Statistical Monitoring of Dynamic Multivariate Processes: Part I: Modeling Auto- and Cross-Correlation

The work in this paper is of particular significance since it considers the problem of modelling cross- and auto-correlation in statistical process monitoring. The presence of both types of correlation can lead to fault insensitivity or false alarms, although in published literature to date, only autocorrelation has been broadly considered. The proposed method, which uses a Kalman innovation model, effectively removes both correlations. The paper (and Part 2 [2]) has emerged from work supported by EPSRC grant GR/S84354/01 and is of direct relevance to problems in several application areas including chemical, electrical, and mechanical process monitoring.

China’s National Security Review: a tit-for-tat response?

China is gradually taking its place as a major regulator, exercising concurrent jurisdiction of the national security review along with the US and EU over high-profile cross-border mergers and acquisitions. The National Security Review (NSR) regulatory regime of foreign acquisitions has attracted significant attention recently with the establishment of China's counterpart to the Committee on Foreign Investment in the United States (CFIUS). Due to the intensified activities of sovereign wealth funds (SWFs) that are closely linked with states, CFIUS's broad discretion to deal with China's SWF-based investment may have a far-reaching impact on China's implementation of the newly enacted NSR regime. It is essential to design a mechanism that allows SWFs to maximise their positive attributes while safeguarding the apolitical integrity of the marketplace. Any disproportionate use of the NSR regime would inevitably bring about more unintended consequences, such as tit-for-tat protectionism. This represents an imminent threat to the tenuous recovery from the recent economic crisis, largely because of the increasingly intertwined and interdependent nature of the global financial markets. It is of utmost significance to evaluate the extent to which the updated legislation strikes a reasonable balance between preserving genuine national security interests and maintaining an open environment for investment.

Beyond Financialisation? Transformative Strategies for More Sustainable Financial Markets in the European Union

The global financial crisis has led many regulators and lawmakers to a rethinking about current versus optimum financial market structures and activities that include a variety and even radical ideas about delevaraging and downsizing finance. This paper focuses on the flaws and shortcomings of regulatory reforms of finance and on the necessity of and scope for more radical transformative strategies. With 'crisis economics' back, the most developed countries, including the EU member states, are still on the edge of disaster and confronted with systemic risk. Changes in financial regulation adopted in the aftermath of the financial meltdown have not been radical enough to transform the overall system of finance-driven capitalism towards a more sustainable system with a more embedded finance. The paper discusses financialisation in order to understand the development trends in finance over the past decades and examines various theories to describe the typical trends and patterns in financial regulation. By focusing on a limited number of regulatory reforms in the European Union, the limitations of current reforms and the need for additional transformative strategies necessary to overcome the finance-driven accumulation regime are explored. Finally, the regulatory space for such transformative strategies and for taming finance in times of crisis, austerity, and increased public protest potential is analysed.

Reconstructing ethical conduct within financial firms

This chapter explores whether ethical cultures can be created within a financial market context. Ongoing regulatory and legal actions, and press coverage of these, suggest that a definition of ethical problems in terms of ‘rogue traders’ and ‘bad apples’ would be inadequate, since entire business areas have been resorting to collusive illegal behaviour. The concept of ‘bad barrels’ seems to capture the situation rather better: the culture of firms fails to discourage transgression and indeed supports it. Unpacking the links between regulatory objectives and the cultural settings of firms and their employees, this chapter questions the chances of success of measures such as enhanced controls on individuals and restructured reward mechanisms. Financial firms typically have very flat, nodal structures, within which traders conceptualise themselves as an elite, in contrast to back office staff and also in contrast to managers. Traders’ functions and their occupational mobility mean that their linkages and attachments may be much stronger with others outside ‘their’ firm than their firm and those within it. Performance, camaraderie and their linkages are important in all work situations, yet all the more so for traders in financial markets. Thus, whether regulators and senior management combine to send a clear and consistent message to traders – or whether the logic of the financial marketplace leads some firms to continue send conflicting or ambivalent messages to them – misconduct is likely to continue to be a tough nut to crack.

Dynamic Multivariate Statistical Process Control using Subspace Identification

This paper points out a serious flaw in dynamic multivariate statistical process control (MSPC). The principal component analysis of a linear time series model that is employed to capture auto- and cross-correlation in recorded data may produce a considerable number of variables to be analysed. To give a dynamic representation of the data (based on variable correlation) and circumvent the production of a large time-series structure, a linear state space model is used here instead. The paper demonstrates that incorporating a state space model, the number of variables to be analysed dynamically can be considerably reduced, compared to conventional dynamic MSPC techniques.

