Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

Toward optimal display of physiologic status in critical care: I. Recreating bedside displays from archived physiologic data

BACKGROUND: Physiologic data display is essential to decision making in critical care. Current displays echo first-generation hemodynamic monitors dating to the 1970s and have not kept pace with new insights into physiology or the needs of clinicians who must make progressively more complex decisions about their patients. The effectiveness of any redesign must be tested before deployment. Tools that compare current displays with novel presentations of processed physiologic data are required. Regenerating conventional physiologic displays from archived physiologic data is an essential first step. OBJECTIVES: The purposes of the study were to (1) describe the SSSI (single sensor single indicator) paradigm that is currently used for physiologic signal displays, (2) identify and discuss possible extensions and enhancements of the SSSI paradigm, and (3) develop a general approach and a software prototype to construct such "extended SSSI displays" from raw data. RESULTS: We present Multi Wave Animator (MWA) framework-a set of open source MATLAB (MathWorks, Inc., Natick, MA, USA) scripts aimed to create dynamic visualizations (eg, video files in AVI format) of patient vital signs recorded from bedside (intensive care unit or operating room) monitors. Multi Wave Animator creates animations in which vital signs are displayed to mimic their appearance on current bedside monitors. The source code of MWA is freely available online together with a detailed tutorial and sample data sets.

Association between variants of the leptin receptor gene (LEPR) and overweight: a systematic review and an analysis of the CoLaus study

Background Three non-synonymous single nucleotide polymorphisms (Q223R, K109R and K656N) of the leptin receptor gene (LEPR) have been tested for association with obesity-related outcomes in multiple studies, showing inconclusive results. We performed a systematic review and meta-analysis on the association of the three LEPR variants with BMI. In addition, we analysed 15 SNPs within the LEPR gene in the CoLaus study, assessing the interaction of the variants with sex. Methodology/Principal Findings We searched electronic databases, including population-based studies that investigated the association between LEPR variants Q223R, K109R and K656N and obesity- related phenotypes in healthy, unrelated subjects. We furthermore performed meta-analyses of the genotype and allele frequencies in case-control studies. Results were stratified by SNP and by potential effect modifiers. CoLaus data were analysed by logistic and linear regressions and tested for interaction with sex. The meta-analysis of published data did not show an overall association between any of the tested LEPR variants and overweight. However, the choice of a BMI cut-off value to distinguish cases from controls was crucial to explain heterogeneity in Q223R. Differences in allele frequencies across ethnic groups are compatible with natural selection of derived alleles in Q223R and K109R and of the ancient allele in K656N in Asians. In CoLaus, the rs10128072, rs3790438 and rs3790437 variants showed interaction with sex for their association with overweight, waist circumference and fat mass in linear regressions. Conclusions Our systematic review and analysis of primary data from the CoLaus study did not show an overall association between LEPR SNPs and overweight. Most studies were underpowered to detect small effect sizes. A potential effect modification by sex, population stratification, as well as the role of natural selection should be addressed in future genetic association studies.

Evaluating retraining rules for semi-supervised learning in neural network based cursive word recognition

Training a system to recognize handwritten words is a task that requires a large amount of data with their correct transcription. However, the creation of such a training set, including the generation of the ground truth, is tedious and costly. One way of reducing the high cost of labeled training data acquisition is to exploit unlabeled data, which can be gathered easily. Making use of both labeled and unlabeled data is known as semi-supervised learning. One of the most general versions of semi-supervised learning is self-training, where a recognizer iteratively retrains itself on its own output on new, unlabeled data. In this paper we propose to apply semi-supervised learning, and in particular self-training, to the problem of cursive, handwritten word recognition. The special focus of the paper is on retraining rules that define what data are actually being used in the retraining phase. In a series of experiments it is shown that the performance of a neural network based recognizer can be significantly improved through the use of unlabeled data and self-training if appropriate retraining rules are applied.

Evaluation of Three State-of-the-Art Classifiers for Recognition of Activities of Daily Living from Smart Home Ambient Data

Smart homes for the aging population have recently started attracting the attention of the research community. The "health state" of smart homes is comprised of many different levels; starting with the physical health of citizens, it also includes longer-term health norms and outcomes, as well as the arena of positive behavior changes. One of the problems of interest is to monitor the activities of daily living (ADL) of the elderly, aiming at their protection and well-being. For this purpose, we installed passive infrared (PIR) sensors to detect motion in a specific area inside a smart apartment and used them to collect a set of ADL. In a novel approach, we describe a technology that allows the ground truth collected in one smart home to train activity recognition systems for other smart homes. We asked the users to label all instances of all ADL only once and subsequently applied data mining techniques to cluster in-home sensor firings. Each cluster would therefore represent the instances of the same activity. Once the clusters were associated to their corresponding activities, our system was able to recognize future activities. To improve the activity recognition accuracy, our system preprocessed raw sensor data by identifying overlapping activities. To evaluate the recognition performance from a 200-day dataset, we implemented three different active learning classification algorithms and compared their performance: naive Bayesian (NB), support vector machine (SVM) and random forest (RF). Based on our results, the RF classifier recognized activities with an average specificity of 96.53%, a sensitivity of 68.49%, a precision of 74.41% and an F-measure of 71.33%, outperforming both the NB and SVM classifiers. Further clustering markedly improved the results of the RF classifier. An activity recognition system based on PIR sensors in conjunction with a clustering classification approach was able to detect ADL from datasets collected from different homes. Thus, our PIR-based smart home technology could improve care and provide valuable information to better understand the functioning of our societies, as well as to inform both individual and collective action in a smart city scenario.

A systematized workflow for assessing land resources using readily available spatial datasets

Land degradation as well as land conservation maps at a (sub-) national scale are critical for pro-ject planning for sustainable land management. It has long been recognized that online accessible and low-cost raster data sets (e.g. Landsat imagery, SRTM-DEM’s) provide a readily available basis for land resource assessments for developing countries. However, choice of spatial, tempo-ral and spectral resolution of such data is often limited. Furthermore, while local expert knowl-edge on land degradation processes is abundant, difficulties are often encountered when linking existing knowledge with modern approaches including GIS and RS. The aim of this study was to develop an easily applicable, standardized workflow for preliminary spatial assessments of land degradation and conservation, which also allows the integration of existing expert knowledge. The core of the developed method consists of a workflow for rule-based land resource assess-ment. In a systematic way, this workflow leads from predefined land degradation and conserva-tion classes to field indicators, to suitable spatial proxy data, and finally to a set of rules for clas-sification of spatial datasets. Pre-conditions are used to narrow the area of interest. Decision tree models are used for integrating the different rules. It can be concluded that the workflow presented assists experts from different disciplines in col-laboration GIS/RS specialists in establishing a preliminary model for assessing land degradation and conservation in a spatially explicit manner. The workflow provides support when linking field indicators and spatial datasets, and when determining field indicators for groundtruthing.