Mean-variance Vs. full-scale optimization: broad evidence for the UK

This article investigates the performance of a model called Full-Scale Optimisation, which was presented recently and is used for financial investment advice. The investor’s preferences of expected risk and return are entered into the model, and a recommended portfolio is produced. This model is theoretically more accurate than the mainstream investment advice model, called Mean-Variance Optimization, as there are fewer assumptions made. Our investigation of the model’s performance is broader when it comes to investor preferences, and more general when it comes to investment type, as compared to previous studies. Our investigation shows that Full-Scale Optimisation is more widely applicable than earlier known.

Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

Ability of dyslexic and control teenagers to sustain attention and inhibit responses

Dyslexia and attentional difficulty have often been linked, but little is known of the nature of the supposed attentional disorder. The Sustained Attention to Response Task (SART: Robertson, Manly, Andrade, Baddeley and Yiend, 1997) was designed as a measure of sustained attention and requires the withholding of responses to rare (one in nine) targets. To investigate the nature of the attentional disorder in dyslexia, this paper reports two studies which examined the performance of teenagers with dyslexia and their age-matched controls on the SART, the squiggle SART (a modification of the SART using novel and unlabellable stimuli rather than digits) and the go-gap-stop test of response inhibition (GGST). Teenagers with dyslexia made significantly more errors than controls on the original SART, but not the squiggle SART. There were no group differences on the GGST. After controlling for speed of reaction time in a sequential multiple regression predicting SART false alarms, false alarms on the GGST accounted for up to 22% extra variance in the control groups (although less on the squiggle SART) but negligible amounts of variance in the dyslexic groups. We interpret the results as reflecting a stimulus recognition automaticity deficit in dyslexia, rather than a sustained attention deficit. Furthermore, results suggest that response inhibition is an important component of performance on the standard SART when stimuli are recognised automatically.

Contrast discrimination and pattern masking: contrast gain control with fixed additive noise

We studied the visual mechanisms that serve to encode spatial contrast at threshold and supra-threshold levels. In a 2AFC contrast-discrimination task, observers had to detect the presence of a vertical 1 cycle deg-1 test grating (of contrast dc) that was superimposed on a similar vertical 1 cycle deg-1 pedestal grating, whereas in pattern masking the test grating was accompanied by a very different masking grating (horizontal 1 cycle deg-1, or oblique 3 cycles deg-1). When expressed as threshold contrast (dc at 75% correct) versus mask contrast (c) our results confirm previous ones in showing a characteristic 'dipper function' for contrast discrimination but a smoothly increasing threshold for pattern masking. However, fresh insight is gained by analysing and modelling performance (p; percent correct) as a joint function of (c, dc) - the performance surface. In contrast discrimination, psychometric functions (p versus logdc) are markedly less steep when c is above threshold, but in pattern masking this reduction of slope did not occur. We explored a standard gain-control model with six free parameters. Three parameters control the contrast response of the detection mechanism and one parameter weights the mask contrast in the cross-channel suppression effect. We assume that signal-detection performance (d') is limited by additive noise of constant variance. Noise level and lapse rate are also fitted parameters of the model. We show that this model accounts very accurately for the whole performance surface in both types of masking, and thus explains the threshold functions and the pattern of variation in psychometric slopes. The cross-channel weight is about 0.20. The model shows that the mechanism response to contrast increment (dc) is linearised by the presence of pedestal contrasts but remains nonlinear in pattern masking.

The relationship between parental perceptions of diabetes and glycaemic control

Aim: To measure the relationship between perceived child competence, parental self-efficacy, and children's glycaemic control. Methods: Cross-sectional outpatient based questionnaire survey of 78 parents of children aged 6-12 years with insulin dependent diabetes mellitus, diagnosed for at least one year. Parental perceptions of their child's competence were assessed, together with parental perceptions of their own self-efficacy in managing their child's diabetes. Glycaemic control was assessed by the average annual HbA 1C level. Results: The response rate was 64.5% (51 parents); 82% were mothers and the socioeconomic class and ethnicity spread was representative of the general population. The mean age of the children was 10 years and duration of diabetes 4.4 years. Poorer glycaemic control was associated with higher perceived child competence, together with lower perceived age of responsibility, lower perceived seriousness, and less frequent blood tests. Higher parental self-efficacy and higher perceived child competence predicted a higher level of normalisation, as did lower perceived seriousness, a lower perceived parental responsibility for management, and a less protective style of parenting. Conclusion: Parents' perceptions of their children's diabetes are significantly related to glycaemic control; however, those who appear more competent at managing diabetes may overestimate their child's capabilities, leading to poorer glycaemic control.

