problem. In this paper, we propose a novel method named low-rank representation based action recognition to recognize human actions. Given a dictionary, low-rank representation aims at finding the lowestrank representation of all data, which can capture the global data structures. According to its characteristics, low-rank representation is robust against noises. Experimental results demonstrate the effectiveness of the proposed approach on several publicly available datasets.