Momentum profits in alternative stock market structures

The aim of this study is to examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the London stock market has employed three different trading systems: a floor based system, a computerized dealer system called SEAQ and the automated auction system SETS. Since each new trading system has reduced the level of execution costs, one might expect, a priori, the magnitude of momentum profits to decline with each amendment to the trading system. However, the opposite empirical result is found showing that shares trading on the automated system generate higher momentum profits than those trading on the floor system and companies trading on the SETS system display greater momentum profitability than those trading on SEAQ. Our empirical results concur with the theoretical findings of the trader’s hesitation model of Du [Du, J., 2002. Heterogeneity in investor confidence and asset market under- and overreaction. Working paper] and the empirical findings of Arena et al. [Arena, M., Haggard, S., Yan, X., Price momentum and idiosyncratic volatility. Financial Review, in press].

The microstructure of the Irish stock market

This is the first paper to examine the microstructure of the Irish Stock Market empirically and is motivated by the adoption, on June 7th of Xetra the modern pan European auction trading system. Prior to this the exchange utilized an antiquated floor based system. This change was an important event for the market as a rich literature exists to suggest that the trading system exerts a strong influence over the behavior of security returns. We apply the ICSS algorithm of Inclan and Tiao (1994) to discover whether the change to the trading system caused a shift in unconditional volatility at the time Xetra was introduced. Because the trading mechanism can influence volatility in a number of ways we also estimate the partial adjustment coefficients of the Amihud and Mendelson (1987) model prior and subsequent to the introduction of Xetra. Although we find no evidence of volatility changes associated with the introduction of Xetra we do find evidence of an increase in the speed of adjustment (JEL: G15).

Knowledge management in a New Zealand tree farming company:Ambiguity and resistance to the "technology solution"

Purpose - Managers at the company attempt to implement a knowledge management information system in an attempt to avoid loss of expertise while improving control and efficiency. The paper seeks to explore the implications of the technological solution to employees within the company. Design/methodology/approach - The paper reports qualitative research conducted in a single organization. Evidence is presented in the form of interview extracts. Findings - The case section of the paper presents the accounts of organizational participants. The accounts reveal the workers' reactions to the technology-based system and something of their strategies of resistance to the system. These accounts also provide glimpses of the identity construction engaged in by these knowledge workers. The setting for the research is in a knowledge-intensive primary industry. Research was conducted through observation and interviews. Research limitations/implications - The issues identified are explored in a single case-study setting. Future research could look at the relevance of the findings to other settings. Practical implications - The case evidence presented indicates some of the complexity of implementation of information systems in organizations. This could certainly be seen as more evidence of the uncertainty associated with organizational change and of the need for managers not to expect an easy adoption of intrusive IT solutions. Originality/value - This paper adds empirical insight to a largely conceptual literature. © Emerald Group Publishing Limited.

Mapping dissociations in verb morphology

Substantial behavioural and neuropsychological evidence has been amassed to support the dual-route model of morphological processing, which distinguishes between a rule-based system for regular items (walk–walked, call–called) and an associative system for the irregular items (go–went). Some neural-network models attempt to explain the neuropsychological and brain-mapping dissociations in terms of single-system associative processing. We show that there are problems in the accounts of homogeneous networks in the light of recent brain-mapping evidence of systematic double-dissociation. We also examine the superior capabilities of more internally differentiated connectionist models, which, under certain conditions, display systematic double-dissociations. It appears that the more differentiation models show, the more easily they account for dissociation patterns, yet without implementing symbolic computations.

Optical communications applications of ultra-long Raman fiber lasers

Recent work on ultra-long Raman fiber lasers has shown that it is possible to create quasi-lossless transmission conditions in fiber spans long enough to be considered for high speed optical communications. This paper reviews how quasi-lossless transmission conditions are reached and presents experimental results of 40Gb/s transmission in a quasi lossless system. The performance is compared with a conventional EDFA based system.

