A methodology to estimate time varying user responses to travel time and travel time reliability in a road pricing environment

Road pricing has emerged as an effective means of managing road traffic demand while simultaneously raising additional revenues to transportation agencies. Research on the factors that govern travel decisions has shown that user preferences may be a function of the demographic characteristics of the individuals and the perceived trip attributes. However, it is not clear what are the actual trip attributes considered in the travel decision- making process, how these attributes are perceived by travelers, and how the set of trip attributes change as a function of the time of the day or from day to day. In this study, operational Intelligent Transportation Systems (ITS) archives are mined and the aggregated preferences for a priced system are extracted at a fine time aggregation level for an extended number of days. The resulting information is related to corresponding time-varying trip attributes such as travel time, travel time reliability, charged toll, and other parameters. The time-varying user preferences and trip attributes are linked together by means of a binary choice model (Logit) with a linear utility function on trip attributes. The trip attributes weights in the utility function are then dynamically estimated for each time of day by means of an adaptive, limited-memory discrete Kalman filter (ALMF). The relationship between traveler choices and travel time is assessed using different rules to capture the logic that best represents the traveler perception and the effect of the real-time information on the observed preferences. The impact of travel time reliability on traveler choices is investigated considering its multiple definitions. It can be concluded based on the results that using the ALMF algorithm allows a robust estimation of time-varying weights in the utility function at fine time aggregation levels. The high correlations among the trip attributes severely constrain the simultaneous estimation of their weights in the utility function. Despite the data limitations, it is found that, the ALMF algorithm can provide stable estimates of the choice parameters for some periods of the day. Finally, it is found that the daily variation of the user sensitivities for different periods of the day resembles a well-defined normal distribution.

Discrete time models of the term structure of interest rates and interest rate contingent claims

In this study, discrete time one-factor models of the term structure of interest rates and their application to the pricing of interest rate contingent claims are examined theoretically and empirically. The first chapter provides a discussion of the issues involved in the pricing of interest rate contingent claims and a description of the Ho and Lee (1986), Maloney and Byrne (1989), and Black, Derman, and Toy (1990) discrete time models. In the second chapter, a general discrete time model of the term structure from which the Ho and Lee, Maloney and Byrne, and Black, Derman, and Toy models can all be obtained is presented. The general model also provides for the specification of an additional model, the ExtendedMB model. The third chapter illustrates the application of the discrete time models to the pricing of a variety of interest rate contingent claims. In the final chapter, the performance of the Ho and Lee, Black, Derman, and Toy, and ExtendedMB models in the pricing of Eurodollar futures options is investigated empirically. The results indicate that the Black, Derman, and Toy and ExtendedMB models outperform the Ho and Lee model. Little difference in the performance of the Black, Derman, and Toy and ExtendedMB models is detected. ^

Essays on exchange rate economics

Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. ^ Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. ^ Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. ^ Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption. ^

Essays on Exchange Rate Economics

Exchange rate economics has achieved substantial development in the past few decades. Despite extensive research, a large number of unresolved problems remain in the exchange rate debate. This dissertation studied three puzzling issues aiming to improve our understanding of exchange rate behavior. Chapter Two used advanced econometric techniques to model and forecast exchange rate dynamics. Chapter Three and Chapter Four studied issues related to exchange rates using the theory of New Open Economy Macroeconomics. Chapter Two empirically examined the short-run forecastability of nominal exchange rates. It analyzed important empirical regularities in daily exchange rates. Through a series of hypothesis tests, a best-fitting fractionally integrated GARCH model with skewed student-t error distribution was identified. The forecasting performance of the model was compared with that of a random walk model. Results supported the contention that nominal exchange rates seem to be unpredictable over the short run in the sense that the best-fitting model cannot beat the random walk model in forecasting exchange rate movements. Chapter Three assessed the ability of dynamic general-equilibrium sticky-price monetary models to generate volatile foreign exchange risk premia. It developed a tractable two-country model where agents face a cash-in-advance constraint and set prices to the local market; the exogenous money supply process exhibits time-varying volatility. The model yielded approximate closed form solutions for risk premia and real exchange rates. Numerical results provided quantitative evidence that volatile risk premia can endogenously arise in a new open economy macroeconomic model. Thus, the model had potential to rationalize the Uncovered Interest Parity Puzzle. Chapter Four sought to resolve the consumption-real exchange rate anomaly, which refers to the inability of most international macro models to generate negative cross-correlations between real exchange rates and relative consumption across two countries as observed in the data. While maintaining the assumption of complete asset markets, this chapter introduced endogenously segmented asset markets into a dynamic sticky-price monetary model. Simulation results showed that such a model could replicate the stylized fact that real exchange rates tend to move in an opposite direction with respect to relative consumption.

