Pair trading: Clustering based on principal component analysis

This study focuses on the implementation of several pair trading strategies across three emerging markets, with the objective of comparing the results obtained from the different strategies and assessing if pair trading benefits from a more volatile environment. The results show that, indeed, there are higher potential profits arising from emerging markets. However, the higher excess return will be partially offset by higher transaction costs, which will be a determinant factor to the profitability of pair trading strategies. Also, a new clustering approach based on the Principal Component Analysis was tested as an alternative to the more standard clustering by Industry Groups. The new clustering approach delivers promising results, consistently reducing volatility to a greater extent than the Industry Group approach, with no significant harm to the excess returns.

EDP - A new estimation algorithm

The aim of this work project is to analyze the current algorithm used by EDP to estimate their clients’ electrical energy consumptions, create a new algorithm and compare the advantages and disadvantages of both. This new algorithm is different from the current one as it incorporates some effects from temperature variations. The results of the comparison show that this new algorithm with temperature variables performed better than the same algorithm without temperature variables, although there is still potential for further improvements of the current algorithm, if the prediction model is estimated using a sample of daily data, which is the case of the current EDP algorithm.

Generalized Dasymetric Mapping Algorithm for Accessing Land-Use Change

Contém resumo

Genetic algorithm for shipping route estimation with long-range tracking data : automatic reconstruction of shipping routes based on the historical ship positions for maritime safety applications

Ship tracking systems allow Maritime Organizations that are concerned with the Safety at Sea to obtain information on the current location and route of merchant vessels. Thanks to Space technology in recent years the geographical coverage of the ship tracking platforms has increased significantly, from radar based near-shore traffic monitoring towards a worldwide picture of the maritime traffic situation. The long-range tracking systems currently in operations allow the storage of ship position data over many years: a valuable source of knowledge about the shipping routes between different ocean regions. The outcome of this Master project is a software prototype for the estimation of the most operated shipping route between any two geographical locations. The analysis is based on the historical ship positions acquired with long-range tracking systems. The proposed approach makes use of a Genetic Algorithm applied on a training set of relevant ship positions extracted from the long-term storage tracking database of the European Maritime Safety Agency (EMSA). The analysis of some representative shipping routes is presented and the quality of the results and their operational applications are assessed by a Maritime Safety expert.

Task clustering on ETL systems – A pattern-oriented approach

Usually, data warehousing populating processes are data-oriented workflows composed by dozens of granular tasks that are responsible for the integration of data coming from different data sources. Specific subset of these tasks can be grouped on a collection together with their relationships in order to form higher- level constructs. Increasing task granularity allows for the generalization of processes, simplifying their views and providing methods to carry out expertise to new applications. Well-proven practices can be used to describe general solutions that use basic skeletons configured and instantiated according to a set of specific integration requirements. Patterns can be applied to ETL processes aiming to simplify not only a possible conceptual representation but also to reduce the gap that often exists between two design perspectives. In this paper, we demonstrate the feasibility and effectiveness of an ETL pattern-based approach using task clustering, analyzing a real world ETL scenario through the definitions of two commonly used clusters of tasks: a data lookup cluster and a data conciliation and integration cluster.

Clustering-based approach for categorizing pregnant women in obstetrics and maternity care

When a pregnant woman is guided to a hospital for obstetrics purposes, many outcomes are possible, depending on her current conditions. An improved understanding of these conditions could provide a more direct medical approach by categorizing the different types of patients, enabling a faster response to risk situations, and therefore increasing the quality of services. In this case study, the characteristics of the patients admitted in the maternity care unit of Centro Hospitalar of Porto are acknowledged, allowing categorizing the patient women through clustering techniques. The main goal is to predict the patients’ route through the maternity care, adapting the services according to their conditions, providing the best clinical decisions and a cost-effective treatment to patients. The models developed presented very interesting results, being the best clustering evaluation index: 0.65. The evaluation of the clustering algorithms proved the viability of using clustering based data mining models to characterize pregnant patients, identifying which conditions can be used as an alert to prevent the occurrence of medical complications.

