Estimating conditional volatility with neural networks

It is well known that one of the obstacles to effective forecasting of exchange rates is heteroscedasticity (non-stationary conditional variance). The autoregressive conditional heteroscedastic (ARCH) model and its variants have been used to estimate a time dependent variance for many financial time series. However, such models are essentially linear in form and we can ask whether a non-linear model for variance can improve results just as non-linear models (such as neural networks) for the mean have done. In this paper we consider two neural network models for variance estimation. Mixture Density Networks (Bishop 1994, Nix and Weigend 1994) combine a Multi-Layer Perceptron (MLP) and a mixture model to estimate the conditional data density. They are trained using a maximum likelihood approach. However, it is known that maximum likelihood estimates are biased and lead to a systematic under-estimate of variance. More recently, a Bayesian approach to parameter estimation has been developed (Bishop and Qazaz 1996) that shows promise in removing the maximum likelihood bias. However, up to now, this model has not been used for time series prediction. Here we compare these algorithms with two other models to provide benchmark results: a linear model (from the ARIMA family), and a conventional neural network trained with a sum-of-squares error function (which estimates the conditional mean of the time series with a constant variance noise model). This comparison is carried out on daily exchange rate data for five currencies.

Clustering web documents using hierarchical representation with multi-granularity

Web document cluster analysis plays an important role in information retrieval by organizing large amounts of documents into a small number of meaningful clusters. Traditional web document clustering is based on the Vector Space Model (VSM), which takes into account only two-level (document and term) knowledge granularity but ignores the bridging paragraph granularity. However, this two-level granularity may lead to unsatisfactory clustering results with “false correlation”. In order to deal with the problem, a Hierarchical Representation Model with Multi-granularity (HRMM), which consists of five-layer representation of data and a twophase clustering process is proposed based on granular computing and article structure theory. To deal with the zero-valued similarity problemresulted from the sparse term-paragraphmatrix, an ontology based strategy and a tolerance-rough-set based strategy are introduced into HRMM. By using granular computing, structural knowledge hidden in documents can be more efficiently and effectively captured in HRMM and thus web document clusters with higher quality can be generated. Extensive experiments show that HRMM, HRMM with tolerancerough-set strategy, and HRMM with ontology all outperform VSM and a representative non VSM-based algorithm, WFP, significantly in terms of the F-Score.

Leveraging employee creativity through high performance work systems:a multilevel perspective

Research has looked at single rather than a configuration of human resource management (HRM) practices to influence creativity so it is not yet clear how these practices synergistically facilitate creativity and organisational performance. I address this significant but unanswered question in a three-part study. In Study 1, I develop a high performance work system (HPWS) for creativity scale. I use Study 2 sample to test the validity of the new scale. In Study 3, I test a multilevel model of the intervening processes through which branch HPWS for creativity influences creativity and branch performance. Specifically, at the branch level, I draw on social context theory and hypothesise that branch HPWS for creativity relates to climate for creativity which, in turn, leads to creativity, and ultimately, to profit. Furthermore, I hypothesise environmental dynamism as a boundary condition of the creativity-profit relationship. At the individual level, I hypothesise a cross-level effect of branch HPWS for creativity on employee-perceived HPWS. I draw on self-determination theory and argue that perceived HPWS for creativity relate to need satisfaction and the psychological pathways of intrinsic motivation and creative process engagement to predict creativity. I also hypothesise climate for creativity as a cross-level moderator of the intrinsic motivation-creativity and creative process engagement-creativity relationships. Results of hierarchical linear modeling (HLM) indicate that ten out of the fifteen hypotheses were supported. The findings of this study respond to calls for HPWS to be designed around a strategic focus by developing and providing initial validity evidence of an HPWS for creativity scale. The results reveal the underlying mechanisms through which HPWS for creativity simultaneously influences individual and branch creativity leading to profit. Lastly, results indicate environmental dynamism to be an important boundary condition of the creativity-profit relationship and climate for creativity as a cross-level moderator of the creative process engagement-creativity.

