Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

Towards Grid-Wide Modeling and Simulation

Modeling and simulation permeate all areas of business, science and engineering. With the increase in the scale and complexity of simulations, large amounts of computational resources are required, and collaborative model development is needed, as multiple parties could be involved in the development process. The Grid provides a platform for coordinated resource sharing and application development and execution. In this paper, we survey existing technologies in modeling and simulation, and we focus on interoperability and composability of simulation components for both simulation development and execution. We also present our recent work on an HLA-based simulation framework on the Grid, and discuss the issues to achieve composability.

Modeling and Classifying Breast Tissue Density in Mammograms

We present a new approach to model and classify breast parenchymal tissue. Given a mammogram, first, we will discover the distribution of the different tissue densities in an unsupervised manner, and second, we will use this tissue distribution to perform the classification. We achieve this using a classifier based on local descriptors and probabilistic Latent Semantic Analysis (pLSA), a generative model from the statistical text literature. We studied the influence of different descriptors like texture and SIFT features at the classification stage showing that textons outperform SIFT in all cases. Moreover we demonstrate that pLSA automatically extracts meaningful latent aspects generating a compact tissue representation based on their densities, useful for discriminating on mammogram classification. We show the results of tissue classification over the MIAS and DDSM datasets. We compare our method with approaches that classified these same datasets showing a better performance of our proposal

Experimental Modeling and Control Strategies on an Open Mobile Robot Platform PRIM

This research work deals with the problem of modeling and design of low level speed controller for the mobile robot PRIM. The main objective is to develop an effective educational tool. On one hand, the interests in using the open mobile platform PRIM consist in integrating several highly related subjects to the automatic control theory in an educational context, by embracing the subjects of communications, signal processing, sensor fusion and hardware design, amongst others. On the other hand, the idea is to implement useful navigation strategies such that the robot can be served as a mobile multimedia information point. It is in this context, when navigation strategies are oriented to goal achievement, that a local model predictive control is attained. Hence, such studies are presented as a very interesting control strategy in order to develop the future capabilities of the system

Availability analysis of GMPLS connections based on physical network topology

This paper presents a study of connection availability in GMPLS over optical transport networks (OTN) taking into account different network topologies. Two basic path protection schemes are considered and compared with the no protection case. The selected topologies are heterogeneous in geographic coverage, network diameter, link lengths, and average node degree. Connection availability is also computed considering the reliability data of physical components and a well-known network availability model. Results show several correspondences between suitable path protection algorithms and several network topology characteristics

Modeling of hybrid systems by piecewise decomposition

Piecewise linear models systems arise as mathematical models of systems in many practical applications, often from linearization for nonlinear systems. There are two main approaches of dealing with these systems according to their continuous or discrete-time aspects. We propose an approach which is based on the state transformation, more particularly the partition of the phase portrait in different regions where each subregion is modeled as a two-dimensional linear time invariant system. Then the Takagi-Sugeno model, which is a combination of local model is calculated. The simulation results show that the Alpha partition is well-suited for dealing with such a system

Shape complexity based on mutual information

Shape complexity has recently received attention from different fields, such as computer vision and psychology. In this paper, integral geometry and information theory tools are applied to quantify the shape complexity from two different perspectives: from the inside of the object, we evaluate its degree of structure or correlation between its surfaces (inner complexity), and from the outside, we compute its degree of interaction with the circumscribing sphere (outer complexity). Our shape complexity measures are based on the following two facts: uniformly distributed global lines crossing an object define a continuous information channel and the continuous mutual information of this channel is independent of the object discretisation and invariant to translations, rotations, and changes of scale. The measures introduced in this paper can be potentially used as shape descriptors for object recognition, image retrieval, object localisation, tumour analysis, and protein docking, among others

Integrated management of urban wastewater systems: a model-based approach

The main objective pursued in this thesis targets the development and systematization of a methodology that allows addressing management problems in the dynamic operation of Urban Wastewater Systems. The proposed methodology will suggest operational strategies that can improve the overall performance of the system under certain problematic situations through a model-based approach. The proposed methodology has three main steps: The first step includes the characterization and modeling of the case-study, the definition of scenarios, the evaluation criteria and the operational settings that can be manipulated to improve the system’s performance. In the second step, Monte Carlo simulations are launched to evaluate how the system performs for a wide range of operational settings combinations, and a global sensitivity analysis is conducted to rank the most influential operational settings. Finally, the third step consists on a screening methodology applying a multi-criteria analysis to select the best combinations of operational settings.

