Three Essays on Market Depth in Futures Markets

Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This database allows for the analysis of depth along the entire limit order book rather than just at the first level. The first essay examines the characteristics of depth within the context of the five-deep limit order book. Results show that a large amount of depth is present in the book beyond the best level. Furthermore, the findings show that the characteristics of five-deep depth between day and night trading vary and that depth is unequal across levels within the limit order book. The second essay examines the link between the five-deep market depth and the bid-ask spread. The results suggest an inverse relation between the spread and the depth after adjusting for control factors. The third essay explores transitory volatility in relation to depth in the limit order book. Evidence supports the relation between an increase in volatility and a subsequent decrease in market depth. Overall, the results of this dissertation are consistent with limit order traders actively managing depth along the limit order book in electronic U.S. futures markets.

Why does the Euro fail? The DCCA approach

The present crisis in the Euro is one of the most serious crises reported in history. The fact that different countries that adopted the Euro have different conditions to support asymmetric shocks in their economies could explain some of the consequences currently affecting the Eurozone. In this paper we apply detrended cross-correlation analysis and its cross correlation coefficient to evaluate the degree of financial integration of the first set of countries to adopt the common currency. Since time series used in these studies are known to be non-stationary, DCCA is suited to study it. It is the first time this methodology has been applied to study financial integration. We conclude that the degree of financial integration is unequal in several countries using the common currency. The fact that countries like Greece, Ireland or Portugal are the ones facing most problems in verification of the parity used in this paper could help to explain the present instability in the Eurozone.

G7 Stock Markets: Who is The First to Defeat The DCCA Correlation?

Following the methodology of Ferreira and Dionísio (2016), the objective of this paper is to analyze the behavior stock markets in the G7 countries and find which of those countries is the first to reach levels of long-range correlations that are not significant. We carry out this analysis using detrended cross-correlation analysis and its correlation coefficient, to check for the existence of long-range dependence in time series. The existence of long-range dependence could be understood as a possibility of EMH violation. This analysis remains interesting because studies are not conclusive about the existence or not of long memory in stock return rates.

Quantitative electroencephalographic comodulation : an investigation of patterns in chronic fatigue syndrome

Introduction. This is a pilot study of quantitative electro-encephalographic (QEEG) comodulation analysis, which is used to assist in identifying regional brain differences in those people suffering from chronic fatigue syndrome (CFS) compared to a normative database. The QEEG comodulation analysis examines spatial-temporal cross-correlation of spectral estimates in the resting dominant frequency band. A pattern shown by Sterman and Kaiser (2001) and referred to as the anterior posterior dissociation (APD) discloses a significant reduction in shared functional modulation between frontal and centro-parietal areas of the cortex. This research attempts to examine whether this pattern is evident in CFS. Method. Eleven adult participants, diagnosed by a physician as having CFS, were involved in QEEG data collection. Nineteen-channel cap recordings were made in five conditions: eyes-closed baseline, eyes-open, reading task one, math computations task two, and a second eyes-closed baseline. Results. Four of the 11 participants showed an anterior posterior dissociation pattern for the eyes-closed resting dominant frequency. However, seven of the 11 participants did not show this pattern. Examination of the mean 8-12 Hz amplitudes across three cortical regions (frontal, central and parietal) indicated a trend of higher overall alpha levels in the parietal region in CFS patients who showed the APD pattern compared to those who did not have this pattern. All patients showing the pattern were free of medication, while 71% of those absent of the pattern were using antidepressant medications. Conclusions. Although the sample is small, it is suggested that this method of evaluating the disorder holds promise. The fact that this pattern was not consistently represented in the CFS sample could be explained by the possibility of subtypes of CFS, or perhaps co-morbid conditions. Further, the use of antidepressant medications may mask the pattern by altering the temporal characteristics of the EEG. The results of this pilot study indicate that further research is warranted to verify that the pattern holds across the wider population of CFS sufferers.

