Modelling financial time series with switching state space models

The deficiencies of stationary models applied to financial time series are well documented. A special form of non-stationarity, where the underlying generator switches between (approximately) stationary regimes, seems particularly appropriate for financial markets. We use a dynamic switching (modelled by a hidden Markov model) combined with a linear dynamical system in a hybrid switching state space model (SSSM) and discuss the practical details of training such models with a variational EM algorithm due to [Ghahramani and Hilton,1998]. The performance of the SSSM is evaluated on several financial data sets and it is shown to improve on a number of existing benchmark methods.

Switching the mode of metabolism in the yeast Saccharomyces cerevisiae

The biochemistry of most metabolic pathways is conserved from bacteria to humans, although the control mechanisms are adapted to the needs of each cell type. Oxygen depletion commonly controls the switch from respiration to fermentation. However, Saccharomyces cerevisiae also controls that switch in response to the external glucose level. We have generated an S. cerevisiae strain in which glucose uptake is dependent on a chimeric hexose transporter mediating reduced sugar uptake. This strain shows a fully respiratory metabolism also at high glucose levels as seen for aerobic organisms, and switches to fermentation only when oxygen is lacking. These observations illustrate that manipulating a single step can alter the mode of metabolism. The novel yeast strain is an excellent tool to study the mechanisms underlying glucose-induced signal transduction. © 2004 European Molecular Biology Organization.

Volatility changes caused by the trading system:a Markov switching application

An expanding literature exists to suggest that the trading mechanism can influence the volatility of security returns. This study adds to this literature by examining the impact that the introduction of SETS, on the London Stock Exchange, had on the volatility of security returns. Using a Markov switching regime change model security volatility is categorized as being in a regime of either high or low volatility. It is shown that prior to the introduction of SETS securities tended to be in a low volatility regime. At the time SETS was introduced securities moved to a high volatility regime. This suggests that volatility increased when SETS was introduced.

Enterprise networking:multilayer switching and applications

Primarily targeted toward the network or MIS manager who wants to stay abreast of the latest networking technology, Enterprise Networking: Multilayer Switching and Applications offers up to date information relevant for the design of modern corporate networks and for the evaluation of new networking equipment. The book describes the architectures and standards of switching across the various protocol layers and will also address issues such as multicast quality of service, high-availability and network policies that are requirements of modern switched networks.

Bandpass switching in a nonlinear optical loop mirror

We demonstrate bandpass nonlinear switching, using a novel device configuration based on a nonlinear-optical loop mirror and an in-fiber Bragg grating. Self-switching is demonstrated in the soliton regime by use of an asymmetrically arranged in-fiber Bragg grating as a wavelength-selective element. In addition, we adapt the configuration to perform efficient two-wavelength switching.

Soliton switching using cascaded nonlinear-optical loop mirrors

We demonstrate multiple-peaked switching in a nonlinear-optical loop mirror and present an experimental investigation of device cascading in the soliton regime based on a sequence of two independent nonlinear-optical loop mirrors. Cascading leads to an enhanced switching response with sharper switching edges, flattened peaks, and increased interpeak extinction ratios. We observe that pulses emerging from the cascade retain the sech2 temporal profile of a soliton with minimal degradation in the spectral characteristics.

Packet switching in wide area broadband private networks

B-ISDN is a universal network which supports diverse mixes of service, applications and traffic. ATM has been accepted world-wide as the transport technique for future use in B-ISDN. ATM, being a simple packet oriented transfer technique, provides a flexible means for supporting a continuum of transport rates and is efficient due to possible statistical sharing of network resources by multiple users. In order to fully exploit the potential statistical gain, while at the same time provide diverse service and traffic mixes, an efficient traffic control must be designed. Traffic controls which include congestion and flow control are a fundamental necessity to the success and viability of future B-ISDN. Congestion and flow control is difficult in the broadband environment due to the high speed link, the wide area distance, diverse service requirements and diverse traffic characteristics. Most congestion and flow control approaches in conventional packet switched networks are reactive in nature and are not applicable in the B-ISDN environment. In this research, traffic control procedures mainly based on preventive measures for a private ATM-based network are proposed and their performance evaluated. The various traffic controls include CAC, traffic flow enforcement, priority control and an explicit feedback mechanism. These functions operate at call level and cell level. They are carried out distributively by the end terminals, the network access points and the internal elements of the network. During the connection set-up phase, the CAC decides the acceptance or denial of a connection request and allocates bandwidth to the new connection according to three schemes; peak bit rate, statistical rate and average bit rate. The statistical multiplexing rate is based on a `bufferless fluid flow model' which is simple and robust. The allocation of an average bit rate to data traffic at the expense of delay obviously improves the network bandwidth utilisation.

