Research on the influence of behavioral forces that motivate trader behavior and sentiment: A prospect theory exegesis

This study focuses on empirical investigations and seeks implications by utilizing three different methodologies to test various aspects of trader behavior. The first methodology utilizes Prospect Theory to determine trader behavior during periods of extreme wealth contracting periods. Secondly, a threshold model to examine the sentiment variable is formulated and thirdly a study is made of the contagion effect and trader behavior. ^ The connection between consumers' sense of financial well-being or sentiment and stock market performance has been studied at length. However, without data on actual versus experimental performance, implications based on this relationship are meaningless. The empirical agenda included examining a proprietary file of daily trader activities over a five-year period. Overall, during periods of extreme wealth altering conditions, traders "satisfice" rather than choose the "best" alternative. A trader's degree of loss aversion depends on his/her prior investment performance. A model that explains the behavior of traders during periods of turmoil is developed. Prospect Theory and the data file influenced the design of the model. ^ Additional research included testing a model that permitted the data to signal the crisis through a threshold model. The third empirical study sought to investigate the existence of contagion caused by declining global wealth effects using evidence from the mining industry in Canada. Contagion, where a financial crisis begins locally and subsequently spreads elsewhere, has been studied in terms of correlations among similar regions. The results provide support for Prospect Theory in two out of the three empirical studies. ^ The dissertation emphasizes the need for specifying precise, testable models of investors' expectations by providing tools to identify paradoxical behavior patterns. True enhancements in this field must include empirical research utilizing reliable data sources to mitigate data mining problems and allow researchers to distinguish between expectations-based and risk-based explanations of behavior. Through this type of research, it may be possible to systematically exploit "irrational" market behavior. ^

Ensemble fuzzy belief intrusion detection design

With the rapid growth of the Internet, computer attacks are increasing at a fast pace and can easily cause millions of dollar in damage to an organization. Detecting these attacks is an important issue of computer security. There are many types of attacks and they fall into four main categories, Denial of Service (DoS) attacks, Probe, User to Root (U2R) attacks, and Remote to Local (R2L) attacks. Within these categories, DoS and Probe attacks continuously show up with greater frequency in a short period of time when they attack systems. They are different from the normal traffic data and can be easily separated from normal activities. On the contrary, U2R and R2L attacks are embedded in the data portions of the packets and normally involve only a single connection. It becomes difficult to achieve satisfactory detection accuracy for detecting these two attacks. Therefore, we focus on studying the ambiguity problem between normal activities and U2R/R2L attacks. The goal is to build a detection system that can accurately and quickly detect these two attacks. In this dissertation, we design a two-phase intrusion detection approach. In the first phase, a correlation-based feature selection algorithm is proposed to advance the speed of detection. Features with poor prediction ability for the signatures of attacks and features inter-correlated with one or more other features are considered redundant. Such features are removed and only indispensable information about the original feature space remains. In the second phase, we develop an ensemble intrusion detection system to achieve accurate detection performance. The proposed method includes multiple feature selecting intrusion detectors and a data mining intrusion detector. The former ones consist of a set of detectors, and each of them uses a fuzzy clustering technique and belief theory to solve the ambiguity problem. The latter one applies data mining technique to automatically extract computer users’ normal behavior from training network traffic data. The final decision is a combination of the outputs of feature selecting and data mining detectors. The experimental results indicate that our ensemble approach not only significantly reduces the detection time but also effectively detect U2R and R2L attacks that contain degrees of ambiguous information.

A quantitative approach to the organizational design problem

The span of control is the most discussed single concept in classical and modern management theory. In specifying conditions for organizational effectiveness, the span of control has generally been regarded as a critical factor. Existing research work has focused mainly on qualitative methods to analyze this concept, for example heuristic rules based on experiences and/or intuition. This research takes a quantitative approach to this problem and formulates it as a binary integer model, which is used as a tool to study the organizational design issue. This model considers a range of requirements affecting management and supervision of a given set of jobs in a company. These decision variables include allocation of jobs to workers, considering complexity and compatibility of each job with respect to workers, and the requirement of management for planning, execution, training, and control activities in a hierarchical organization. The objective of the model is minimal operations cost, which is the sum of supervision costs at each level of the hierarchy, and the costs of workers assigned to jobs. The model is intended for application in the make-to-order industries as a design tool. It could also be applied to make-to-stock companies as an evaluation tool, to assess the optimality of their current organizational structure. Extensive experiments were conducted to validate the model, to study its behavior, and to evaluate the impact of changing parameters with practical problems. This research proposes a meta-heuristic approach to solving large-size problems, based on the concept of greedy algorithms and the Meta-RaPS algorithm. The proposed heuristic was evaluated with two measures of performance: solution quality and computational speed. The quality is assessed by comparing the obtained objective function value to the one achieved by the optimal solution. The computational efficiency is assessed by comparing the computer time used by the proposed heuristic to the time taken by a commercial software system. Test results show the proposed heuristic procedure generates good solutions in a time-efficient manner.