An autoregressive conditional filtering process to remove intraday seasonal volatility and its application to testing the noisy rational expectations model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

A digital signal processing approach for affective sensing of a computer user through pupil diameter monitoring

Recent research has indicated that the pupil diameter (PD) in humans varies with their affective states. However, this signal has not been fully investigated for affective sensing purposes in human-computer interaction systems. This may be due to the dominant separate effect of the pupillary light reflex (PLR), which shrinks the pupil when light intensity increases. In this dissertation, an adaptive interference canceller (AIC) system using the H∞ time-varying (HITV) adaptive algorithm was developed to minimize the impact of the PLR on the measured pupil diameter signal. The modified pupil diameter (MPD) signal, obtained from the AIC was expected to reflect primarily the pupillary affective responses (PAR) of the subject. Additional manipulations of the AIC output resulted in a processed MPD (PMPD) signal, from which a classification feature, PMPDmean, was extracted. This feature was used to train and test a support vector machine (SVM), for the identification of stress states in the subject from whom the pupil diameter signal was recorded, achieving an accuracy rate of 77.78%. The advantages of affective recognition through the PD signal were verified by comparatively investigating the classification of stress and relaxation states through features derived from the simultaneously recorded galvanic skin response (GSR) and blood volume pulse (BVP) signals, with and without the PD feature. The discriminating potential of each individual feature extracted from GSR, BVP and PD was studied by analysis of its receiver operating characteristic (ROC) curve. The ROC curve found for the PMPDmean feature encompassed the largest area (0.8546) of all the single-feature ROCs investigated. The encouraging results seen in affective sensing based on pupil diameter monitoring were obtained in spite of intermittent illumination increases purposely introduced during the experiments. Therefore, these results confirmed the benefits of using the AIC implementation with the HITV adaptive algorithm to isolate the PAR and the potential of using PD monitoring to sense the evolving affective states of a computer user.

A comprehensive portfolio construction under stochastic environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. ^ A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: (a) increase the efficiency of the portfolio optimization process, (b) implement large-scale optimizations, and (c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. ^ The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. ^ The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH). ^

A study of stock market linkages between the US and frontier countries

My dissertation investigates the financial linkages and transmission of economic shocks between the US and the smallest emerging markets (frontier markets). The first chapter sets up an empirical model that examines the impact of US market returns and conditional volatility on the returns and conditional volatilities of twenty-one frontier markets. The model is estimated via maximum likelihood; utilizes the GARCH model of errors, and is applied to daily country data from the MSCI Barra. We find limited, but statistically significant exposure of Frontier markets to shocks from the US. Our results suggest that it is not the lagged US market returns that have impact; rather it is the expected US market returns that influence frontier market returns The second chapter sets up an empirical time-varying parameter (TVP) model to explore the time-variation in the impact of mean US returns on mean Frontier market returns. The model utilizes the Kalman filter algorithm as well as the GARCH model of errors and is applied to daily country data from the MSCI Barra. The TVP model detects statistically significant time-variation in the impact of US returns and low, but statistically and quantitatively important impact of US market conditional volatility. The third chapter studies the risk-return relationship in twenty Frontier country stock markets by setting up an international version of the intertemporal capital asset pricing model. The systematic risk in this model comes from covariance of Frontier market stock index returns with world returns. Both the systematic risk and risk premium are time-varying in our model. We also incorporate own country variances as additional determinants of Frontier country returns. Our results suggest statistically significant impact of both world and own country risk in explaining Frontier country returns. Time-variation in the world risk premium is also found to be statistically significant for most Frontier market returns. However, own country risk is found to be quantitatively more important.

