Bahadur representation of linear kernel quantile estimator of VaR under mixing assumptions

Bahadur representation and its applications have attracted a large number of publications and presentations on a wide variety of problems. Mixing dependency is weak enough to describe the dependent structure of random variables, including observations in time series and longitudinal studies. This note proves the Bahadur representation of sample quantiles for strongly mixing random variables (including ½-mixing and Á-mixing) under very weak mixing coe±cients. As application, the asymptotic normality is derived. These results greatly improves those recently reported in literature.

Diseño e implementación del kernel de xDEVS, versión distribuida

Para entender nuestro proyecto, debemos comprender DEVS. Dentro de los formalismos más populares de representación de sistemas de eventos discretos se encuentra DES. En la década de los 70, el matemático Bernard Zeigler propuso un formalismo general para la representación de dichos sistemas. Este formalismo denominado DEVS (Discrete EVent System Specification) es el formalismo más general para el tratamiento de DES. DEVS permite representar todos aquellos sistemas cuyo comportamiento pueda describirse mediante una secuencia de eventos discretos. Estos eventos se caracterizan por un tiempo base en el que solo un número de eventos finitos puede ocurrir. DEVS Modelado y Simulación tiene múltiples implementaciones en varios lenguajes de programación como por ejemplo en Java, C# o C++. Pero surge la necesidad de implementar una plataforma distribuida estable para proporcionar la mecánica de interoperabilidad e integrar modelos DEVS diversificados. En este proyecto, se nos dará como código base el core de xDEVS en java, aplicado de forma secuencial y paralelizada. Nuestro trabajo será implementar el core de manera distribuida de tal forma que se pueda dividir un sistema DEVS en diversas máquinas. Para esto hemos utilizado sockets de java para hacer la transmisión de datos lo más eficiente posible. En un principio deberemos especificar el número de máquinas que se conectarán al servidor. Una vez estas se hayan conectado se les enviará el trabajo específico que deberán simular. Cabe destacar que hay dos formas de dividir un sistema DEVS las cuales están implementadas en nuestro proyecto. La primera es dividirlo en módulos atómicos los cuales son subsistemas indivisibles en un sistema DEVS. Y la segunda es dividir las funciones de todos los subsistemas en grupos y repartirlos entre las máquinas. En resumen el funcionamiento de nuestro sistema distribuido será comenzar ejecutando el trabajo asignado al primer cliente, una vez finalizado actualizará la información del servidor y este mandara la orden al siguiente y así sucesivamente.

SCALABLE APPROXIMATION OF KERNEL FUZZY C-MEANS

Virtually every sector of business and industry that uses computing, including financial analysis, search engines, and electronic commerce, incorporate Big Data analysis into their business model. Sophisticated clustering algorithms are popular for deducing the nature of data by assigning labels to unlabeled data. We address two main challenges in Big Data. First, by definition, the volume of Big Data is too large to be loaded into a computer’s memory (this volume changes based on the computer used or available, but there is always a data set that is too large for any computer). Second, in real-time applications, the velocity of new incoming data prevents historical data from being stored and future data from being accessed. Therefore, we propose our Streaming Kernel Fuzzy c-Means (stKFCM) algorithm, which reduces both computational complexity and space complexity significantly. The proposed stKFCM only requires O(n2) memory where n is the (predetermined) size of a data subset (or data chunk) at each time step, which makes this algorithm truly scalable (as n can be chosen based on the available memory). Furthermore, only 2n2 elements of the full N × N (where N >> n) kernel matrix need to be calculated at each time-step, thus reducing both the computation time in producing the kernel elements and also the complexity of the FCM algorithm. Empirical results show that stKFCM, even with relatively very small n, can provide clustering performance as accurately as kernel fuzzy c-means run on the entire data set while achieving a significant speedup.

An evolutionary framework for enhancing design

A computational framework for enhancing design in an evolutionary approach with a dynamic hierarchical structure is presented in this paper. This framework can be used as an evolutionary kernel for building computer-supported design systems. It provides computational components for generating, adapting and exploring alternative design solutions at multiple levels of abstraction with hierarchically structured design representations. In this paper, preliminary experimental results of using this framework in several design applications are presented.

