Principal component analysis of the yield curve

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Randomized observation periods for the compound Poisson risk model: Dividends

In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents a certain type of bridge between them which still enables the explicit calculation of moments of total discounted dividend payments until ruin. Numerical illustrations for several sets of parameters are given and the effect of random observation times on the performance of the dividend strategy is studied.

Le blocage de la consolidation et de la reconsolidation des souvenirs émotionnels chez l'humain à l'aide du propranolol

Une récente théorie de la mémoire a proposé que lorsqu'un souvenir déjà bien consolidé est réactivé, il redevient labile et susceptible aux modifications avant d'être restabilisé (reconsolidé) en mémoire à long terme. Ce nouveau modèle réfute le modèle classique de la consolidation qui propose qu'une fois consolidés, les souvenirs soient permanents et donc résistants aux effets des agents amnésiques. Les études validant la théorie de la reconsolidation abondent chez les animaux, mais encore peu d'études ont été réalisées chez les humains. L'objectif de cette thèse est de vérifier, dans une population de sujets sains et de sujets souffrant de trouble de stress post-traumatique (TSPT), l'efficacité d'un agent pharmacologique, le propranolol (un β-bloquant noradrénergique) à atténuer des souvenirs émotionnels nouvellement acquis ou déjà bien consolidés. Plus spécifiquement, nous avons mené un essai clinique contrôlé à double insu chez des sujets sains en leur administrant du propranolol (vs du placebo) lors de l'acquisition d'un nouveau souvenir et une semaine plus tard, lors de sa réactivation. L'objectif du premier article était d'évaluer l'efficacité du propranolol à diminuer la consolidation et la reconsolidation d'un souvenir émotionnel. Par ailleurs, puisque les études chez les animaux ont démontré que ces deux processus mnésiques s'effectuent à l'intérieur d'une fenêtre temporelle précise, le moment de l'administration du propranolol fut pris en considération. Les résultats ont démontré que le propranolol est en mesure de diminuer la consolidation et la reconsolidation d'une histoire émotionnelle tel que démontré par un pourcentage de bonnes réponses plus faible que le groupe contrôle lors des rappels. Toutefois, pour que cet effet soit observé, le propranolol doit être administré une heure avant la présentation des stimuli, pour la consolidation et une heure avant leur réactivation, pour la reconsolidation. En outre, les études portant sur la consolidation et la reconsolidation chez les animaux et chez les humains obtiennent parfois des résultats contradictoires. Ceci pourrait s'expliquer par le type de stimuli utilisé. Ainsi, l'objectif du second article était de préciser quel type d'information est le plus susceptible d'être affecté par le propranolol lors de son acquisition (consolidation) et lors de sa réactivation (reconsolidation). Pour ce faire, les éléments de l'histoire émotionnelle ont été divisés en fonction de leur valence (émotionnel ou neutre) et de leur centralité (central ou périphérique). Les résultats ont démontré le propranolol affecte l'ensemble des informations centrales lors du blocage de la consolidation, mais qu'il affecte plus spécifiquement les éléments émotionnels centraux lors de la reconsolidation. Notre groupe ayant précédemment démontré que le traitement avec le propranolol est en mesure de réduire les symptômes de TSPT chez une population clinique, nous nous sommes interrogés sur son efficacité à diminuer la mémoire implicite d'un événement traumatique. Le propranolol a été administré aux participants à 6 reprises (une fois par semaine sur une période de 6 semaines) lors de la réactivation de leur trauma. Les résultats ont révélé que le traitement avec le propranolol est en mesure de diminuer la réponse psychophysiologique des participants à l'écoute du compte rendu de leur trauma une semaine et 4 mois suivant la fin du traitement. En somme, cette thèse démontre que le propranolol est en mesure de bloquer la consolidation et la reconsolidation de souvenirs émotionnels chez l'humain lorsqu'il est administré une heure avant l'acquisition ou la réactivation des souvenirs. Il arrive en outre à atténuer un souvenir déclaratif émotionnel chez des sujets sains, mais également un souvenir implicite chez des sujets souffrant de TSPT. Ainsi, ces résultats ouvrent la voie à la création de nouveaux traitements pour les psychopathologies ayant comme étiologie un souvenir émotionnel intense.

