Pairs trading in the UK equity market: risk and return

In this paper, we provide the first comprehensive UK evidence on the profitability of the pairs trading strategy. Evidence suggests that the strategy performs well in crisis periods, so we control for both risk and liquidity to assess performance. To evaluate the effect of market frictions on the strategy, we use several estimates of transaction costs. We also present evidence on the performance of the strategy in different economic and market states. Our results show that pairs trading portfolios typically have little exposure to known equity risk factors such as market, size, value, momentum and reversal. However, a model controlling for risk and liquidity explains a far larger proportion of returns. Incorporating different assumptions about bid-ask spreads leads to reductions in performance estimates. When we allow for time-varying risk exposures, conditioned on the contemporaneous equity market return, risk-adjusted returns are generally not significantly different from zero.

If we can't have it, then no one should : Shutting down versus selling in family business portfolios

How does a business family manage its business portfolio in times of declining performance to sustain the portfolio's long-term endurance? Drawing on social identity theory and six family business portfolios from Pakistan, we find that business families may prefer to shut down a satellite business rather than sell it, which is primarily driven by identity considerations. In addition, the family's goal to recycle the assets, the aim to restart the business later, and the increasing decline in performance are important contingency factors. This study contributes to the literature on portfolio entrepreneurship, business exit, and the enduring entrepreneurship of family firms.

A qualitative impairment in face perception in Alzheimer’s disease : evidence from a reduced face inversion effect

Prevalent face recognition difficulties in Alzheimer’s disease (AD) have typically been attributed to the underlying episodic and semantic memory impairment. The aim of the current study was to determine if AD patients are also impaired at the perceptual level for faces, more specifically at extracting a visual representation of an individual face. To address this question, we investigated the matching of simultaneously presented individual faces and of other nonface familiar shapes (cars), at both upright and inverted orientation, in a group of mild AD patients and in a group of healthy older controls matched for age and education. AD patients showed a reduced inversion effect (i.e., larger performance for upright than inverted stimuli) for faces, but not for cars, both in terms of error rates and response times. While healthy participants showed a much larger decrease in performance for faces than for cars with inversion, the inversion effect did not differ significantly for faces and cars in AD. This abnormal inversion effect for faces was observed in a large subset of individual patients with AD. These results suggest that AD patients have deficits in higher-level visual processes, more specifically at perceiving individual faces, a function that relies on holistic representations specific to upright face stimuli. These deficits, combined with their memory impairment, may contribute to the difficulties in recognizing familiar people that are often reported in patients suffering from the disease and by their caregivers.

Effects of dry-land strength and conditioning programs in age group swimmers

Context: Even though dry-land S&C training is a common practice in swimming, there are countless uncertainties over it effects in performance of age group swimmers. Objective: To investigate the effects of dry-land S&C programs in swimming performance of age group swimmers. Participants: A total of 21 male competitive swimmers (12.7±0.7 years) were randomly assigned to the Control Group (n=7) and experimental GR1 and GR2 (n=7 for each group). Intervention: Control group performed a 10-week training period of swim training alone, GR1 followed a 6-week dry-land S&C program based on sets/repetitions plus a 4-week swim training program alone and GR2 followed a 6-week dry-land S&C program focused on explosiveness, plus a 4-week program of swim training alone. Results: For the dry-land tests a time effect was observed between week 0 and week 6 for vertical jump (p<0.01) in both experimental groups, and for the GR2 ball throwing (p<0.01), with moderate-strong effect sizes. The time*group analyses showed that for performance in 50 m, differences were significant, with the GR2 presenting higher improvements than their counterparts (F=4.156; ƿ=0.007; η2=0.316) at week 10. Conclusions: The results suggest that 6 weeks of a complementary dry-land S&C training may lead to improvements in dry-land strength. Furthermore, a 4-week adaptation period was mandatory to achieve beneficial transfer for aquatic performance. Additional benefits may occur if coaches plan the dry-land S&C training focusing on explosiveness.

Nodule

Nodule is 19'54" musical work for two electronic music performers, two laptop computers and a custom built, sensor-based microphone controller - the e-Mic (Extended Mic-stand Interface Controller). This interface was developed by one of the co-authors, Donna Hewitt. The e-Mic allows a vocal performer to manipulate their voice in real time by capturing physical gestures via an array of sensors - pressure, distance, tilt – in addition to ribbon controllers and an X-Y joystick microphone mount. Performance data are then sent to a computer, running audio-processing software, which is used to transform the audio signal from the microphone in real time. The work seeks to explore the liminal space between the electro-acoustic music tradition and more recent developments in the electronic dance music tradition. It does so on both a performative (gestural) and compositional (sonic) level. Visually, the performance consists of a singer and a laptop performer, hybridising the gestural context of these traditions. On a sonic level, the work explores hybridity at deeper levels of the musical structure than simple bricolage or collage approaches. Hybridity is explored at the level of the sonic gesture (source material), in production (audio processing gestures), in performance gesture, and in approaches to the use of the frequency spectrum, pulse and meter. The work was designed to be performed in a range of contexts from concert halls, to clubs, to rock festivals, across a range of staging and production platforms. As a consequence, the work has been tested in a range of audience contexts, and has allowed the transportation of compositional and performance practices across traditional audience demographic boundaries.