Statistical Monitoring of Dynamic Multivariate Processes: Part II: Identifying Fault Magnitude and Signature

This paper builds on work presented in the first paper, Part 1 [1] and is of equal significance. The paper proposes a novel compensation method to preserve the integrity of step-fault signatures prevalent in various processes that can be masked during the removal of both auto- and cross correlation. Using industrial data, the paper demonstrates the benefit of the proposed method, which is applicable to chemical, electrical, and mechanical process monitoring. This paper, (and Part 1 [1]), has led to further work supported by EPSRC grant GR/S84354/01 involving kernel PCA methods.

Observational Evidence for Mode Coupling in the Chromospheric Network

Oscillations in network bright points (NBPs) are studied at a variety of chromospheric heights. In particular, the three-dimensional variation of NBP oscillations is studied using image segmentation and cross-correlation analysis between images taken in light of Ca II K3, Ha core, Mg I b2, and Mg I b1-0.4 Å. Wavelet analysis is used to isolate wave packets in time and to search for height-dependent time delays that result from upward- or downward-directed traveling waves. In each NBP studied, we find evidence for kink-mode waves (1.3, 1.9 mHz), traveling up through the chromosphere and coupling with sausage-mode waves (2.6, 3.8 mHz). This provides a means for depositing energy in the upper chromosphere. We also find evidence for other upward- and downward-propagating waves in the 1.3-4.6 mHz range. Some oscillations do not correspond to traveling waves, and we attribute these to waves generated in neighboring regions.

Propagating waves and magnetohydrodynamic mode coupling in the quiet-sun network

High-cadence multiwavelength optical observations were taken with the Dunn Solar Telescope at the National Solar Observatory, Sacramento Peak, accompanied by Advanced Stokes Polarimeter vector magnetograms. A total of 11 network bright points (NBPs) have been studied at different atmospheric heights using images taken in wave bands centered on Mg I b(1) - 0.4 Angstrom, Halpha, and Ca II K-3. Wavelet analysis was used to study wave packets and identify traveling magnetohydrodynamic waves. Wave speeds were estimated through the temporal cross-correlation of signals, in selected frequency bands of wavelet power, in each wavelength. Four mode-coupling cases were identified, one in each of four of the NBPs, and the variation of the associated Fourier power with height was studied. Three of the detected mode-coupling, transverse-mode frequencies were observed in the 1.2-1.6 mHz range (mean NBP apparent flux density magnitudes over 99-111 Mx cm(-2)), with the final case showing 2.0-2.2 mHz (with 142 Mx cm(-2)). Following this, longitudinal-mode frequencies were detected in the range 2.6-3.2 mHz for three of our cases, with 3.9-4.1 mHz for the remaining case. After mode coupling, two cases displayed a decrease in longitudinal-mode Fourier power in the higher chromosphere.

Power-law behaviour, heterogeneity, and trend chasing

Long-range dependence in volatility is one of the most prominent examples in financial market research involving universal power laws. Its characterization has recently spurred attempts to provide some explanations of the underlying mechanism. This paper contributes to this recent line of research by analyzing a simple market fraction asset pricing model with two types of traders---fundamentalists who trade on the price deviation from estimated fundamental value and trend followers whose conditional mean and variance of the trend are updated through a geometric learning process. Our analysis shows that agent heterogeneity, risk-adjusted trend chasing through the geometric learning process, and the interplay of noisy fundamental and demand processes and the underlying deterministic dynamics can be the source of power-law distributed fluctuations. In particular, the noisy demand plays an important role in the generation of insignificant autocorrelations (ACs) on returns, while the significant decaying AC patterns of the absolute returns and squared returns are more influenced by the noisy fundamental process. A statistical analysis based on Monte Carlo simulations is conducted to characterize the decay rate. Realistic estimates of the power-law decay indices and the (FI)GARCH parameters are presented.

Heterogeneity, convergence, and autocorrelations

This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial market behaviour such as market dominance, convergence to the fundamental price and under- and over-reaction. We use the dynamics of the underlying deterministic system to characterize these features and statistical properties, including convergence of the limiting distribution and autocorrelation structure. We confirm these properties using Monte Carlo simulations.

Prediction of adipose tissue composition using Raman spectroscopy: average properties and individual fatty acids.