Modeling corneal surfaces with rational functions for high-speed videokeratoscopy data compression

High-speed videokeratoscopy is an emerging technique that enables study of the corneal surface and tear-film dynamics. Unlike its static predecessor, this new technique results in a very large amount of digital data for which storage needs become significant. We aimed to design a compression technique that would use mathematical functions to parsimoniously fit corneal surface data with a minimum number of coefficients. Since the Zernike polynomial functions that have been traditionally used for modeling corneal surfaces may not necessarily correctly represent given corneal surface data in terms of its optical performance, we introduced the concept of Zernike polynomial-based rational functions. Modeling optimality criteria were employed in terms of both the rms surface error as well as the point spread function cross-correlation. The parameters of approximations were estimated using a nonlinear least-squares procedure based on the Levenberg-Marquardt algorithm. A large number of retrospective videokeratoscopic measurements were used to evaluate the performance of the proposed rational-function-based modeling approach. The results indicate that the rational functions almost always outperform the traditional Zernike polynomial approximations with the same number of coefficients.

Is there timing ability in currency markets? Evidence from ADR issuances

Is there timing ability in the exchange rate markets? We address this question by examining foreign firms' decisions to issue American Depositary Receipts (ADRs). Specifically, we test whether foreign firms consider currency market conditions in their ADR issuance decisions and, in doing so, display some ability to time their local exchange rate market. We study ADR issuances in the U.S. stock market between 1976 and 2003. We find that foreign firms tend to issue ADRs after their local currency has been abnormally strong against the U.S. dollar and before their local currency becomes abnormally weak. This evidence is statistically significant even after controlling for local and U.S. past and future stock market performance and predicable exchange rate movements. Currency market timing is especially significant i) for value companies, relatively small (yet absolutely large) companies issuing relatively large amounts of ADRs, companies with higher currency exposure, manufacturing companies, and emerging market companies, ii) during currency crises (when mispricings are rife) and after the integration of the issuer's local financial market with the world capital markets, iii) when the ADR issue raises capital for the issuing firm (Level III ADR), and iv) regardless of the identity of the underwriting investment bank. Currency market timing is also economically significant since it translates into total savings for the issuing firms of about $646 million (or 1.86% of the total capital-raising ADR issue volume). In contrast, we find no evidence of currency timing ability in a control sample made of non-capital raising ADRs (Level II ADRs). These findings suggest that some companies may have, at least occasionally, private information about foreign exchange.

Microphone array beamforming approach to blind speech separation

In this paper, we present a microphone array beamforming approach to blind speech separation. Unlike previous beamforming approaches, our system does not require a-priori knowledge of the microphone placement and speaker location, making the system directly comparable other blind source separation methods which require no prior knowledge of recording conditions. Microphone location is automatically estimated using an assumed noise field model, and speaker locations are estimated using cross correlation based methods. The system is evaluated on the data provided for the PASCAL Speech Separation Challenge 2 (SSC2), achieving a word error rate of 58% on the evaluation set.

Climate variability and hemorrhagic fever with renal syndrome transmission in northeastern China

Background: The transmission of hemorrhagic fever with renal syndrome (HFRS) is influenced by climatic variables. However, few studies have examined the quantitative relationship between climate variation and HFRS transmission. ---------- Objective: We examined the potential impact of climate variability on HFRS transmission and developed climate-based forecasting models for HFRS in northeastern China. ---------- Methods: We obtained data on monthly counts of reported HFRS cases in Elunchun and Molidawahaner counties for 1997–2007 from the Inner Mongolia Center for Disease Control and Prevention and climate data from the Chinese Bureau of Meteorology. Cross-correlations assessed crude associations between climate variables, including rainfall, land surface temperature (LST), relative humidity (RH), and the multivariate El Niño Southern Oscillation (ENSO) index (MEI) and monthly HFRS cases over a range of lags. We used time-series Poisson regression models to examine the independent contribution of climatic variables to HFRS transmission. ----------- Results: Cross-correlation analyses showed that rainfall, LST, RH, and MEI were significantly associated with monthly HFRS cases with lags of 3–5 months in both study areas. The results of Poisson regression indicated that after controlling for the autocorrelation, seasonality, and long-term trend, rainfall, LST, RH, and MEI with lags of 3–5 months were associated with HFRS in both study areas. The final model had good accuracy in forecasting the occurrence of HFRS. ---------- Conclusions: Climate variability plays a significant role in HFRS transmission in northeastern China. The model developed in this study has implications for HFRS control and prevention.

