Towards a framework for combining stochastic and deterministic descriptions of nonstationary financial time series

We present in this paper ideas to tackle the problem of analysing and forecasting nonstationary time series within the financial domain. Accepting the stochastic nature of the underlying data generator we assume that the evolution of the generator's parameters is restricted on a deterministic manifold. Therefore we propose methods for determining the characteristics of the time-localised distribution. Starting with the assumption of a static normal distribution we refine this hypothesis according to the empirical results obtained with the methods anc conclude with the indication of a dynamic non-Gaussian behaviour with varying dependency for the time series under consideration.

From detection of complex motion to descriptions of moving surfaces in human vision

A preliminary study by Freeman et al (1996b) has suggested that when complex patterns of motion elicit impressions of 2-dimensionality, odd-item-out detection improves given targets can be differentiated on the basis of surface properties. Their results can be accounted for, it if is supposed that observers are permitted efficient access to 3-D surface descriptions but access to 2-D motion descriptions is restricted. To test the hypothesis, a standard search technique was employed, in which targets could be discussed on the basis of slant sign. In one experiment, slant impressions were induced through the summing of deformation and translation components. In a second theory were induced through the summing of shear and translation components. Neither showed any evidence of efficient access. A third experiment explored the possibility that access to these representations may have been hindered by a lack of grouping between the stimuli. Attempts to improve grouping failed to produce convincing evidence in support of life. An alternative explanation is that complex patterns of motion are simply not processed simultaneously. Psychophysical and physiological studies have, however, suggested that multiple mechanisms selective for complex motion do exist. Using a subthreshold summation technique I found evidence supporting the notion that complex motions are processed in parallel. Furthermore, in a spatial summation experiment, coherence thresholds were measured for displays containing different numbers of complex motion patches. Consistent with the idea that complex motion processing proceeds in parallel, increases in the number of motion patches were seen to decrease thresholds, both for expansion and rotation. Moreover, the rates of decrease were higher than those typically expected from probability summation, thus implying mechanisms are available, which can pool signals from spatially distinct complex motion flows.

Lagrangian and Eulerian descriptions of inertial particles in random flows

We study how the spatial distribution of inertial particles evolves with time in a random flow. We describe an explosive appearance of caustics and show how they influence an exponential growth of clusters due to smooth parts of the flow, leading in particular to an exponential growth of the average distance between particles. We demonstrate how caustics restrict applicability of Lagrangian description to inertial particles.

Using genetic programming and decision trees for generating structural descriptions of four bar mechanisms

Four bar mechanisms are basic components of many important mechanical devices. The kinematic synthesis of four bar mechanisms is a difficult design problem. A novel method that combines the genetic programming and decision tree learning methods is presented. We give a structural description for the class of mechanisms that produce desired coupler curves. Constructive induction is used to find and characterize feasible regions of the design space. Decision trees constitute the learning engine, and the new features are created by genetic programming.

Resolving ambiguous descriptions through visual information

The project “Reference in Discourse” deals with the selection of a specific object from a visual scene in a natural language situation. The goal of this research is to explain this everyday discourse reference task in terms of a concept generation process based on subconceptual visual and verbal information. The system OINC (Object Identification in Natural Communicators) aims at solving this problem in a psychologically adequate way. The system’s difficulties occurring with incomplete and deviant descriptions correspond to the data from experiments with human subjects. The results of these experiments are reported.