Financial time series analysis : Chaos and neurodynamics approach

This work aims at combining the Chaos theory postulates and Artificial Neural Networks classification and predictive capability, in the field of financial time series prediction. Chaos theory, provides valuable qualitative and quantitative tools to decide on the predictability of a chaotic system. Quantitative measurements based on Chaos theory, are used, to decide a-priori whether a time series, or a portion of a time series is predictable, while Chaos theory based qualitative tools are used to provide further observations and analysis on the predictability, in cases where measurements provide negative answers. Phase space reconstruction is achieved by time delay embedding resulting in multiple embedded vectors. The cognitive approach suggested, is inspired by the capability of some chartists to predict the direction of an index by looking at the price time series. Thus, in this work, the calculation of the embedding dimension and the separation, in Takens‘ embedding theorem for phase space reconstruction, is not limited to False Nearest Neighbor, Differential Entropy or other specific method, rather, this work is interested in all embedding dimensions and separations that are regarded as different ways of looking at a time series by different chartists, based on their expectations. Prior to the prediction, the embedded vectors of the phase space are classified with Fuzzy-ART, then, for each class a back propagation Neural Network is trained to predict the last element of each vector, whereas all previous elements of a vector are used as features.

Do crude oil price changes affect economic growth of India, Pakistan and Bangladesh? : A multivariate time series analysis

This paper analyzes empirically the effect of crude oil price change on the economic growth of Indian-Subcontinent (India, Pakistan and Bangladesh). We use a multivariate Vector Autoregressive analysis followed by Wald Granger causality test and Impulse Response Function (IRF). Wald Granger causality test results show that only India’s economic growth is significantly affected when crude oil price decreases. Impact of crude oil price increase is insignificantly negative for all three countries during first year. In second year, impact is negative but smaller than first year for India, negative but larger for Bangladesh and positive for Pakistan.

An analysis of linkage between foreign direct investment and GDP per Capita in Pakistan : A time series analysis

This study aims to investigate the relation between foreign direct investment (FDI) and per capita gross domestic product (GDP) in Pakistan. The study is based on a basic Cobb-Douglas production function. Population over age 15 to 64 is used as a proxy for labor in the investigation. The other variables used are gross capital formation, technological gap and a dummy variable measuring among other things political stability. We find positive correlation between GDP per capita in Pakistan and two variables, FDI and population over age 15 to 64. The GDP gap (gap between GDP of USA and GDP of Pakistan) is negatively correlated with GDP per capita as expected. Political instability, economic crisis, wars and polarization in the society have no significant impact on GDP per capita in the long run.

Estimated lifetimes of road pavements in Sweden using time-to-event analysis

Maintenance planning of road pavement requires reliable estimates of roads’ lifetimes. In determining the lifetime of a road, this study combines maintenance activities and road condition measurements. The scope of the paper is to estimate lifetimes of road pavements in Sweden with time to event analysis. The model used includes effects of pavement type, road type, bearing capacity, road width, speed limit, stone size and climate zone, where the model is stratified according to traffic load. Among the nine analyzed pavement types, stone mastic had the longest expected lifetime, 32 percent longer than asphalt concrete. Among road types, ordinary roads with cable barriers had 30 percent shorter lifetime than ordinary roads. Increased speed lowered the lifetime, while increased stone size (up to 20 mm) and increased road width lengthened the lifetime. The results are of importance for life cycle cost analysis and road management.

QoS Evaluation of BandwidthSchedulers in IPTV Networks OfferedSRD Fluid Video Traffic

Internet protocol TV (IPTV) is predicted to be the key technology winner in the future. Efforts to accelerate the deployment of IPTV centralized model which is combined of VHO, encoders, controller, access network and Home network. Regardless of whether the network is delivering live TV, VOD, or Time-shift TV, all content and network traffic resulting from subscriber requests must traverse the entire network from the super-headend all the way to each subscriber's Set-Top Box (STB).IPTV services require very stringent QoS guarantees When IPTV traffic shares the network resources with other traffic like data and voice, how to ensure their QoS and efficiently utilize the network resources is a key and challenging issue. For QoS measured in the network-centric terms of delay jitter, packet losses and bounds on delay. The main focus of this thesis is on the optimized bandwidth allocation and smooth datatransmission. The proposed traffic model for smooth delivering video service IPTV network with its QoS performance evaluation. According to Maglaris et al [5] First, analyze the coding bit rate of a single video source. Various statistical quantities are derived from bit rate data collected with a conditional replenishment inter frame coding scheme. Two correlated Markov process models (one in discrete time and one incontinuous time) are shown to fit the experimental data and are used to model the input rates of several independent sources into a statistical multiplexer. Preventive control mechanism which is to be include CAC, traffic policing used for traffic control.QoS has been evaluated of common bandwidth scheduler( FIFO) by use fluid models with Markovian queuing method and analysis the result by using simulator andanalytically, Which is measured the performance of the packet loss, overflow and mean waiting time among the network users.

