Dynamical local models for segmentation and prediction of financial time series

In the analysis and prediction of many real-world time series, the assumption of stationarity is not valid. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We introduce a new model which combines a dynamic switching (controlled by a hidden Markov model) and a non-linear dynamical system. We show how to train this hybrid model in a maximum likelihood approach and evaluate its performance on both synthetic and financial data.

A generative model for separating illumination and reflectance from images

It is well known that even slight changes in nonuniform illumination lead to a large image variability and are crucial for many visual tasks. This paper presents a new ICA related probabilistic model where the number of sources exceeds the number of sensors to perform an image segmentation and illumination removal, simultaneously. We model illumination and reflectance in log space by a generalized autoregressive process and Hidden Gaussian Markov random field, respectively. The model ability to deal with segmentation of illuminated images is compared with a Canny edge detector and homomorphic filtering. We apply the model to two problems: synthetic image segmentation and sea surface pollution detection from intensity images.

Three-dimensional modeling of the human eye based on magnetic resonance imaging

PURPOSE. A methodology for noninvasively characterizing the three-dimensional (3-D) shape of the complete human eye is not currently available for research into ocular diseases that have a structural substrate, such as myopia. A novel application of a magnetic resonance imaging (MRI) acquisition and analysis technique is presented that, for the first time, allows the 3-D shape of the eye to be investigated fully. METHODS. The technique involves the acquisition of a T2-weighted MRI, which is optimized to reveal the fluid-filled chambers of the eye. Automatic segmentation and meshing algorithms generate a 3-D surface model, which can be shaded with morphologic parameters such as distance from the posterior corneal pole and deviation from sphericity. Full details of the method are illustrated with data from 14 eyes of seven individuals. The spatial accuracy of the calculated models is demonstrated by comparing the MRI-derived axial lengths with values measured in the same eyes using interferometry. RESULTS. The color-coded eye models showed substantial variation in the absolute size of the 14 eyes. Variations in the sphericity of the eyes were also evident, with some appearing approximately spherical whereas others were clearly oblate and one was slightly prolate. Nasal-temporal asymmetries were noted in some subjects. CONCLUSIONS. The MRI acquisition and analysis technique allows a novel way of examining 3-D ocular shape. The ability to stratify and analyze eye shape, ocular volume, and sphericity will further extend the understanding of which specific biometric parameters predispose emmetropic children subsequently to develop myopia. Copyright © Association for Research in Vision and Ophthalmology.

Studies in the marketing strategy of a U.K. producer of conveyor belts

Research was undertaken in the field of marketing strategy, its formulation and implementation in Dunlop Belting Division. Emphasis was placed on marketing channel strategy, but other strategies including product strategy were studied. The research has resulted in changes in management practice in the client organisation. The relevance of theories of company organisation, planning and strategy, and marketing channels was examined in the light of the research evidence. The technique of action-research was used to gain admittance to and effect change within the client organisation. Case study material was collected for subsequent analysis. The factors affecting marketing strategy formulation in the client organisation were studied. Both the external and the internal business environments were considered. The operation of the observed marketing channels was compared with channel theory. Market segmentation and penetration, and the selling and technical resources of the channels were analysed. Recommendations were made to (a) enlarge and resite the client's distribution unit to locate it centrally in England (b) use the resited unit to secure local advantage (c) obtain greater integration of field sales activities with and from the centre. A new ex-stock distribution unit was established. Improvements to the client's ex-stock marketing in Scotland were also recommended, including improvements to the Scottish distributor's stock control procedure, as well as to Dunlop-Distributor relationships at all levels. The influence of company organisation structure and formalised procedures and systems on the formulation of strategy were considered with respect to channel and product strategy, and other aspects of marketing. Conclusions were drawn that the action research resulted in successful implementation of .agreed changes in the client organisation; that theories of strategy formulation and planning, of the operation of decentralised companies, and of industrial market segmentation required modification; that the theory of marketing channels was found relevant and useful.

The fractal properties of the retinal vascular architecture

Purpose: The human retinal vasculature has been demonstrated to exhibit fractal, or statistically self similar properties. Fractal analysis offers a simple quantitative method to characterise the complexity of the branching vessel network in the retina. Several methods have been proposed to quantify the fractal properties of the retina. Methods: Twenty five healthy volunteers underwent retinal photography, retinal oximetry and ocular biometry. A robust method to evaluate the fractal properties of the retinal vessels is proposed; it consists of manual vessel segmentation and box counting of 50 degree retinal photographs centred on the fovea. Results: Data is presented on the associations between the fractal properties of the retinal vessels and various functional properties of the retina. Conclusion Fractal properties of the retina could offer a promising tool to assess the risk and prognostic factors that define retinal disease. Outstanding efforts surround the need to adopt a standardised protocol for assessing the fractal properties of the retina, and further demonstrate its association with disease processes.

