Rebuilding the limit order book: Sequential Bayesian inference on hidden states

The limit order book of an exchange represents an information store of market participants' future aims and for many traders the information held in this store is of interest. However, information loss occurs between orders being entered into the exchange and limit order book data being sent out. We present an online algorithm which carries out Bayesian inference to replace information lost at the level of the exchange server and apply our proof of concept algorithm to real historical data from some of the world's most liquid futures contracts as traded on CME GLOBEX, EUREX and NYSE Liffe exchanges. © 2013 © 2013 Taylor & Francis.

Automatic construction and natural-language description of nonparametric regression models

Copyright © 2014, Association for the Advancement of Artificial Intelligence (www.aaai.org). All rights reserved. This paper presents the beginnings of an automatic statistician, focusing on regression problems. Our system explores an open-ended space of statistical models to discover a good explanation of a data set, and then produces a detailed report with figures and natural- language text. Our approach treats unknown regression functions non- parametrically using Gaussian processes, which has two important consequences. First, Gaussian processes can model functions in terms of high-level properties (e.g. smoothness, trends, periodicity, changepoints). Taken together with the compositional structure of our language of models this allows us to automatically describe functions in simple terms. Second, the use of flexible nonparametric models and a rich language for composing them in an open-ended manner also results in state- of-the-art extrapolation performance evaluated over 13 real time series data sets from various domains.

Utility of ITS1-5.8S-ITS2 sequences for species discrimination and phylogenetic inference of two closely related bucephalid digeneans (Digenea : Bucephalidae): Dollfustrema vaneyi and Dollfustrema hefeiensis

The complete internal transcribed spacer 1 (ITS1), 5.8S ribosomal DNA, and ITS2 region of the ribosomal DNA from 60 specimens belonging to two closely related bucephalid digeneans (Dollfustrema vaneyi and Dollfustrema hefeiensis) from different localities, hosts, and microhabitat sites were cloned to examine the level of sequence variation and the taxonomic levels to show utility in species identification and phylogeny estimation. Our data show that these molecular markers can help to discriminate the two species, which are morphologically very close and difficult to separate by classical methods. We found 21 haplotypes defined by 44 polymorphic positions in 38 individuals of D. vaneyi, and 16 haplotypes defined by 43 polymorphic positions in 22 individuals of D. hefeiensis. There is no shared haplotypes between the two species. Haplotype rather than nucleotide diversity is similar between the two species. Phylogenetic analyses reveal two robustly supported clades, one corresponding to D. vaneyi and the other corresponding to D. hefeiensis. However, the population structures between the two species seem to be incongruent and show no geographic and host-specific structure among them, further indicating that the two species may have had a more complex evolutionary history than expected.

Semantic transform: Weakly supervised semantic inference for relating visual attributes

Relative (comparative) attributes are promising for thematic ranking of visual entities, which also aids in recognition tasks. However, attribute rank learning often requires a substantial amount of relational supervision, which is highly tedious, and apparently impractical for real-world applications. In this paper, we introduce the Semantic Transform, which under minimal supervision, adaptively finds a semantic feature space along with a class ordering that is related in the best possible way. Such a semantic space is found for every attribute category. To relate the classes under weak supervision, the class ordering needs to be refined according to a cost function in an iterative procedure. This problem is ideally NP-hard, and we thus propose a constrained search tree formulation for the same. Driven by the adaptive semantic feature space representation, our model achieves the best results to date for all of the tasks of relative, absolute and zero-shot classification on two popular datasets. © 2013 IEEE.

Bayesian inference and learning in Gaussian process state-space models with Particle MCMC

State-space models are successfully used in many areas of science, engineering and economics to model time series and dynamical systems. We present a fully Bayesian approach to inference and learning (i.e. state estimation and system identification) in nonlinear nonparametric state-space models. We place a Gaussian process prior over the state transition dynamics, resulting in a flexible model able to capture complex dynamical phenomena. To enable efficient inference, we marginalize over the transition dynamics function and, instead, infer directly the joint smoothing distribution using specially tailored Particle Markov Chain Monte Carlo samplers. Once a sample from the smoothing distribution is computed, the state transition predictive distribution can be formulated analytically. Our approach preserves the full nonparametric expressivity of the model and can make use of sparse Gaussian processes to greatly reduce computational complexity.

An Automatic Classification Method of Metabolic Cycle Based on Biomimetic Pattern Recognition

Correct classification of different metabolic cycle stages to identification cell cycle is significant in both human development and clinical diagnostics. However, it has no perfect method has been reached in classification of metabolic cycle yet. This paper exploringly puts forward an automatic classification method of metabolic cycle based on Biomimetic pattern recognition (BPR). As to the three phases of yeast metabolic cycle, the correct classification rate reaches 90%, 100% and 100% respectively.

An ambient proof and wide tuning range LC VCO with automatic amplitude control for tuner applications

This paper represents a LC VCO with AAC (Auto Amplitude Control), in which PMOS FETs are used as active components, and the varactors are directly connected to ground to widen Kvco linear range. The AAC circuitry adds little noise to the VCO and provides it with robust performance over a wide temperature and carrier frequency range. The VCO is fabricated in 50-GHz 0.35-mu m SiGe BiCMOS process. The measurement results show that it has -127.27-dBc/Hz phase noise at 1-MHz offset and a linear gain of 32.4-MHz/V between 990-MHz and 1.14-GHz. The whole circuit draws 6.6-mA current from 5.0-V supply.

automatic construction of finite algebras

This paper deals withmodel generation for equational theories, i.e., automatically generating (finite) models of a given set of (logical) equations. Our method of finite model generation and a tool for automatic construction of finite algebras is described. Some examples are given to show the applications of our program. We argue that, the combination of model generators and theorem provers enables us to get a better understanding of logical theories. A brief comparison between our tool and other similar tools is also presented.

An automatic step adjustment method for average power analysis technique used in fiber amplifiers

An automatic step adjustment (ASA) method for average power analysis (APA) technique used in fiber amplifiers is proposed in this paper for the first time. In comparison with the traditional APA technique, the proposed method has suggested two unique merits such as a higher order accuracy and an ASA mechanism, so that it can significantly shorten the computing time and improve the solution accuracy. A test example demonstrates that, by comparing to the APA technique, the proposed method increases the computing speed by more than a hundredfold under the same errors. By computing the model equations of erbium-doped fiber amplifiers, the numerical results show that our method can improve the solution accuracy by over two orders of magnitude at the same amplifying section number. The proposed method has the capacity to rapidly and effectively compute the model equations of fiber Raman amplifiers and semiconductor lasers. (c) 2006 Optical Society of America