Physics-based modeling of power system components for the evaluation of low-frequency radiated electromagnetic fields

The low-frequency electromagnetic compatibility (EMC) is an increasingly important aspect in the design of practical systems to ensure the functional safety and reliability of complex products. The opportunities for using numerical techniques to predict and analyze system's EMC are therefore of considerable interest in many industries. As the first phase of study, a proper model, including all the details of the component, was required. Therefore, the advances in EMC modeling were studied with classifying analytical and numerical models. The selected model was finite element (FE) modeling, coupled with the distributed network method, to generate the model of the converter's components and obtain the frequency behavioral model of the converter. The method has the ability to reveal the behavior of parasitic elements and higher resonances, which have critical impacts in studying EMI problems. For the EMC and signature studies of the machine drives, the equivalent source modeling was studied. Considering the details of the multi-machine environment, including actual models, some innovation in equivalent source modeling was performed to decrease the simulation time dramatically. Several models were designed in this study and the voltage current cube model and wire model have the best result. The GA-based PSO method is used as the optimization process. Superposition and suppression of the fields in coupling the components were also studied and verified. The simulation time of the equivalent model is 80-100 times lower than the detailed model. All tests were verified experimentally. As the application of EMC and signature study, the fault diagnosis and condition monitoring of an induction motor drive was developed using radiated fields. In addition to experimental tests, the 3DFE analysis was coupled with circuit-based software to implement the incipient fault cases. The identification was implemented using ANN for seventy various faulty cases. The simulation results were verified experimentally. Finally, the identification of the types of power components were implemented. The results show that it is possible to identify the type of components, as well as the faulty components, by comparing the amplitudes of their stray field harmonics. The identification using the stray fields is nondestructive and can be used for the setups that cannot go offline and be dismantled

A Digital Signal Processing Approach for Affective Sensing of a Computer User through Pupil Diameter Monitoring

Recent research has indicated that the pupil diameter (PD) in humans varies with their affective states. However, this signal has not been fully investigated for affective sensing purposes in human-computer interaction systems. This may be due to the dominant separate effect of the pupillary light reflex (PLR), which shrinks the pupil when light intensity increases. In this dissertation, an adaptive interference canceller (AIC) system using the H∞ time-varying (HITV) adaptive algorithm was developed to minimize the impact of the PLR on the measured pupil diameter signal. The modified pupil diameter (MPD) signal, obtained from the AIC was expected to reflect primarily the pupillary affective responses (PAR) of the subject. Additional manipulations of the AIC output resulted in a processed MPD (PMPD) signal, from which a classification feature, PMPDmean, was extracted. This feature was used to train and test a support vector machine (SVM), for the identification of stress states in the subject from whom the pupil diameter signal was recorded, achieving an accuracy rate of 77.78%. The advantages of affective recognition through the PD signal were verified by comparatively investigating the classification of stress and relaxation states through features derived from the simultaneously recorded galvanic skin response (GSR) and blood volume pulse (BVP) signals, with and without the PD feature. The discriminating potential of each individual feature extracted from GSR, BVP and PD was studied by analysis of its receiver operating characteristic (ROC) curve. The ROC curve found for the PMPDmean feature encompassed the largest area (0.8546) of all the single-feature ROCs investigated. The encouraging results seen in affective sensing based on pupil diameter monitoring were obtained in spite of intermittent illumination increases purposely introduced during the experiments. Therefore, these results confirmed the benefits of using the AIC implementation with the HITV adaptive algorithm to isolate the PAR and the potential of using PD monitoring to sense the evolving affective states of a computer user.

An Autoregressive Conditional Filtering Process to remove Intraday Seasonal Volatility and its Application to Testing the Noisy Rational Expectations Model