Modeling security and cooperation in wireless networks using game theory

This research involves the design, development, and theoretical demonstration of models resulting in integrated misbehavior resolution protocols for ad hoc networked devices. Game theory was used to analyze strategic interaction among independent devices with conflicting interests. Packet forwarding at the routing layer of autonomous ad hoc networks was investigated. Unlike existing reputation based or payment schemes, this model is based on repeated interactions. To enforce cooperation, a community enforcement mechanism was used, whereby selfish nodes that drop packets were punished not only by the victim, but also by all nodes in the network. Then, a stochastic packet forwarding game strategy was introduced. Our solution relaxed the uniform traffic demand that was pervasive in other works. To address the concerns of imperfect private monitoring in resource aware ad hoc networks, a belief-free equilibrium scheme was developed that reduces the impact of noise in cooperation. This scheme also eliminated the need to infer the private history of other nodes. Moreover, it simplified the computation of an optimal strategy. The belief-free approach reduced the node overhead and was easily tractable. Hence it made the system operation feasible. Motivated by the versatile nature of evolutionary game theory, the assumption of a rational node is relaxed, leading to the development of a framework for mitigating routing selfishness and misbehavior in Multi hop networks. This is accomplished by setting nodes to play a fixed strategy rather than independently choosing a rational strategy. A range of simulations was carried out that showed improved cooperation between selfish nodes when compared to older results. Cooperation among ad hoc nodes can also protect a network from malicious attacks. In the absence of a central trusted entity, many security mechanisms and privacy protections require cooperation among ad hoc nodes to protect a network from malicious attacks. Therefore, using game theory and evolutionary game theory, a mathematical framework has been developed that explores trust mechanisms to achieve security in the network. This framework is one of the first steps towards the synthesis of an integrated solution that demonstrates that security solely depends on the initial trust level that nodes have for each other.^

The relationship between faculty perceptions and implementation of elements of transactional distance theory and online web-based course completion rates

The purpose of this study was to explore the relationship between faculty perceptions, selected demographics, implementation of elements of transactional distance theory and online web-based course completion rates. This theory posits that the high transactional distance of online courses makes it difficult for students to complete these courses successfully; too often this is associated with low completion rates. Faculty members play an indispensable role in course design, whether online or face-to-face. They also influence course delivery format from design through implementation and ultimately to how students will experience the course. This study used transactional distance theory as the conceptual framework to examine the relationship between teaching and learning strategies used by faculty members to help students complete online courses. Faculty members' sex, number of years teaching online at the college, and their online course completion rates were considered. A researcher-developed survey was used to collect data from 348 faculty members who teach online at two prominent colleges in the southeastern part of United States. An exploratory factor analysis resulted in six factors related to transactional distance theory. The factors accounted for slightly over 65% of the variance of transactional distance scores as measured by the survey instrument. Results provided support for Moore's (1993) theory of transactional distance. Female faculty members scored higher in all the factors of transactional distance theory when compared to men. Faculty number of years teaching online at the college level correlated significantly with all the elements of transactional distance theory. Regression analysis was used to determine that two of the factors, instructor interface and instructor-learner interaction, accounted for 12% of the variance in student online course completion rates. In conclusion, of the six factors found, the two with the highest percentage scores were instructor interface and instructor-learner interaction. This finding, while in alignment with the literature concerning the dialogue element of transactional distance theory, brings a special interest to the importance of instructor interface as a factor. Surprisingly, based on the reviewed literature on transactional distance theory, faculty perceptions concerning learner-learner interaction was not an important factor and there was no learner-content interaction factor.