QoS evaluation of Bandwidth Schedulers in IPTV Networks Offered SRD Fluid Video Traffic

Internet protocol TV (IPTV) is predicted to be the key technology winner in the future. Efforts to accelerate the deployment of IPTV centralized model which is combined of VHO, encoders, controller, access network and Home network. Regardless of whether the network is delivering live TV, VOD, or Time-shift TV, all content and network traffic resulting from subscriber requests must traverse the entire network from the super-headend all the way to each subscriber's Set-Top Box (STB). IPTV services require very stringent QoS guarantees When IPTV traffic shares the network resources with other traffic like data and voice, how to ensure their QoS and efficiently utilize the network resources is a key and challenging issue. For QoS measured in the network-centric terms of delay jitter, packet losses and bounds on delay. The main focus of this thesis is on the optimized bandwidth allocation and smooth data transmission. The proposed traffic model for smooth delivering video service IPTV network with its QoS performance evaluation. According to Maglaris et al [5] first, analyze the coding bit rate of a single video source. Various statistical quantities are derived from bit rate data collected with a conditional replenishment inter frame coding scheme. Two correlated Markov process models (one in discrete time and one in continuous time) are shown to fit the experimental data and are used to model the input rates of several independent sources into a statistical multiplexer. Preventive control mechanism which is to be including CAC, traffic policing used for traffic control. QoS has been evaluated of common bandwidth scheduler( FIFO) by use fluid models with Markovian queuing method and analysis the result by using simulator and analytically, Which is measured the performance of the packet loss, overflow and mean waiting time among the network users.

Computerized identification of motor complications in Parkinson's disease

Objective: To investigate whether spirography-based objective measures are able to effectively characterize the severity of unwanted symptom states (Off and dyskinesia) and discriminate them from motor state of healthy elderly subjects. Background: Sixty-five patients with advanced Parkinson’s disease (PD) and 10 healthy elderly (HE) subjects performed repeated assessments of spirography, using a touch screen telemetry device in their home environments. On inclusion, the patients were either treated with levodopa-carbidopa intestinal gel or were candidates for switching to this treatment. On each test occasion, the subjects were asked trace a pre-drawn Archimedes spiral shown on the screen, using an ergonomic pen stylus. The test was repeated three times and was performed using dominant hand. A clinician used a web interface which animated the spiral drawings, allowing him to observe different kinematic features, like accelerations and spatial changes, during the drawing process and to rate different motor impairments. Initially, the motor impairments of drawing speed, irregularity and hesitation were rated on a 0 (normal) to 4 (extremely severe) scales followed by marking the momentary motor state of the patient into 2 categories that is Off and Dyskinesia. A sample of spirals drawn by HE subjects was randomly selected and used in subsequent analysis. Methods: The raw spiral data, consisting of stylus position and timestamp, were processed using time series analysis techniques like discrete wavelet transform, approximate entropy and dynamic time warping in order to extract 13 quantitative measures for representing meaningful motor impairment information. A principal component analysis (PCA) was used to reduce the dimensions of the quantitative measures into 4 principal components (PC). In order to classify the motor states into 3 categories that is Off, HE and dyskinesia, a logistic regression model was used as a classifier to map the 4 PCs to the corresponding clinically assigned motor state categories. A stratified 10-fold cross-validation (also known as rotation estimation) was applied to assess the generalization ability of the logistic regression classifier to future independent data sets. To investigate mean differences of the 4 PCs across the three categories, a one-way ANOVA test followed by Tukey multiple comparisons was used. Results: The agreements between computed and clinician ratings were very good with a weighted area under the receiver operating characteristic curve (AUC) coefficient of 0.91. The mean PC scores were different across the three motor state categories, only at different levels. The first 2 PCs were good at discriminating between the motor states whereas the PC3 was good at discriminating between HE subjects and PD patients. The mean scores of PC4 showed a trend across the three states but without significant differences. The Spearman’s rank correlations between the first 2 PCs and clinically assessed motor impairments were as follows: drawing speed (PC1, 0.34; PC2, 0.83), irregularity (PC1, 0.17; PC2, 0.17), and hesitation (PC1, 0.27; PC2, 0.77). Conclusions: These findings suggest that spirography-based objective measures are valid measures of spatial- and time-dependent deficits and can be used to distinguish drug-related motor dysfunctions between Off and dyskinesia in PD. These measures can be potentially useful during clinical evaluation of individualized drug-related complications such as over- and under-medications thus maximizing the amount of time the patients spend in the On state.

Automatic spiral analysis for objective assessment of motor symptoms in Parkinson's disease

