Index Tracking Using Data-Mining Techniques and Mixed-Binary Linear Programming

Index tracking has become one of the most common strategies in asset management. The index-tracking problem consists of constructing a portfolio that replicates the future performance of an index by including only a subset of the index constituents in the portfolio. Finding the most representative subset is challenging when the number of stocks in the index is large. We introduce a new three-stage approach that at first identifies promising subsets by employing data-mining techniques, then determines the stock weights in the subsets using mixed-binary linear programming, and finally evaluates the subsets based on cross validation. The best subset is returned as the tracking portfolio. Our approach outperforms state-of-the-art methods in terms of out-of-sample performance and running times.

3D Visual Data-Driven Spatiotemporal Deformations for Non-Rigid Object Grasping Using Robot Hands

Sensing techniques are important for solving problems of uncertainty inherent to intelligent grasping tasks. The main goal here is to present a visual sensing system based on range imaging technology for robot manipulation of non-rigid objects. Our proposal provides a suitable visual perception system of complex grasping tasks to support a robot controller when other sensor systems, such as tactile and force, are not able to obtain useful data relevant to the grasping manipulation task. In particular, a new visual approach based on RGBD data was implemented to help a robot controller carry out intelligent manipulation tasks with flexible objects. The proposed method supervises the interaction between the grasped object and the robot hand in order to avoid poor contact between the fingertips and an object when there is neither force nor pressure data. This new approach is also used to measure changes to the shape of an object’s surfaces and so allows us to find deformations caused by inappropriate pressure being applied by the hand’s fingers. Test was carried out for grasping tasks involving several flexible household objects with a multi-fingered robot hand working in real time. Our approach generates pulses from the deformation detection method and sends an event message to the robot controller when surface deformation is detected. In comparison with other methods, the obtained results reveal that our visual pipeline does not use deformations models of objects and materials, as well as the approach works well both planar and 3D household objects in real time. In addition, our method does not depend on the pose of the robot hand because the location of the reference system is computed from a recognition process of a pattern located place at the robot forearm. The presented experiments demonstrate that the proposed method accomplishes a good monitoring of grasping task with several objects and different grasping configurations in indoor environments.

Practical methods of tracking of nonstationary time series applied to real-world data

In this paper, we discuss some practical implications for implementing adaptable network algorithms applied to non-stationary time series problems. Two real world data sets, containing electricity load demands and foreign exchange market prices, are used to test several different methods, ranging from linear models with fixed parameters, to non-linear models which adapt both parameters and model order on-line. Training with the extended Kalman filter, we demonstrate that the dynamic model-order increment procedure of the resource allocating RBF network (RAN) is highly sensitive to the parameters of the novelty criterion. We investigate the use of system noise for increasing the plasticity of the Kalman filter training algorithm, and discuss the consequences for on-line model order selection. The results of our experiments show that there are advantages to be gained in tracking real world non-stationary data through the use of more complex adaptive models.

A spatiotemporal Data Envelopment Analysis (S-T DEA) approach:the need to assess evolving units

One of the major challenges in measuring efficiency in terms of resources and outcomes is the assessment of the evolution of units over time. Although Data Envelopment Analysis (DEA) has been applied for time series datasets, DEA models, by construction, form the reference set for inefficient units (lambda values) based on their distance from the efficient frontier, that is, in a spatial manner. However, when dealing with temporal datasets, the proximity in time between units should also be taken into account, since it reflects the structural resemblance among time periods of a unit that evolves. In this paper, we propose a two-stage spatiotemporal DEA approach, which captures both the spatial and temporal dimension through a multi-objective programming model. In the first stage, DEA is solved iteratively extracting for each unit only previous DMUs as peers in its reference set. In the second stage, the lambda values derived from the first stage are fed to a Multiobjective Mixed Integer Linear Programming model, which filters peers in the reference set based on weights assigned to the spatial and temporal dimension. The approach is demonstrated on a real-world example drawn from software development.

Effects of efficient fronto-temporal circuitry on lexical ambiguity resolution: converging evidence from cross-age comparisons in eye-tracking and ERP data

Eye-tracking was used to examine how younger and older adults use syntactic and semantic information to disambiguate noun/verb (NV) homographs (e.g., park). We find that young adults exhibit inflated first fixations to NV-homographs when only syntactic cues are available for disambiguation (i.e., in syntactic prose). This effect is eliminated with the addition of disambiguating semantic information. Older adults (60+) as a group fail to show the first fixation effect in syntactic prose; they instead reread NV homographs longer. This pattern mirrors that in prior event-related potential work (Lee & Federmeier, 2009, 2011), which reported a sustained frontal negativity to NV-homographs in syntactic prose for young adults, which was eliminated by semantic constraints. The frontal negativity was not observed in older adults as a group, although older adults with high verbal fluency showed the young-like pattern. Analyses of individual differences in eye-tracking patterns revealed a similar effect of verbal fluency in both young and older adults: high verbal fluency groups of both ages show larger first fixation effects, while low verbal fluency groups show larger downstream costs (rereading and/or refixating NV homographs). Jointly, the eye-tracking and ERP data suggest that effortful meaning selection recruits frontal brain areas important for suppressing contextually inappropriate meanings, which also slows eye movements. Efficacy of fronto-temporal circuitry, as captured by verbal fluency, predicts the success of engaging these mechanisms in both young and older adults. Failure to recruit these processes requires compensatory rereading or leads to comprehension failures (Lee & Federmeier, in press).

