Time-varying dependence in the intraday AUS/USD spot market

Using a high-frequency data set of the spot Australian dollar/US dollar this study examines the distribution of quotes and returns across the 24 hour trading "day". Employing statistical methods for measuring long-tenn dependence in time-series we find evidence of time-varying dependence and volatility that aligns with the opening and closing of markets. This variation is attributed to the effects of liquidity and the price-discovery actions of dealers.

Time-varying hedge ratios: an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Time varying hedge ratios : an application to the Indian stock futures market

This paper investigates time-varying optimal hedge ratios in individual stock futures markets in India. The analysis employs data on individual stock futures from an unexplored but highly traded (both in terms of volume and quantity) emerging market. The hedge ratios derived in this study incorporate mean reversion in volatility, which is an important extension of the bivariate BEKK-GARCH model of Engle and Kroner. This extension generates improved optimal hedge ratios over the traditional BEKK-GARCH model and static error correction type alternatives.

Distributed power control in cellular mobile radio systems with time-varying link gains

A simple distributed power control algorithm for communication systems with mobile users and unknown time-varying link gains is proposed. We prove that the proposed algorithm is exponentially converging. Furthermore, we show that the algorithm significantly outperforms the well-known Foschini and Miljanic algorithm in the case of quickly moving mobile users.

Distributed power control in cellular mobile radio systems with time-varying link gains

A simple distributed power control algorithm for communication systems with mobile users and unknown timevarying link gains is proposed. We prove that the proposed algorithm is exponentially converging. Furthermore, we show that the algorithm significantly outperforms the well-known
Foschini and Miljanic algorithm in the case of quickly moving mobile users.

Integrity of the circadian time-keeping system in chronic fatigue syndrome

Chronic Fatigue Syndrome (CFS) is a debilitating condition in which severe, ongoing fatigue is the most prominent of a complex of somatic, psychological and neuropsychological symptoms. The aetiology of CFS remains uncertain and, to date, efforts to distinguish a clear pathophysiological profile for the disorder have been unsuccessful. Current evidence suggests that, rather than being a discrete disease entity with a single cause, CFS is a clinical condition resulting from the interaction of a number of pathophysiological factors, including acute infections, stress and psychiatric disorder. Recently, there has been some interest in the proposition that disordered circadian time-keeping may contribute to the development and/or course of the illness. The rationale for the investigation of circadian factors in CFS is based on the fact that disorders known to be associated with circadian dysregulation, such as jet lag and shiftwork related syndromes have a high degree of symptomatological overlap with CFS. Also, the presence of circadian disturbance could account, in part, for other phenomenological aspects of CFS, including the high rates of comorbid affective disturbance, and the reports of low-level immune dyregulation among sufferers. While several recent studies have produced some evidence of chronobiological dysregulation in CFS patients, much work remains before conclusions can be drawn about the presence, nature and clinical significance of circadian disturbance in CFS. This thesis describes a series of studies that were designed to systematically investigate: 1. whether CFS is associated with a state of circadian dysregulation, and 2. whether circadian dysregulation contributes significantly to the symptomatology of CFS. The first of the 5 studies reported here compared the circadian patterns of sleep-activity of CFS sufferers with those of healthy controls. Results indicated that CFS patients' sleep-activity cycles were significantly phase delayed compared to controls, and that some aspects of their circadian profiles of sleep-activity were related to some measures of sleep-disturbance and well-being. Studies 2 and 3 investigated the relationship between rhythms of sleep-wake and core temperature in CFS patients and healthy controls. The major finding from these studies was that sleep-wake and core temperature rhythms appear to be less effectively synchronised. Further evidence was collected that suggested that there was a relationship between circadian parameters and symptom measures in the CFS group. While this indicated that circadian dysregulation is linked in some way to the symptoms of CFS, assessment of the actual clinical significance of circadian disturbances required the use of a prospective methodology. The final two studies, therefore, report on a placebo-controlled trial of clinical interventions that were designed to restore circadian integrity to CFS patients, in order to see whether this would lead to a reduction in symptom number or severity. Results indicated that, although patients experienced improvements across a range of measures of symptoms and functional capacity, these were small in magnitude, of unlikely clinical significance, and no greater, in general, to improvements reported by patients who underwent placebo treatment. These results, along with those of the earlier studies, are discussed with respect to their implications regarding the presence and significance of circadian dysregulation. It is concluded that, while they provide evidence that CFS is associated with a degree of both internal and external circadian desynchrony, these findings suggest that circadian dysregulation is likely to be only a peripheral, contributor to the processes that generate and maintain the symptom complex. These findings are discussed with respect to how they contribute to our overall understanding of this multi-dimensional condition, and the implications they have for the continuing effort to investigate the causes and treatment of CFS.

Key success factors in real-time industrial system assurance

The thesis analyses the issues of implementing real-time software systems in industrial applications. The benefit is the development of the Integrated Mega Project Development Model, to improve the effectiveness of planning and timely delivery of software, the quality of the delivered software and reducing problems associated with integrating software systems.

Estimation of basis frequencies for time-varying SIMO channels : a second-order method

The complex exponential basis expansion model (CE-BEM) provides an accurate description for the time-varying (TV) channels encountered in mobile communications. Many blind channel identification and equalization approaches based on the CE-BEM require precise knowledge of the basis frequencies of TV channels. Existing methods for basis frequency estimation usually resort to the higher-order statistics of channel outputs and impose strict constraints on the source signal. In this paper, we propose a novel method to estimate the basis frequencies for blind identification and equalization of time-varying single-input multiple-output (SIMO) finite-impulse-response (FIR) channels. The proposed method exploits only the second-order statistics of channel outputs and does not require strong conditions on the source signal. As a result, it exhibits superior performance to the existing basis frequency estimation methods. The validity of our method is demonstrated by numerical simulations.

Exponential stabilization of neural networks with various activation functions and mixed time-varying delays

This paper presents some results on the global exponential stabilization for neural networks with various activation functions and time-varying continuously distributed delays. Based on augmented time-varying Lyapunov-Krasovskii functionals, new delay-dependent conditions for the global exponential stabilization are obtained in terms of linear matrix inequalities. A numerical example is given to illustrate the feasibility of our results.

Parameter-dependent H∞ control for time varying delay polytopic systems

This paper addresses the robust stabilization and H_∞ control problem for a class of linear polytopic systems with continuously distributed delays. The control objective is to design a robust H_∞ controller that satisfies some exponential stability constraints on the closed-loop poles. Using improved parameter-dependent Lyapunov Krasovskii functionals, new delay-dependent conditions for the robust H_∞ control are established in terms of linear matrix inequalities.

CM-based blind equalization of time-varying SIMO-FIR channel with single pulsation estimation

It is known that the constant modulus (CM) property of the source signal can be exploited to blindly equalize time-invariant single-inputmultiple-output (SIMO) and finite-impulse-response (FIR) channels. However, the time-invariance assumption about the channel cannot be satisfied in several practical applications, e.g., mobile communication. In this paper, we show that, under some mild conditions, the CM criterion can be extended to the blind equalization of a time-varying channel that is described by the complex exponential basis expansion model (CE-BEM). Although several existing blind equalization methods that are based on the CE-BEM have to employ higher order statistics to estimate all nonzero channel pulsations, the CM-based method only needs to estimate one pulsation using second-order statistics, which yields better estimation results. It also relaxes the restriction on the source signal and is applicable to some classes of signals with which the existing methods cannot deal.