Atmospheric downwelling longwave radiation at the surface during cloudless and overcast conditions. Measurements and modeling

Atmospheric downwelling longwave radiation is an important component of the terrestrial energy budget; since it is strongly related with the greenhouse effect, it remarkably affects the climate. In this study, I evaluate the estimation of the downwelling longwave irradiance at the terrestrial surface for cloudless and overcast conditions using a one-dimensional radiative transfer model (RTM), specifically the Santa Barbara DISORT Atmospheric Radiative Transfer (SBDART). The calculations performed by using this model were compared with pyrgeometer measurements at three different European places: Girona (NE of the Iberian Peninsula), Payerne (in the East of Switzerland), and Heselbach (in the Black Forest, Germany). Several studies of sensitivity based on the radiative transfer model have shown that special attention on the input of temperature and water content profiles must be held for cloudless sky conditions; for overcast conditions, similar sensitivity studies have shown that, besides the atmospheric profiles, the cloud base height is very relevant, at least for optically thick clouds. Also, the estimation of DLR in places where radiosoundings are not available is explored, either by using the atmospheric profiles spatially interpolated from the gridded analysis data provided by European Centre of Medium-Range Weather Forecast (ECMWF), or by applying a real radiosounding of a nearby site. Calculations have been compared with measurements at all sites. During cloudless sky conditions, when radiosoundings were available, calculations show differences with measurements of -2.7 ± 3.4 Wm-2 (Payerne). While no in situ radiosoundings are available, differences between modeling and measurements were about 0.3 ± 9.4 Wm-2 (Girona). During overcast sky conditions, when in situ radiosoundings and cloud properties (derived from an algorithm that uses spectral infrared and microwave ground based measurements) were available (Black Forest), calculations show differences with measurements of -0.28 ± 2.52 Wm2. When using atmospheric profiles from the ECMWF and fixed values of liquid water path and droplet effective radius (Girona) calculations show differences with measurements of 4.0 ± 2.5 Wm2. For all analyzed sky conditions, it has been confirmed that estimations from radiative transfer modeling are remarkably better than those obtained by simple parameterizations of atmospheric emissivity.

Improvements in the ray tracing of implicit surfaces based on interval arithmetic

Las superfícies implícitas son útiles en muchas áreasde los gráficos por ordenador. Una de sus principales ventajas es que pueden ser fácilmente usadas como primitivas para modelado. Aun asi, no son muy usadas porque su visualización toma bastante tiempo. Cuando se necesita una visualización precisa, la mejor opción es usar trazado de rayos. Sin embargo, pequeñas partes de las superficies desaparecen durante la visualización. Esto ocurre por la truncación que se presenta en la representación en punto flotante de los ordenadores; algunos bits se puerden durante las operaciones matemáticas en los algoritmos de intersección. En este tesis se presentan algoritmos para solucionar esos problemas. La investigación se basa en el uso del Análisis Intervalar Modal el cual incluye herramientas para resolver problemas con incertidumbe cuantificada. En esta tesis se proporcionan los fundamentos matemáticos necesarios para el desarrollo de estos algoritmos.

Implementation and application of basis set superposition error-correction schemes to the theoretical modeling of weak intermolecular interactions

This thesis deals with the so-called Basis Set Superposition Error (BSSE) from both a methodological and a practical point of view. The purpose of the present thesis is twofold: (a) to contribute step ahead in the correct characterization of weakly bound complexes and, (b) to shed light the understanding of the actual implications of the basis set extension effects in the ab intio calculations and contribute to the BSSE debate. The existing BSSE-correction procedures are deeply analyzed, compared, validated and, if necessary, improved. A new interpretation of the counterpoise (CP) method is used in order to define counterpoise-corrected descriptions of the molecular complexes. This novel point of view allows for a study of the BSSE-effects not only in the interaction energy but also on the potential energy surface and, in general, in any property derived from the molecular energy and its derivatives A program has been developed for the calculation of CP-corrected geometry optimizations and vibrational frequencies, also using several counterpoise schemes for the case of molecular clusters. The method has also been implemented in Gaussian98 revA10 package. The Chemical Hamiltonian Approach (CHA) methodology has been also implemented at the RHF and UHF levels of theory for an arbitrary number interacting systems using an algorithm based on block-diagonal matrices. Along with the methodological development, the effects of the BSSE on the properties of molecular complexes have been discussed in detail. The CP and CHA methodologies are used for the determination of BSSE-corrected molecular complexes properties related to the Potential Energy Surfaces and molecular wavefunction, respectively. First, the behaviour of both BSSE-correction schemes are systematically compared at different levels of theory and basis sets for a number of hydrogen-bonded complexes. The Complete Basis Set (CBS) limit of both uncorrected and CP-corrected molecular properties like stabilization energies and intermolecular distances has also been determined, showing the capital importance of the BSSE correction. Several controversial topics of the BSSE correction are addressed as well. The application of the counterpoise method is applied to internal rotational barriers. The importance of the nuclear relaxation term is also pointed out. The viability of the CP method for dealing with charged complexes and the BSSE effects on the double-well PES blue-shifted hydrogen bonds is also studied in detail. In the case of the molecular clusters the effect of high-order BSSE effects introduced with the hierarchical counterpoise scheme is also determined. The effect of the BSSE on the electron density-related properties is also addressed. The first-order electron density obtained with the CHA/F and CHA/DFT methodologies was used to assess, both graphically and numerically, the redistribution of the charge density upon BSSE-correction. Several tools like the Atoms in Molecules topologycal analysis, density difference maps, Quantum Molecular Similarity, and Chemical Energy Component Analysis were used to deeply analyze, for the first time, the BSSE effects on the electron density of several hydrogen bonded complexes of increasing size. The indirect effect of the BSSE on intermolecular perturbation theory results is also pointed out It is shown that for a BSSE-free SAPT study of hydrogen fluoride clusters, the use of a counterpoise-corrected PES is essential in order to determine the proper molecular geometry to perform the SAPT analysis.