Switching and generation of ultrashort pulses using all-fibre devices

Serial and parallel interconnection of photonic devices is integral to the construction of any all-optical data processing system. This thesis presents results from a series of experiments centering on the use of the nonlinear-optical loop mirror (NOLM) switch in architectures for the manipulation and generation of ultrashort pulses. Detailed analysis of soliton switching in a single NOLM and cascade of two NOLM's is performed, centering on primary limitations to device operation, effect of cascading on amplitude response, and impact of switching on the characteristics of incident pulses. By using relatively long input pulses, device failure due to stimulated Raman generation is postponed to demonstrate multiple-peaked switching for the first time. It is found that while cascading leads to a sharpening of the overall switching characteristic, pulse spectral and temporal integrity is not significantly degraded, and emerging pulses retain their essential soliton character. In addition, by including an asymmetrically placed in-fibre Bragg reflector as a wavelength selective loss element in the basic NOLM configuration, both soliton self-switching and dual-wavelength control-pulse switching are spectrally quantised. Results are presented from a novel dual-wavelength laser configuration generating pulse trains with an ultra-low rms inter-pulse-stream timing jitter level of 630fs enabling application in ultrafast switching environments at data rates as high as 130GBits/s. In addition, the fibre NOLM is included in architectures for all-optical memory, demonstrating storage and logical inversion of a 0.5kByte random data sequence; and ultrafast phase-locking of a gain-switched distributed feedback laser at 1.062GHz, the fourteenth harmonic of the system baseband frequency. The stringent requirements for environmental robustness of these architectures highlight the primary weaknesses of the NOLM in its fibre form and recommendations to overcome its inherent drawbacks are presented.

Gain switching of an external cavity grating-coupled surface emitting laser with wide tunability

The gain-switched, single frequency operation of an external cavity grating-coupled surface emitting laser with a wavelength tuning range of 100 nm was presented. The light in the grating section was coupled out of the laser at a specific angle to the surface of the device. Analysis showed that within the driving current range, lasing in the device only occurred when the external cavity was properly aligned.

Maintenance of communication in primary classrooms : some evidence for the role of elicitation and code-switching in English medium schools in Kenya, with implications for teaching

This is a study of specific aspects of classroom interaction primary school level in Kenya. The study entailed the identification of the sources of particular communication problems during the change-over period from Kiswahili to English medium teaching in two primary schools. There was subsequently an examination of the language resources which were employed by teachers to maintain pupil participation in communication in the light of the occurrence of possibility of occurrence of specific communication problems. The language resources which were found to be significant in this regard concerned firstly the use of different elicitation types by teachers to stimulate pupils into giving responses and secondly teachers' recourse to code-switching from English to Kiswahili and vice-versa. It was also found in this study that although the use of English as the medium of instruction in the classrooms which were observed resulted in certain communication problems, some of these problems need not have arisen if teachers had been more careful in their use of language. The consideration of this finding, after taking into account the role of different elicitation types and code-switching as interpretable from data samples had certain implications which are specified in the study for teaching in Kenyan primary schools. The corpus for the study consisted of audio-recordings of English, Science and Number-Work lessons which were later transcribed. Relevant data samples were subsequently extracted from transcripts for analysis. Many of the samples have examples of cases of communication breakdowns, but they also illustrate how teachers maintained interaction with pupils who had yet to acquire an operational mastery of English. This study thus differs from most studies on classroom interaction because of its basic concern with the examination of the resources available to teachers for overcoming the problem areas of classroom communication.

How habits, social ties, and economic switching barriers affect customer loyalty in contractual service settings

While existing literature acknowledges positive effects of satisfaction and economic switching barriers for building customer loyalty, studies analyzing interactions of these antecedents reveal mixed findings. Prior research does not consider, as antecedents of switching barriers, either habits or social ties that result from shared service-usage within a family or community. This paper contributes to the literature, first, by replicating the effects of satisfaction, economic switching barriers, and their interaction with customer loyalty and word-of-mouth of subscribers to a contractual service. Second, the study empirically tests the role of social ties as a social switching barrier. Third, the study introduces and tests the effects of habits as a precursor of economic and social switching barriers. Results reveal significant positive effects of satisfaction, economic switching barriers, and social ties on customer loyalty and word-of-mouth. Additionally, economic switching barriers and social ties interact significantly with satisfaction and habits act as a precursor of economic switching barriers and social ties.

Switching barriers in the four-stage loyalty model

Oliver (1997) suggests a four-stage loyalty model proposing that loyalty consists of belief, affect, intentions, and action. Although this model has recently been subject to empirical examination, the issue of moderator variables has been largely neglected. This article fills that void by analyzing the moderating effects of switching barriers, using a sample of 589 customers of a large do-it-yourself (DIY) retailer. The results suggest that these moderators exert an influence on the development of the different stages of the loyalty sequence. Specifically, switching costs, social benefits, and attractiveness of alternatives are found to be important moderators of the links in the four-stage loyalty model.

Time resolved bit error rate analysis of a fast switching tunable laser for use in optically switched networks

We investigate the use of different direct detection modulation formats in a wavelength switched optical network. We find the minimum time it takes a tunable sampled grating distributed Bragg reflector laser to recover after switching from one wavelength channel to another for different modulation formats. The recovery time is investigated utilizing a field programmable gate array which operates as a time resolved bit error rate detector. The detector offers 93 ps resolution operating at 10.7 Gb/s and allows for all the data received to contribute to the measurement, allowing low bit error rates to be measured at high speed. The recovery times for 10.7 Gb/s non-return-to-zero on–off keyed modulation, 10.7 Gb/s differentially phase shift keyed signal and 21.4 Gb/s differentially quadrature phase shift keyed formats can be as low as 4 ns, 7 ns and 40 ns, respectively. The time resolved phase noise associated with laser settling is simultaneously measured for 21.4 Gb/s differentially quadrature phase shift keyed data and it shows that the phase noise coupled with frequency error is the primary limitation on transmitting immediately after a laser switching event.

Alternate wavelength-switching in a dual-wavelength mode-locked fibre laser

We report a stable, dual-wavelength mode-locked fiber laser at 1 GHz with a wavelength spacing of 0.7 nm. Alternate switching between single and dual wavelength output was also achieved by simple adjustment of the pump power.