Abstract: Raman spectroscopy has been used for the first time to predict the FA composition of unextracted adipose tissue of pork, beef, lamb, and chicken. It was found that the bulk unsaturation parameters could be predicted successfully [R-2 = 0.97, root mean square error of prediction (RMSEP) = 4.6% of 4 sigma], with cis unsaturation, which accounted for the majority of the unsaturation, giving similar correlations. The combined abundance of all measured PUFA (>= 2 double bonds per chain) was also well predicted with R-2 = 0.97 and RMSEP = 4.0% of 4 sigma. Trans unsaturation was not as well modeled (R-2 = 0.52, RMSEP = 18% of 4 sigma); this reduced prediction ability can be attributed to the low levels of trans FA found in adipose tissue (0.035 times the cis unsaturation level). For the individual FA, the average partial least squares (PLS) regression coefficient of the 18 most abundant FA (relative abundances ranging from 0.1 to 38.6% of the total FA content) was R-2 = 0.73; the average RMSEP = 11.9% of 4 sigma. Regression coefficients and prediction errors for the five most abundant FA were all better than the average value (in some cases as low as RMSEP = 4.7% of 4 sigma). Cross-correlation between the abundances of the minor FA and more abundant acids could be determined by principal component analysis methods, and the resulting groups of correlated compounds were also well-predicted using PLS. The accuracy of the prediction of individual FA was at least as good as other spectroscopic methods, and the extremely straightforward sampling method meant that very rapid analysis of samples at ambient temperature was easily achieved. This work shows that Raman profiling of hundreds of samples per day is easily achievable with an automated sampling system.

Single-shot characterisation of independent femtosecond extreme ultraviolet free electron andf infrared laser pulses

Two-color above threshold ionization of helium and xenon has been used to analyze the synchronization between individual pulses of the femtosecond extreme ultraviolet (XUV) free electron laser in Hamburg and an independent intense 120 fs mode-locked Ti:sapphire laser. Characteristic sidebands appear in the photoelectron spectra when the two pulses overlap spatially and temporally. The cross-correlation curve points to a 250 fs rms jitter between the two sources at the experiment. A more precise determination of the temporal fluctuation between the XUV and infrared pulses is obtained through the analysis of the single-shot sideband intensities. ©2007 American Institute of Physics

Target Detection and Tracking With Heterogeneous Sensors

We present a multimodal detection and tracking algorithm for sensors composed of a camera mounted between two microphones. Target localization is performed on color-based change detection in the video modality and on time difference of arrival (TDOA) estimation between the two microphones in the audio modality. The TDOA is computed by multiband generalized cross correlation (GCC) analysis. The estimated directions of arrival are then postprocessed using a Riccati Kalman filter. The visual and audio estimates are finally integrated, at the likelihood level, into a particle filter (PF) that uses a zero-order motion model, and a weighted probabilistic data association (WPDA) scheme. We demonstrate that the Kalman filtering (KF) improves the accuracy of the audio source localization and that the WPDA helps to enhance the tracking performance of sensor fusion in reverberant scenarios. The combination of multiband GCC, KF, and WPDA within the particle filtering framework improves the performance of the algorithm in noisy scenarios. We also show how the proposed audiovisual tracker summarizes the observed scene by generating metadata that can be transmitted to other network nodes instead of transmitting the raw images and can be used for very low bit rate communication. Moreover, the generated metadata can also be used to detect and monitor events of interest.

Measurements, modeling and simulation of the off-body radio channel for the implementation of bodyworn antenna diversity at 868 MHz

This paper presents a systematic measurement campaign of diversity reception techniques for use in multiple-antenna wearable systems operating at 868 MHz. The experiments were performed using six time-synchronized bodyworn receivers and considered mobile off-body communications in an anechoic chamber, open office area and a hallway. The cross-correlation coefficient between the signal fading measured by bodyworn receivers was dependent upon the local environment and typically below 0.7. All received signal envelopes were combined in post-processing to study the potential benefits of implementing receiver diversity based upon selection combination, equal-gain and maximal-ratio combining. It is shown that, in an open office area, the 5.7 dB diversity gain obtained using a dual-branch bodyworn maximal-ratio diversity system may be further improved to 11.1 dB if a six-branch system was used. First-and second-order theoretical equations for diversity reception techniques operating in Nakagami fading conditions were used to model the postdetection combined envelopes. Maximum likelihood estimates of the Nakagami-parameter suggest that the fading conditions encountered in this study were generally less severe than Rayleigh. The paper also describes an algorithm that may be used to simulate the measured output of an M-branch diversity combiner operating in independent and identically-distributed Nakagami fading environments.