Modelling and Analysis of Some Time Series

The thesis deals with some of the non-linear Gaussian and non-Gaussian time models and mainly concentrated in studying the properties and application of a first order autoregressive process with Cauchy marginal distribution. In this thesis some of the non-linear Gaussian and non-Gaussian time series models and mainly concentrated in studying the properties and application of a order autoregressive process with Cauchy marginal distribution. Time series relating to prices, consumptions, money in circulation, bank deposits and bank clearing, sales and profit in a departmental store, national income and foreign exchange reserves, prices and dividend of shares in a stock exchange etc. are examples of economic and business time series. The thesis discuses the application of a threshold autoregressive(TAR) model, try to fit this model to a time series data. Another important non-linear model is the ARCH model, and the third model is the TARCH model. The main objective here is to identify an appropriate model to a given set of data. The data considered are the daily coconut oil prices for a period of three years. Since it is a price data the consecutive prices may not be independent and hence a time series based model is more appropriate. In this study the properties like ergodicity, mixing property and time reversibility and also various estimation procedures used to estimate the unknown parameters of the process.

An event-based approach to validating solar wind speed predictions: high-speed enhancements in the Wang-Sheeley-Arge model

One of the primary goals of the Center for Integrated Space Weather Modeling (CISM) effort is to assess and improve prediction of the solar wind conditions in near‐Earth space, arising from both quasi‐steady and transient structures. We compare 8 years of L1 in situ observations to predictions of the solar wind speed made by the Wang‐Sheeley‐Arge (WSA) empirical model. The mean‐square error (MSE) between the observed and model predictions is used to reach a number of useful conclusions: there is no systematic lag in the WSA predictions, the MSE is found to be highest at solar minimum and lowest during the rise to solar maximum, and the optimal lead time for 1 AU solar wind speed predictions is found to be 3 days. However, MSE is shown to frequently be an inadequate “figure of merit” for assessing solar wind speed predictions. A complementary, event‐based analysis technique is developed in which high‐speed enhancements (HSEs) are systematically selected and associated from observed and model time series. WSA model is validated using comparisons of the number of hit, missed, and false HSEs, along with the timing and speed magnitude errors between the forecasted and observed events. Morphological differences between the different HSE populations are investigated to aid interpretation of the results and improvements to the model. Finally, by defining discrete events in the time series, model predictions from above and below the ecliptic plane can be used to estimate an uncertainty in the predicted HSE arrival times.

Movement time for motion-impaired users assisted by force-feedback: effects of movement amplitude, target width and gravity well width

This paper presents a study investigating how the performance of motion-impaired computer users in point and click tasks varies with target distance (A), target width (W), and force-feedback gravity well width (GWW). Six motion-impaired users performed point and click tasks across a range of values for A, W, and GWW. Times were observed to increase with A, and to decrease with W. Times also improved with GWW, and, with the addition of a gravity well, a greater improvement was observed for smaller targets than for bigger ones. It was found that Fitts Law gave a good description of behaviour for each value of GWW, and that gravity wells reduced the effect of task difficulty on performance. A model based on Fitts Law is proposed, which incorporates the effect of GWW on movement time. The model accounts for 88.8% of the variance in the observed data.

Periodic time series modeling of environmental proxy records with guaranteed positive growth rate estimation

Identifying a periodic time-series model from environmental records, without imposing the positivity of the growth rate, does not necessarily respect the time order of the data observations. Consequently, subsequent observations, sampled in the environmental archive, can be inversed on the time axis, resulting in a non-physical signal model. In this paper an optimization technique with linear constraints on the signal model parameters is proposed that prevents time inversions. The activation conditions for this constrained optimization are based upon the physical constraint of the growth rate, namely, that it cannot take values smaller than zero. The actual constraints are defined for polynomials and first-order splines as basis functions for the nonlinear contribution in the distance-time relationship. The method is compared with an existing method that eliminates the time inversions, and its noise sensitivity is tested by means of Monte Carlo simulations. Finally, the usefulness of the method is demonstrated on the measurements of the vessel density, in a mangrove tree, Rhizophora mucronata, and the measurement of Mg/Ca ratios, in a bivalve, Mytilus trossulus.