Producing new Asian masculinities

An exploration of issues of Asian masculinity in white cultures, integrating film and literary analysis, autobiography and postcolonial theory.

The moment of exchange : risk, vulnerability, responsibility

Any cycle of production and exchange – be it economic, cultural or aesthetic – involves an element of risk. It involves uncertainty, unpredictability, and a potential for new insight and innovation (the boom) as well as blockages, crises and breakdown (the bust). In performance, the risks are plentiful – economic, political, social, physical and psychological. The risks people are willing to take depend on their position in the exchange (performer, producer, venue manager or spectator), and their aesthetic preferences. This paper considers the often uncertain, confronting or ‘risky’ moment of exchange between performer, spectator and culture in Live Art practices. Encompassing body art, autobiographical art, site-specific art and other sorts of performative intervention in the public sphere, Live Art eschews the artifice of theatre, breaking down barriers between art and life, artist and spectator, to speak back to the public sphere, and challenge assumptions about bodies, identities, memories, relationships and histories. In the process, Live Art frequently privileges an uncertain, confrontational or ‘risky’ mode of exchange between performer, spectator and culture, as a way of challenging power structures. This paper examines the moment of exchange in terms of risk, vulnerability, responsibility and ethics. Why the romance with ‘risky’ behaviours and exchanges? Who is really taking a risk? What risk? With whose permission (or lack thereof)? What potential does a ‘risky’ exchange hold to destabilise aesthetic, social or political norms? Where lies the fine line between subversive intervention in the public sphere and sheer self-indulgence? What are the social and ethical implications of a moment of exchange that puts bodies, beliefs or social boundaries at ‘risk’? In this paper, these questions are addressed with reference to historical and contemporary practices under the broadly defined banner of Live Art, from the early work of Abrovamic and Burden, through to contemporary Australian practitioners like Fiona McGregor.

Towards a definition of the performing AudioVisualist

The evolution of the laptop computer as a musical instrument in the 1990s provided a tool for empowering the solo musician and divergent approaches to the application of this technology in performance remain consistently debated.  The increasing ubiquity of digital media combined with the power of current generation notebook technology has provided the perfect platform to realise integrated audio-visual toolsets that respond to musical controllers and provide mixed-media results.  Despite emerging practitioners increasingly availing themselves to the musical affordances of this technology, theoretical discussion in the field ignores the various approaches a solo musician might take in developing integrated media works for performance.   In an increasingly crowded niche there is a clear compulsion to consider expanded modes of performance, yet lacking any formal framework these integrations can easily alienate an audience, distract from performance and lead to criticisms of novelty for novelty's sake. 

A comparison of the hazard perception ability of matched groups of healthy drivers aged 35 to 55, 65 to 74, and 75 to 84 years

We examined differences in response latencies obtained during a validated video-based hazard perception driving test between three healthy, community-dwelling groups: 22 mid-aged (35-55 years), 34 young-old (65-74 years), and 23 old-old (75-84 years) current drivers, matched for gender, education level, and vocabulary. We found no significant difference in performance between mid-aged and young-old groups, but the old-old group was significantly slower than the other two groups. The differences between the old-old group and the other groups combined were independently mediated by useful field of view (UFOV), contrast sensitivity, and simple reaction time measures. Given that hazard perception latency has been linked with increased crash risk, these results are consistent with the idea that increased crash risk in older adults could be a function of poorer hazard perception, though this decline does not appear to manifest until age 75+ in healthy drivers.

Improved GrabCut segmentation via GMM optimisation

Semi-automatic segmentation of still images has vast and varied practical applications. Recently, an approach "GrabCut" has managed to successfully build upon earlier approaches based on colour and gradient information in order to address the problem of efficient extraction of a foreground object in a complex environment. In this paper, we extend the GrabCut algorithm further by applying an unsupervised algorithm for modelling the Gaussian Mixtures that are used to define the foreground and background in the segmentation algorithm. We show examples where the optimisation of the GrabCut framework leads to further improvements in performance.