Distributed control of computer communication systems

Flow control in Computer Communication systems is generally a multi-layered structure, consisting of several mechanisms operating independently at different levels. Evaluation of the performance of networks in which different flow control mechanisms act simultaneously is an important area of research, and is examined in depth in this thesis. This thesis presents the modelling of a finite resource computer communication network equipped with three levels of flow control, based on closed queueing network theory. The flow control mechanisms considered are: end-to-end control of virtual circuits, network access control of external messages at the entry nodes and the hop level control between nodes. The model is solved by a heuristic technique, based on an equivalent reduced network and the heuristic extensions to the mean value analysis algorithm. The method has significant computational advantages, and overcomes the limitations of the exact methods. It can be used to solve large network models with finite buffers and many virtual circuits. The model and its heuristic solution are validated by simulation. The interaction between the three levels of flow control are investigated. A queueing model is developed for the admission delay on virtual circuits with end-to-end control, in which messages arrive from independent Poisson sources. The selection of optimum window limit is considered. Several advanced network access schemes are postulated to improve the network performance as well as that of selected traffic streams, and numerical results are presented. A model for the dynamic control of input traffic is developed. Based on Markov decision theory, an optimal control policy is formulated. Numerical results are given and throughput-delay performance is shown to be better with dynamic control than with static control.

Functional characterization of GABAergic pallidopallidal and striatopallidal synapses in the rat globus pallidus in vitro

As a central integrator of basal ganglia function, the external segment of the globus pallidus (GP) plays a critical role in the control of voluntary movement. Driven by intrinsic mechanisms and excitatory glutamatergic inputs from the subthalamic nucleus, GP neurons receive GABAergic inhibitory input from the striatum (Str-GP) and from local collaterals of neighbouring pallidal neurons (GP-GP). Here we provide electrophysiological evidence for functional differences between these two inhibitory inputs. The basic synaptic characteristics of GP-GP and Str-GP GABAergic synapses were studied using whole-cell recordings with paired-pulse and train stimulation protocols and variance-mean (VM) analysis. We found (i) IPSC kinetics are consistent with local collaterals innervating the soma and proximal dendrites of GP neurons whereas striatal inputs innervate more distal regions. (ii) Compared to GP-GP synapses Str-GP synapses have a greater paired-pulse ratio, indicative of a lower probability of release. This was confirmed using VM analysis. (iii) In response to 20 and 50 Hz train stimulation, GP-GP synapses are weakly facilitatory in 1 mm external calcium and depressant in 2.4 mm calcium. This is in contrast to Str-GP synapses which display facilitation under both conditions. This is the first quantitative study comparing the properties of GP-GP and Str-GP synapses. The results are consistent with the differential location of these inhibitory synapses and subtle differences in their release probability which underpin stable GP-GP responses and robust short-term facilitation of Str-GP responses. These fundamental differences may provide the physiological basis for functional specialization.

A mean field theory of coded CDMA systems

We present a mean field theory of code-division multiple access (CDMA) systems with error-control coding. On the basis of the relation between the free energy and mutual information, we obtain an analytical expression of the maximum spectral efficiency of the coded CDMA system, from which a mean field description of the coded CDMA system is provided in terms of a bank of scalar Gaussian channels whose variances in general vary at different code symbol positions. Regular low-density parity-check (LDPC)-coded CDMA systems are also discussed as an example of the coded CDMA systems.

Egg quality and fecundity in rainbow trout: the determining factors and mechanisms of control

This thesis considers the factors involved in the determination of egg quality and fecundity in farmed stocks of rainbow trout ( Salmo gairdneri R) • Measurements of egg quality, ie. percentage survivals of eggs and fry, from the production batches of eggs of seven fish farms, showed mean survivals of 70% to eying but levels of only 35% to 4.5g fry (approx. 130 days post-fertilisation). Under optimum conditions survivals may reach 85% suggesting that husbandry methods exert significant influences on egg quality. Chemical analyses of the protein, fat, vitellogenin, ash, amino acids, free fatty acid and mineral levels of eggs of varying quality and from parents of different strains showed compositional differences even between individuals of the same stock. However, none of these differences were correlated with egg quality. Egg size showed similar variations but, again under hatchery conditions there was no correlation with differences in egg quality. The only factor which has been shown to exert a significant influence on egg quality is the time of stripping after ovulation. At 1 0°C eggs should be removed from gravid females within ten days of ovulation to achieve optimum egg and fry survival. Studies of egg production from approximately 10,000 broodstock revealed that total fecundity and egg size increased and relative fecundity decreased with increasing fish size. In general, most fish appeared to produce a constant volume of eggs. This is consistent with a hypothesis that egg size can only be increased by parallel reductions in fecundity. Feeding broodstock at half-ration (0.35% body weight day- 1 ) did not affect egg quality but reduced total fecundity and egg size and increased relative fecundity when compared with eggs produced by fish on full-ration. Comparisons of regressions of total fecundity against fish weight for three strains using ANOCO revealed that one strain was significantly more fecund than two other strains considered. Trout of the same strain maintained on different farms behaved similarly suggesting there was some reproducibility of strain characteristics.