Regularization techniques for ill-posed inverse problems in data assimilation

Optimal state estimation from given observations of a dynamical system by data assimilation is generally an ill-posed inverse problem. In order to solve the problem, a standard Tikhonov, or L2, regularization is used, based on certain statistical assumptions on the errors in the data. The regularization term constrains the estimate of the state to remain close to a prior estimate. In the presence of model error, this approach does not capture the initial state of the system accurately, as the initial state estimate is derived by minimizing the average error between the model predictions and the observations over a time window. Here we examine an alternative L1 regularization technique that has proved valuable in image processing. We show that for examples of flow with sharp fronts and shocks, the L1 regularization technique performs more accurately than standard L2 regularization.

Implication of methodological uncertainties for mid-Holocene sea surface temperature reconstructions

We present and examine a multi-sensor global compilation of mid-Holocene (MH) sea surface temperatures (SST), based on Mg/Ca and alkenone palaeothermometry and reconstructions obtained using planktonic foraminifera and organic-walled dinoflagellate cyst census counts. We assess the uncertainties originating from using different methodologies and evaluate the potential of MH SST reconstructions as a benchmark for climate-model simulations. The comparison between different analytical approaches (time frame, baseline climate) shows the choice of time window for the MH has a negligible effect on the reconstructed SST pattern, but the choice of baseline climate affects both the magnitude and spatial pattern of the reconstructed SSTs. Comparison of the SST reconstructions made using different sensors shows significant discrepancies at a regional scale, with uncertainties often exceeding the reconstructed SST anomaly. Apparent patterns in SST may largely be a reflection of the use of different sensors in different regions. Overall, the uncertainties associated with the SST reconstructions are generally larger than the MH anomalies. Thus, the SST data currently available cannot serve as a target for benchmarking model simulations. Further evaluations of potential subsurface and/or seasonal artifacts that may contribute to obscure the MH SST reconstructions are urgently needed to provide reliable benchmarks for model evaluations.

A flexible model for survival data with a cure rate: a Bayesian approach

In this paper we deal with a Bayesian analysis for right-censored survival data suitable for populations with a cure rate. We consider a cure rate model based on the negative binomial distribution, encompassing as a special case the promotion time cure model. Bayesian analysis is based on Markov chain Monte Carlo (MCMC) methods. We also present some discussion on model selection and an illustration with a real dataset.

Dynamic Changes in the Mental Rotation Network Revealed by Pattern Recognition Analysis of fMRI Data

We investigated the temporal dynamics and changes in connectivity in the mental rotation network through the application of spatio-temporal support vector machines (SVMs). The spatio-temporal SVM [Mourao-Miranda, J., Friston, K. J., et al. (2007). Dynamic discrimination analysis: A spatial-temporal SVM. Neuroimage, 36, 88-99] is a pattern recognition approach that is suitable for investigating dynamic changes in the brain network during a complex mental task. It does not require a model describing each component of the task and the precise shape of the BOLD impulse response. By defining a time window including a cognitive event, one can use spatio-temporal fMRI observations from two cognitive states to train the SVM. During the training, the SVM finds the discriminating pattern between the two states and produces a discriminating weight vector encompassing both voxels and time (i.e., spatio-temporal maps). We showed that by applying spatio-temporal SVM to an event-related mental rotation experiment, it is possible to discriminate between different degrees of angular disparity (0 degrees vs. 20 degrees, 0 degrees vs. 60 degrees, and 0 degrees vs. 100 degrees), and the discrimination accuracy is correlated with the difference in angular disparity between the conditions. For the comparison with highest accuracy (08 vs. 1008), we evaluated how the most discriminating areas (visual regions, parietal regions, supplementary, and premotor areas) change their behavior over time. The frontal premotor regions became highly discriminating earlier than the superior parietal cortex. There seems to be a parcellation of the parietal regions with an earlier discrimination of the inferior parietal lobe in the mental rotation in relation to the superior parietal. The SVM also identified a network of regions that had a decrease in BOLD responses during the 100 degrees condition in relation to the 0 degrees condition (posterior cingulate, frontal, and superior temporal gyrus). This network was also highly discriminating between the two conditions. In addition, we investigated changes in functional connectivity between the most discriminating areas identified by the spatio-temporal SVM. We observed an increase in functional connectivity between almost all areas activated during the 100 degrees condition (bilateral inferior and superior parietal lobe, bilateral premotor area, and SMA) but not between the areas that showed a decrease in BOLD response during the 100 degrees condition.