Improving automatic speaker verification using SVM techniques

Automatic recognition of people is an active field of research with important forensic and security applications. In these applications, it is not always possible for the subject to be in close proximity to the system. Voice represents a human behavioural trait which can be used to recognise people in such situations. Automatic Speaker Verification (ASV) is the process of verifying a persons identity through the analysis of their speech and enables recognition of a subject at a distance over a telephone channel { wired or wireless. A significant amount of research has focussed on the application of Gaussian mixture model (GMM) techniques to speaker verification systems providing state-of-the-art performance. GMM's are a type of generative classifier trained to model the probability distribution of the features used to represent a speaker. Recently introduced to the field of ASV research is the support vector machine (SVM). An SVM is a discriminative classifier requiring examples from both positive and negative classes to train a speaker model. The SVM is based on margin maximisation whereby a hyperplane attempts to separate classes in a high dimensional space. SVMs applied to the task of speaker verification have shown high potential, particularly when used to complement current GMM-based techniques in hybrid systems. This work aims to improve the performance of ASV systems using novel and innovative SVM-based techniques. Research was divided into three main themes: session variability compensation for SVMs; unsupervised model adaptation; and impostor dataset selection. The first theme investigated the differences between the GMM and SVM domains for the modelling of session variability | an aspect crucial for robust speaker verification. Techniques developed to improve the robustness of GMMbased classification were shown to bring about similar benefits to discriminative SVM classification through their integration in the hybrid GMM mean supervector SVM classifier. Further, the domains for the modelling of session variation were contrasted to find a number of common factors, however, the SVM-domain consistently provided marginally better session variation compensation. Minimal complementary information was found between the techniques due to the similarities in how they achieved their objectives. The second theme saw the proposal of a novel model for the purpose of session variation compensation in ASV systems. Continuous progressive model adaptation attempts to improve speaker models by retraining them after exploiting all encountered test utterances during normal use of the system. The introduction of the weight-based factor analysis model provided significant performance improvements of over 60% in an unsupervised scenario. SVM-based classification was then integrated into the progressive system providing further benefits in performance over the GMM counterpart. Analysis demonstrated that SVMs also hold several beneficial characteristics to the task of unsupervised model adaptation prompting further research in the area. In pursuing the final theme, an innovative background dataset selection technique was developed. This technique selects the most appropriate subset of examples from a large and diverse set of candidate impostor observations for use as the SVM background by exploiting the SVM training process. This selection was performed on a per-observation basis so as to overcome the shortcoming of the traditional heuristic-based approach to dataset selection. Results demonstrate the approach to provide performance improvements over both the use of the complete candidate dataset and the best heuristically-selected dataset whilst being only a fraction of the size. The refined dataset was also shown to generalise well to unseen corpora and be highly applicable to the selection of impostor cohorts required in alternate techniques for speaker verification.

Reading the play : adaptation by prediction of agent motion

An adaptive agent improves its performance by learning from experience. This paper describes an approach to adaptation based on modelling dynamic elements of the environment in order to make predictions of likely future state. This approach is akin to an elite sports player being able to “read the play”, allowing for decisions to be made based on predictions of likely future outcomes. Modelling of the agent‟s likely future state is performed using Markov Chains and a technique called “Motion and Occupancy Grids”. The experiments in this paper compare the performance of the planning system with and without the use of this predictive model. The results of the study demonstrate a surprising decrease in performance when using the predictions of agent occupancy. The results are derived from statistical analysis of the agent‟s performance in a high fidelity simulation of a world leading real robot soccer team.

Cascading appearance-based features for visual voice activity detection

The detection of voice activity is a challenging problem, especially when the level of acoustic noise is high. Most current approaches only utilise the audio signal, making them susceptible to acoustic noise. An obvious approach to overcome this is to use the visual modality. The current state-of-the-art visual feature extraction technique is one that uses a cascade of visual features (i.e. 2D-DCT, feature mean normalisation, interstep LDA). In this paper, we investigate the effectiveness of this technique for the task of visual voice activity detection (VAD), and analyse each stage of the cascade and quantify the relative improvement in performance gained by each successive stage. The experiments were conducted on the CUAVE database and our results highlight that the dynamics of the visual modality can be used to good effect to improve visual voice activity detection performance.

Accurate silhouettes for surveillance : improved motion segmentation using graph cuts

Silhouettes are common features used by many applications in computer vision. For many of these algorithms to perform optimally, accurately segmenting the objects of interest from the background to extract the silhouettes is essential. Motion segmentation is a popular technique to segment moving objects from the background, however such algorithms can be prone to poor segmentation, particularly in noisy or low contrast conditions. In this paper, the work of [3] combining motion detection with graph cuts, is extended into two novel implementations that aim to allow greater uncertainty in the output of the motion segmentation, providing a less restricted input to the graph cut algorithm. The proposed algorithms are evaluated on a portion of the ETISEO dataset using hand segmented ground truth data, and an improvement in performance over the motion segmentation alone and the baseline system of [3] is shown.

