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.

Bayesian Gaussian Copula Factor Models for Mixed Data.

Gaussian factor models have proven widely useful for parsimoniously characterizing dependence in multivariate data. There is a rich literature on their extension to mixed categorical and continuous variables, using latent Gaussian variables or through generalized latent trait models acommodating measurements in the exponential family. However, when generalizing to non-Gaussian measured variables the latent variables typically influence both the dependence structure and the form of the marginal distributions, complicating interpretation and introducing artifacts. To address this problem we propose a novel class of Bayesian Gaussian copula factor models which decouple the latent factors from the marginal distributions. A semiparametric specification for the marginals based on the extended rank likelihood yields straightforward implementation and substantial computational gains. We provide new theoretical and empirical justifications for using this likelihood in Bayesian inference. We propose new default priors for the factor loadings and develop efficient parameter-expanded Gibbs sampling for posterior computation. The methods are evaluated through simulations and applied to a dataset in political science. The models in this paper are implemented in the R package bfa.

Alternative Factor Models and Heritability of the Short Leyton Obsessional Inventory-Children's Version

An alternative models framework was used to test three confirmatory factor analytic models for the Short Leyton Obsessional Inventory-Children's Version (Short LOI-CV) in a general population sample of 517 young adolescent twins (11-16 years). A one-factor model as implicit in current classification systems of Obsessive-Compulsive Disorder (OCD), a two-factor obsessions and compulsions model, and a multidimensional model corresponding to the three proposed subscales of the Short LOI-CV (labelled Obsessions/Incompleteness, Numbers/Luck and Cleanliness) were considered. The three-factor model was the only model to provide an adequate explanation of the data. Twin analyses suggested significant quantitative sex differences in heritability for both the Obsessions/Incompleteness and Numbers/Luck dimensions with these being significantly heritable in males only (heritability of 60% and 65% respectively). The correlation between the additive genetic effects for these two dimensions in males was 0.95 suggesting they largely share the same genetic risk factors.

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.

Real-time parameter estimation of dynamic temperature models for greenhouse environmental control

For a greenhouse located at UTAD-University, the methods used to estimate in real-time the parameters of the inside air temperature model will be described. The structure and the parameters of the climate discrete-time dynamic model were previously identified using data acquired during two different periods of the year.

Dynamic temperature models of a soiless greenhouse

In this paper climate discrete-time dynamic models for the inside air temperature of a soilless greenhouse are identified, using data acquired during two different periods of the year. These models employ data from air temperature and relative humidity.

Understanding multi-asset factor models: Factor exposure interpretation

Field lab: Business project

Predictive control using feedback linearization based on dynamic neural models

This paper presents a hybrid control strategy integrating dynamic neural networks and feedback linearization into a predictive control scheme. Feedback linearization is an important nonlinear control technique which transforms a nonlinear system into a linear system using nonlinear transformations and a model of the plant. In this work, empirical models based on dynamic neural networks have been employed. Dynamic neural networks are mathematical structures described by differential equations, which can be trained to approximate general nonlinear systems. A case study based on a mixing process is presented.

Comparison of static and dynamic engine models on the transient performance of a passenger vehicle powertrain

This paper presents experimental and computational results obtained on the Ford Barra 190 4.0 litres I6 gasoline engine and on the Ford Falcon car equipped with this engine. Measurements of steady engine performance, fuel consumption and exhaust emissions were first collected using an automated test facility for a wide range of cam and spark timings vs. throttle position and engine speed. Simulations were performed for a significant number of measured operating points at full and part load by using a coupled Gamma Technologies GT-POWER/GT-COOL engine model for gas exchange, combustion and heat transfer. The fluid model was made up of intake and exhaust systems, oil circuit, coolant circuit and radiator cooling air circuit. The thermal model was made up of finite element components for cylinder head, cylinder, piston, valves and ports and wall thermal masses for pipes. The model was validated versus measured steady state air and fuel flow rates, cylinder pressure parameters, indicated and brake mean effective pressures, and temperature of metal, oil and coolant in selected locations. Computational results agree well with experiments, demonstrating the ability of the approach to produce fairly accurate steady state maps of BMEP and BSFC, as well as to optimize engine operation changing geometry, throttle position, cam and spark timing. Measurements of the transient performance and fuel consumption of the full vehicle were then collected over the NEDC cycle. Simulations were performed by using a coupled Gamma Technologies GT-POWER/GT-COOL/GT-DRIVE model for instantaneous engine gas exchange, combustion and heat transfer and vehicle motion. The full vehicle model is made up of transmission, driveshaft, axles, and car components and the previous engine model. The model was validated with measured fuel flow rates through the engine, engine throttle position, and engine speed and oil and coolant temperatures in selected locations. Instantaneous engine states following a time dependent demand for torque and speed differ from those obtained by interpolating steady state maps of BSFC vs. BMEP and speed. Computational results agree well with experiments, demonstrating the utility of the approach in providing a more accurate prediction of the fuel consumption over test cycles.