Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Flow field measurements of a series of turbulent premixed and stratified methane/air flames

This paper presents flow field measurements for the turbulent stratified burner introduced in two previous publications in which high resolution scalar measurements were made by Sweeney et al. [1,2] for model validation. The flow fields of the series of premixed and stratified methane/air flames are investigated under turbulent, globally lean conditions (φg=0.75). Velocity data acquired with laser Doppler anemometry (LDA) and particle image velocimetry (PIV) are presented and discussed. Pairwise 2-component LDA measurements provide profiles of axial velocity, radial velocity, tangential velocity and corresponding fluctuating velocities. The LDA measurements of axial and tangential velocities enable the swirl number to be evaluated and the degree of swirl characterized. Power spectral density and autocorrelation functions derived from the LDA data acquired at 10kHz are optimized to calculate the integral time scales. Flow patterns are obtained using a 2-component PIV system operated at 7Hz. Velocity profiles and spatial correlations derived from the PIV and LDA measurements are shown to be in very good agreement, thus offering 3D mapping of the velocities. A strong correlation was observed between the shape of the recirculation zones above the central bluff body and the effects of heat release, stoichiometry and swirl. Detailed analyses of the LDA data further demonstrate that the flow behavior changes significantly with the levels of swirl and stratification, which combines the contributions of dilatation, recirculation and swirl. Key turbulence parameters are derived from the total velocity components, combining axial, radial and tangential velocities. © 2013 The Combustion Institute.

Multilinear function factorisation for time series feature extraction

This work applies a variety of multilinear function factorisation techniques to extract appropriate features or attributes from high dimensional multivariate time series for classification. Recently, a great deal of work has centred around designing time series classifiers using more and more complex feature extraction and machine learning schemes. This paper argues that complex learners and domain specific feature extraction schemes of this type are not necessarily needed for time series classification, as excellent classification results can be obtained by simply applying a number of existing matrix factorisation or linear projection techniques, which are simple and computationally inexpensive. We highlight this using a geometric separability measure and classification accuracies obtained though experiments on four different high dimensional multivariate time series datasets. © 2013 IEEE.

A small screen alternative to stone and bronze: The Great War series and British television

This article examines the first major British television series about the First World War, The Great War (BBC, 1964), in terms of its cultural, historical and aesthetic significance. As a central component of the BBC`s 50th anniversary commemorative programme to mark the outbreak of war, the series was a major media event -a small-screen memorial cast in sounds and images instead of stone and bronze. This article looks at how the British television audience responded to this form of on-screen commemoration. Material for this article was derived from the series' extensive production records housed in the BBC Written Archives Centre at Caversham, Berkshire. This was supplemented by, among other sources, material from interviews and correspondence with several surviving members of the production team. This allows a broader understanding of the motivations of those involved in the production of a groundbreaking historical series, while acknowledging the wide-ranging nature of its audience. [From the Publisher]

The evaluation of time series: their scientific value and contribution to policy needs. Occasional Publication of the Marine Biological Association 22

