Leading edge forecasting techniques for exchange rate prediction

This paper describes how modern machine learning techniques can be used in conjunction with statistical methods to forecast short term movements in exchange rates, producing models suitable for use in trading. It compares the results achieved by two different techniques, and shows how they can be used in a complementary fashion. The paper draws on experience of both inter- and intra-day forecasting taken from earlier studies conducted by Logica and Chemical Bank Quantitative Research and Trading (QRT) group's experience in developing trading models.

Sharpening the edge of market driven intangibles and innovations

A review of the extant literature concludes that market-driven intangibles and innovations are increasingly considered to be the most critical firm-specific resources, but also finds a lack of elaboration of which types of these resources are most important. In this paper, we incorporate these observations into a conceptual model and link it to highly developed institutional settings for the model evaluation. From the point of view of firm revenue management, we can anticipate that performance advantages created through deployment of intellectual and relational capital in marketing and innovation are more likely to be superior. In essence, they constitute the integration of organisational intangibles both in cognitive and behavioural level to create an idiosyncratic combination for each firm. Our research findings show feasible paths for sharpening the edge of market-driven intangibles and innovations. We discuss the key results for research and practice.

From filters to features:Scale-space analysis of edge and blur coding in human vision

To make vision possible, the visual nervous system must represent the most informative features in the light pattern captured by the eye. Here we use Gaussian scale-space theory to derive a multiscale model for edge analysis and we test it in perceptual experiments. At all scales there are two stages of spatial filtering. An odd-symmetric, Gaussian first derivative filter provides the input to a Gaussian second derivative filter. Crucially, the output at each stage is half-wave rectified before feeding forward to the next. This creates nonlinear channels selectively responsive to one edge polarity while suppressing spurious or "phantom" edges. The two stages have properties analogous to simple and complex cells in the visual cortex. Edges are found as peaks in a scale-space response map that is the output of the second stage. The position and scale of the peak response identify the location and blur of the edge. The model predicts remarkably accurately our results on human perception of edge location and blur for a wide range of luminance profiles, including the surprising finding that blurred edges look sharper when their length is made shorter. The model enhances our understanding of early vision by integrating computational, physiological, and psychophysical approaches. © ARVO.

Mach edges: a critical test of the nonlinear 3rd derivative model for edge-detection

Feature detection is a crucial stage of visual processing. In previous feature-marking experiments we found that peaks in the 3rd derivative of the luminance profile can signify edges where there are no 1st derivative peaks nor 2nd derivative zero-crossings (Wallis and George 'Mach edges' (the edges of Mach bands) were nicely predicted by a new nonlinear model based on 3rd derivative filtering. As a critical test of the model, we now use a new class of stimuli, formed by adding a linear luminance ramp to the blurred triangle waves used previously. The ramp has no effect on the second or higher derivatives, but the nonlinear model predicts a shift from seeing two edges to seeing only one edge as the added ramp gradient increases. In experiment 1, subjects judged whether one or two edges were visible on each trial. In experiment 2, subjects used a cursor to mark perceived edges and bars. The position and polarity of the marked edges were close to model predictions. Both experiments produced the predicted shift from two to one Mach edge, but the shift was less complete than predicted. We conclude that the model is a useful predictor of edge perception, but needs some modification.