Clustering barotrauma patients in ICU–A data mining based approach using ventilator variables

Lecture Notes in Computer Science, 9273

Solving large 0–1 multidimensional knapsack problems by a new simplified binary artificial fish swarm algorithm

The artificial fish swarm algorithm has recently been emerged in continuous global optimization. It uses points of a population in space to identify the position of fish in the school. Many real-world optimization problems are described by 0-1 multidimensional knapsack problems that are NP-hard. In the last decades several exact as well as heuristic methods have been proposed for solving these problems. In this paper, a new simpli ed binary version of the artificial fish swarm algorithm is presented, where a point/ fish is represented by a binary string of 0/1 bits. Trial points are created by using crossover and mutation in the different fi sh behavior that are randomly selected by using two user de ned probability values. In order to make the points feasible the presented algorithm uses a random heuristic drop item procedure followed by an add item procedure aiming to increase the profit throughout the adding of more items in the knapsack. A cyclic reinitialization of 50% of the population, and a simple local search that allows the progress of a small percentage of points towards optimality and after that refines the best point in the population greatly improve the quality of the solutions. The presented method is tested on a set of benchmark instances and a comparison with other methods available in literature is shown. The comparison shows that the proposed method can be an alternative method for solving these problems.

A new competitive implementation of the electromagnetism-like algorithm for global optimization

The Electromagnetism-like (EM) algorithm is a population- based stochastic global optimization algorithm that uses an attraction- repulsion mechanism to move sample points towards the optimal. In this paper, an implementation of the EM algorithm in the Matlab en- vironment as a useful function for practitioners and for those who want to experiment a new global optimization solver is proposed. A set of benchmark problems are solved in order to evaluate the performance of the implemented method when compared with other stochastic methods available in the Matlab environment. The results con rm that our imple- mentation is a competitive alternative both in term of numerical results and performance. Finally, a case study based on a parameter estimation problem of a biology system shows that the EM implementation could be applied with promising results in the control optimization area.

Combining non-dominance, objective-order and spread metric to extend firefly algorithm to multi-objective optimization

In this paper, we propose an extension of the firefly algorithm (FA) to multi-objective optimization. FA is a swarm intelligence optimization algorithm inspired by the flashing behavior of fireflies at night that is capable of computing global solutions to continuous optimization problems. Our proposal relies on a fitness assignment scheme that gives lower fitness values to the positions of fireflies that correspond to non-dominated points with smaller aggregation of objective function distances to the minimum values. Furthermore, FA randomness is based on the spread metric to reduce the gaps between consecutive non-dominated solutions. The obtained results from the preliminary computational experiments show that our proposal gives a dense and well distributed approximated Pareto front with a large number of points.

New control algorithm for single-phase series active power filter

This paper presents a single-phase Series Active Power Filter (Series APF) for mitigation of the load voltage harmonic content, while maintaining the voltage on the DC side regulated without the support of a voltage source. The proposed series active power filter control algorithm eliminates the additional voltage source to regulate the DC voltage, and with the adopted topology it is not used a coupling transformer to interface the series active power filter with the electrical power grid. The paper describes the control strategy which encapsulates the grid synchronization scheme, the compensation voltage calculation, the damping algorithm and the dead-time compensation. The topology and control strategy of the series active power filter have been evaluated in simulation software and simulations results are presented. Experimental results, obtained with a developed laboratorial prototype, validate the theoretical assumptions, and are within the harmonic spectrum limits imposed by the international recommendations of the IEEE-519 Standard.