Neural network enhanced self tuning adaptive control application for non-linear control of dynamic systems

The main theme of research of this project concerns the study of neutral networks to control uncertain and non-linear control systems. This involves the control of continuous time, discrete time, hybrid and stochastic systems with input, state or output constraints by ensuring good performances. A great part of this project is devoted to the opening of frontiers between several mathematical and engineering approaches in order to tackle complex but very common non-linear control problems. The objectives are: 1. Design and develop procedures for neutral network enhanced self-tuning adaptive non-linear control systems; 2. To design, as a general procedure, neural network generalised minimum variance self-tuning controller for non-linear dynamic plants (Integration of neural network mapping with generalised minimum variance self-tuning controller strategies); 3. To develop a software package to evaluate control system performances using Matlab, Simulink and Neural Network toolbox. An adaptive control algorithm utilising a recurrent network as a model of a partial unknown non-linear plant with unmeasurable state is proposed. Appropriately, it appears that structured recurrent neural networks can provide conveniently parameterised dynamic models for many non-linear systems for use in adaptive control. Properties of static neural networks, which enabled successful design of stable adaptive control in the state feedback case, are also identified. A survey of the existing results is presented which puts them in a systematic framework showing their relation to classical self-tuning adaptive control application of neural control to a SISO/MIMO control. Simulation results demonstrate that the self-tuning design methods may be practically applicable to a reasonably large class of unknown linear and non-linear dynamic control systems.

Fish farm effluent control and the development of an expert system

In recent years, freshwater fish farmers have come under increasing pressure from the Water Authorities to control the quality of their farm effluents. This project aimed to investigate methods of treating aquacultural effluent in an efficient and cost-effective manner, and to incorporate the knowledge gained into an Expert System which could then be used in an advice service to farmers. From the results of this research it was established that sedimentation and the use of low pollution diets are the only cost effective methods of controlling the quality of fish farm effluents. Settlement has been extensively investigated and it was found that the removal of suspended solids in a settlement pond is only likely to be effective if the inlet solids concentration is in excess of 8 mg/litre. The probability of good settlement can be enhanced by keeping the ratio of length/retention time (a form of mean fluid velocity) below 4.0 metres/minute. The removal of BOD requires inlet solids concentrations in excess of 20 mg/litre to be effective, and this is seldom attained on commercial fish farms. Settlement, generally, does not remove appreciable quantities of ammonia from effluents, but algae can absorb ammonia by nutrient uptake under certain conditions. The use of low pollution, high performance diets gives pollutant yields which are low when compared with published figures obtained by many previous workers. Two Expert Systems were constructed, both of which diagnose possible causes of poor effluent quality on fish farms and suggest solutions. The first system uses knowledge gained from a literature review and the second employs the knowledge obtained from this project's experimental work. Consent details for over 100 fish farms were obtained from the public registers kept by the Water Authorities. Large variations in policy from one Authority to the next were found. These data have been compiled in a computer file for ease of comparison.

Educational intervention improves anticoagulation control in atrial fibrillation patients:the TREAT randomised trial

Background: Stroke prevention in atrial fibrillation (AF), most commonly with warfarin, requires maintenance of a narrow therapeutic target (INR 2.0 to 3.0) and is often poorly controlled in practice. Poor patient-understanding surrounding AF and its’ treatment may contribute to patient’s willingness to adhere to recommendations. Method: A theory-driven intervention, developed using patient interviews and focus groups, consisting of a one-off group session (1-6 patients) utilising an ‘expert-patient’ focussed DVD, educational booklet, self-monitoring diary and worksheet, was compared in a randomised controlled trial (ISRCTN93952605) against usual care, with patient postal follow-ups at 1, 2, 6, and 12-months. Ninety-seven warfarin-naïve AF patients were randomised to intervention (n=46, mean age (SD) 72.0 (8.2), 67.4% men), or usual care (n=51, mean age (SD) 73.7 (8.1), 62.7% men), stratified by age, sex, and recruitment centre. Primary endpoint was time within therapeutic range (TTR); secondary endpoints included knowledge, quality of life, anxiety/depression, beliefs about medication, and illness perceptions. Main findings: Intervention patients had significantly higher TTR than usual care at 6-months (76.2% vs. 71.3%; p=0.035); at 12-months these differences were not significant (76.0% vs. 70.0%; p=0.44). Knowledge increased significantly across time (F (3, 47) = 6.4; p<0.01), but there were no differences between groups (F (1, 47) = 3.3; p = 0.07). At 6-months, knowledge scores predicted TTR (r=0.245; p=0.04). Patients’ scores on subscales representing their perception of the general harm and overuse of medication, as well as the perceived necessity of their AF specific medications predicted TTR at 6- and 12-months. Conclusions: A theory-driven educational intervention significantly improves TTR in AF patients initiating warfarin during the first 6-months. Adverse clinical outcomes may potentially be reduced by improving patients’ understanding of the necessity of warfarin and reducing their perception of treatment harm. Improving education provision for AF patients is essential to ensure efficacious and safe treatment.