Catadioptric stereo based on structured light projection

La percepció per visió es millorada quan es pot gaudir d'un camp de visió ampli. Aquesta tesi es concentra en la percepció visual de la profunditat amb l'ajuda de càmeres omnidireccionals. La percepció 3D s'obté generalment en la visió per computadora utilitzant configuracions estèreo amb el desavantatge del cost computacional elevat a l'hora de buscar els elements visuals comuns entre les imatges. La solució que ofereix aquesta tesi és l'ús de la llum estructurada per resoldre el problema de relacionar les correspondències. S'ha realitzat un estudi sobre els sistemes de visió omnidireccional. S'han avaluat vàries configuracions estèreo i s'ha escollit la millor. Els paràmetres del model són difícils de mesurar directament i, en conseqüència, s'ha desenvolupat una sèrie de mètodes de calibració. Els resultats obtinguts són prometedors i demostren que el sensor pot ésser utilitzat en aplicacions per a la percepció de la profunditat com serien el modelatge de l'escena, la inspecció de canonades, navegació de robots, etc.

Modeling Habitat Associations for the Common Loon (Gavia immer) at Multiple Scales in Northeastern North America

Common Loon (Gavia immer) is considered an emblematic and ecologically important example of aquatic-dependent wildlife in North America. The northern breeding range of Common Loon has contracted over the last century as a result of habitat degradation from human disturbance and lakeshore development. We focused on the state of New Hampshire, USA, where a long-term monitoring program conducted by the Loon Preservation Committee has been collecting biological data on Common Loon since 1976. The Common Loon population in New Hampshire is distributed throughout the state across a wide range of lake-specific habitats, water quality conditions, and levels of human disturbance. We used a multiscale approach to evaluate the association of Common Loon and breeding habitat within three natural physiographic ecoregions of New Hampshire. These multiple scales reflect Common Loon-specific extents such as territories, home ranges, and lake-landscape influences. We developed ecoregional multiscale models and compared them to single-scale models to evaluate model performance in distinguishing Common Loon breeding habitat. Based on information-theoretic criteria, there is empirical support for both multiscale and single-scale models across all three ecoregions, warranting a model-averaging approach. Our results suggest that the Common Loon responds to both ecological and anthropogenic factors at multiple scales when selecting breeding sites. These multiscale models can be used to identify and prioritize the conservation of preferred nesting habitat for Common Loon populations.

The use of computer-based learning tools for teaching and clinical purposes: Interactive computing strategy for Iraq

Medical universities and teaching hospitals in Iraq are facing a lack of professional staff due to the ongoing violence that forces them to flee the country. The professionals are now distributed outside the country which reduces the chances for the staff and students to be physically in one place to continue the teaching and limits the efficiency of the consultations in hospitals. A survey was done among students and professional staff in Iraq to find the problems in the learning and clinical systems and how Information and Communication Technology could improve it. The survey has shown that 86% of the participants use the Internet as a learning resource and 25% for clinical purposes while less than 11% of them uses it for collaboration between different institutions. A web-based collaborative tool is proposed to improve the teaching and clinical system. The tool helps the users to collaborate remotely to increase the quality of the learning system as well as it can be used for remote medical consultation in hospitals.

The impact of deformation strain on the formation of banded clouds in idealized modeling experiments

Experiments are performed using an idealized version of an operational forecast model to determine the impact on banded frontal clouds of the strength of deformational forcing, low-level baroclinicity, and model representation of convection. Line convection is initiated along the front, and slantwise bands extend from the top of the line-convection elements into the cold air. This banding is attributed primarily to M adjustment. The cross-frontal spreading of the cold pool generated by the line convection leads to further triggering of upright convection in the cold air that feeds into these slantwise bands. Secondary low-level bands form later in the simulations; these are attributed to the release of conditional symmetric instability. Enhanced deformation strain leads to earlier onset of convection and more coherent line convection. A stronger cold pool is generated, but its speed is reduced relative to that seen in experiments with weaker deformational strain, because of inhibition by the strain field. Enhanced low-level baroclinicity leads to the generation of more inertial instability by line convection (for a given capping height of convection), and consequently greater strength of the slantwise circulations formed by M adjustment. These conclusions are based on experiments without a convective-parametrization scheme. Experiments using the standard or a modified scheme for this model demonstrate known problems with the use of this scheme at the awkward 4 km grid length used in these simulations. Copyright © 2008 Royal Meteorological Society