Common Features in Vector Nonlinear Time Series Models

This thesis consists of four manuscripts in the area of nonlinear time series econometrics on topics of testing, modeling and forecasting nonlinear common features. The aim of this thesis is to develop new econometric contributions for hypothesis testing and forecasting in these area. Both stationary and nonstationary time series are concerned. A definition of common features is proposed in an appropriate way to each class. Based on the definition, a vector nonlinear time series model with common features is set up for testing for common features. The proposed models are available for forecasting as well after being well specified. The first paper addresses a testing procedure on nonstationary time series. A class of nonlinear cointegration, smooth-transition (ST) cointegration, is examined. The ST cointegration nests the previously developed linear and threshold cointegration. An Ftypetest for examining the ST cointegration is derived when stationary transition variables are imposed rather than nonstationary variables. Later ones drive the test standard, while the former ones make the test nonstandard. This has important implications for empirical work. It is crucial to distinguish between the cases with stationary and nonstationary transition variables so that the correct test can be used. The second and the fourth papers develop testing approaches for stationary time series. In particular, the vector ST autoregressive (VSTAR) model is extended to allow for common nonlinear features (CNFs). These two papers propose a modeling procedure and derive tests for the presence of CNFs. Including model specification using the testing contributions above, the third paper considers forecasting with vector nonlinear time series models and extends the procedures available for univariate nonlinear models. The VSTAR model with CNFs and the ST cointegration model in the previous papers are exemplified in detail,and thereafter illustrated within two corresponding macroeconomic data sets.

Using information flow model to specify the Kanban-controlled shopfloor control system

The implementation of Kanban-based production control systems may be difficult in make-to-order environments such as job shops. The flexible manufacturing approach constitutes a promising solution to adapt the Kanban method to such environments. This paper presents an information flow modelling approach for specifying the operational planning and control functions of the Kanban-controlled shopfloor control system (KSCS) in a flexible manufacturing environment. By decomposing the KSCS control functionalities, we have created the system information flow model through the data flow diagrams of Structured Systems Analysis Methodology. The data flow diagrams serve effective system specifications for communicating the system operations to participants of different disciplines as well as the system model for the design and development of KSCS.

New cutting-planes for the time-and/or precedence-constrained ATSP and directed VRP

In this paper, we introduce five classes of new valid cutting planes for the precedence-constrained (PC) and/or time-window-constrained (TW) Asymmetric Travelling Salesman Problems (ATSPs) and directed Vehicle Routing Problems (VRPs). We show that all five classes of new inequalities are facet-defining for the directed VRP-TW, under reasonable conditions and the assumption that vehicles are identical. Similar proofs can be developed for the VRP-PC. As ATSP-TW and PC-ATSP can be formulated as directed identical-vehicle VRP-TW and PC-VRP, respectively, this provides a link to study the polyhedral combinatorics for the ATSP-TW and PC-ATSP. The first four classes of these new cutting planes are cycle-breaking inequalities that are lifted from the well-known D^-_k and D⁺_k inequalities (see Grötschel and Padberg in Polyhedral theory. The traveling salesman problem: a guided tour of combinatorial optimization, Wiley, New York, 1985). The last class of new cutting planes, the TW ₂ inequalities, are infeasible-path elimination inequalities. Separation of these constraints will also be discussed. We also present prelimanry numerical results to demonstrate the strengh of these new cutting planes.

Incremental and adaptive clustering stream data over sliding window

Cluster analysis has played a key role in data stream understanding. The problem is difficult when the clustering task is considered in a sliding window model in which the requirement of outdated data elimination must be dealt with properly. We propose SWEM algorithm that is designed based on the Expectation Maximization technique to address these challenges. Equipped in SWEM is the capability to compute clusters incrementally using a small number of statistics summarized over the stream and the capability to adapt to the stream distribution’s changes. The feasibility of SWEM has been verified via a number of experiments and we show that it is superior than Clustream algorithm, for both synthetic and real datasets.