Genetic algorithms and investment strategies: A global perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: (1) help global investors determine the optimal selection and holding periods for momentum portfolios, (2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, (3) assess the investment strategy profits after considering transaction costs, and (4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Next generation of recommender systems: Algorithms and applications

Personalized recommender systems aim to assist users in retrieving and accessing interesting items by automatically acquiring user preferences from the historical data and matching items with the preferences. In the last decade, recommendation services have gained great attention due to the problem of information overload. However, despite recent advances of personalization techniques, several critical issues in modern recommender systems have not been well studied. These issues include: (1) understanding the accessing patterns of users (i.e., how to effectively model users' accessing behaviors); (2) understanding the relations between users and other objects (i.e., how to comprehensively assess the complex correlations between users and entities in recommender systems); and (3) understanding the interest change of users (i.e., how to adaptively capture users' preference drift over time). To meet the needs of users in modern recommender systems, it is imperative to provide solutions to address the aforementioned issues and apply the solutions to real-world applications. ^ The major goal of this dissertation is to provide integrated recommendation approaches to tackle the challenges of the current generation of recommender systems. In particular, three user-oriented aspects of recommendation techniques were studied, including understanding accessing patterns, understanding complex relations and understanding temporal dynamics. To this end, we made three research contributions. First, we presented various personalized user profiling algorithms to capture click behaviors of users from both coarse- and fine-grained granularities; second, we proposed graph-based recommendation models to describe the complex correlations in a recommender system; third, we studied temporal recommendation approaches in order to capture the preference changes of users, by considering both long-term and short-term user profiles. In addition, a versatile recommendation framework was proposed, in which the proposed recommendation techniques were seamlessly integrated. Different evaluation criteria were implemented in this framework for evaluating recommendation techniques in real-world recommendation applications. ^ In summary, the frequent changes of user interests and item repository lead to a series of user-centric challenges that are not well addressed in the current generation of recommender systems. My work proposed reasonable solutions to these challenges and provided insights on how to address these challenges using a simple yet effective recommendation framework.^

Genetic Algorithms and Investment Strategies: A Global Perspective

The profitability of momentum portfolios in the equity markets is derived from the continuation of stock returns over medium time horizons. The empirical evidence of momentum, however, is significantly different across markets around the world. The purpose of this dissertation is to: 1) help global investors determine the optimal selection and holding periods for momentum portfolios, 2) evaluate the profitability of the optimized momentum portfolios in different time periods and market states, 3) assess the investment strategy profits after considering transaction costs, and 4) interpret momentum returns within the framework of prior studies on investors’ behavior. Improving on the traditional practice of selecting arbitrary selection and holding periods, a genetic algorithm (GA) is employed. The GA performs a thorough and structured search to capture the return continuations and reversals patterns of momentum portfolios. Three portfolio formation methods are used: price momentum, earnings momentum, and earnings and price momentum and a non-linear optimization procedure (GA). The focus is on common equity of the U.S. and a select number of countries, including Australia, France, Germany, Japan, the Netherlands, Sweden, Switzerland and the United Kingdom. The findings suggest that the evolutionary algorithm increases the annualized profits of the U.S. momentum portfolios. However, the difference in mean returns is statistically significant only in certain cases. In addition, after considering transaction costs, both price and earnings and price momentum portfolios do not appear to generate abnormal returns. Positive risk-adjusted returns net of trading costs are documented solely during “up” markets for a portfolio long in prior winners only. The results on the international momentum effects indicate that the GA improves the momentum returns by 2 to 5% on an annual basis. In addition, the relation between momentum returns and exchange rate appreciation/depreciation is examined. The currency appreciation does not appear to influence significantly momentum profits. Further, the influence of the market state on momentum returns is not uniform across the countries considered. The implications of the above findings are discussed with a focus on the practical aspects of momentum investing, both in the U.S. and globally.

Modeling of a Heat-Induced Buckling of Plates Using the Mesh-free Method

In the process of engineering design of structural shapes, the flat plate analysis results can be generalized to predict behaviors of complete structural shapes. In this case, the purpose of this project is to analyze a thin flat plate under conductive heat transfer and to simulate the temperature distribution, thermal stresses, total displacements, and buckling deformations. The current approach in these cases has been using the Finite Element Method (FEM), whose basis is the construction of a conforming mesh. In contrast, this project uses the mesh-free Scan Solve Method. This method eliminates the meshing limitation using a non-conforming mesh. I implemented this modeling process developing numerical algorithms and software tools to model thermally induced buckling. In addition, convergence analysis was achieved, and the results were compared with FEM. In conclusion, the results demonstrate that the method gives similar solutions to FEM in quality, but it is computationally less time consuming.