HI!MVC: Hierarchical MVC Framework for WEB Applications

This paper presents Hi!MVC, a framework for developing high interactive web applications with a MVC Architecture. Nowadays, to manage, extend and correct web applications can be difficult due to the navigational paradigm they are based on. Hi!MVC framework helps to make these tasks easier. This framework allows building a web based interface, generating each page from the objects that represent its state. Every class to be showed in the interface is associated with two entities: its html representation (view) and its interactions in the view manager (controller). The whole html page is generated by composition of views according to the composition relationship of objects. Interactions between user and application are managed by the controller associated to the view which shows interaction elements (links or forms). Hi!MVC allows building web interface in a hierarchical and distributed way. There are other frameworks and APIs offering MVC architectures to web applications, but we think that they are not applying exactly the same concepts. While they keep on basing their architectures on the navigational paradigm we are offering a new point of view based on an innovator hierarchical model. First, we present the main ideas of our proposal. Next, we expose how to implement it using different Java technologies. Finally, we make a first approach to our hierarchical MVC model. We also compare shortly our proposal with the previously cited technologies.

Antecedents and consequences of percieved effective managerial coaching:an individual, team-level and cross-level examination

The major contribution of the study is the identification of a positive link between perceived effective managerial coaching (PEMC) and team task performance and also, the examination of PEMC adopting a multilevel research design and incorporating dual-source data. Specifically, drawing on social psychology, the thesis aims at developing and testing a comprehensive conceptual framework of the antecedents and consequences of PEMC for knowledge workers. The model takes into consideration intrapersonal, interpersonal and team-level characteristics, which relate to PEMC and, subsequently associate with important work outcomes. In this regard, the thesis identifies PEMC as a practice of dual nature in that it may be experienced not only as a one-on-one workplace developmental interaction, but also as a managerial practice that is experienced by each member of a team for co-ordination purposes. Adopting a cross-sectional survey research design, the hypotheses are tested in three organisations in Greece and the UK. In particular, hierarchical linear modelling of 191 employees nested in 60 teams yields that employees’ learning goal orientation (LGO) and high-quality exchanges between an employee and a manager (LMX) are positively related to effective MC, while a manager’s LGO moderates the relationship between employees’ LGO and PEMC. In turn, PEMC, as a one-on-one practice, is related to cognitive outcomes, such as information sharing, while as a shared team practice is related also to behavioural outcomes, including individual and team performance. Overall, the study contributes to a growing body of coaching and management literature that acknowledges PEMC as a core managerial practice.

The effects of servant leadership on follower performance and well-being:underlying mechanisms, boundary conditions, and the role of training

Based on a review of the servant leadership, well-being, and performance literatures, the first study develops a research model that examines how and under which conditions servant leadership is related to follower performance and well-being alike. Data was collected from 33 leaders and 86 of their followers working in six organizations. Multilevel moderated mediation analyses revealed that servant leadership was indeed related to eudaimonic well-being and lead-er-rated performance via followers’ positive psychological capital, but that the strength and di-rection of the examined relationships depended on organizational policies and practices promot-ing employee health, and in the case of follower performance on a developmental team climate, shedding light on the importance of the context in which servant leadership takes place. In addi-tion, two more research questions resulted from a review of the training literature, namely how and under which conditions servant leadership can be trained, and whether follower performance and well-being follow from servant leadership enhanced by training. We subsequently designed a servant leadership training and conducted a longitudinal field experiment to examine our sec-ond research question. Analyses were based on data from 38 leaders randomly assigned to a training or control condition, and 91 of their followers in 36 teams. Hierarchical linear modeling results showed that the training, which addressed the knowledge of, attitudes towards, and ability to apply servant leadership, positively affected leader and follower perceptions of servant leader-ship, but in the latter case only when leaders strongly identified with their team. These findings provide causal evidence as to how and when servant leadership can be effectively developed. Fi-nally, the research model of Study 1 was replicated in a third study based on 58 followers in 32 teams drawn from the same population used for Study 2, confirming that follower eudaimonic well-being and leader-rated performance follow from developing servant leadership via increases in psychological capital, and thus establishing the directionality of the examined relationships.