MOEA/VAN: Multiobjective Evolutionary Algorithm based on Vector Angle Neighborhood

Natural selection favors the survival and reproduction of organisms that are best adapted to their environment. Selection mechanism in evolutionary algorithms mimics this process, aiming to create environmental conditions in which artificial organisms could evolve solving the problem at hand. This paper proposes a new selection scheme for evolutionary multiobjective optimization. The similarity measure that defines the concept of the neighborhood is a key feature of the proposed selection. Contrary to commonly used approaches, usually defined on the basis of distances between either individuals or weight vectors, it is suggested to consider the similarity and neighborhood based on the angle between individuals in the objective space. The smaller the angle, the more similar individuals. This notion is exploited during the mating and environmental selections. The convergence is ensured by minimizing distances from individuals to a reference point, whereas the diversity is preserved by maximizing angles between neighboring individuals. Experimental results reveal a highly competitive performance and useful characteristics of the proposed selection. Its strong diversity preserving ability allows to produce a significantly better performance on some problems when compared with stat-of-the-art algorithms.

Reconstructing historical forest cover change in the Lower Amazon floodplains using the LandTrendr algorithm

ABSTRACTThe Amazon várzeas are an important component of the Amazon biome, but anthropic and climatic impacts have been leading to forest loss and interruption of essential ecosystem functions and services. The objectives of this study were to evaluate the capability of the Landsat-based Detection of Trends in Disturbance and Recovery (LandTrendr) algorithm to characterize changes in várzeaforest cover in the Lower Amazon, and to analyze the potential of spectral and temporal attributes to classify forest loss as either natural or anthropogenic. We used a time series of 37 Landsat TM and ETM+ images acquired between 1984 and 2009. We used the LandTrendr algorithm to detect forest cover change and the attributes of "start year", "magnitude", and "duration" of the changes, as well as "NDVI at the end of series". Detection was restricted to areas identified as having forest cover at the start and/or end of the time series. We used the Support Vector Machine (SVM) algorithm to classify the extracted attributes, differentiating between anthropogenic and natural forest loss. Detection reliability was consistently high for change events along the Amazon River channel, but variable for changes within the floodplain. Spectral-temporal trajectories faithfully represented the nature of changes in floodplain forest cover, corroborating field observations. We estimated anthropogenic forest losses to be larger (1.071 ha) than natural losses (884 ha), with a global classification accuracy of 94%. We conclude that the LandTrendr algorithm is a reliable tool for studies of forest dynamics throughout the floodplain.

Hypertension and clustering of cardiovascular risk factors in a community in Southeast Brazil: the Bambuí Health and Ageing Study

OBJECTIVE - A population-based prospective study was analysed to: a) determine the prevalence of hypertension; b) investigate the clustering of other cardiovascular risk factors and c) verify whether older differed from younger adults in the pattern of clustering. METHODS - The data comprised a representative sample of the population of Bambuí, Brazil. Multiple logistic regression was used to investigate the independent association between hypertension and selected factors. RESULTS - A total of 820 younger adults (82.5%) and 1494 older adults (85.9%) participated in this study. The overall prevalence of hypertension was 24.8% (SE=1.4 %), being higher in women (26.9±1.5%) than in men (22.0± 1.7%) (p=0.033). Hypertension was positively and significantly associated with physical inactivity, overweight, hypercholesterolemia hyperglycemia and hypertriglyceridemia. The coexistence of hypertension with 4 or more of these risk factors occurred 6 times more than expected by chance, after adjusting for age and sex (OR=6.3; 95%CI: 3.4-11.9). The pattern of risk factor clustering in hypertensive individuals differed with age. CONCLUSION - Our results reinforce the need to increase detection and treatment of hypertension and to approach patients' global risk profiles.

Aceleración de Algoritmos en Procesadores Multicore, GPGPU y FPGA. Algorithm Acceleration with Multicore, GPGPU and FPGA Processors.