A Taxonomy of image matching techniques for stereo vision

Stereo vision is a method of depth perception, in which depth information is inferred from two (or more) images of a scene, taken from different perspectives. Applications of stereo vision include aerial photogrammetry, autonomous vehicle guidance, robotics, industrial automation and stereomicroscopy. A key issue in stereo vision is that of image matching, or identifying corresponding points in a stereo pair. The difference in the positions of corresponding points in image coordinates is termed the parallax or disparity. When the orientation of the two cameras is known, corresponding points may be projected back to find the location of the original object point in world coordinates. Matching techniques are typically categorised according to the nature of the matching primitives they use and the matching strategy they employ. This report provides a detailed taxonomy of image matching techniques, including area based, transform based, feature based, phase based, hybrid, relaxation based, dynamic programming and object space methods. A number of area based matching metrics as well as the rank and census transforms were implemented, in order to investigate their suitability for a real-time stereo sensor for mining automation applications. The requirements of this sensor were speed, robustness, and the ability to produce a dense depth map. The Sum of Absolute Differences matching metric was the least computationally expensive; however, this metric was the most sensitive to radiometric distortion. Metrics such as the Zero Mean Sum of Absolute Differences and Normalised Cross Correlation were the most robust to this type of distortion but introduced additional computational complexity. The rank and census transforms were found to be robust to radiometric distortion, in addition to having low computational complexity. They are therefore prime candidates for a matching algorithm for a stereo sensor for real-time mining applications. A number of issues came to light during this investigation which may merit further work. These include devising a means to evaluate and compare disparity results of different matching algorithms, and finding a method of assigning a level of confidence to a match. Another issue of interest is the possibility of statistically combining the results of different matching algorithms, in order to improve robustness.

Noise robust voice activity detection using features extracted from the time-domain autocorrelation function

This paper presents a method of voice activity detection (VAD) for high noise scenarios, using a noise robust voiced speech detection feature. The developed method is based on the fusion of two systems. The first system utilises the maximum peak of the normalised time-domain autocorrelation function (MaxPeak). The second zone system uses a novel combination of cross-correlation and zero-crossing rate of the normalised autocorrelation to approximate a measure of signal pitch and periodicity (CrossCorr) that is hypothesised to be noise robust. The score outputs by the two systems are then merged using weighted sum fusion to create the proposed autocorrelation zero-crossing rate (AZR) VAD. Accuracy of AZR was compared to state of the art and standardised VAD methods and was shown to outperform the best performing system with an average relative improvement of 24.8% in half-total error rate (HTER) on the QUT-NOISE-TIMIT database created using real recordings from high-noise environments.

Multiscale analysis of protein functions and stochastic modelling of gene transcriptional regulatory networks