Factors associated with prompt difficulty in automated essay scoring

This study explores factors related to the prompt difficulty in Automated Essay Scoring. The sample was composed of 6,924 students. For each student, there were 1-4 essays, across 20 different writing prompts, for a total of 20,243 essays. E-rater® v.2 essay scoring engine developed by the Educational Testing Service was used to score the essays. The scoring engine employs a statistical model that incorporates 10 predictors associated with writing characteristics of which 8 were used. The Rasch partial credit analysis was applied to the scores to determine the difficulty levels of prompts. In addition, the scores were used as outcomes in the series of hierarchical linear models (HLM) in which students and prompts constituted the cross-classification levels. This methodology was used to explore the partitioning of the essay score variance.^ The results indicated significant differences in prompt difficulty levels due to genre. Descriptive prompts, as a group, were found to be more difficult than the persuasive prompts. In addition, the essay score variance was partitioned between students and prompts. The amount of the essay score variance that lies between prompts was found to be relatively small (4 to 7 percent). When the essay-level, student-level-and prompt-level predictors were included in the model, it was able to explain almost all variance that lies between prompts. Since in most high-stakes writing assessments only 1-2 prompts per students are used, the essay score variance that lies between prompts represents an undesirable or "noise" variation. Identifying factors associated with this "noise" variance may prove to be important for prompt writing and for constructing Automated Essay Scoring mechanisms for weighting prompt difficulty when assigning essay score.^

Predictors of adolescent sexual intentions and behavior: Attitudes, parenting, and neighborhood risk

The current study was a cross-sectional examination of data collected during an HIV risk reduction intervention in south Florida. The purpose of the study was to explore the relationships between neighborhood stress, parenting, attitudes, and adolescent sexual intentions and behavior. The Theory of Planned Behavior was used as a model to guide variable selection and propose an interaction pathway between predictors and outcomes. Potential predictor variables measured for adolescents ages 13–18 (n=196) included communication about sex, parent-family connectedness, parental presence, parent-adolescent activity participation, attitudes about sex and condom use, neighborhood disorder, and exposure to violence. Outcomes were behavioral intentions and sexual behavior for the previous eight months. Neighborhood data was supplemented with ZIP Code level data from regional sources and included median household income, percentage of minority and Hispanic residents, and number of foreclosures. Statistical tests included t-tests, Pearson's correlations, and hierarchical linear regressions. Results showed that males and older adolescents reported less positive behavioral intentions than females and adolescents younger than 16. Intentions were associated with condom attitudes, sexual attitudes, and parental presence; unprotected sexual behavior was associated with parental presence. The best fit model for intentions included gender, sexual attitudes, condom attitudes, parental presence, and neighborhood disorder. The unsafe sexual behavior model included whether the participant lived with both natural parents in the previous year, and the percent of Hispanic residents in the neighborhood. Study findings indicate that more research on adolescent sexual behavior is warranted, specifically examining the differentials between variables that affect intentions and those that affect behavior. A focus on gender and age differences during intervention development may allow for better targeting and more efficacious interventions. Adding peer and media influences to the framework of attitudes, parenting, and neighborhood may offer more insight into patterns of adolescent sexual behavior risk.

Site specific growth of metal catalyzed silica nanowires for biological and chemical sensing

In this research the integration of nanostructures and micro-scale devices was investigated using silica nanowires to develop a simple yet robust nanomanufacturing technique for improving the detection parameters of chemical and biological sensors. This has been achieved with the use of a dielectric barrier layer, to restrict nanowire growth to site-specific locations which has removed the need for post growth processing, by making it possible to place nanostructures on pre-pattern substrates. Nanowires were synthesized using the Vapor-Liquid-Solid growth method. Process parameters (temperature and time) and manufacturing aspects (structural integrity and biocompatibility) were investigated. Silica nanowires were observed experimentally to determine how their physical and chemical properties could be tuned for integration into existing sensing structures. Growth kinetic experiments performed using gold and palladium catalysts at 1050°C for 60 minutes in an open-tube furnace yielded dense and consistent silica nanowire growth. This consistent growth led to the development of growth model fitting, through use of the Maximum Likelihood Estimation (MLE) and Bayesian hierarchical modeling. Transmission electron microscopy studies revealed the nanowires to be amorphous and X-ray diffraction confirmed the composition to be SiO2 . Silica nanowires were monitored in epithelial breast cancer media using Impedance spectroscopy, to test biocompatibility, due to potential in vivo use as a diagnostic aid. It was found that palladium catalyzed silica nanowires were toxic to breast cancer cells, however, nanowires were inert at 1μg/mL concentrations. Additionally a method for direct nanowire integration was developed that allowed for silica nanowires to be grown directly into interdigitated sensing structures. This technique eliminates the need for physical nanowire transfer thus preserving nanowire structure and performance integrity and further reduces fabrication cost. Successful nanowire integration was physically verified using Scanning electron microscopy and confirmed electrically using Electrochemical Impedance Spectroscopy of immobilized Prostate Specific Antigens (PSA). The experiments performed above serve as a guideline to addressing the metallurgic challenges in nanoscale integration of materials with varying composition and to understanding the effects of nanomaterials on biological structures that come in contact with the human body.

