Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Efficient numerical models for investigating the statistics of random dynamic systems

The study of random dynamic systems usually requires the definition of an ensemble of structures and the solution of the eigenproblem for each member of the ensemble. If the process is carried out using a conventional numerical approach, the computational cost becomes prohibitive for complex systems. In this work, an alternative numerical method is proposed. The results for the response statistics are compared with values obtained from a detailed stochastic FE analysis of plates. The proposed method seems to capture the statistical behaviour of the response with a reduced computational cost.

Interaction strengths and net effects in food web models

Understanding how dynamic ecological communities respond to anthropogenic drivers of change such as habitat loss and fragmentation, climate change and the introduction of alien species requires that there is a theoretical framework able to predict community dynamics. At present there is a lack of empirical data that can be used to inform and test predictive models, which means that much of our knowledge regarding the response of ecological communities to perturbations is obtained from theoretical analyses and simulations. This thesis is composed of two strands of research: an empirical experiment conducted to inform the scaling of intraspecific and interspecific interaction strengths in a three species food chain and a series of theoretical analyses on the changes to equilibrium biomass abundances following press perturbations. The empirical experiment is a consequence of the difficulties faced when parameterising the intraspecific interaction strengths in a Lotka-Volterra model. A modification of the dynamic index is used alongside the original dynamic index to estimate intraspecific interactions and interspecific interaction strengths in a three species food. The theoretical analyses focused on the effect of press perturbations to focal species on the equilibrium biomass densities of all species in the community; these perturbations allow for the quantification of a species total net effect. It was found that there is a strong and consistent positive relationship between a species body size and its total net effect for a set of 97 synthetic food webs and also for the Ythan Estuary and Tuesday Lake food webs (empirically described food webs). It is shown that ecological constraints (due to allometric scaling) on the magnitude of entries in the community matrix cause the patterns observed in the inverse community matrix and thus explain the relationship between a species body mass and its total net effect in a community.

Modelling the effects of climate change on the distribution and production of marine fishes: accounting for trophic interactions in a dynamic bioclimate envelope model

Climate change has already altered the distribution of marine fishes. Future predictions of fish distributions and catches based on bioclimate envelope models are available, but to date they have not considered interspecific interactions. We address this by combining the species-based Dynamic Bioclimate Envelope Model (DBEM) with a size-based trophic model. The new approach provides spatially and temporally resolved predictions of changes in species' size, abundance and catch potential that account for the effects of ecological interactions. Predicted latitudinal shifts are, on average, reduced by 20% when species interactions are incorporated, compared to DBEM predictions, with pelagic species showing the greatest reductions. Goodness-of-fit of biomass data from fish stock assessments in the North Atlantic between 1991 and 2003 is improved slightly by including species interactions. The differences between predictions from the two models may be relatively modest because, at the North Atlantic basin scale, (i) predators and competitors may respond to climate change together; (ii) existing parameterization of the DBEM might implicitly incorporate trophic interactions; and/or (iii) trophic interactions might not be the main driver of responses to climate. Future analyses using ecologically explicit models and data will improve understanding of the effects of inter-specific interactions on responses to climate change, and better inform managers about plausible ecological and fishery consequences of a changing environment.

Parameterisation of bivalve functional traits for mechanistic eco-physiological dynamic energy budget (DEB) models

Mechanistic models such as those based on dynamic energy budget (DEB) theory are emergent ecomechanics tools to investigate the extent of fitness in organisms through changes in life history traits as explained by bioenergetic principles. The rapid growth in interest around this approach originates from the mechanistic characteristics of DEB, which are based on a number of rules dictating the use of mass and energy flow through organisms. One apparent bottleneck in DEB applications comes from the estimations of DEB parameters which are based on mathematical and statistical methods (covariation method). The parameterisation process begins with the knowledge of some functional traits of a target organism (e. g. embryo, sexual maturity and ultimate body size, feeding and assimilation rates, maintenance costs), identified from the literature or laboratory experiments. However, considering the prominent role of the mechanistic approach in ecology, the reduction of possible uncertainties is an important objective. We propose a revaluation of the laboratory procedures commonly used in ecological studies to estimate DEB parameters in marine bivalves. Our experimental organism was Brachidontes pharaonis. We supported our proposal with a validation exercise which compared life history traits as obtained by DEBs (implemented with parameters obtained using classical laboratory methods) with the actual set of species traits obtained in the field. Correspondence between the 2 approaches was very high (>95%) with respect to estimating both size and fitness. Our results demonstrate a good agreement between field data and model output for the effect of temperature and food density on age-size curve, maximum body size and total gamete production per life span. The mechanistic approach is a promising method of providing accurate predictions in a world that is under in creasing anthropogenic pressure.