A hidden Markov model and relative entropy rate approach to vision-based dim target detection for UAV sense-and-avoid

Uninhabited aerial vehicles (UAVs) are a cutting-edge technology that is at the forefront of aviation/aerospace research and development worldwide. Many consider their current military and defence applications as just a token of their enormous potential. Unlocking and fully exploiting this potential will see UAVs in a multitude of civilian applications and routinely operating alongside piloted aircraft. The key to realising the full potential of UAVs lies in addressing a host of regulatory, public relation, and technological challenges never encountered be- fore. Aircraft collision avoidance is considered to be one of the most important issues to be addressed, given its safety critical nature. The collision avoidance problem can be roughly organised into three areas: 1) Sense; 2) Detect; and 3) Avoid. Sensing is concerned with obtaining accurate and reliable information about other aircraft in the air; detection involves identifying potential collision threats based on available information; avoidance deals with the formulation and execution of appropriate manoeuvres to maintain safe separation. This thesis tackles the detection aspect of collision avoidance, via the development of a target detection algorithm that is capable of real-time operation onboard a UAV platform. One of the key challenges of the detection problem is the need to provide early warning. This translates to detecting potential threats whilst they are still far away, when their presence is likely to be obscured and hidden by noise. Another important consideration is the choice of sensors to capture target information, which has implications for the design and practical implementation of the detection algorithm. The main contributions of the thesis are: 1) the proposal of a dim target detection algorithm combining image morphology and hidden Markov model (HMM) filtering approaches; 2) the novel use of relative entropy rate (RER) concepts for HMM filter design; 3) the characterisation of algorithm detection performance based on simulated data as well as real in-flight target image data; and 4) the demonstration of the proposed algorithm's capacity for real-time target detection. We also consider the extension of HMM filtering techniques and the application of RER concepts for target heading angle estimation. In this thesis we propose a computer-vision based detection solution, due to the commercial-off-the-shelf (COTS) availability of camera hardware and the hardware's relatively low cost, power, and size requirements. The proposed target detection algorithm adopts a two-stage processing paradigm that begins with an image enhancement pre-processing stage followed by a track-before-detect (TBD) temporal processing stage that has been shown to be effective in dim target detection. We compare the performance of two candidate morphological filters for the image pre-processing stage, and propose a multiple hidden Markov model (MHMM) filter for the TBD temporal processing stage. The role of the morphological pre-processing stage is to exploit the spatial features of potential collision threats, while the MHMM filter serves to exploit the temporal characteristics or dynamics. The problem of optimising our proposed MHMM filter has been examined in detail. Our investigation has produced a novel design process for the MHMM filter that exploits information theory and entropy related concepts. The filter design process is posed as a mini-max optimisation problem based on a joint RER cost criterion. We provide proof that this joint RER cost criterion provides a bound on the conditional mean estimate (CME) performance of our MHMM filter, and this in turn establishes a strong theoretical basis connecting our filter design process to filter performance. Through this connection we can intelligently compare and optimise candidate filter models at the design stage, rather than having to resort to time consuming Monte Carlo simulations to gauge the relative performance of candidate designs. Moreover, the underlying entropy concepts are not constrained to any particular model type. This suggests that the RER concepts established here may be generalised to provide a useful design criterion for multiple model filtering approaches outside the class of HMM filters. In this thesis we also evaluate the performance of our proposed target detection algorithm under realistic operation conditions, and give consideration to the practical deployment of the detection algorithm onboard a UAV platform. Two fixed-wing UAVs were engaged to recreate various collision-course scenarios to capture highly realistic vision (from an onboard camera perspective) of the moments leading up to a collision. Based on this collected data, our proposed detection approach was able to detect targets out to distances ranging from about 400m to 900m. These distances, (with some assumptions about closing speeds and aircraft trajectories) translate to an advanced warning ahead of impact that approaches the 12.5 second response time recommended for human pilots. Furthermore, readily available graphic processing unit (GPU) based hardware is exploited for its parallel computing capabilities to demonstrate the practical feasibility of the proposed target detection algorithm. A prototype hardware-in- the-loop system has been found to be capable of achieving data processing rates sufficient for real-time operation. There is also scope for further improvement in performance through code optimisations. Overall, our proposed image-based target detection algorithm offers UAVs a cost-effective real-time target detection capability that is a step forward in ad- dressing the collision avoidance issue that is currently one of the most significant obstacles preventing widespread civilian applications of uninhabited aircraft. We also highlight that the algorithm development process has led to the discovery of a powerful multiple HMM filtering approach and a novel RER-based multiple filter design process. The utility of our multiple HMM filtering approach and RER concepts, however, extend beyond the target detection problem. This is demonstrated by our application of HMM filters and RER concepts to a heading angle estimation problem.