Genomic and proteomic analyses have attracted a great deal of interests in biological research in recent years. Many methods have been applied to discover useful information contained in the enormous databases of genomic sequences and amino acid sequences. The results of these investigations inspire further research in biological fields in return. These biological sequences, which may be considered as multiscale sequences, have some specific features which need further efforts to characterise using more refined methods. This project aims to study some of these biological challenges with multiscale analysis methods and stochastic modelling approach. The first part of the thesis aims to cluster some unknown proteins, and classify their families as well as their structural classes. A development in proteomic analysis is concerned with the determination of protein functions. The first step in this development is to classify proteins and predict their families. This motives us to study some unknown proteins from specific families, and to cluster them into families and structural classes. We select a large number of proteins from the same families or superfamilies, and link them to simulate some unknown large proteins from these families. We use multifractal analysis and the wavelet method to capture the characteristics of these linked proteins. The simulation results show that the method is valid for the classification of large proteins. The second part of the thesis aims to explore the relationship of proteins based on a layered comparison with their components. Many methods are based on homology of proteins because the resemblance at the protein sequence level normally indicates the similarity of functions and structures. However, some proteins may have similar functions with low sequential identity. We consider protein sequences at detail level to investigate the problem of comparison of proteins. The comparison is based on the empirical mode decomposition (EMD), and protein sequences are detected with the intrinsic mode functions. A measure of similarity is introduced with a new cross-correlation formula. The similarity results show that the EMD is useful for detection of functional relationships of proteins. The third part of the thesis aims to investigate the transcriptional regulatory network of yeast cell cycle via stochastic differential equations. As the investigation of genome-wide gene expressions has become a focus in genomic analysis, researchers have tried to understand the mechanisms of the yeast genome for many years. How cells control gene expressions still needs further investigation. We use a stochastic differential equation to model the expression profile of a target gene. We modify the model with a Gaussian membership function. For each target gene, a transcriptional rate is obtained, and the estimated transcriptional rate is also calculated with the information from five possible transcriptional regulators. Some regulators of these target genes are verified with the related references. With these results, we construct a transcriptional regulatory network for the genes from the yeast Saccharomyces cerevisiae. The construction of transcriptional regulatory network is useful for detecting more mechanisms of the yeast cell cycle.

SwarmPS: Rapid, semi-automated single particle selection software

Single particle analysis (SPA) coupled with high-resolution electron cryo-microscopy is emerging as a powerful technique for the structure determination of membrane protein complexes and soluble macromolecular assemblies. Current estimates suggest that ∼104–105 particle projections are required to attain a 3 Å resolution 3D reconstruction (symmetry dependent). Selecting this number of molecular projections differing in size, shape and symmetry is a rate-limiting step for the automation of 3D image reconstruction. Here, we present SwarmPS, a feature rich GUI based software package to manage large scale, semi-automated particle picking projects. The software provides cross-correlation and edge-detection algorithms. Algorithm-specific parameters are transparently and automatically determined through user interaction with the image, rather than by trial and error. Other features include multiple image handling (∼102), local and global particle selection options, interactive image freezing, automatic particle centering, and full manual override to correct false positives and negatives. SwarmPS is user friendly, flexible, extensible, fast, and capable of exporting boxed out projection images, or particle coordinates, compatible with downstream image processing suites.

Analysis of acoustic emission data for accurate damage assessment for structural health monitoring applications