El avance en la potencia de cómputo en nuestros días viene dado por la paralelización del procesamiento, dadas las características que disponen las nuevas arquitecturas de hardware. Utilizar convenientemente este hardware impacta en la aceleración de los algoritmos en ejecución (programas). Sin embargo, convertir de forma adecuada el algoritmo en su forma paralela es complejo, y a su vez, esta forma, es específica para cada tipo de hardware paralelo. En la actualidad los procesadores de uso general más comunes son los multicore, procesadores paralelos, también denominados Symmetric Multi-Processors (SMP). Hoy en día es difícil hallar un procesador para computadoras de escritorio que no tengan algún tipo de paralelismo del caracterizado por los SMP, siendo la tendencia de desarrollo, que cada día nos encontremos con procesadores con mayor numero de cores disponibles. Por otro lado, los dispositivos de procesamiento de video (Graphics Processor Units - GPU), a su vez, han ido desarrollando su potencia de cómputo por medio de disponer de múltiples unidades de procesamiento dentro de su composición electrónica, a tal punto que en la actualidad no es difícil encontrar placas de GPU con capacidad de 200 a 400 hilos de procesamiento paralelo. Estos procesadores son muy veloces y específicos para la tarea que fueron desarrollados, principalmente el procesamiento de video. Sin embargo, como este tipo de procesadores tiene muchos puntos en común con el procesamiento científico, estos dispositivos han ido reorientándose con el nombre de General Processing Graphics Processor Unit (GPGPU). A diferencia de los procesadores SMP señalados anteriormente, las GPGPU no son de propósito general y tienen sus complicaciones para uso general debido al límite en la cantidad de memoria que cada placa puede disponer y al tipo de procesamiento paralelo que debe realizar para poder ser productiva su utilización. Los dispositivos de lógica programable, FPGA, son dispositivos capaces de realizar grandes cantidades de operaciones en paralelo, por lo que pueden ser usados para la implementación de algoritmos específicos, aprovechando el paralelismo que estas ofrecen. Su inconveniente viene derivado de la complejidad para la programación y el testing del algoritmo instanciado en el dispositivo. Ante esta diversidad de procesadores paralelos, el objetivo de nuestro trabajo está enfocado en analizar las características especificas que cada uno de estos tienen, y su impacto en la estructura de los algoritmos para que su utilización pueda obtener rendimientos de procesamiento acordes al número de recursos utilizados y combinarlos de forma tal que su complementación sea benéfica. Específicamente, partiendo desde las características del hardware, determinar las propiedades que el algoritmo paralelo debe tener para poder ser acelerado. Las características de los algoritmos paralelos determinará a su vez cuál de estos nuevos tipos de hardware son los mas adecuados para su instanciación. En particular serán tenidos en cuenta el nivel de dependencia de datos, la necesidad de realizar sincronizaciones durante el procesamiento paralelo, el tamaño de datos a procesar y la complejidad de la programación paralela en cada tipo de hardware. Today´s advances in high-performance computing are driven by parallel processing capabilities of available hardware architectures. These architectures enable the acceleration of algorithms when thes ealgorithms are properly parallelized and exploit the specific processing power of the underneath architecture. Most current processors are targeted for general pruposes and integrate several processor cores on a single chip, resulting in what is known as a Symmetric Multiprocessing (SMP) unit. Nowadays even desktop computers make use of multicore processors. Meanwhile, the industry trend is to increase the number of integrated rocessor cores as technology matures. On the other hand, Graphics Processor Units (GPU), originally designed to handle only video processing, have emerged as interesting alternatives to implement algorithm acceleration. Current available GPUs are able to implement from 200 to 400 threads for parallel processing. Scientific computing can be implemented in these hardware thanks to the programability of new GPUs that have been denoted as General Processing Graphics Processor Units (GPGPU).However, GPGPU offer little memory with respect to that available for general-prupose processors; thus, the implementation of algorithms need to be addressed carefully. Finally, Field Programmable Gate Arrays (FPGA) are programmable devices which can implement hardware logic with low latency, high parallelism and deep pipelines. Thes devices can be used to implement specific algorithms that need to run at very high speeds. However, their programmability is harder that software approaches and debugging is typically time-consuming. In this context where several alternatives for speeding up algorithms are available, our work aims at determining the main features of thes architectures and developing the required know-how to accelerate algorithm execution on them. We look at identifying those algorithms that may fit better on a given architecture as well as compleme