The role of oscillatory brain activity in object processing and figure-ground segmentation in human vision

The perception of an object as a single entity within a visual scene requires that its features are bound together and segregated from the background and/or other objects. Here, we used magnetoencephalography (MEG) to assess the hypothesis that coherent percepts may arise from the synchronized high frequency (gamma) activity between neurons that code features of the same object. We also assessed the role of low frequency (alpha, beta) activity in object processing. The target stimulus (i.e. object) was a small patch of a concentric grating of 3c/°, viewed eccentrically. The background stimulus was either a blank field or a concentric grating of 3c/° periodicity, viewed centrally. With patterned backgrounds, the target stimulus emerged--through rotation about its own centre--as a circular subsection of the background. Data were acquired using a 275-channel whole-head MEG system and analyzed using Synthetic Aperture Magnetometry (SAM), which allows one to generate images of task-related cortical oscillatory power changes within specific frequency bands. Significant oscillatory activity across a broad range of frequencies was evident at the V1/V2 border, and subsequent analyses were based on a virtual electrode at this location. When the target was presented in isolation, we observed that: (i) contralateral stimulation yielded a sustained power increase in gamma activity; and (ii) both contra- and ipsilateral stimulation yielded near identical transient power changes in alpha (and beta) activity. When the target was presented against a patterned background, we observed that: (i) contralateral stimulation yielded an increase in high-gamma (>55 Hz) power together with a decrease in low-gamma (40-55 Hz) power; and (ii) both contra- and ipsilateral stimulation yielded a transient decrease in alpha (and beta) activity, though the reduction tended to be greatest for contralateral stimulation. The opposing power changes across different regions of the gamma spectrum with 'figure/ground' stimulation suggest a possible dual role for gamma rhythms in visual object coding, and provide general support of the binding-by-synchronization hypothesis. As the power changes in alpha and beta activity were largely independent of the spatial location of the target, however, we conclude that their role in object processing may relate principally to changes in visual attention.

Testing for market segmentation in the A and B share markets of China

Recent research has suggested that the A and B share markets of China may be informationally segmented. In this paper volatility patterns in the A and B share market are studied to establish whether volatility changes to the A and B share markets are synchronous. A consequence of new information, when investors act upon it is that volatility rises. This means that if the A and B markets are perfectly integrated volatility changes to each market would be expected to occur at the same time. However, if they are segmented there is no reason for volatility changes to occur on the same day. Using the iterative cumulative sum of squares across the different markets. Evidence is found of integration between the two A share markets but not between the A and B markets. © 2005 Taylor & Francis Group Ltd.

Response-based segmentation using Finite Mixture Partial Least Squares: theoretical foundations and an application to American Customer Satisfaction Index Data

When applying multivariate analysis techniques in information systems and social science disciplines, such as management information systems (MIS) and marketing, the assumption that the empirical data originate from a single homogeneous population is often unrealistic. When applying a causal modeling approach, such as partial least squares (PLS) path modeling, segmentation is a key issue in coping with the problem of heterogeneity in estimated cause-and-effect relationships. This chapter presents a new PLS path modeling approach which classifies units on the basis of the heterogeneity of the estimates in the inner model. If unobserved heterogeneity significantly affects the estimated path model relationships on the aggregate data level, the methodology will allow homogenous groups of observations to be created that exhibit distinctive path model estimates. The approach will, thus, provide differentiated analytical outcomes that permit more precise interpretations of each segment formed. An application on a large data set in an example of the American customer satisfaction index (ACSI) substantiates the methodology’s effectiveness in evaluating PLS path modeling results.

Texture description and segmentation in image processing

Textured regions in images can be defined as those regions containing a signal which has some measure of randomness. This thesis is concerned with the description of homogeneous texture in terms of a signal model and to develop a means of spatially separating regions of differing texture. A signal model is presented which is based on the assumption that a large class of textures can adequately be represented by their Fourier amplitude spectra only, with the phase spectra modelled by a random process. It is shown that, under mild restrictions, the above model leads to a stationary random process. Results indicate that this assumption is valid for those textures lacking significant local structure. A texture segmentation scheme is described which separates textured regions based on the assumption that each texture has a different distribution of signal energy within its amplitude spectrum. A set of bandpass quadrature filters are applied to the original signal and the envelope of the output of each filter taken. The filters are designed to have maximum mutual energy concentration in both the spatial and spatial frequency domains thus providing high spatial and class resolutions. The outputs of these filters are processed using a multi-resolution classifier which applies a clustering algorithm on the data at a low spatial resolution and then performs a boundary estimation operation in which processing is carried out over a range of spatial resolutions. Results demonstrate a high performance, in terms of the classification error, for a range of synthetic and natural textures