Development of a Coupling Model for Fluid-Structure Interaction using the Mesh-free Finite Element Method and the Lattice Boltzmann Method

In the presented thesis work, the meshfree method with distance fields was coupled with the lattice Boltzmann method to obtain solutions of fluid-structure interaction problems. The thesis work involved development and implementation of numerical algorithms, data structure, and software. Numerical and computational properties of the coupling algorithm combining the meshfree method with distance fields and the lattice Boltzmann method were investigated. Convergence and accuracy of the methodology was validated by analytical solutions. The research was focused on fluid-structure interaction solutions in complex, mesh-resistant domains as both the lattice Boltzmann method and the meshfree method with distance fields are particularly adept in these situations. Furthermore, the fluid solution provided by the lattice Boltzmann method is massively scalable, allowing extensive use of cutting edge parallel computing resources to accelerate this phase of the solution process. The meshfree method with distance fields allows for exact satisfaction of boundary conditions making it possible to exactly capture the effects of the fluid field on the solid structure.

Data partitioning and replication management in distributed geographic information system (GIS) database

This research presents several components encompassing the scope of the objective of Data Partitioning and Replication Management in Distributed GIS Database. Modern Geographic Information Systems (GIS) databases are often large and complicated. Therefore data partitioning and replication management problems need to be addresses in development of an efficient and scalable solution. ^ Part of the research is to study the patterns of geographical raster data processing and to propose the algorithms to improve availability of such data. These algorithms and approaches are targeting granularity of geographic data objects as well as data partitioning in geographic databases to achieve high data availability and Quality of Service(QoS) considering distributed data delivery and processing. To achieve this goal a dynamic, real-time approach for mosaicking digital images of different temporal and spatial characteristics into tiles is proposed. This dynamic approach reuses digital images upon demand and generates mosaicked tiles only for the required region according to user's requirements such as resolution, temporal range, and target bands to reduce redundancy in storage and to utilize available computing and storage resources more efficiently. ^ Another part of the research pursued methods for efficient acquiring of GIS data from external heterogeneous databases and Web services as well as end-user GIS data delivery enhancements, automation and 3D virtual reality presentation. ^ There are vast numbers of computing, network, and storage resources idling or not fully utilized available on the Internet. Proposed "Crawling Distributed Operating System "(CDOS) approach employs such resources and creates benefits for the hosts that lend their CPU, network, and storage resources to be used in GIS database context. ^ The results of this dissertation demonstrate effective ways to develop a highly scalable GIS database. The approach developed in this dissertation has resulted in creation of TerraFly GIS database that is used by US government, researchers, and general public to facilitate Web access to remotely-sensed imagery and GIS vector information. ^

Quantum transition state theory and solving a first order master equation for complex reactions numerically

The field of chemical kinetics is an exciting and active field. The prevailing theories make a number of simplifying assumptions that do not always hold in actual cases. Another current problem concerns a development of efficient numerical algorithms for solving the master equations that arise in the description of complex reactions. The objective of the present work is to furnish a completely general and exact theory of reaction rates, in a form reminiscent of transition state theory, valid for all fluid phases and also to develop a computer program that can solve complex reactions by finding the concentrations of all participating substances as a function of time. To do so, the full quantum scattering theory is used for deriving the exact rate law, and then the resulting cumulative reaction probability is put into several equivalent forms that take into account all relativistic effects if applicable, including one that is strongly reminiscent of transition state theory, but includes corrections from scattering theory. Then two programs, one for solving complex reactions, the other for solving first order linear kinetic master equations to solve them, have been developed and tested for simple applications.

Document understanding using data mining and machine learning techniques

With the explosive growth of the volume and complexity of document data (e.g., news, blogs, web pages), it has become a necessity to semantically understand documents and deliver meaningful information to users. Areas dealing with these problems are crossing data mining, information retrieval, and machine learning. For example, document clustering and summarization are two fundamental techniques for understanding document data and have attracted much attention in recent years. Given a collection of documents, document clustering aims to partition them into different groups to provide efficient document browsing and navigation mechanisms. One unrevealed area in document clustering is that how to generate meaningful interpretation for the each document cluster resulted from the clustering process. Document summarization is another effective technique for document understanding, which generates a summary by selecting sentences that deliver the major or topic-relevant information in the original documents. How to improve the automatic summarization performance and apply it to newly emerging problems are two valuable research directions. To assist people to capture the semantics of documents effectively and efficiently, the dissertation focuses on developing effective data mining and machine learning algorithms and systems for (1) integrating document clustering and summarization to obtain meaningful document clusters with summarized interpretation, (2) improving document summarization performance and building document understanding systems to solve real-world applications, and (3) summarizing the differences and evolution of multiple document sources.