Objective: To develop a method for objective quantification of PD motor symptoms related to Off episodes and peak dose dyskinesias, using spiral data gathered by using a touch screen telemetry device. The aim was to objectively characterize predominant motor phenotypes (bradykinesia and dyskinesia), to help in automating the process of visual interpretation of movement anomalies in spirals as rated by movement disorder specialists. Background: A retrospective analysis was conducted on recordings from 65 patients with advanced idiopathic PD from nine different clinics in Sweden, recruited from January 2006 until August 2010. In addition to the patient group, 10 healthy elderly subjects were recruited. Upper limb movement data were collected using a touch screen telemetry device from home environments of the subjects. Measurements with the device were performed four times per day during week-long test periods. On each test occasion, the subjects were asked to trace pre-drawn Archimedean spirals, using the dominant hand. The pre-drawn spiral was shown on the screen of the device. The spiral test was repeated three times per test occasion and they were instructed to complete it within 10 seconds. The device had a sampling rate of 10Hz and measured both position and time-stamps (in milliseconds) of the pen tip. Methods: Four independent raters (FB, DH, AJ and DN) used a web interface that animated the spiral drawings and allowed them to observe different kinematic features during the drawing process and to rate task performance. Initially, a number of kinematic features were assessed including ‘impairment’, ‘speed’, ‘irregularity’ and ‘hesitation’ followed by marking the predominant motor phenotype on a 3-category scale: tremor, bradykinesia and/or choreatic dyskinesia. There were only 2 test occasions for which all the four raters either classified them as tremor or could not identify the motor phenotype. Therefore, the two main motor phenotype categories were bradykinesia and dyskinesia. ‘Impairment’ was rated on a scale from 0 (no impairment) to 10 (extremely severe) whereas ‘speed’, ‘irregularity’ and ‘hesitation’ were rated on a scale from 0 (normal) to 4 (extremely severe). The proposed data-driven method consisted of the following steps. Initially, 28 spatiotemporal features were extracted from the time series signals before being presented to a Multilayer Perceptron (MLP) classifier. The features were based on different kinematic quantities of spirals including radius, angle, speed and velocity with the aim of measuring the severity of involuntary symptoms and discriminate between PD-specific (bradykinesia) and/or treatment-induced symptoms (dyskinesia). A Principal Component Analysis was applied on the features to reduce their dimensions where 4 relevant principal components (PCs) were retained and used as inputs to the MLP classifier. Finally, the MLP classifier mapped these components to the corresponding visually assessed motor phenotype scores for automating the process of scoring the bradykinesia and dyskinesia in PD patients whilst they draw spirals using the touch screen device. For motor phenotype (bradykinesia vs. dyskinesia) classification, the stratified 10-fold cross validation technique was employed. Results: There were good agreements between the four raters when rating the individual kinematic features with intra-class correlation coefficient (ICC) of 0.88 for ‘impairment’, 0.74 for ‘speed’, 0.70 for ‘irregularity’, and moderate agreements when rating ‘hesitation’ with an ICC of 0.49. When assessing the two main motor phenotype categories (bradykinesia or dyskinesia) in animated spirals the agreements between the four raters ranged from fair to moderate. There were good correlations between mean ratings of the four raters on individual kinematic features and computed scores. The MLP classifier classified the motor phenotype that is bradykinesia or dyskinesia with an accuracy of 85% in relation to visual classifications of the four movement disorder specialists. The test-retest reliability of the four PCs across the three spiral test trials was good with Cronbach’s Alpha coefficients of 0.80, 0.82, 0.54 and 0.49, respectively. These results indicate that the computed scores are stable and consistent over time. Significant differences were found between the two groups (patients and healthy elderly subjects) in all the PCs, except for the PC3. Conclusions: The proposed method automatically assessed the severity of unwanted symptoms and could reasonably well discriminate between PD-specific and/or treatment-induced motor symptoms, in relation to visual assessments of movement disorder specialists. The objective assessments could provide a time-effect summary score that could be useful for improving decision-making during symptom evaluation of individualized treatment when the goal is to maximize functional On time for patients while minimizing their Off episodes and troublesome dyskinesias.

Automatic spiral analysis for objective assessment of motor symptoms in Parkinson's disease

A challenge for the clinical management of advanced Parkinson’s disease (PD) patients is the emergence of fluctuations in motor performance, which represents a significant source of disability during activities of daily living of the patients. There is a lack of objective measurement of treatment effects for in-clinic and at-home use that can provide an overview of the treatment response. The objective of this paper was to develop a method for objective quantification of advanced PD motor symptoms related to off episodes and peak dose dyskinesia, using spiral data gathered by a touch screen telemetry device. More specifically, the aim was to objectively characterize motor symptoms (bradykinesia and dyskinesia), to help in automating the process of visual interpretation of movement anomalies in spirals as rated by movement disorder specialists. Digitized upper limb movement data of 65 advanced PD patients and 10 healthy (HE) subjects were recorded as they performed spiral drawing tasks on a touch screen device in their home environment settings. Several spatiotemporal features were extracted from the time series and used as inputs to machine learning methods. The methods were validated against ratings on animated spirals scored by four movement disorder specialists who visually assessed a set of kinematic features and the motor symptom. The ability of the method to discriminate between PD patients and HE subjects and the test-retest reliability of the computed scores were also evaluated. Computed scores correlated well with mean visual ratings of individual kinematic features. The best performing classifier (Multilayer Perceptron) classified the motor symptom (bradykinesia or dyskinesia) with an accuracy of 84% and area under the receiver operating characteristics curve of 0.86 in relation to visual classifications of the raters. In addition, the method provided high discriminating power when distinguishing between PD patients and HE subjects as well as had good test-retest reliability. This study demonstrated the potential of using digital spiral analysis for objective quantification of PD-specific and/or treatment-induced motor symptoms.