We develop a new autoregressive conditional process to capture both the changes and the persistency of the intraday seasonal (U-shape) pattern of volatility in essay 1. Unlike other procedures, this approach allows for the intraday volatility pattern to change over time without the filtering process injecting a spurious pattern of noise into the filtered series. We show that prior deterministic filtering procedures are special cases of the autoregressive conditional filtering process presented here. Lagrange multiplier tests prove that the stochastic seasonal variance component is statistically significant. Specification tests using the correlogram and cross-spectral analyses prove the reliability of the autoregressive conditional filtering process. In essay 2 we develop a new methodology to decompose return variance in order to examine the informativeness embedded in the return series. The variance is decomposed into the information arrival component and the noise factor component. This decomposition methodology differs from previous studies in that both the informational variance and the noise variance are time-varying. Furthermore, the covariance of the informational component and the noisy component is no longer restricted to be zero. The resultant measure of price informativeness is defined as the informational variance divided by the total variance of the returns. The noisy rational expectations model predicts that uninformed traders react to price changes more than informed traders, since uninformed traders cannot distinguish between price changes caused by information arrivals and price changes caused by noise. This hypothesis is tested in essay 3 using intraday data with the intraday seasonal volatility component removed, as based on the procedure in the first essay. The resultant seasonally adjusted variance series is decomposed into components caused by unexpected information arrivals and by noise in order to examine informativeness.

A Comprehensive Portfolio Construction Under Stochastic Environment

Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed to optimize the weights of assets in a portfolio. The main benefits of using this algorithm are to: a) increase the efficiency of the portfolio optimization process, b) implement large-scale optimizations, and c) improve the resulting optimal weights. In addition, the technique utilizes a novel approach in the construction of a time-varying covariance matrix. This involves the application of a modified integrated dynamic conditional correlation GARCH (IDCC - GARCH) model to account for the dynamics of the conditional covariance matrices that are employed. The stochastic aspects of the expected return of the securities are integrated into the technique through Monte Carlo simulations. Instead of representing the expected returns as deterministic values, they are assigned simulated values based on their historical measures. The time-series of the securities are fitted into a probability distribution that matches the time-series characteristics using the Anderson-Darling goodness-of-fit criterion. Simulated and actual data sets are used to further generalize the results. Employing the S&P500 securities as the base, 2000 simulated data sets are created using Monte Carlo simulation. In addition, the Russell 1000 securities are used to generate 50 sample data sets. The results indicate an increase in risk-return performance. Choosing the Value-at-Risk (VaR) as the criterion and the Crystal Ball portfolio optimizer, a commercial product currently available on the market, as the comparison for benchmarking, the new greedy technique clearly outperforms others using a sample of the S&P500 and the Russell 1000 securities. The resulting improvements in performance are consistent among five securities selection methods (maximum, minimum, random, absolute minimum, and absolute maximum) and three covariance structures (unconditional, orthogonal GARCH, and integrated dynamic conditional GARCH).

Physics-Based Modeling of Power System Components for the Evaluation of Low-Frequency Radiated Electromagnetic Fields

The low-frequency electromagnetic compatibility (EMC) is an increasingly important aspect in the design of practical systems to ensure the functional safety and reliability of complex products. The opportunities for using numerical techniques to predict and analyze system’s EMC are therefore of considerable interest in many industries. As the first phase of study, a proper model, including all the details of the component, was required. Therefore, the advances in EMC modeling were studied with classifying analytical and numerical models. The selected model was finite element (FE) modeling, coupled with the distributed network method, to generate the model of the converter’s components and obtain the frequency behavioral model of the converter. The method has the ability to reveal the behavior of parasitic elements and higher resonances, which have critical impacts in studying EMI problems. For the EMC and signature studies of the machine drives, the equivalent source modeling was studied. Considering the details of the multi-machine environment, including actual models, some innovation in equivalent source modeling was performed to decrease the simulation time dramatically. Several models were designed in this study and the voltage current cube model and wire model have the best result. The GA-based PSO method is used as the optimization process. Superposition and suppression of the fields in coupling the components were also studied and verified. The simulation time of the equivalent model is 80-100 times lower than the detailed model. All tests were verified experimentally. As the application of EMC and signature study, the fault diagnosis and condition monitoring of an induction motor drive was developed using radiated fields. In addition to experimental tests, the 3DFE analysis was coupled with circuit-based software to implement the incipient fault cases. The identification was implemented using ANN for seventy various faulty cases. The simulation results were verified experimentally. Finally, the identification of the types of power components were implemented. The results show that it is possible to identify the type of components, as well as the faulty components, by comparing the amplitudes of their stray field harmonics. The identification using the stray fields is nondestructive and can be used for the setups that cannot go offline and be dismantled