Research on the influence of behavioral forces that motivate trader behavior and sentiment- a prospect theory exegesis

This study focuses on empirical investigations and seeks implications by utilizing three different methodologies to test various aspects of trader behavior. The first methodology utilizes Prospect Theory to determine trader behavior during periods of extreme wealth contracting periods. Secondly, a threshold model to examine the sentiment variable is formulated and thirdly a study is made of the contagion effect and trader behavior. The connection between consumers' sense of financial well-being or sentiment and stock market performance has been studied at length. However, without data on actual versus experimental performance, implications based on this relationship are meaningless. The empirical agenda included examining a proprietary file of daily trader activities over a five-year period. Overall, during periods of extreme wealth altering conditions, traders "satisfice" rather than choose the "best" alternative. A trader's degree of loss aversion depends on his/her prior investment performance. A model that explains the behavior of traders during periods of turmoil is developed. Prospect Theory and the data file influenced the design of the model. Additional research included testing a model that permitted the data to signal the crisis through a threshold model. The third empirical study sought to investigate the existence of contagion caused by declining global wealth effects using evidence from the mining industry in Canada. Contagion, where a financial crisis begins locally and subsequently spreads elsewhere, has been studied in terms of correlations among similar regions. The results provide support for Prospect Theory in two out of the three empirical studies. The dissertation emphasizes the need for specifying precise, testable models of investors' expectations by providing tools to identify paradoxical behavior patterns. True enhancements in this field must include empirical research utilizing reliable data sources to mitigate data mining problems and allow researchers to distinguish between expectations-based and risk-based explanations of behavior. Through this type of research, it may be possible to systematically exploit "irrational" market behavior.

Ensemble Fuzzy Belief Intrusion Detection Design

With the rapid growth of the Internet, computer attacks are increasing at a fast pace and can easily cause millions of dollar in damage to an organization. Detecting these attacks is an important issue of computer security. There are many types of attacks and they fall into four main categories, Denial of Service (DoS) attacks, Probe, User to Root (U2R) attacks, and Remote to Local (R2L) attacks. Within these categories, DoS and Probe attacks continuously show up with greater frequency in a short period of time when they attack systems. They are different from the normal traffic data and can be easily separated from normal activities. On the contrary, U2R and R2L attacks are embedded in the data portions of the packets and normally involve only a single connection. It becomes difficult to achieve satisfactory detection accuracy for detecting these two attacks. Therefore, we focus on studying the ambiguity problem between normal activities and U2R/R2L attacks. The goal is to build a detection system that can accurately and quickly detect these two attacks. In this dissertation, we design a two-phase intrusion detection approach. In the first phase, a correlation-based feature selection algorithm is proposed to advance the speed of detection. Features with poor prediction ability for the signatures of attacks and features inter-correlated with one or more other features are considered redundant. Such features are removed and only indispensable information about the original feature space remains. In the second phase, we develop an ensemble intrusion detection system to achieve accurate detection performance. The proposed method includes multiple feature selecting intrusion detectors and a data mining intrusion detector. The former ones consist of a set of detectors, and each of them uses a fuzzy clustering technique and belief theory to solve the ambiguity problem. The latter one applies data mining technique to automatically extract computer users’ normal behavior from training network traffic data. The final decision is a combination of the outputs of feature selecting and data mining detectors. The experimental results indicate that our ensemble approach not only significantly reduces the detection time but also effectively detect U2R and R2L attacks that contain degrees of ambiguous information.

The Relationship between Faculty Perceptions and Implementation of Elements of Transactional Distance Theory and Online Web-Based Course Completion Rates

The purpose of this study was to explore the relationship between faculty perceptions, selected demographics, implementation of elements of transactional distance theory and online web-based course completion rates. This theory posits that the high transactional distance of online courses makes it difficult for students to complete these courses successfully; too often this is associated with low completion rates. Faculty members play an indispensable role in course design, whether online or face-to-face. They also influence course delivery format from design through implementation and ultimately to how students will experience the course. This study used transactional distance theory as the conceptual framework to examine the relationship between teaching and learning strategies used by faculty members to help students complete online courses. Faculty members’ sex, number of years teaching online at the college, and their online course completion rates were considered. A researcher-developed survey was used to collect data from 348 faculty members who teach online at two prominent colleges in the southeastern part of United States. An exploratory factor analysis resulted in six factors related to transactional distance theory. The factors accounted for slightly over 65% of the variance of transactional distance scores as measured by the survey instrument. Results provided support for Moore’s (1993) theory of transactional distance. Female faculty members scored higher in all the factors of transactional distance theory when compared to men. Faculty number of years teaching online at the college level correlated significantly with all the elements of transactional distance theory. Regression analysis was used to determine that two of the factors, instructor interface and instructor-learner interaction, accounted for 12% of the variance in student online course completion rates. In conclusion, of the six factors found, the two with the highest percentage scores were instructor interface and instructor-learner interaction. This finding, while in alignment with the literature concerning the dialogue element of transactional distance theory, brings a special interest to the importance of instructor interface as a factor. Surprisingly, based on the reviewed literature on transactional distance theory, faculty perceptions concerning learner-learner interaction was not an important factor and there was no learner-content interaction factor.