Influence of gender and life stressors on longitudinal depression treatment outcomes among older primary care patients

Purpose: Depression in older females is a significant and growing problem. Females who experience life stressors across the life span are at higher risk for developing problems with depression than their male counterparts. The primary aim of this study was (a) to examine gender-specific differences in the correlates of depression in older primary care patients based on baseline and longitudinal analyses; and (b) to examine the longitudinal effect of biopsychosocial risk factors on depression treatment outcomes in different models of behavioral healthcare (i.e., integrated care and enhanced referral). Method: This study used a quantitative secondary data analysis with longitudinal data from the Primary Care Research in Substance Abuse and Mental Health for Elderly (PRISM-E) study. A linear mixed model approach to hierarchical linear modeling was used for analysis using baseline assessment, and follow-up from three-month and six-month. Results: For participants diagnosed with major depressive disorder female gender was associated with increased depression severity at six-month compared to males at six-month. Further, the interaction between gender and life stressors found that females who reported loss of family and friends, family issues, money issues, medical illness was related to higher depression severity compared to males whereas lack of activities was related to lower depression severity among females compared to males. Conclusion: These findings suggest that gender moderated the relationship between specific life stressors and depression severity similar to how a protective factor can impact a person's response to a problem and reduce the negative impact of a risk factor on a problem outcome. Therefore, life stressors may be a reliable predictor of depression for both females and males in either behavioral health treatment model. This study concluded that life stressors influence males basic comfort, stability, and survival whereas life stressors influence females' development, personal growth, and happiness; therefore, life stressors may be a useful component to include in gender-based screening and assessment tools for depression. ^

Numerical study of the enlarged O(5) symmetry of the 3D antiferromagnetic RP^(2) spin model

We investigate by means of Monte Carlo simulation and finite-size scaling analysis the critical properties of the three dimensional O (5) non-linear σ model and of the antiferromagnetic RP^(2) model, both of them regularized on a lattice. High accuracy estimates are obtained for the critical exponents, universal dimensionless quantities and critical couplings. It is concluded that both models belong to the same universality class, provided that rather non-standard identifications are made for the momentum-space propagator of the RP^(2) model. We have also investigated the phase diagram of the RP^(2) model extended by a second-neighbor interaction. A rich phase diagram is found, where most of the phase transitions are of the first order.

Advances in Dynamic Modeling and Computation for Count Data

A class of multi-process models is developed for collections of time indexed count data. Autocorrelation in counts is achieved with dynamic models for the natural parameter of the binomial distribution. In addition to modeling binomial time series, the framework includes dynamic models for multinomial and Poisson time series. Markov chain Monte Carlo (MCMC) and Po ́lya-Gamma data augmentation (Polson et al., 2013) are critical for fitting multi-process models of counts. To facilitate computation when the counts are high, a Gaussian approximation to the P ́olya- Gamma random variable is developed.

Three applied analyses are presented to explore the utility and versatility of the framework. The first analysis develops a model for complex dynamic behavior of themes in collections of text documents. Documents are modeled as a “bag of words”, and the multinomial distribution is used to characterize uncertainty in the vocabulary terms appearing in each document. State-space models for the natural parameters of the multinomial distribution induce autocorrelation in themes and their proportional representation in the corpus over time.

The second analysis develops a dynamic mixed membership model for Poisson counts. The model is applied to a collection of time series which record neuron level firing patterns in rhesus monkeys. The monkey is exposed to two sounds simultaneously, and Gaussian processes are used to smoothly model the time-varying rate at which the neuron’s firing pattern fluctuates between features associated with each sound in isolation.

The third analysis presents a switching dynamic generalized linear model for the time-varying home run totals of professional baseball players. The model endows each player with an age specific latent natural ability class and a performance enhancing drug (PED) use indicator. As players age, they randomly transition through a sequence of ability classes in a manner consistent with traditional aging patterns. When the performance of the player significantly deviates from the expected aging pattern, he is identified as a player whose performance is consistent with PED use.