Spatio-temporal Bayesian network models with latent variables for revealing trophic dynamics and functional networks in fisheries ecology

Ecosystems consist of complex dynamic interactions among species and the environment, the understanding of which has implications for predicting the environmental response to changes in climate and biodiversity. However, with the recent adoption of more explorative tools, like Bayesian networks, in predictive ecology, few assumptions can be made about the data and complex, spatially varying interactions can be recovered from collected field data. In this study, we compare Bayesian network modelling approaches accounting for latent effects to reveal species dynamics for 7 geographically and temporally varied areas within the North Sea. We also apply structure learning techniques to identify functional relationships such as prey–predator between trophic groups of species that vary across space and time. We examine if the use of a general hidden variable can reflect overall changes in the trophic dynamics of each spatial system and whether the inclusion of a specific hidden variable can model unmeasured group of species. The general hidden variable appears to capture changes in the variance of different groups of species biomass. Models that include both general and specific hidden variables resulted in identifying similarity with the underlying food web dynamics and modelling spatial unmeasured effect. We predict the biomass of the trophic groups and find that predictive accuracy varies with the models' features and across the different spatial areas thus proposing a model that allows for spatial autocorrelation and two hidden variables. Our proposed model was able to produce novel insights on this ecosystem's dynamics and ecological interactions mainly because we account for the heterogeneous nature of the driving factors within each area and their changes over time. Our findings demonstrate that accounting for additional sources of variation, by combining structure learning from data and experts' knowledge in the model architecture, has the potential for gaining deeper insights into the structure and stability of ecosystems. Finally, we were able to discover meaningful functional networks that were spatially and temporally differentiated with the particular mechanisms varying from trophic associations through interactions with climate and commercial fisheries.

Dynamic pricing models for used products in remanufacturing with lost-sales and uncertain quality

In this paper, we investigate the remanufacturing problem of pricing single-class used products (cores) in the face of random price-dependent returns and random demand. Specifically, we propose a dynamic pricing policy for the cores and then model the problem as a continuous-time Markov decision process. Our models are designed to address three objectives: finite horizon total cost minimization, infinite horizon discounted cost, and average cost minimization. Besides proving optimal policy uniqueness and establishing monotonicity results for the infinite horizon problem, we also characterize the structures of the optimal policies, which can greatly simplify the computational procedure. Finally, we use computational examples to assess the impacts of specific parameters on optimal price and reveal the benefits of a dynamic pricing policy. © 2013 Elsevier B.V. All rights reserved.

Design and implementation of a real-time data acquisition system for the identification of dynamic temperature models in a hydroponic greenhouse

This text describes a real data acquisition and identification system implemented in a soilless greenhouse located at the University of Algarve (south of Portugal). Using the Real Time Workshop, Simulink, Matlab and the C programming language a system was developed to perform real-time data acquisition from a set of sensors.

Real-time data acquisition system for the Identification of dynamic temperature models in a hydroponic greenhouse

A real-time data acquisition and identification system implemented in a soil-less greenhouse located in the south of Portugal is described. The system performs real-time data acquisition from a set of sensors connected to a data logger.

A framework for extracting and representing project knowledge contexts using topic models and dynamic knowledge maps

There is still a lack of effective paradigms and tools for analysing and discovering the contents and relationships of project knowledge contexts in the field of project management. In this paper, a new framework for extracting and representing project knowledge contexts using topic models and dynamic knowledge maps under big data environments is proposed and developed. The conceptual paradigm, theoretical underpinning, extended topic model, and illustration examples of the ontology model for project knowledge maps are presented, with further research work envisaged.

Dynamic Performance Evaluation of Canadian Fixed-Income Funds using Markov Regime Switching Models

This thesis examines the performance of Canadian fixed-income mutual funds in the context of an unobservable market factor that affects mutual fund returns. We use various selection and timing models augmented with univariate and multivariate regime-switching structures. These models assume a joint distribution of an unobservable latent variable and fund returns. The fund sample comprises six Canadian value-weighted portfolios with different investing objectives from 1980 to 2011. These are the Canadian fixed-income funds, the Canadian inflation protected fixed-income funds, the Canadian long-term fixed-income funds, the Canadian money market funds, the Canadian short-term fixed-income funds and the high yield fixed-income funds. We find strong evidence that more than one state variable is necessary to explain the dynamics of the returns on Canadian fixed-income funds. For instance, Canadian fixed-income funds clearly show that there are two regimes that can be identified with a turning point during the mid-eighties. This structural break corresponds to an increase in the Canadian bond index from its low values in the early 1980s to its current high values. Other fixed-income funds results show latent state variables that mimic the behaviour of the general economic activity. Generally, we report that Canadian bond fund alphas are negative. In other words, fund managers do not add value through their selection abilities. We find evidence that Canadian fixed-income fund portfolio managers are successful market timers who shift portfolio weights between risky and riskless financial assets according to expected market conditions. Conversely, Canadian inflation protected funds, Canadian long-term fixed-income funds and Canadian money market funds have no market timing ability. We conclude that these managers generally do not have positive performance by actively managing their portfolios. We also report that the Canadian fixed-income fund portfolios perform asymmetrically under different economic regimes. In particular, these portfolio managers demonstrate poorer selection skills during recessions. Finally, we demonstrate that the multivariate regime-switching model is superior to univariate models given the dynamic market conditions and the correlation between fund portfolios.

Methods to Estimate Dynamic Stochastic General Equilibrium Models

This paper employs the one-sector Real Business Cycle model as a testing ground for four different procedures to estimate Dynamic Stochastic General Equilibrium (DSGE) models. The procedures are: 1 ) Maximum Likelihood, with and without measurement errors and incorporating Bayesian priors, 2) Generalized Method of Moments, 3) Simulated Method of Moments, and 4) Indirect Inference. Monte Carlo analysis indicates that all procedures deliver reasonably good estimates under the null hypothesis. However, there are substantial differences in statistical and computational efficiency in the small samples currently available to estimate DSGE models. GMM and SMM appear to be more robust to misspecification than the alternative procedures. The implications of the stochastic singularity of DSGE models for each estimation method are fully discussed.