Myopia control with orthokeratology contact lenses in Spain:a comparison of vision-related quality-of-life measures between orthokeratology contact lenses and single-vision spectacles

Purpose: To compare vision-related quality-of-life measures between children wearing orthokeratology (OK) contact lenses and distance single-vision (SV) spectacles. Methods: Subjects 6 to 12 years of age and with myopia of -0.75 to -4.00 diopters and astigmatism less than or equal to 1.00 diopters were prospectively assigned OK contact lens or SV spectacle correction. A pediatric refractive error profile questionnaire was administered at 12- and 24-month intervals to evaluate children's perceptions in terms of overall vision, near vision, far distance vision, symptoms, appearance, satisfaction, activities, academic performance, handling, and peer perceptions. The mean score of all items was calculated as the overall score. Additionally, parents/guardians were asked to rate their child's mode of visual correction and their intention to continue treatment after study completion. Results: Thirty-one children were fitted with OK contact lenses and 30 with SV spectacles. Children wearing OK contact lenses rated overall vision, far distance vision, symptoms, appearance, satisfaction, activities, academic performance, handling, peer perceptions, and the overall score significantly better than children wearing SV spectacles (all P<0.05). Near vision and handling were, respectively, rated better (P<0.001) and similar (P=0.44) for SV spectacles in comparison to OK contact lenses. No significant differences were found between 12 and 24 months for any of the subjective ratings assessed (all P>0.05). Parents/guardians of children wearing OK contact lenses rated visual correction method and intention to continue treatment higher than parents of children wearing SV spectacles (P=0.01). Conclusion: The results indicate that the significant improvement in vision-related quality of life and acceptability with OK contact lenses is an incentive to engage in its use for the control of myopia in children.

A probabilistic indirect adaptive control for systems with input-dependent noise

A probabilistic indirect adaptive controller is proposed for the general nonlinear multivariate class of discrete time system. The proposed probabilistic framework incorporates input–dependent noise prediction parameters in the derivation of the optimal control law. Moreover, because noise can be nonstationary in practice, the proposed adaptive control algorithm provides an elegant method for estimating and tracking the noise. For illustration purposes, the developed method is applied to the affine class of nonlinear multivariate discrete time systems and the desired result is obtained: the optimal control law is determined by solving a cubic equation and the distribution of the tracking error is shown to be Gaussian with zero mean. The efficiency of the proposed scheme is demonstrated numerically through the simulation of an affine nonlinear system.

A comparison of denoising methods for X-ray fluoroscopic images

Fluoroscopic images exhibit severe signal-dependent quantum noise, due to the reduced X-ray dose involved in image formation, that is generally modelled as Poisson-distributed. However, image gray-level transformations, commonly applied by fluoroscopic device to enhance contrast, modify the noise statistics and the relationship between image noise variance and expected pixel intensity. Image denoising is essential to improve quality of fluoroscopic images and their clinical information content. Simple average filters are commonly employed in real-time processing, but they tend to blur edges and details. An extensive comparison of advanced denoising algorithms specifically designed for both signal-dependent noise (AAS, BM3Dc, HHM, TLS) and independent additive noise (AV, BM3D, K-SVD) was presented. Simulated test images degraded by various levels of Poisson quantum noise and real clinical fluoroscopic images were considered. Typical gray-level transformations (e.g. white compression) were also applied in order to evaluate their effect on the denoising algorithms. Performances of the algorithms were evaluated in terms of peak-signal-to-noise ratio (PSNR), signal-to-noise ratio (SNR), mean square error (MSE), structural similarity index (SSIM) and computational time. On average, the filters designed for signal-dependent noise provided better image restorations than those assuming additive white Gaussian noise (AWGN). Collaborative denoising strategy was found to be the most effective in denoising of both simulated and real data, also in the presence of image gray-level transformations. White compression, by inherently reducing the greater noise variance of brighter pixels, appeared to support denoising algorithms in performing more effectively. © 2012 Elsevier Ltd. All rights reserved.