In 2000 a Review of Current Marine Observations in relation to present and future needs was undertaken by the Inter-Agency Committee for Marine Science and Technology (IACMST). The Marine Environmental Change Network (MECN) was initiated in 2002 as a direct response to the recommendations of the report. A key part of the current phase of the MECN is to ensure that information from the network is provided to policy makers and other end-users to enable them to produce more accurate assessments of ecosystem state and gain a clearer understanding of factors influencing change in marine ecosystems. The MECN holds workshops on an annual basis, bringing together partners maintaining time-series and long-term datasets as well as end-users interested in outputs from the network. It was decided that the first workshop of the MECN continuation phase should consist of an evaluation of the time series and data sets maintained by partners in the MECN with regard to their ‘fit for purpose’ for answering key science questions and informing policy development. This report is based on the outcomes of the workshop. Section one of the report contains a brief introduction to monitoring, time series and long-term datasets. The various terms are defined and the need for MECN type data to complement compliance monitoring programmes is discussed. Outlines are also given of initiatives such as the United Kingdom Marine Monitoring and Assessment Strategy (UKMMAS) and Oceans 2025. Section two contains detailed information for each of the MECN time series / long-term datasets including information on scientific outputs and current objectives. This information is mainly based on the presentations given at the workshop and therefore follows a format whereby the following headings are addressed: Origin of time series including original objectives; current objectives; policy relevance; products (advice, publications, science and society). Section three consists of comments made by the review panel concerning all the time series and the network. Needs or issues highlighted by the panel with regard to the future of long-term datasets and time-series in the UK are shown along with advice and potential solutions where offered. The recommendations are divided into 4 categories; ‘The MECN and end-user requirements’; ‘Procedures & protocols’; ‘Securing data series’ and ‘Future developments’. Ever since marine environmental protection issues really came to the fore in the 1960s, it has been recognised that there is a requirement for a suitable evidence base on environmental change in order to support policy and management for UK waters. Section four gives a brief summary of the development of marine policy in the UK along with comments on the availability and necessity of long-term marine observations for the implementation of this policy. Policy relating to three main areas is discussed; Marine Conservation (protecting biodiversity and marine ecosystems); Marine Pollution and Fisheries. The conclusion of this section is that there has always been a specific requirement for information on long-term change in marine ecosystems around the UK in order to address concerns over pollution, fishing and general conservation. It is now imperative that this need is addressed in order for the UK to be able to fulfil its policy commitments and manage marine ecosystems in the light of climate change and other factors.

Error sensitive historical GIS: Identifying areal interpolation errors in time series data

Historical GIS has the potential to re-invigorate our use of statistics from historical censuses and related sources. In particular, areal interpolation can be used to create long-run time-series of spatially detailed data that will enable us to enhance significantly our understanding of geographical change over periods of a century or more. The difficulty with areal interpolation, however, is that the data that it generates are estimates which will inevitably contain some error. This paper describes a technique that allows the automated identification of possible errors at the level of the individual data values.

Graphs of relations and Hilbert series

We are discussing certain combinatorial and counting problems related to quadratic algebras. First we give examples which confirm the Anick conjecture on the minimal Hilbert series for algebras given by $n$ generators and $\frac {n(n-1)}{2}$ relations for $n \leq 7$. Then we investigate combinatorial structure of colored graph associated to relations of RIT algebra. Precise descriptions of graphs (maps) corresponding to algebras with maximal Hilbert series are given in certain cases. As a consequence it turns out, for example, that RIT algebra may have a maximal Hilbert series only if components of the graph associated to each color are pairwise 2-isomorphic.

Acoustic, volumetric, compressibility and refractivity properties and Flory’s reduction parameters of some homologous series of alkyl alkanoates from 298.15 to 333.15 K

The speeds of sound u in, densities ? and refractive indices nD of some homologous series, such as n-alkyl ethanoates, n-alkyl propionates, methyl alkanoates, ethyl alkanoates, dialkyl malonates, and alkyl haloalkanoates, were measured in the temperature range from 298.15 to 333.15 K. Molar volume V, isentropic and isothermal compressibilities ?S and ?T, molar refraction Rm, Eykman’s constant Cm, molecular radius r, Rao’s molar function R, thermal expansion coefficient a, thermal pressure coefficient ?, and Flory’s characteristic parameters image, P*, V*, and T* have been calculated from the measured experimental data. Applicability of Rao theory and Flory–Patterson–Pandey (FPP) theory have been examined and discussed for these alkanoates.

Acoustic, volumetric, compressibility and refractivity properties and reduction parameters for the ERAS and Flory models of some homologous series of amines from 298.15 to 328.15 K

The speeds of sound u, densities ? and refractive indices nD of homologous series of mono-, di-, and tri-alkylamines were measured in the temperature range from 298.15 to 328.15 K. Isentropic and isothermal compressibilities ?S and ?T, molar refraction Rm, Eykman’s constant Cm, Rao’s molar sound function R, thermal expansion coefficient a, thermal pressure coefficient ?, and reduction parameters P*, V*, and T* in frameworks of the ERAS model for associated amines and Flory model for tertiary amines have been calculated from the measured experimental data. Applicability of the Rao theory and the ERAS and Flory models have been examined and discussed for the alkyl amines.