All three models provide a mechanism for sharing information across related series locally in time. The models are fit with variations on the P ́olya-Gamma Gibbs sampler, MCMC convergence diagnostics are developed, and reproducible inference is emphasized throughout the dissertation.

Transferability of Regional Permafrost Disturbance Susceptibility Modelling Using Generalized Linear and Generalized Additive Models

To effectively assess and mitigate risk of permafrost disturbance, disturbance-p rone areas can be predicted through the application of susceptibility models. In this study we developed regional susceptibility models for permafrost disturbances using a field disturbance inventory to test the transferability of the model to a broader region in the Canadian High Arctic. Resulting maps of susceptibility were then used to explore the effect of terrain variables on the occurrence of disturbances within this region. To account for a large range of landscape charac- teristics, the model was calibrated using two locations: Sabine Peninsula, Melville Island, NU, and Fosheim Pen- insula, Ellesmere Island, NU. Spatial patterns of disturbance were predicted with a generalized linear model (GLM) and generalized additive model (GAM), each calibrated using disturbed and randomized undisturbed lo- cations from both locations and GIS-derived terrain predictor variables including slope, potential incoming solar radiation, wetness index, topographic position index, elevation, and distance to water. Each model was validated for the Sabine and Fosheim Peninsulas using independent data sets while the transferability of the model to an independent site was assessed at Cape Bounty, Melville Island, NU. The regional GLM and GAM validated well for both calibration sites (Sabine and Fosheim) with the area under the receiver operating curves (AUROC) N 0.79. Both models were applied directly to Cape Bounty without calibration and validated equally with AUROC's of 0.76; however, each model predicted disturbed and undisturbed samples differently. Addition- ally, the sensitivity of the transferred model was assessed using data sets with different sample sizes. Results in- dicated that models based on larger sample sizes transferred more consistently and captured the variability within the terrain attributes in the respective study areas. Terrain attributes associated with the initiation of dis- turbances were similar regardless of the location. Disturbances commonly occurred on slopes between 4 and 15°, below Holocene marine limit, and in areas with low potential incoming solar radiation

Spatial modeling of data with excessive zeros applied to reindeer pellet-group counts

We analyze a real data set pertaining to reindeer fecal pellet-group counts obtained from a survey conducted in a forest area in northern Sweden. In the data set, over 70% of counts are zeros, and there is high spatial correlation. We use conditionally autoregressive random effects for modeling of spatial correlation in a Poisson generalized linear mixed model (GLMM), quasi-Poisson hierarchical generalized linear model (HGLM), zero-inflated Poisson (ZIP), and hurdle models. The quasi-Poisson HGLM allows for both under- and overdispersion with excessive zeros, while the ZIP and hurdle models allow only for overdispersion. In analyzing the real data set, we see that the quasi-Poisson HGLMs can perform better than the other commonly used models, for example, ordinary Poisson HGLMs, spatial ZIP, and spatial hurdle models, and that the underdispersed Poisson HGLMs with spatial correlation fit the reindeer data best. We develop R codes for fitting these models using a unified algorithm for the HGLMs. Spatial count response with an extremely high proportion of zeros, and underdispersion can be successfully modeled using the quasi-Poisson HGLM with spatial random effects.

Networking for conservation: social capital and perceptions of organizational success among land trust boards

As an important component in collaborative natural resource management and nonprofit governance, social capital is expected to be related to variations in the performance of land trusts. Land trusts are charitable organizations that work to conserve private land locally, regionally, or nationally. The purpose of this paper is to identify the level of structural and cognitive social capital among local land trusts, and how these two types of social capital relate to the perceived success of land trusts. The analysis integrates data for land trusts operating in the U.S. south-central Appalachian region, which includes western North Carolina, southwest Virginia, and east Tennessee. We use factor analysis to elicit different dimensions of cognitive social capital, including cooperation among board members, shared values, common norms, and communication effectiveness. Measures of structural social capital include the size and diversity of organizational networks of both land trusts and their board members. Finally, a hierarchical linear regression model is employed to estimate how cognitive and structural social capital measures, along with other organizational and individual-level attributes, relate to perceptions of land trust success, defined here as achievement of the land trusts’ mission, conservation, and financial goals. Results show that the diversity of organizational partnerships, cooperation, and shared values among land trust board members are associated with higher levels of perceived success. Organizational capacity, land trust accreditation, volunteerism, and financial support are also important factors influencing perceptions of success among local, nonprofit land trusts.