Development of Physics-based Models and Design Optimization of Power Electronic Conversion Systems

The main objective for physics based modeling of the power converter components is to design the whole converter with respect to physical and operational constraints. Therefore, all the elements and components of the energy conversion system are modeled numerically and combined together to achieve the whole system behavioral model. Previously proposed high frequency (HF) models of power converters are based on circuit models that are only related to the parasitic inner parameters of the power devices and the connections between the components. This dissertation aims to obtain appropriate physics-based models for power conversion systems, which not only can represent the steady state behavior of the components, but also can predict their high frequency characteristics. The developed physics-based model would represent the physical device with a high level of accuracy in predicting its operating condition. The proposed physics-based model enables us to accurately develop components such as; effective EMI filters, switching algorithms and circuit topologies [7]. One of the applications of the developed modeling technique is design of new sets of topologies for high-frequency, high efficiency converters for variable speed drives. The main advantage of the modeling method, presented in this dissertation, is the practical design of an inverter for high power applications with the ability to overcome the blocking voltage limitations of available power semiconductor devices. Another advantage is selection of the best matching topology with inherent reduction of switching losses which can be utilized to improve the overall efficiency. The physics-based modeling approach, in this dissertation, makes it possible to design any power electronic conversion system to meet electromagnetic standards and design constraints. This includes physical characteristics such as; decreasing the size and weight of the package, optimized interactions with the neighboring components and higher power density. In addition, the electromagnetic behaviors and signatures can be evaluated including the study of conducted and radiated EMI interactions in addition to the design of attenuation measures and enclosures.

The relationship of attitudes toward science, cognitive style, and self-concept to achievement in chemistry at the secondary school level

There is currently a crisis in science education in the United States. This statement is based on the National Science Foundation's report stating that the nation's students, on average, still rank near the bottom in science and math achievement internationally. ^ This crisis is the background of the problem for this study. This investigation studied learner variables that were thought to play a role in teaching chemistry at the secondary school level, and related them to achievement in the chemistry classroom. Among these, cognitive style (field dependence/independence), attitudes toward science, and self-concept had been given considerable attention by researchers in recent years. These variables were related to different competencies that could be used to measure the various types of achievement in the chemistry classroom at the secondary school level. These different competencies were called academic, laboratory, and problem solving achievement. Each of these chemistry achievement components may be related to a different set of learner variables, and the main purpose of this study was to investigate the nature of these relationships. ^ Three instruments to determine attitudes toward science, cognitive style, and self-concept were used for data collection. Teacher grades were used to determine chemistry achievement for each student. ^ Research questions were analyzed using Pearson Product Moment Correlation Coefficients and t-tests. Results indicated that field independence was significantly correlated with problem solving, academic, and laboratory achievement. Educational researchers should therefore investigate how to teach students to be more field independent so they can achieve at higher levels in chemistry. ^ It was also true that better attitudes toward the social benefits and problems that accompany scientific progress were significantly correlated with higher achievement on all three academic measures in chemistry. This suggests that educational researchers should investigate how students might be guided to manifest more favorable attitudes toward science so they will achieve at higher levels in chemistry. ^ An overall theme that emerged from this study was that findings refuted the idea that female students believed that science was for males only and was an inappropriate and unfeminine activity. This was true because when the means of males and females were compared on the three measures of chemistry achievement, there was no statistically significant difference between them on problem solving or academic achievement. However, females were significantly better in laboratory achievement. ^

Adaptive fault-tolerant teleoperation

While the robots gradually become a part of our daily lives, they already play vital roles in many critical operations. Some of these critical tasks include surgeries, battlefield operations, and tasks that take place in hazardous environments or distant locations such as space missions. ^ In most of these tasks, remotely controlled robots are used instead of autonomous robots. This special area of robotics is called teleoperation. Teleoperation systems must be reliable when used in critical tasks; hence, all of the subsystems must be dependable even under a subsystem or communication line failure. ^ These systems are categorized as unilateral or bilateral teleoperation. A special type of bilateral teleoperation is described as force-reflecting teleoperation, which is further investigated as limited- and unlimited-workspace teleoperation. ^ Teleoperation systems configured in this study are tested both in numerical simulations and experiments. A new method, Virtual Rapid Robot Prototyping, is introduced to create system models rapidly and accurately. This method is then extended to configure experimental setups with actual master systems working with system models of the slave robots accompanied with virtual reality screens as well as the actual slaves. Fault-tolerant design and modeling of the master and slave systems are also addressed at different levels to prevent subsystem failure. ^ Teleoperation controllers are designed to compensate for instabilities due to communication time delays. Modifications to the existing controllers are proposed to configure a controller that is reliable in communication line failures. Position/force controllers are also introduced for master and/or slave robots. Later, controller architecture changes are discussed in order to make these controllers dependable even in systems experiencing communication problems. ^ The customary and proposed controllers for teleoperation systems are tested in numerical simulations on single- and multi-DOF teleoperation systems. Experimental studies are then conducted on seven different systems that included limited- and unlimited-workspace teleoperation to verify and improve simulation studies. ^ Experiments of the proposed controllers were successful relative to the customary controllers. Overall, by employing the fault-tolerance features and the proposed controllers, a more reliable teleoperation system is possible to design and configure which allows these systems to be used in a wider range of critical missions. ^

