A Study of Stock Market Fluctuations and their Relations to Business Conditions

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubble-like deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the non-fundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

Cascade artificial neural networks technique for solving ellipsometry problems

Ellipsometry is a well known optical technique used for the characterization of reflective surfaces in study and films between two media. It is based on measuring the change in the state of polarization that occurs as a beam of polarized light is reflected from or transmitted through the film. Measuring this change can be used to calculate parameters of a single layer film such as the thickness and the refractive index. However, extracting these parameters of interest requires significant numerical processing due to the noninvertible equations. Typically, this is done using least squares solving methods which are slow and adversely affected by local minima in the solvable surface. This thesis describes the development and implementation of a new technique using only Artificial Neural Networks (ANN) to calculate thin film parameters. The new method offers a speed in the orders of magnitude faster than preceding methods and convergence to local minima is completely eliminated.

Predicting delay reductions from freeway traffic diversion for incident management

Traffic incidents are a major source of traffic congestion on freeways. Freeway traffic diversion using pre-planned alternate routes has been used as a strategy to reduce traffic delays due to major traffic incidents. However, it is not always beneficial to divert traffic when an incident occurs. Route diversion may adversely impact traffic on the alternate routes and may not result in an overall benefit. This dissertation research attempts to apply Artificial Neural Network (ANN) and Support Vector Regression (SVR) techniques to predict the percent of delay reduction from route diversion to help determine whether traffic should be diverted under given conditions. The DYNASMART-P mesoscopic traffic simulation model was applied to generate simulated data that were used to develop the ANN and SVR models. A sample network that comes with the DYNASMART-P package was used as the base simulation network. A combination of different levels of incident duration, capacity lost, percent of drivers diverted, VMS (variable message sign) messaging duration, and network congestion was simulated to represent different incident scenarios. The resulting percent of delay reduction, average speed, and queue length from each scenario were extracted from the simulation output. The ANN and SVR models were then calibrated for percent of delay reduction as a function of all of the simulated input and output variables. The results show that both the calibrated ANN and SVR models, when applied to the same location used to generate the calibration data, were able to predict delay reduction with a relatively high accuracy in terms of mean square error (MSE) and regression correlation. It was also found that the performance of the ANN model was superior to that of the SVR model. Likewise, when the models were applied to a new location, only the ANN model could produce comparatively good delay reduction predictions under high network congestion level.

Hardware Implementation of a Fault-Tolerant Hopfield Neural Network on FPGAs

This letter presents an FPGA implementation of a fault-tolerant Hopfield NeuralNetwork (HNN). The robustness of this circuit against Single Event Upsets (SEUs) and Single Event Transients (SETs) has been evaluated. Results show the fault tolerance of the proposed design, compared to a previous non fault- tolerant implementation and a solution based on triple modular redundancy (TMR) of a standard HNN design.

Uncertain natural frequency analysis of composite plates including effect of noise – A polynomial neural network approach

Acknowledgement SN and SS gratefully acknowledge the financial support from Lloyd’s Register Foundation Centre during this work.

Artificial neural networks approach to predict principal ground motion parameters for quick post-earthquake damage assessment of bridges

Peer reviewed

Neural Network Evidence for the Coupling of Presaccadic Visual Remapping to Predictive Eye Position Updating.

As we look around a scene, we perceive it as continuous and stable even though each saccadic eye movement changes the visual input to the retinas. How the brain achieves this perceptual stabilization is unknown, but a major hypothesis is that it relies on presaccadic remapping, a process in which neurons shift their visual sensitivity to a new location in the scene just before each saccade. This hypothesis is difficult to test in vivo because complete, selective inactivation of remapping is currently intractable. We tested it in silico with a hierarchical, sheet-based neural network model of the visual and oculomotor system. The model generated saccadic commands to move a video camera abruptly. Visual input from the camera and internal copies of the saccadic movement commands, or corollary discharge, converged at a map-level simulation of the frontal eye field (FEF), a primate brain area known to receive such inputs. FEF output was combined with eye position signals to yield a suitable coordinate frame for guiding arm movements of a robot. Our operational definition of perceptual stability was "useful stability," quantified as continuously accurate pointing to a visual object despite camera saccades. During training, the emergence of useful stability was correlated tightly with the emergence of presaccadic remapping in the FEF. Remapping depended on corollary discharge but its timing was synchronized to the updating of eye position. When coupled to predictive eye position signals, remapping served to stabilize the target representation for continuously accurate pointing. Graded inactivations of pathways in the model replicated, and helped to interpret, previous in vivo experiments. The results support the hypothesis that visual stability requires presaccadic remapping, provide explanations for the function and timing of remapping, and offer testable hypotheses for in vivo studies. We conclude that remapping allows for seamless coordinate frame transformations and quick actions despite visual afferent lags. With visual remapping in place for behavior, it may be exploited for perceptual continuity.