Effective web service discovery using a combination of a semantic model and a data mining technique

With the advent of Service Oriented Architecture, Web Services have gained tremendous popularity. Due to the availability of a large number of Web services, finding an appropriate Web service according to the requirement of the user is a challenge. This warrants the need to establish an effective and reliable process of Web service discovery. A considerable body of research has emerged to develop methods to improve the accuracy of Web service discovery to match the best service. The process of Web service discovery results in suggesting many individual services that partially fulfil the user’s interest. By considering the semantic relationships of words used in describing the services as well as the use of input and output parameters can lead to accurate Web service discovery. Appropriate linking of individual matched services should fully satisfy the requirements which the user is looking for. This research proposes to integrate a semantic model and a data mining technique to enhance the accuracy of Web service discovery. A novel three-phase Web service discovery methodology has been proposed. The first phase performs match-making to find semantically similar Web services for a user query. In order to perform semantic analysis on the content present in the Web service description language document, the support-based latent semantic kernel is constructed using an innovative concept of binning and merging on the large quantity of text documents covering diverse areas of domain of knowledge. The use of a generic latent semantic kernel constructed with a large number of terms helps to find the hidden meaning of the query terms which otherwise could not be found. Sometimes a single Web service is unable to fully satisfy the requirement of the user. In such cases, a composition of multiple inter-related Web services is presented to the user. The task of checking the possibility of linking multiple Web services is done in the second phase. Once the feasibility of linking Web services is checked, the objective is to provide the user with the best composition of Web services. In the link analysis phase, the Web services are modelled as nodes of a graph and an allpair shortest-path algorithm is applied to find the optimum path at the minimum cost for traversal. The third phase which is the system integration, integrates the results from the preceding two phases by using an original fusion algorithm in the fusion engine. Finally, the recommendation engine which is an integral part of the system integration phase makes the final recommendations including individual and composite Web services to the user. In order to evaluate the performance of the proposed method, extensive experimentation has been performed. Results of the proposed support-based semantic kernel method of Web service discovery are compared with the results of the standard keyword-based information-retrieval method and a clustering-based machine-learning method of Web service discovery. The proposed method outperforms both information-retrieval and machine-learning based methods. Experimental results and statistical analysis also show that the best Web services compositions are obtained by considering 10 to 15 Web services that are found in phase-I for linking. Empirical results also ascertain that the fusion engine boosts the accuracy of Web service discovery by combining the inputs from both the semantic analysis (phase-I) and the link analysis (phase-II) in a systematic fashion. Overall, the accuracy of Web service discovery with the proposed method shows a significant improvement over traditional discovery methods.

Whiteness, Epistemology and Indigenous representation

With its focus on Australia, Whitening Race engages with relations between migration, Indigenous dispossession and whiteness. It creates a new intellectual space that investigates the nature of racialised conditions and their role in reproducing colonising relations in Australia.

A brush with the real world : the future of inertial motion capture in live performance

3D Motion capture is a medium that plots motion, typically human motion, converting it into a form that can be represented digitally. It is a fast evolving field and recent inertial technology may provide new artistic possibilities for its use in live performance. Although not often used in this context, motion capture has a combination of attributes that can provide unique forms of collaboration with performance arts. The inertial motion capture suit used for this study has orientation sensors placed at strategic points on the body to map body motion. Its portability, real-time performance, ease of use, and its immunity from line-of-sight problems inherent in optical systems suggest it would work well as a live performance technology. Many animation techniques can be used in real-time. This research examines a broad cross-section of these techniques using four practice-led cases to assess the suitability of inertial motion capture to live performance. Although each case explores different visual possibilities, all make use of the performativity of the medium, using either an improvisational format or interactivity among stage, audience and screen that would be difficult to emulate any other way. A real-time environment is not capable of reproducing the depth and sophistication of animation people have come to expect through media. These environments take many hours to render. In time the combination of what can be produced in real-time and the tools available in a 3D environment will no doubt create their own tree of aesthetic directions in live performance. The case study looks at the potential of interactivity that this technology offers.

Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Thermal tweezers for manipulation of adatoms and nanoparticles on surfaces heated by interfering laser pulses

We conduct the detailed numerical investigation of a nanomanipulation and nanofabrication technique—thermal tweezers with dynamic evolution of surface temperature, caused by absorption of interfering laser pulses in a thin metalfilm or any other absorbing surface. This technique uses random Brownian forces in the presence of strong temperature modulation (surfacethermophoresis) for effective manipulation of particles/adatoms with nanoscale resolution. Substantial redistribution of particles on the surface is shown to occur with the typical size of the obtained pattern elements of ∼100 nm, which is significantly smaller than the wavelength of the incident pulses used (532 nm). It is also demonstrated that thermal tweezers based on surfacethermophoresis of particles/adatoms are much more effective in achieving permanent high maximum-to-minimum concentration ratios than bulk thermophoresis, which is explained by the interaction of diffusing particles with the periodic lattice potential on the surface. Typically required pulse regimes including pulse lengths and energies are also determined. The approach is applicable for reproducing any holographically achievable surfacepatterns, and can thus be used for engineering properties of surfaces including nanopatterning and design of surface metamaterials.

The statistics of refractive error maps : managing wavefront aberration analysis without Zernike polynomials

The refractive error of a human eye varies across the pupil and therefore may be treated as a random variable. The probability distribution of this random variable provides a means for assessing the main refractive properties of the eye without the necessity of traditional functional representation of wavefront aberrations. To demonstrate this approach, the statistical properties of refractive error maps are investigated. Closed-form expressions are derived for the probability density function (PDF) and its statistical moments for the general case of rotationally-symmetric aberrations. A closed-form expression for a PDF for a general non-rotationally symmetric wavefront aberration is difficult to derive. However, for specific cases, such as astigmatism, a closed-form expression of the PDF can be obtained. Further, interpretation of the distribution of the refractive error map as well as its moments is provided for a range of wavefront aberrations measured in real eyes. These are evaluated using a kernel density and sample moments estimators. It is concluded that the refractive error domain allows non-functional analysis of wavefront aberrations based on simple statistics in the form of its sample moments. Clinicians may find this approach to wavefront analysis easier to interpret due to the clinical familiarity and intuitive appeal of refractive error maps.

Data-driven background dataset selection for SVM-based speaker verification

The recently proposed data-driven background dataset refinement technique provides a means of selecting an informative background for support vector machine (SVM)-based speaker verification systems. This paper investigates the characteristics of the impostor examples in such highly-informative background datasets. Data-driven dataset refinement individually evaluates the suitability of candidate impostor examples for the SVM background prior to selecting the highest-ranking examples as a refined background dataset. Further, the characteristics of the refined dataset were analysed to investigate the desired traits of an informative SVM background. The most informative examples of the refined dataset were found to consist of large amounts of active speech and distinctive language characteristics. The data-driven refinement technique was shown to filter the set of candidate impostor examples to produce a more disperse representation of the impostor population in the SVM kernel space, thereby reducing the number of redundant and less-informative examples in the background dataset. Furthermore, data-driven refinement was shown to provide performance gains when applied to the difficult task of refining a small candidate dataset that was mis-matched to the evaluation conditions.

Conditional coskewness and asset pricing

We explore the empirical usefulness of conditional coskewness to explain the cross-section of equity returns. We find that coskewness is an important determinant of the returns to equity, and that the pricing relationship varies through time. In particular we find that when the conditional market skewness is positive investors are willing to sacrifice 7.87% annually per unit of gamma (a standardized measure of coskewness risk) while they only demand a premium of 1.80% when the market is negatively skewed. A similar picture emerges from the coskewness factor of Harvey and Siddique (Harvey, C., Siddique, A., 2000a. Conditional skewness in asset pricing models tests. Journal of Finance 65, 1263–1295.) (a portfolio that is long stocks with small coskewness with the market and short high coskewness stocks) which earns 5.00% annually when the market is positively skewed but only 2.81% when the market is negatively skewed. The conditional two-moment CAPM and a conditional Fama and French (Fama, E., French, K., 1992. The cross-section of expected returns. Journal of Finance 47,427465.) three-factor model are rejected, but a model which includes coskewness is not rejected by the data. The model also passes a structural break test which many existing asset pricing models fail.