Tracking dos indicadores da aptidão fisica relacionada a saude em escolares

Universidade Estadual de Campinas . Faculdade de Educação Física

Spatio-Temporal Tracking and Phylodynamics of an Urban Dengue 3 Outbreak in Sao Paulo, Brazil

The dengue virus has a single-stranded positive-sense RNA genome of similar to 10.700 nucleotides with a single open reading frame that encodes three structural (C, prM, and E) and seven nonstructural (NS1, NS2A, NS2B, NS3, NS4A, NS4B, and NS5) proteins. It possesses four antigenically distinct serotypes (DENV 1-4). Many phylogenetic studies address particularities of the different serotypes using convenience samples that are not conducive to a spatio-temporal analysis in a single urban setting. We describe the pattern of spread of distinct lineages of DENV-3 circulating in Sao Jose do Rio Preto, Brazil, during 2006. Blood samples from patients presenting dengue-like symptoms were collected for DENV testing. We performed M-N-PCR using primers based on NS5 for virus detection and identification. The fragments were purified from PCR mixtures and sequenced. The positive dengue cases were geo-coded. To type the sequenced samples, 52 reference sequences were aligned. The dataset generated was used for iterative phylogenetic reconstruction with the maximum likelihood criterion. The best demographic model, the rate of growth, rate of evolutionary change, and Time to Most Recent Common Ancestor (TMRCA) were estimated. The basic reproductive rate during the epidemics was estimated. We obtained sequences from 82 patients among 174 blood samples. We were able to geo-code 46 sequences. The alignment generated a 399-nucleotide-long dataset with 134 taxa. The phylogenetic analysis indicated that all samples were of DENV-3 and related to strains circulating on the isle of Martinique in 2000-2001. Sixty DENV-3 from Sao Jose do Rio Preto formed a monophyletic group (lineage 1), closely related to the remaining 22 isolates (lineage 2). We assumed that these lineages appeared before 2006 in different occasions. By transforming the inferred exponential growth rates into the basic reproductive rate, we obtained values for lineage 1 of R(0) = 1.53 and values for lineage 2 of R(0) = 1.13. Under the exponential model, TMRCA of lineage 1 dated 1 year and lineage 2 dated 3.4 years before the last sampling. The possibility of inferring the spatio-temporal dynamics from genetic data has been generally little explored, and it may shed light on DENV circulation. The use of both geographic and temporally structured phylogenetic data provided a detailed view on the spread of at least two dengue viral strains in a populated urban area.

Disparity between Multilocus Enzyme Electrophoresis, Microsatellite Markers and Pulsed-Field Gel Electrophoresis in epidemiological tracking of Candida albicans

Various molecular systems are available for epidemiological, genetic, evolutionary, taxonomic and systematic studies of innumerable fungal infections, especially those caused by the opportunistic pathogen C. albicans. A total of 75 independent oral isolates were selected in order to compare Multilocus Enzyme Electrophoresis (MLEE), Electrophoretic Karyotyping (EK) and Microsatellite Markers (Simple Sequence Repeats - SSRs), in their abilities to differentiate and group C. albicans isolates (discriminatory power), and also, to evaluate the concordance and similarity of the groups of strains determined by cluster analysis for each fingerprinting method. Isoenzyme typing was performed using eleven enzyme systems: Adh, Sdh, M1p, Mdh, Idh, Gdh, G6pdh, Asd, Cat, Po, and Lap (data previously published). The EK method consisted of chromosomal DNA separation by pulsed-field gel electrophoresis using a CHEF system. The microsatellite markers were investigated by PCR using three polymorphic loci: EF3, CDC3, and HIS3. Dendrograms were generated by the SAHN method and UPGMA algorithm based on similarity matrices (S(SM)). The discriminatory power of the three methods was over 95%, however a paired analysis among them showed a parity of 19.7-22.4% in the identification of strains. Weak correlation was also observed among the genetic similarity matrices (S(SM)(MLEE) x S(SM)(EK) x S(SM)(SSRs)). Clustering analyses showed a mean of 9 +/- 12.4 isolates per cluster (3.8 +/- 8 isolates/taxon) for MLEE, 6.2 +/- 4.9 isolates per cluster (4 +/- 4.5 isolates/taxon) for SSRs, and 4.1 +/- 2.3 isolates per cluster (2.6 +/- 2.3 isolates/taxon) for EK. A total of 45 (13%), 39(11.2%), 5 (1.4%) and 3 (0.9%) clusters pairs from 347 showed similarity (Si) of 0.1-10%, 10.1-20%, 20.1-30% and 30.1-40%, respectively. Clinical and molecular epidemiological correlation involving the opportunistic pathogen C. albicans may be attributed dependently of each method of genotyping (i.e., MLEE, EK, and SSRs) supplemented with similarity and grouping analysis. Therefore, the use of genotyping systems that give results which offer minimum disparity, or the combination of the results of these systems, can provide greater security and consistency in the determination of strains and their genetic relationships. (C) 2010 Elsevier B.V. All rights reserved.