Stochastic volatility and the goodness-of-fit of the Heston model

Recently, Drǎgulescu and Yakovenko proposed an analytical formula for computing the probability density function of stock log returns, based on the Heston model, which they tested empirically. Their research design inadvertently favourably biased the fit of the data to the Heston model, thus overstating their empirical results. Furthermore, Drǎgulescu and Yakovenko did not perform any goodness-of-fit statistical tests. This study employs a research design that facilitates statistical tests of the goodness-of-fit of the Heston model to empirical returns. Robustness checks are also performed. In brief, the Heston model outperformed the Gaussian model only at high frequencies and even so does not provide a statistically acceptable fit to the data. The Gaussian model performed (marginally) better at medium and low frequencies, at which points the extra parameters of the Heston model have adverse impacts on the test statistics. © 2005 Taylor & Francis Group Ltd.

The use of data analysis methods: basic concepts for optometrists

This article explains first, the reasons why a knowledge of statistics is necessary and describes the role that statistics plays in an experimental investigation. Second, the normal distribution is introduced which describes the natural variability shown by many measurements in optometry and vision sciences. Third, the application of the normal distribution to some common statistical problems including how to determine whether an individual observation is a typical member of a population and how to determine the confidence interval for a sample mean is described.

A study of cluster analysis techniques and their applications

This thesis seeks to describe the development of an inexpensive and efficient clustering technique for multivariate data analysis. The technique starts from a multivariate data matrix and ends with graphical representation of the data and pattern recognition discriminant function. The technique also results in distances frequency distribution that might be useful in detecting clustering in the data or for the estimation of parameters useful in the discrimination between the different populations in the data. The technique can also be used in feature selection. The technique is essentially for the discovery of data structure by revealing the component parts of the data. lhe thesis offers three distinct contributions for cluster analysis and pattern recognition techniques. The first contribution is the introduction of transformation function in the technique of nonlinear mapping. The second contribution is the us~ of distances frequency distribution instead of distances time-sequence in nonlinear mapping, The third contribution is the formulation of a new generalised and normalised error function together with its optimal step size formula for gradient method minimisation. The thesis consists of five chapters. The first chapter is the introduction. The second chapter describes multidimensional scaling as an origin of nonlinear mapping technique. The third chapter describes the first developing step in the technique of nonlinear mapping that is the introduction of "transformation function". The fourth chapter describes the second developing step of the nonlinear mapping technique. This is the use of distances frequency distribution instead of distances time-sequence. The chapter also includes the new generalised and normalised error function formulation. Finally, the fifth chapter, the conclusion, evaluates all developments and proposes a new program. for cluster analysis and pattern recognition by integrating all the new features.

An evaluation of task analysis techniques for industrial process control

The concept of a task is fundamental to the discipline of ergonomics. Approaches to the analysis of tasks began in the early 1900's. These approaches have evolved and developed to the present day, when there is a vast array of methods available. Some of these methods are specific to particular contexts or applications, others more general. However, whilst many of these analyses allow tasks to be examined in detail, they do not act as tools to aid the design process or the designer. The present thesis examines the use of task analysis in a process control context, and in particular the use of task analysis to specify operator information and display requirements in such systems. The first part of the thesis examines the theoretical aspect of task analysis and presents a review of the methods, issues and concepts relating to task analysis. A review of over 80 methods of task analysis was carried out to form a basis for the development of a task analysis method to specify operator information requirements in industrial process control contexts. Of the methods reviewed Hierarchical Task Analysis was selected to provide such a basis and developed to meet the criteria outlined for such a method of task analysis. The second section outlines the practical application and evolution of the developed task analysis method. Four case studies were used to examine the method in an empirical context. The case studies represent a range of plant contexts and types, both complex and more simple, batch and continuous and high risk and low risk processes. The theoretical and empirical issues are drawn together and a method developed to provide a task analysis technique to specify operator information requirements and to provide the first stages of a tool to aid the design of VDU displays for process control.

The role of discourse analysis for translation and translator training

It has been widely recognised that an in-depth textual analysis of a source text is relevant for translation. This book discusses the role of discourse analysis for translation and translator training. One particular model of discourse analysis is presented in detail, and its application in the context of translator training is critically examined.

The development of methods of steroid analysis in reproductive physiology

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Predicting class I major histocompatibility complex (MHC) binders using multivariate statistics:comparison of discriminant analysis and multiple linear regression

The accurate in silico identification of T-cell epitopes is a critical step in the development of peptide-based vaccines, reagents, and diagnostics. It has a direct impact on the success of subsequent experimental work. Epitopes arise as a consequence of complex proteolytic processing within the cell. Prior to being recognized by T cells, an epitope is presented on the cell surface as a complex with a major histocompatibility complex (MHC) protein. A prerequisite therefore for T-cell recognition is that an epitope is also a good MHC binder. Thus, T-cell epitope prediction overlaps strongly with the prediction of MHC binding. In the present study, we compare discriminant analysis and multiple linear regression as algorithmic engines for the definition of quantitative matrices for binding affinity prediction. We apply these methods to peptides which bind the well-studied human MHC allele HLA-A*0201. A matrix which results from combining results of the two methods proved powerfully predictive under cross-validation. The new matrix was also tested on an external set of 160 binders to HLA-A*0201; it was able to recognize 135 (84%) of them.

The Automation of Adaptive Processes in the System of Distance Education and Knowledge Control

The article reveals a new technological approach to the creation of adaptive systems of distance learning and knowledge control. The use of the given technology helps to automate the learning process with the help of adaptive system. Developed with the help of the quantum approach of knowledge setting, a programming module-controller guarantees the support of students’ attention and the adaptation of the object language, and this helps to provide the effective interaction between learners and the learning system and to reach good results in the intensification of learning process.

The Application of Graph Model for Automation of the User Interface Construction

The ability of automatic graphic user interface construction is described. It is based on the building of user interface as reflection of the data domain logical definition. The submitted approach to development of the information system user interface enables dynamic adaptation of the system during their operation. This approach is used for creation of information systems based on CASE-system METAS.