Removing the ambiguity of data processing methods: Optimizing the location of peak boundaries for accurate moment calculations

The calculation of the first few moments of elution peaks is necessary to determine: the amount of component in the sample (peak area or zeroth moment), the retention factor (first moment), and the column efficiency (second moment). It is a time consuming and tedious task for the analyst to perform these calculations, thus data analysis is generally completed by data stations associated to modern chromatographs. However, data acquisition software is a black box which provides no information to chromatographers on how their data are treated. These results are too important to be accepted on blind faith. The location of the peak integration boundaries is most important. In this manuscript, we explore the relationships between the size of the integration area, the relative position of the peak maximum within this area, and the accuracy of the calculated moments. We found that relationships between these parameters do exist and that computers can be programmed with relatively simple routines to automatize the extraction of key peak parameters and to select acceptable integration boundaries. It was also found that the most accurate results are obtained when the S/N exceeds 200.

Recommendation techniques based on off-line data processing: a multifaceted survey

Recommendations based on off-line data processing has attracted increasing attention from both research communities and IT industries. The recommendation techniques could be used to explore huge volumes of data, identify the items that users probably like, and translate the research results into real-world applications, etc. This paper surveys the recent progress in the research of recommendations based on off-line data processing, with emphasis on new techniques (such as context-based recommendation, temporal recommendation), and new features (such as serendipitous recommendation). Finally, we outline some existing challenges for future research.

A survey of recommendation techniques based on offline data processing

Recommendations based on offline data processing has attracted increasing attention from both research communities and IT industries. The recommendation techniques could be used to explore huge volumes of data, identify the items that users probably like, translate the research results into real-world applications and so on. This paper surveys the recent progress in the research of recommendations based on offline data processing, with emphasis on new techniques (such as temporal recommendation, graph-based recommendation and trust-based recommendation), new features (such as serendipitous recommendation) and new research issues (such as tag recommendation and group recommendation). We also provide an extensive review of evaluation measurements, benchmark data sets and available open source tools. Finally, we outline some existing challenges for future research.

Testing the Markov property with ultra high frequency financial data

This paper develops a framework to test whether discrete-valued irregularly-spaced financial transactions data follow a subordinated Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Further, it turns out that, under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid-ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

A Common-feature approach for testing present-value restrictions with financial data

It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. The basis of this result is the use of rational expectations in forecasting future values of variables in the PVM. If this condition fails, the present-value equation will not be valid, since it will contain an additional term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs, we advise to split the restrictions implied by PV relationships into orthogonality conditions (or reduced rank restrictions) before additional tests on the value of parameters. We show that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and Urbain (2006) and in Athanasopoulos, Guillén, Issler and Vahid (2011) and also a polynomial serial-correlation common feature relationship as in Cubadda and Hecq (2001), which represent restrictions on dynamic models which allow several tests for the existence of PV relationships to be used. Because these relationships occur mostly with nancial data, we propose tests based on generalized method of moment (GMM) estimates, where it is straightforward to propose robust tests in the presence of heteroskedasticity. We also propose a robust Wald test developed to investigate the presence of reduced rank models. Their performance is evaluated in a Monte-Carlo exercise. Second, in the context of asset pricing, we propose applying a permanent-transitory (PT) decomposition based on Beveridge and Nelson (1981), which focus on extracting the long-run component of asset prices, a key concept in modern nancial theory as discussed in Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Nieuwerburgh, Lustig, Verdelhan (2010). Here again we can exploit the results developed in the common cycle literature to easily extract permament and transitory components under both long and also short-run restrictions. The techniques discussed herein are applied to long span annual data on long- and short-term interest rates and on price and dividend for the U.S. economy. In both applications we do not reject the existence of a common cyclical feature vector linking these two series. Extracting the long-run component shows the usefulness of our approach and highlights the presence of asset-pricing bubbles.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

CMS data processing workflows during an extended cosmic ray run

The CMS Collaboration conducted a month-long data taking exercise, the Cosmic Run At Four Tesla, during October-November 2008, with the goal of commissioning the experiment for extended operation. With all installed detector systems participating, CMS recorded 270 million cosmic ray events with the solenoid at a magnetic field strength of 3.8 T. This paper describes the data flow from the detector through the various online and offline computing systems, as well as the workflows used for recording the data, for aligning and calibrating the detector, and for analysis of the data. © 2010 IOP Publishing Ltd and SISSA.

The impact of adding SBAS data on GPS data processing in southeast of Brazil: Preliminary result

Nowadays, L1 SBAS signals can be used in a combined GPS+SBAS data processing. However, such situation restricts the studies over short baselines. Besides of increasing the satellite availability, SBAS satellites orbit configuration is different from that of GPS. In order to analyze how these characteristics can impact GPS positioning in the southeast area of Brazil, experiments involving GPS-only and combined GPS+SBAS data were performed. Solutions using single point and relative positioning were computed to show the impact over satellite geometry, positioning accuracy and short baseline ambiguity resolution. Results showed that the inclusion of SBAS satellites can improve the accuracy of positioning. Nevertheless, the bad quality of the data broadcasted by these satellites limits their usage. © Springer-Verlag Berlin Heidelberg 2012.

Latin America and Caribbean experiences in electronic statistical data processing

Includes bibliography

Preliminary draft of the sections of the CELADE 1980-83 proposal to UNFPA on subprogramme 6: documentation and data processing (INFOPAL, DOCPAL) (for discussion only; not to be quoted)

El Sub-Programa de Documentacion en Poblacion y Procesamiento de Datos del CELADE se compone de tres elementos que corresponden a los primeros objetivos inmediatos del mismo: el Sistema de Documentacion en Poblacion para America Latina (DOCPAL), el Banco de Datos y la Unidad de Procesamiento de Informacion. El presente documento describe los objetivos, antecedentes y justificacion de cada uno de estos tres nucleos, asi como las actividades contempladas para el periodo 1980-1983 y que fundamentan el presupuesto contenido en la solicitud de fondos al UNFPA