Protecting agents against malicious host attacks

The introduction of agent technology raises several security issues that are beyond conventional security mechanisms capability and considerations, but research in protecting the agent from malicious host attack is evolving. This research proposes two approaches to protecting an agent from being attacked by a malicious host. The first approach consists of an obfuscation algorithm that is able to protect the confidentiality of an agent and make it more difficult for a malicious host to spy on the agent. The algorithm uses multiple polynomial functions with multiple random inputs to convert an agent's critical data to a value that is meaningless to the malicious host. The effectiveness of the obfuscation algorithm is enhanced by addition of noise code. The second approach consists of a mechanism that is able to protect the integrity of the agent using state information, recorded during the agent execution process in a remote host environment, to detect a manipulation attack by a malicious host. Both approaches are implemented using a master-slave agent architecture that operates on a distributed migration pattern. Two sets of experimental test were conducted. The first set of experiments measures the migration and migration+computation overheads of the itinerary and distributed migration patterns. The second set of experiments is used to measure the security overhead of the proposed approaches. The protection of the agent is assessed by analysis of its effectiveness under known attacks. Finally, an agent-based application, known as Secure Flight Finder Agent-based System (SecureFAS) is developed, in order to prove the function of the proposed approaches.

Lithological mapping of Northwest Argentina with remote sensing data using tonal, textural and contextual features

Tonal, textural and contextual properties are used in manual photointerpretation of remotely sensed data. This study has used these three attributes to produce a lithological map of semi arid northwest Argentina by semi automatic computer classification procedures of remotely sensed data. Three different types of satellite data were investigated, these were LANDSAT MSS, TM and SIR-A imagery. Supervised classification procedures using tonal features only produced poor classification results. LANDSAT MSS produced classification accuracies in the range of 40 to 60%, while accuracies of 50 to 70% were achieved using LANDSAT TM data. The addition of SIR-A data produced increases in the classification accuracy. The increased classification accuracy of TM over the MSS is because of the better discrimination of geological materials afforded by the middle infra red bands of the TM sensor. The maximum likelihood classifier consistently produced classification accuracies 10 to 15% higher than either the minimum distance to means or decision tree classifier, this improved accuracy was obtained at the cost of greatly increased processing time. A new type of classifier the spectral shape classifier, which is computationally as fast as a minimum distance to means classifier is described. However, the results for this classifier were disappointing, being lower in most cases than the minimum distance or decision tree procedures. The classification results using only tonal features were felt to be unacceptably poor, therefore textural attributes were investigated. Texture is an important attribute used by photogeologists to discriminate lithology. In the case of TM data, texture measures were found to increase the classification accuracy by up to 15%. However, in the case of the LANDSAT MSS data the use of texture measures did not provide any significant increase in the accuracy of classification. For TM data, it was found that second order texture, especially the SGLDM based measures, produced highest classification accuracy. Contextual post processing was found to increase classification accuracy and improve the visual appearance of classified output by removing isolated misclassified pixels which tend to clutter classified images. Simple contextual features, such as mode filters were found to out perform more complex features such as gravitational filter or minimal area replacement methods. Generally the larger the size of the filter, the greater the increase in the accuracy. Production rules were used to build a knowledge based system which used tonal and textural features to identify sedimentary lithologies in each of the two test sites. The knowledge based system was able to identify six out of ten lithologies correctly.

The development of calibration and adaptive filtering procedures for neuromagnetic studies of human visual function

This thesis first considers the calibration and signal processing requirements of a neuromagnetometer for the measurement of human visual function. Gradiometer calibration using straight wire grids is examined and optimal grid configurations determined, given realistic constructional tolerances. Simulations show that for gradiometer balance of 1:104 and wire spacing error of 0.25mm the achievable calibration accuracy of gain is 0.3%, of position is 0.3mm and of orientation is 0.6°. Practical results with a 19-channel 2nd-order gradiometer based system exceed this performance. The real-time application of adaptive reference noise cancellation filtering to running-average evoked response data is examined. In the steady state, the filter can be assumed to be driven by a non-stationary step input arising at epoch boundaries. Based on empirical measures of this driving step an optimal progression for the filter time constant is proposed which improves upon fixed time constant filter performance. The incorporation of the time-derivatives of the reference channels was found to improve the performance of the adaptive filtering algorithm by 15-20% for unaveraged data, falling to 5% with averaging. The thesis concludes with a neuromagnetic investigation of evoked cortical responses to chromatic and luminance grating stimuli. The global magnetic field power of evoked responses to the onset of sinusoidal gratings was shown to have distinct chromatic and luminance sensitive components. Analysis of the results, using a single equivalent current dipole model, shows that these components arise from activity within two distinct cortical locations. Co-registration of the resulting current source localisations with MRI shows a chromatically responsive area lying along the midline within the calcarine fissure, possibly extending onto the lingual and cuneal gyri. It is postulated that this area is the human homologue of the primate cortical area V4.