Joint Power Amplifiers and I/Q Modulator Impairments Modelling and Compensation for LTE Transmitters Using Artificial Neural Networks

This work introduces joint power amplifier (PA) and I/Q modulator modelling and compensation for LongTerm Evolution (LTE) transmitters using artificial neural networks (ANNs). The proposed solution util-izes a powerful nonlinear autoregressive with exogenous inputs (NARX) ANN architecture, which yieldsnoticeable results for high peak to average power ratio (PAPR) LTE signals. Given the ANNs learning capa-bilities, this one-step solution, which includes the mitigation of both PA nonlinearity and I/Q modulatorimpairments, is both accurate and adaptable

Performance Evaluation of a Statistical and a Neural Network Model for Nonrigid Shape-Based Registration

Shape-based registration methods frequently encounters in the domains of computer vision, image processing and medical imaging. The registration problem is to find an optimal transformation/mapping between sets of rigid or nonrigid objects and to automatically solve for correspondences. In this paper we present a comparison of two different probabilistic methods, the entropy and the growing neural gas network (GNG), as general feature-based registration algorithms. Using entropy shape modelling is performed by connecting the point sets with the highest probability of curvature information, while with GNG the points sets are connected using nearest-neighbour relationships derived from competitive hebbian learning. In order to compare performances we use different levels of shape deformation starting with a simple shape 2D MRI brain ventricles and moving to more complicated shapes like hands. Results both quantitatively and qualitatively are given for both sets.

A spiking neural network implementation of sound localisation

The focus of this paper is the implementation of a spiking neural network to achieve sound localization; the model is based on the influential short paper by Jeffress in 1948. The SNN has a two-layer topology which can accommodate a limited number of angles in the azimuthal plane. The model accommodates multiple inter-neuron connections with associated delays, and a supervised STDP algorithm is applied to select the optimal pathway for sound localization. Also an analysis of previous relevant work in the area of auditory modelling supports this research.

Bumps, breathers, and waves in a neural network with spike frequency adaptation

In this Letter we introduce a continuum model of neural tissue that include the effects of so-called spike frequency adaptation (SFA). The basic model is an integral equation for synaptic activity that depends upon the non-local network connectivity, synaptic response, and firing rate of a single neuron. A phenomenological model of SFA is examined whereby the firing rate is taken to be a simple state-dependent threshold function. As in the case without SFA classical Mexican-Hat connectivity is shown to allow for the existence of spatially localized states (bumps). Importantly an analysis of bump stability using recent Evans function techniques shows that bumps may undergo instabilities leading to the emergence of both breathers and traveling waves. Moreover, a similar analysis for traveling pulses leads to the conditions necessary to observe a stable traveling breather. Direct numerical simulations both confirm our theoretical predictions and illustrate the rich dynamic behavior of this model, including the appearance of self-replicating bumps.

Applied web traffic analysis for numerical encoding of SQL Injection attack features.

SQL Injection Attack (SQLIA) remains a technique used by a computer network intruder to pilfer an organisation’s confidential data. This is done by an intruder re-crafting web form’s input and query strings used in web requests with malicious intent to compromise the security of an organisation’s confidential data stored at the back-end database. The database is the most valuable data source, and thus, intruders are unrelenting in constantly evolving new techniques to bypass the signature’s solutions currently provided in Web Application Firewalls (WAF) to mitigate SQLIA. There is therefore a need for an automated scalable methodology in the pre-processing of SQLIA features fit for a supervised learning model. However, obtaining a ready-made scalable dataset that is feature engineered with numerical attributes dataset items to train Artificial Neural Network (ANN) and Machine Leaning (ML) models is a known issue in applying artificial intelligence to effectively address ever evolving novel SQLIA signatures. This proposed approach applies numerical attributes encoding ontology to encode features (both legitimate web requests and SQLIA) to numerical data items as to extract scalable dataset for input to a supervised learning model in moving towards a ML SQLIA detection and prevention model. In numerical attributes encoding of features, the proposed model explores a hybrid of static and dynamic pattern matching by implementing a Non-Deterministic Finite Automaton (NFA). This combined with proxy and SQL parser Application Programming Interface (API) to intercept and parse web requests in transition to the back-end database. In developing a solution to address SQLIA, this model allows processed web requests at the proxy deemed to contain injected query string to be excluded from reaching the target back-end database. This paper is intended for evaluating the performance metrics of a dataset obtained by numerical encoding of features ontology in Microsoft Azure Machine Learning (MAML) studio using Two-Class Support Vector Machines (TCSVM) binary classifier. This methodology then forms the subject of the empirical evaluation.

The importance of different timings of excitatory and inhibitory pathways in neural field models

In this paper we consider a neural field model comprised of two distinct populations of neurons, excitatory and inhibitory, for which both the velocities of action potential propagation and the time courses of synaptic processing are different. Using recently-developed techniques we construct the Evans function characterising the stability of both stationary and travelling wave solutions, under the assumption that the firing rate function is the Heaviside step. We find that these differences in timing for the two populations can cause instabilities of these solutions, leading to, for example, stationary breathers. We also analyse $quot;anti-pulses,$quot; a novel type of pattern for which all but a small interval of the domain (in moving coordinates) is active. These results extend previous work on neural fields with space dependent delays, and demonstrate the importance of considering the effects of the different time-courses of excitatory and inhibitory neural activity.