Structural health monitoring (SHM) refers to the procedure used to assess the condition of structures so that their performance can be monitored and any damage can be detected early. Early detection of damage and appropriate retrofitting will aid in preventing failure of the structure and save money spent on maintenance or replacement and ensure the structure operates safely and efficiently during its whole intended life. Though visual inspection and other techniques such as vibration based ones are available for SHM of structures such as bridges, the use of acoustic emission (AE) technique is an attractive option and is increasing in use. AE waves are high frequency stress waves generated by rapid release of energy from localised sources within a material, such as crack initiation and growth. AE technique involves recording these waves by means of sensors attached on the surface and then analysing the signals to extract information about the nature of the source. High sensitivity to crack growth, ability to locate source, passive nature (no need to supply energy from outside, but energy from damage source itself is utilised) and possibility to perform real time monitoring (detecting crack as it occurs or grows) are some of the attractive features of AE technique. In spite of these advantages, challenges still exist in using AE technique for monitoring applications, especially in the area of analysis of recorded AE data, as large volumes of data are usually generated during monitoring. The need for effective data analysis can be linked with three main aims of monitoring: (a) accurately locating the source of damage; (b) identifying and discriminating signals from different sources of acoustic emission and (c) quantifying the level of damage of AE source for severity assessment. In AE technique, the location of the emission source is usually calculated using the times of arrival and velocities of the AE signals recorded by a number of sensors. But complications arise as AE waves can travel in a structure in a number of different modes that have different velocities and frequencies. Hence, to accurately locate a source it is necessary to identify the modes recorded by the sensors. This study has proposed and tested the use of time-frequency analysis tools such as short time Fourier transform to identify the modes and the use of the velocities of these modes to achieve very accurate results. Further, this study has explored the possibility of reducing the number of sensors needed for data capture by using the velocities of modes captured by a single sensor for source localization. A major problem in practical use of AE technique is the presence of sources of AE other than crack related, such as rubbing and impacts between different components of a structure. These spurious AE signals often mask the signals from the crack activity; hence discrimination of signals to identify the sources is very important. This work developed a model that uses different signal processing tools such as cross-correlation, magnitude squared coherence and energy distribution in different frequency bands as well as modal analysis (comparing amplitudes of identified modes) for accurately differentiating signals from different simulated AE sources. Quantification tools to assess the severity of the damage sources are highly desirable in practical applications. Though different damage quantification methods have been proposed in AE technique, not all have achieved universal approval or have been approved as suitable for all situations. The b-value analysis, which involves the study of distribution of amplitudes of AE signals, and its modified form (known as improved b-value analysis), was investigated for suitability for damage quantification purposes in ductile materials such as steel. This was found to give encouraging results for analysis of data from laboratory, thereby extending the possibility of its use for real life structures. By addressing these primary issues, it is believed that this thesis has helped improve the effectiveness of AE technique for structural health monitoring of civil infrastructures such as bridges.

Weight gain and nutritional intake in obese pregnant women : some clues for intervention

Aim:  Maternal obesity is associated with increased risk of adverse outcomes for mothers and offspring. Strategies to better manage maternal obesity are urgently needed; however, there is little evidence to assist the development of nutrition interventions during antenatal care. The present study aimed to assess maternal weight gain and dietary intakes of overweight and obese women participating in an exercise trial. Results will assist the development of interventions for the management of maternal overweight and obesity. Methods:  Fifty overweight and obese pregnant women receiving antenatal care were recruited and provided dietary and weight data at baseline (12 weeks), 28 weeks, 36 weeks gestation and 6 weeks post-partum. Data collected were compared with current nutritional and weight gain recommendations. Associations used Pearson's correlation coefficient, and ANOVA assessed dietary changes over time, P < 0.05. Results:  Mean prepregnancy body mass index was 34.4 ± 6.6 kg/m2. Gestational weight gain was 10.6 ± 6 kg with a wide range (−4.1 to 23.0 kg). 52% of women gained excessive weight (>11.5 kg for overweight and >9 kg for obese women). Gestational weight gain correlated with post-partum weight retention (P < 0.001). Dietary intakes did not change significantly during pregnancy. No women achieved dietary fat or dietary iron recommendations, only 11% achieved adequate dietary folate, and 38% achieved adequate dietary calcium. Very few women achieved recommended food group servings for pregnancy, with 83% consuming excess servings of non-core foods. Conclusion:  Results provide evidence that early intervention and personalised support for obese pregnant women may help achieve individualised goals for maternal weight gain and dietary adequacy, but this needs to be tested in a clinical setting.

A generic implementation framework for stereo matching algorithms

Traditional area-based matching techniques make use of similarity metrics such as the Sum of Absolute Differences(SAD), Sum of Squared Differences (SSD) and Normalised Cross Correlation (NCC). Non-parametric matching algorithms such as the rank and census rely on the relative ordering of pixel values rather than the pixels themselves as a similarity measure. Both traditional area-based and non-parametric stereo matching techniques have an algorithmic structure which is amenable to fast hardware realisation. This investigation undertakes a performance assessment of these two families of algorithms for robustness to radiometric distortion and random noise. A generic implementation framework is presented for the stereo matching problem and the relative hardware requirements for the various metrics investigated.