Elaboration and testing of new methodologies for automatic abstracting

The primary objective of this research was to understand what kinds of knowledge and skills people use in `extracting' relevant information from text and to assess the extent to which expert systems techniques could be applied to automate the process of abstracting. The approach adopted in this thesis is based on research in cognitive science, information science, psycholinguistics and textlinguistics. The study addressed the significance of domain knowledge and heuristic rules by developing an information extraction system, called INFORMEX. This system, which was implemented partly in SPITBOL, and partly in PROLOG, used a set of heuristic rules to analyse five scientific papers of expository type, to interpret the content in relation to the key abstract elements and to extract a set of sentences recognised as relevant for abstracting purposes. The analysis of these extracts revealed that an adequate abstract could be generated. Furthermore, INFORMEX showed that a rule based system was a suitable computational model to represent experts' knowledge and strategies. This computational technique provided the basis for a new approach to the modelling of cognition. It showed how experts tackle the task of abstracting by integrating formal knowledge as well as experiential learning. This thesis demonstrated that empirical and theoretical knowledge can be effectively combined in expert systems technology to provide a valuable starting approach to automatic abstracting.

Optical fibre sensors and their applications in the industrial weighing and aerospace industries

This thesis presents the design, fabrication and testing of novel grating based Optical Fibre Sensor (OFS) systems being interrogated using “off the shelf” interrogation systems, with the eventual development of marketable commercial systems at the forefront of the research. Both in the industrial weighing and aerospace industries, there has been a drive to investigate the feasibility of using optical fibre sensors being deployed where traditionally their electrical or mechanical counterparts would traditionally have been. Already, in the industrial weighing industry, commercial operators are deploying OFS-based Weigh-In-Motion (WIM) systems. Likewise, in the aerospace industry, OFS have been deployed to monitor such parameters as load history, impact detection, structural damage, overload detection, centre of gravity and the determination of blade shape. Based on the intrinsic properties of fibre Bragg gratings (FBGs) and Long Period Fibre Gratings (LPFGs), a number of novel OFS-based systems have been realised. Experimental work has shown that in the case of static industrial weighing, FBGs can be integrated with current commercial products and used to detect applied loads. The work has also shown that embedding FBGs in e-glass, to form a sensing patch, can result in said patches being bonded to rail track, forming the basis of an FBG-based WIM system. The results obtained have been sufficiently encouraging to the industrial partner that this work will be progressed beyond the scope of the work presented in this thesis. Likewise, and to the best of the author’s knowledge, a novel Bragg grating based systems for aircraft fuel parameter sensing has been presented. FBG-based pressure sensors have been shown to demonstrate good sensitivity, linearity and repeatability, whilst LPFG-based systems have demonstrated a far greater sensitivity when compared to FBGs, as well the advantage of being potentially able to detect causes of fuel adulteration based on their sensitivity to refractive index (RI). In the case of the LPFG-based system, considerable work remains to be done on the mechanical strengthening to improve its survivability in a live aircraft fuel tank environment. The FBG system has already been developed to an aerospace compliant prototype and is due to be tested at the fuel testing facility based at Airbus, Filton, UK. It is envisaged by the author that in both application areas, continued research in this area will lead to the eventual development of marketable commercial products.

