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.

Choosing and using diversity indices: insights for ecological applications from the German Biodiversity Exploratories

Biodiversity, a multidimensional property of natural systems, is difficult to quantify partly because of the multitude of indices proposed for this purpose. Indices aim to describe general properties of communities that allow us to compare different regions, taxa, and trophic levels. Therefore, they are of fundamental importance for environmental monitoring and conservation, although there is no consensus about which indices are more appropriate and informative. We tested several common diversity indices in a range of simple to complex statistical analyses in order to determine whether some were better suited for certain analyses than others. We used data collected around the focal plant Plantago lanceolata on 60 temperate grassland plots embedded in an agricultural landscape to explore relationships between the common diversity indices of species richness (S), Shannon's diversity (H'), Simpson's diversity (D-1), Simpson's dominance (D-2), Simpson's evenness (E), and Berger-Parker dominance (BP). We calculated each of these indices for herbaceous plants, arbuscular mycorrhizal fungi, aboveground arthropods, belowground insect larvae, and P.lanceolata molecular and chemical diversity. Including these trait-based measures of diversity allowed us to test whether or not they behaved similarly to the better studied species diversity. We used path analysis to determine whether compound indices detected more relationships between diversities of different organisms and traits than more basic indices. In the path models, more paths were significant when using H', even though all models except that with E were equally reliable. This demonstrates that while common diversity indices may appear interchangeable in simple analyses, when considering complex interactions, the choice of index can profoundly alter the interpretation of results. Data mining in order to identify the index producing the most significant results should be avoided, but simultaneously considering analyses using multiple indices can provide greater insight into the interactions in a system.

Multi-Model Data Fusion to Improve an Early Warning System for Hypo-/Hyperglycemic Events

Correct predictions of future blood glucose levels in individuals with Type 1 Diabetes (T1D) can be used to provide early warning of upcoming hypo-/hyperglycemic events and thus to improve the patient's safety. To increase prediction accuracy and efficiency, various approaches have been proposed which combine multiple predictors to produce superior results compared to single predictors. Three methods for model fusion are presented and comparatively assessed. Data from 23 T1D subjects under sensor-augmented pump (SAP) therapy were used in two adaptive data-driven models (an autoregressive model with output correction - cARX, and a recurrent neural network - RNN). Data fusion techniques based on i) Dempster-Shafer Evidential Theory (DST), ii) Genetic Algorithms (GA), and iii) Genetic Programming (GP) were used to merge the complimentary performances of the prediction models. The fused output is used in a warning algorithm to issue alarms of upcoming hypo-/hyperglycemic events. The fusion schemes showed improved performance with lower root mean square errors, lower time lags, and higher correlation. In the warning algorithm, median daily false alarms (DFA) of 0.25%, and 100% correct alarms (CA) were obtained for both event types. The detection times (DT) before occurrence of events were 13.0 and 12.1 min respectively for hypo-/hyperglycemic events. Compared to the cARX and RNN models, and a linear fusion of the two, the proposed fusion schemes represents a significant improvement.

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.