Forecasting stock returns using model-selection criteria

This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant.

Is the method of signal analysis and test selection important for measuring standing balance in subjects with persistent whiplash?

Dizziness and or unsteadiness, associated with episodes of loss of balance, are frequent complaints in those suffering from persistent problems following a whiplash injury. Research has been inconclusive with respect to possible aetiology, discriminative tests and analyses used. The aim of this pilot research was to identify the test conditions and the most appropriate method for the analysis of sway that may differentiate subjects with persistent whiplash associated disorders (WAD) from healthy controls. The six conditions of the Clinical Test for Sensory Interaction in Balance was performed in both comfortable and tandem stance in 20 subjects with persistent WAD compared to 20 control subjects. The analyses were carried out using a traditional method of measurement, total sway distance, to results obtained from the use of wavelet analysis. Subjects with WAD were significantly less able to complete the tandem stance tests on a firm surface than controls. In comfortable stance, using wavelet analysis, significant differences between subjects with WAD and the control group were evident in total energy of the trace for all test conditions apart from eyes open on the firm surface. In contrast, the results of the analysis using total sway distance revealed no significant differences between groups across all six conditions. Wavelet analysis may be more appropriate for detecting disturbances in balance in whiplash subjects because the technique allows separation of the noise from the underlying systematic effect of sway. These findings will be used to direct future studies on the aeitiology of balance disturbances in WAD. (c) 2004 Elsevier B.V. All rights reserved.

Encounter success of free-ranging marine predator movements across a dynamic prey landscape

Movements of wide-ranging top predators can now be studied effectively using satellite and archival telemetry. However, the motivations underlying movements remain difficult to determine because trajectories are seldom related to key biological gradients, such as changing prey distributions. Here, we use a dynamic prey landscape of zooplankton biomass in the north-east Atlantic Ocean to examine active habitat selection in the plankton-feeding basking shark Cetorhinus maximus. The relative success of shark searches across this landscape was examined by comparing prey biomass encountered by sharks with encounters by random-walk simulations of ‘model’ sharks. Movements of transmitter-tagged sharks monitored for 964 days (16754km estimated minimum distance) were concentrated on the European continental shelf in areas characterized by high seasonal productivity and complex prey distributions. We show movements by adult and sub-adult sharks yielded consistently higher prey encounter rates than 90% of random-walk simulations. Behavioural patterns were consistent with basking sharks using search tactics structured across multiple scales to exploit the richest prey areas available in preferred habitats. Simple behavioural rules based on learned responses to previously encountered prey distributions may explain the high performances. This study highlights how dynamic prey landscapes enable active habitat selection in large predators to be investigated from a trophic perspective, an approach that may inform conservation by identifying critical habitat of vulnerable species.

Modeling and exploiting behavior patterns in dynamic environments

This paper presents a new approach to improving the effectiveness of autonomous systems that deal with dynamic environments. The basis of the approach is to find repeating patterns of behavior in the dynamic elements of the system, and then to use predictions of the repeating elements to better plan goal directed behavior. It is a layered approach involving classifying, modeling, predicting and exploiting. Classifying involves using observations to place the moving elements into previously defined classes. Modeling involves recording features of the behavior on a coarse grained grid. Exploitation is achieved by integrating predictions from the model into the behavior selection module to improve the utility of the robot's actions. This is in contrast to typical approaches that use the model to select between different strategies or plays. Three methods of adaptation to the dynamic features of the environment are explored. The effectiveness of each method is determined using statistical tests over a number of repeated experiments. The work is presented in the context of predicting opponent behavior in the highly dynamic and multi-agent robot soccer domain (RoboCup)

A bayesian artificial neural network method to characterise laminar defects using dynamic measurements

This paper reports on the development of an artificial neural network (ANN) method to detect laminar defects following the pattern matching approach utilizing dynamic measurement. Although structural health monitoring (SHM) using ANN has attracted much attention in the last decade, the problem of how to select the optimal class of ANN models has not been investigated in great depth. It turns out that the lack of a rigorous ANN design methodology is one of the main reasons for the delay in the successful application of the promising technique in SHM. In this paper, a Bayesian method is applied in the selection of the optimal class of ANN models for a given set of input/target training data. The ANN design method is demonstrated for the case of the detection and characterisation of laminar defects in carbon fibre-reinforced beams using flexural vibration data for beams with and without non-symmetric delamination damage.

Integrating runtime assertions with dynamic types: Structuring a derivation from an incomputable specification

An inherent incomputability in the specification of a functional language extension that combines assertions with dynamic type checking is isolated in an explicit derivation from mathematical specifications. The combination of types and assertions (into "dynamic assertion-types" - DATs) is a significant issue since, because the two are congruent means for program correctness, benefit arises from their better integration in contrast to the harm resulting from their unnecessary separation. However, projecting the "set membership" view of assertion-checking into dynamic types results in some incomputable combinations. Refinement of the specification of DAT checking into an implementation by rigorous application of mathematical identities becomes feasible through the addition of a "best-approximate" pseudo-equality that isolates the incomputable component of the specification. This formal treatment leads to an improved, more maintainable outcome with further development potential.