Efficient asynchronous scheduling algorithms for cost-effective buffered crossbar switches

Buffered crossbar switches have recently attracted considerable attention as the next generation of high speed interconnects. They are a special type of crossbar switches with an exclusive buffer at each crosspoint of the crossbar. They demonstrate unique advantages over traditional unbuffered crossbar switches, such as high throughput, low latency, and asynchronous packet scheduling. However, since crosspoint buffers are expensive on-chip memories, it is desired that each crosspoint has only a small buffer. This dissertation proposes a series of practical algorithms and techniques for efficient packet scheduling for buffered crossbar switches. To reduce the hardware cost of such switches and make them scalable, we considered partially buffered crossbars, whose crosspoint buffers can be of an arbitrarily small size. Firstly, we introduced a hybrid scheme called Packet-mode Asynchronous Scheduling Algorithm (PASA) to schedule best effort traffic. PASA combines the features of both distributed and centralized scheduling algorithms and can directly handle variable length packets without Segmentation And Reassembly (SAR). We showed by theoretical analysis that it achieves 100% throughput for any admissible traffic in a crossbar with a speedup of two. Moreover, outputs in PASA have a large probability to avoid the more time-consuming centralized scheduling process, and thus make fast scheduling decisions. Secondly, we proposed the Fair Asynchronous Segment Scheduling (FASS) algorithm to handle guaranteed performance traffic with explicit flow rates. FASS reduces the crosspoint buffer size by dividing packets into shorter segments before transmission. It also provides tight constant performance guarantees by emulating the ideal Generalized Processor Sharing (GPS) model. Furthermore, FASS requires no speedup for the crossbar, lowering the hardware cost and improving the switch capacity. Thirdly, we presented a bandwidth allocation scheme called Queue Length Proportional (QLP) to apply FASS to best effort traffic. QLP dynamically obtains a feasible bandwidth allocation matrix based on the queue length information, and thus assists the crossbar switch to be more work-conserving. The feasibility and stability of QLP were proved, no matter whether the traffic distribution is uniform or non-uniform. Hence, based on bandwidth allocation of QLP, FASS can also achieve 100% throughput for best effort traffic in a crossbar without speedup.

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.

VHITS: Vertical handoff initiation and target selection in a heterogeneous wireless network

Global connectivity, for anyone, at anyplace, at anytime, to provide high-speed, high-quality, and reliable communication channels for mobile devices, is now becoming a reality. The credit mainly goes to the recent technological advances in wireless communications comprised of a wide range of technologies, services, and applications to fulfill the particular needs of end-users in different deployment scenarios (Wi-Fi, WiMAX, and 3G/4G cellular systems). In such a heterogeneous wireless environment, one of the key ingredients to provide efficient ubiquitous computing with guaranteed quality and continuity of service is the design of intelligent handoff algorithms. Traditional single-metric handoff decision algorithms, such as Received Signal Strength (RSS) based, are not efficient and intelligent enough to minimize the number of unnecessary handoffs, decision delays, and call-dropping and/or blocking probabilities. This research presented a novel approach for the design and implementation of a multi-criteria vertical handoff algorithm for heterogeneous wireless networks. Several parallel Fuzzy Logic Controllers were utilized in combination with different types of ranking algorithms and metric weighting schemes to implement two major modules: the first module estimated the necessity of handoff, and the other module was developed to select the best network as the target of handoff. Simulations based on different traffic classes, utilizing various types of wireless networks were carried out by implementing a wireless test-bed inspired by the concept of Rudimentary Network Emulator (RUNE). Simulation results indicated that the proposed scheme provided better performance in terms of minimizing the unnecessary handoffs, call dropping, and call blocking and handoff blocking probabilities. When subjected to Conversational traffic and compared against the RSS-based reference algorithm, the proposed scheme, utilizing the FTOPSIS ranking algorithm, was able to reduce the average outage probability of MSs moving with high speeds by 17%, new call blocking probability by 22%, the handoff blocking probability by 16%, and the average handoff rate by 40%. The significant reduction in the resulted handoff rate provides MS with efficient power consumption, and more available battery life. These percentages indicated a higher probability of guaranteed session continuity and quality of the currently utilized service, resulting in higher user satisfaction levels.