Stabilization of self-coherent OFDM with injection locked laser

With the rebirth of coherent detection, various algorithms have come forth to alleviate phase noise, one of the main impairments for coherent receivers. These algorithms provide stable compensation, however they limit the DSP. With this key issue in mind, Fabry Perot filter based self coherent optical OFDM was analyzed which does not require phase noise compensation reducing the complexity in DSP at low OSNR. However, the performance of such a receiver is limited due to ASE noise at the carrier wavelength, especially since an optical amplifier is typically employed with the filter to ensure sufficient carrier power. Subsequently, the use of an injection-locked laser (ILL) to retrieve the frequency and phase information from the extracted carrier without the use of an amplifier was recently proposed. In ILL based system, an optical carrier is sent along with the OFDM signal in the transmitter. At the receiver, the carrier is extracted from the OFDM signal using a Fabry-Perot tunable filter and an ILL is used to significantly amplify the carrier and reduce intensity and phase noise. In contrast to CO-OFDM, such a system supports low-cost broad linewidth lasers and benefits with lower complexity in the DSP as no carrier frequency estimation and correction along with phase noise compensation is required.

Live 3D shape reconstruction, recognition and registration

We present a video-based system which interactively captures the geometry of a 3D object in the form of a point cloud, then recognizes and registers known objects in this point cloud in a matter of seconds (fig. 1). In order to achieve interactive speed, we exploit both efficient inference algorithms and parallel computation, often on a GPU. The system can be broken down into two distinct phases: geometry capture, and object inference. We now discuss these in further detail. © 2011 IEEE.

Changing employment relation systems in Japan:cases of the Mitsubishi Chemical Group and the Federation of Shinkin Banks

Over the past decade or so a number of changes have been observed in traditional Japanese employment relations (ERs) systems such as an increase in non-regular workers, a move towards performance-based systems and a continuous decline in union membership. There is a large body of Anglo-Saxon and Japanese literature providing evidence that national factors such as national institutions, national culture, and the business and economic environment have significantly influenced what were hitherto three ‘sacred’ aspects of Japanese ERs systems (ERSs). However, no research has been undertaken until now at the firm level regarding the extent to which changes in national factors influence ERSs across firms. This article develops a model to examine the impact of national factors on ER systems; and analyses the impact of national factors at the firm level ER systems. Based on information collected from two different groups of companies, namely Mitsubishi Chemical Group (MCG) and Federation of Shinkin Bank (FSB) the research finds that except for a few similarities, the impact of national factors is different on Japanese ER systems at the firm level. This indicates that the impact of national factors varies in the implementation of employment relations factors. In the case of MCG, national culture has less to do with seniority-based system. Study also reveals that the national culture factors have also less influence on an enterprise-based system in the case of FSB. This analysis is useful for domestic and international organizations as it helps to better understand the role of national factors in determining Japanese ERSs.

Forging futures? Engineering in the primary school curriculum

Starting with the research question, "How can the Primary School Curriculum be developed so as to spark Children's Engineering Imaginations from an early age?" this paper sets out to critically analyse the issues around embedding Engineering in the Primary School Curriculum from the age of 5 years. Findings from an exploratory research project suggest that in order to promote the concept of Engineering Education to potential university students (and in doing so begin to address issues around recruitment / retention within Engineering) there is a real need to excite and engage children with the subject from a young age. Indeed, it may be argued that within today's digital society, the need to encourage children to engage with Engineering is vital to the future sustainable development of our society. Whilst UK Government policy documents highlight the value of embedding Engineering into the school curriculum there is little or no evidence to suggest that Engineering has been successfully embedded into the elementary level school curriculum. Building on the emergent findings of the first stage of a longitudinal study, this paper concludes by arguing that Engineering could be embedded into the curriculum through innovative pedagogical approaches which contextualise project-based learning experiences within more traditional subjects including science, history, geography, literacy and numeracy.

Optical communications applications of ultra-long Raman fiber lasers

Recent work on ultra-long Raman fiber lasers has shown that it is possible to create quasi-lossless transmission conditions in fiber spans long enough to be considered for high speed optical communications. This paper reviews how quasi-lossless transmission conditions are reached and presents experimental results of 40Gb/s transmission in a quasi lossless system. The performance is compared with a conventional EDFA based system.