Neural networks for time-varying data

This paper reviews some basic issues and methods involved in using neural networks to respond in a desired fashion to a temporally-varying environment. Some popular network models and training methods are introduced. A speech recognition example is then used to illustrate the central difficulty of temporal data processing: learning to notice and remember relevant contextual information. Feedforward network methods are applicable to cases where this problem is not severe. The application of these methods are explained and applications are discussed in the areas of pure mathematics, chemical and physical systems, and economic systems. A more powerful but less practical algorithm for temporal problems, the moving targets algorithm, is sketched and discussed. For completeness, a few remarks are made on reinforcement learning.

Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Dynamical local models for segmentation and prediction of financial time series

In the analysis and prediction of many real-world time series, the assumption of stationarity is not valid. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We introduce a new model which combines a dynamic switching (controlled by a hidden Markov model) and a non-linear dynamical system. We show how to train this hybrid model in a maximum likelihood approach and evaluate its performance on both synthetic and financial data.

Nonlinear loop mirror-based all-optical signal processing in fiber-optic communications

All-optical data processing is expected to play a major role in future optical communications. The fiber nonlinear optical loop mirror (NOLM) is a valuable tool in optical signal processing applications. This paper presents an overview of our recent advances in developing NOLM-based all-optical processing techniques for application in fiber-optic communications. The use of in-line NOLMs as a general technique for all-optical passive 2R (reamplification, reshaping) regeneration of return-to-zero (RZ) on-off keyed signals in both high-speed, ultralong-distance transmission systems and terrestrial photonic networks is reviewed. In this context, a theoretical model enabling the description of the stable propagation of carrier pulses with periodic all-optical self-regeneration in fiber systems with in-line deployment of nonlinear optical devices is presented. A novel, simple pulse processing scheme using nonlinear broadening in normal dispersion fiber and loop mirror intensity filtering is described, and its employment is demonstrated as an optical decision element at a RZ receiver as well as an in-line device to realize a transmission technique of periodic all-optical RZ-nonreturn-to-zero-like format conversion. The important issue of phase-preserving regeneration of phase-encoded signals is also addressed by presenting a new design of NOLM based on distributed Raman amplification in the loop fiber. © 2008 Elsevier Inc. All rights reserved.

Modelling nonlinear stochastic dynamics in financial time series

For analysing financial time series two main opposing viewpoints exist, either capital markets are completely stochastic and therefore prices follow a random walk, or they are deterministic and consequently predictable. For each of these views a great variety of tools exist with which it can be tried to confirm the hypotheses. Unfortunately, these methods are not well suited for dealing with data characterised in part by both paradigms. This thesis investigates these two approaches in order to model the behaviour of financial time series. In the deterministic framework methods are used to characterise the dimensionality of embedded financial data. The stochastic approach includes here an estimation of the unconditioned and conditional return distributions using parametric, non- and semi-parametric density estimation techniques. Finally, it will be shown how elements from these two approaches could be combined to achieve a more realistic model for financial time series.

Novel approaches in nonlinear optical fibre-based signal processing

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibres have many attractive features and a great, not yet fully explored potential in optical signal processing. Here, we overview our recent advances in developing novel techniques and approaches to all-optical processing based on optical fibre nonlinearities.

Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

Processing and rendering of Fourier domain optical coherence tomography images at a line rate over 524 kHz using a graphics processing unit

In Fourier domain optical coherence tomography (FD-OCT), a large amount of interference data needs to be resampled from the wavelength domain to the wavenumber domain prior to Fourier transformation. We present an approach to optimize this data processing, using a graphics processing unit (GPU) and parallel processing algorithms. We demonstrate an increased processing and rendering rate over that previously reported by using GPU paged memory to render data in the GPU rather than copying back to the CPU. This avoids unnecessary and slow data transfer, enabling a processing and display rate of well over 524,000 A-scan/s for a single frame. To the best of our knowledge this is the fastest processing demonstrated to date and the first time that FD-OCT processing and rendering has been demonstrated entirely on a GPU.

Nonlinear pulse shaping in fibres for pulse generation and optical processing

The development of new all-optical technologies for data processing and signal manipulation is a field of growing importance with a strong potential for numerous applications in diverse areas of modern science. Nonlinear phenomena occurring in optical fibres have many attractive features and great, but not yet fully explored, potential in signal processing. Here, we review recent progress on the use of fibre nonlinearities for the generation and shaping of optical pulses and on the applications of advanced pulse shapes in all-optical signal processing. Amongst other topics, we will discuss ultrahigh repetition rate pulse sources, the generation of parabolic shaped pulses in active and passive fibres, the generation of pulses with triangular temporal profiles, and coherent supercontinuum sources. The signal processing applications will span optical regeneration, linear distortion compensation, optical decision at the receiver in optical communication systems, spectral and temporal signal doubling, and frequency conversion. © Copyright 2012 Sonia Boscolo and Christophe Finot.

All-optical nonlinear fibre signal processing

All-optical technologies for data processing and signal manipulation are expected to play a major role in future optical communications. Nonlinear phenomena occurring in optical fibre have many attractive features and great, but not yet fully exploited potential in optical signal processing. Here, we overview our recent results and advances in developing novel photonic techniques and approaches to all-optical processing based on fibre nonlinearities. Amongst other topics, we will discuss phase-preserving optical 2R regeneration, the possibility of using parabolic/flat-top pulses for optical signal processing and regeneration, and nonlinear optical pulse shaping. A method for passive nonlinear pulse shaping based on pulse pre-chirping and propagation in a normally dispersive fibre will be presented. The approach provides a simple way of generating various temporal waveforms of fundamental and practical interest. Particular emphasis will be given to the formation and characterization of pulses with a triangular intensity profile. A new technique of doubling/copying optical pulses in both the frequency and time domains using triangular-shaped pulses will be also introduced.

Recent developments in all-optical nonlinear signal processing for fiber-optic communications

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibers have attractive applications in optical signal processing. In this paper, we review our recent advances in developing all-optical processing techniques at high speed based on optical fiber nonlinearities.

Novel approaches in nonlinear optical fibre-based signal processing

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibres have many attractive features and a great, not yet fully explored potential in optical signal processing. Here, we overview our recent advances in developing novel techniques and approaches to all-optical processing based on optical fibre nonlinearities.

Recent developments in all-optical nonlinear signal processing for fiber-optic communications

All-optical data processing is expected to play a major role in future optical communications. Nonlinear effects in optical fibers have attractive applications in optical signal processing. In this paper, we review our recent advances in developing all-optical processing techniques at high speed based on optical fiber nonlinearities.

All-optical nonlinear fibre signal processing

All-optical technologies for data processing and signal manipulation are expected to play a major role in future optical communications. Nonlinear phenomena occurring in optical fibre have many attractive features and great, but not yet fully exploited potential in optical signal processing. Here, we overview our recent results and advances in developing novel photonic techniques and approaches to all-optical processing based on fibre nonlinearities. Amongst other topics, we will discuss phase-preserving optical 2R regeneration, the possibility of using parabolic/flat-top pulses for optical signal processing and regeneration, and nonlinear optical pulse shaping. A method for passive nonlinear pulse shaping based on pulse pre-chirping and propagation in a normally dispersive fibre will be presented. The approach provides a simple way of generating various temporal waveforms of fundamental and practical interest. Particular emphasis will be given to the formation and characterization of pulses with a triangular intensity profile. A new technique of doubling/copying optical pulses in both the frequency and time domains using triangular-shaped pulses will be also introduced.