Model specification and forecasting foreign exchange rates with vector autoregressions

This study examines the forecasting accuracy of alternative vector autoregressive models each in a seven-variable system that comprises in turn of daily, weekly and monthly foreign exchange (FX) spot rates. The vector autoregressions (VARs) are in non-stationary, stationary and error-correction forms and are estimated using OLS. The imposition of Bayesian priors in the OLS estimations also allowed us to obtain another set of results. We find that there is some tendency for the Bayesian estimation method to generate superior forecast measures relatively to the OLS method. This result holds whether or not the data sets contain outliers. Also, the best forecasts under the non-stationary specification outperformed those of the stationary and error-correction specifications, particularly at long forecast horizons, while the best forecasts under the stationary and error-correction specifications are generally similar. The findings for the OLS forecasts are consistent with recent simulation results. The predictive ability of the VARs is very weak.

RELAX:incorporating uncertainty into the specification of self-adaptive systems

Self-adaptive systems have the capability to autonomously modify their behaviour at run-time in response to changes in their environment. Self-adaptation is particularly necessary for applications that must run continuously, even under adverse conditions and changing requirements; sample domains include automotive systems, telecommunications, and environmental monitoring systems. While a few techniques have been developed to support the monitoring and analysis of requirements for adaptive systems, limited attention has been paid to the actual creation and specification of requirements of self-adaptive systems. As a result, self-adaptivity is often constructed in an ad-hoc manner. In this paper, we argue that a more rigorous treatment of requirements explicitly relating to self-adaptivity is needed and that, in particular, requirements languages for self-adaptive systems should include explicit constructs for specifying and dealing with the uncertainty inherent in self-adaptive systems. We present RELAX, a new requirements language for selfadaptive systems and illustrate it using examples from the smart home domain. © 2009 IEEE.

Specification and quantitative analysis of probabilistic cloud deployment patterns

Cloud computing is a new technological paradigm offering computing infrastructure, software and platforms as a pay-as-you-go, subscription-based service. Many potential customers of cloud services require essential cost assessments to be undertaken before transitioning to the cloud. Current assessment techniques are imprecise as they rely on simplified specifications of resource requirements that fail to account for probabilistic variations in usage. In this paper, we address these problems and propose a new probabilistic pattern modelling (PPM) approach to cloud costing and resource usage verification. Our approach is based on a concise expression of probabilistic resource usage patterns translated to Markov decision processes (MDPs). Key costing and usage queries are identified and expressed in a probabilistic variant of temporal logic and calculated to a high degree of precision using quantitative verification techniques. The PPM cost assessment approach has been implemented as a Java library and validated with a case study and scalability experiments. © 2012 Springer-Verlag Berlin Heidelberg.