Modelling stock volatilities during financial crises:a time varying coefficient approach

We examine how the most prevalent stochastic properties of key financial time series have been affected during the recent financial crises. In particular we focus on changes associated with the remarkable economic events of the last two decades in the volatility dynamics, including the underlying volatility persistence and volatility spillover structure. Using daily data from several key stock market indices, the results of our bivariate GARCH models show the existence of time varying correlations as well as time varying shock and volatility spillovers between the returns of FTSE and DAX, and those of NIKKEI and Hang Seng, which became more prominent during the recent financial crisis. Our theoretical considerations on the time varying model which provides the platform upon which we integrate our multifaceted empirical approaches are also of independent interest. In particular, we provide the general solution for time varying asymmetric GARCH specifications, which is a long standing research topic. This enables us to characterize these models by deriving, first, their multistep ahead predictors, second, the first two time varying unconditional moments, and third, their covariance structure.

On the k-anonymization of time-varying and multi-layer social graphs

The popularity of online social media platforms provides an unprecedented opportunity to study real-world complex networks of interactions. However, releasing this data to researchers and the public comes at the cost of potentially exposing private and sensitive user information. It has been shown that a naive anonymization of a network by removing the identity of the nodes is not sufficient to preserve users’ privacy. In order to deal with malicious attacks, k -anonymity solutions have been proposed to partially obfuscate topological information that can be used to infer nodes’ identity. In this paper, we study the problem of ensuring k anonymity in time-varying graphs, i.e., graphs with a structure that changes over time, and multi-layer graphs, i.e., graphs with multiple types of links. More specifically, we examine the case in which the attacker has access to the degree of the nodes. The goal is to generate a new graph where, given the degree of a node in each (temporal) layer of the graph, such a node remains indistinguishable from other k-1 nodes in the graph. In order to achieve this, we find the optimal partitioning of the graph nodes such that the cost of anonymizing the degree information within each group is minimum. We show that this reduces to a special case of a Generalized Assignment Problem, and we propose a simple yet effective algorithm to solve it. Finally, we introduce an iterated linear programming approach to enforce the realizability of the anonymized degree sequences. The efficacy of the method is assessed through an extensive set of experiments on synthetic and real-world graphs.

Interaction of time-varying airy pulses with a layer

Pulses with an envelope in the form of the Airy function are obtained using Green's functions in 1D and 2D in time domain. Interaction of such pulses with a dielectric layer is investigated and expressions for reflected and transmitted pulses are obtained. © 2012 EUROPEAN MICROWAVE ASSOC.

Time-varying airy pulses

Pulses in the form of the Airy function as solutions to an equation similar to the Schrodinger equation but with opposite roles of the time and space variables are derived. The pulses are generated by an Airy time varying field at a source point and propagate in vacuum preserving their shape and magnitude. The pulse motion is decelerating according to a quadratic law. Its velocity changes from infinity at the source point to zero in infinity. These one dimensional results are extended to the 3D+time case for a similar Airy-Bessel pulse with the same behaviour, the non-diffractive preservation and the deceleration. This pulse is excited by the field at a plane aperture perpendicular to the direction of the pulse propagation. © 2011 IEEE.

Real-time tracking system using C80 DSPs and a binocular robotic head

[EN]An active vision system to perform tracking of moving objects in real time is described. The main goal is to obtain a system integrating off-the-self components. These components includes a stereoscopic robotic-head, as active perception hardware; a DSP based board SDB C80, as massive data processor and image acquisition board; and finally, a Pentium PC running Windows NT that interconnects and manages the whole system. Real-time is achieved taking advantage of the special architecture of DSP. An evaluation of the performance is included.

MDP periodically time-varying convolutional codes

In this paper we use some classical ideas from linear systems theory to analyse convolutional codes. In particular, we exploit input-state-output representations of periodic linear systems to study periodically time-varying convolutional codes. In this preliminary work we focus on the column distance of these codes and derive explicit necessary and sufficient conditions for an (n, 2, 1) periodically time-varying convolutional code to have Maximum Distance Profile (MDP).

A discrete-time queueing system with feedback and optional service

Queueing systems constitute a central tool in modeling and performance analysis. These types of systems are in our everyday life activities, and the theory of queueing systems was developed to provide models for forecasting behaviors of systems subject to random demand. The practical and useful applications of the discrete-time queues make the researchers to con- tinue making an e ort in analyzing this type of models. Thus the present contribution relates to a discrete-time Geo/G/1 queue in which some messages may need a second service time in addition to the rst essential service. In day-to-day life, there are numerous examples of queueing situations in general, for example, in manufacturing processes, telecommunication, home automation, etc, but in this paper a particular application is the use of video surveil- lance with intrusion recognition where all the arriving messages require the main service and only some may require the subsidiary service provided by the server with di erent types of strategies. We carry out a thorough study of the model, deriving analytical results for the stationary distribution. The generating functions of the number of messages in the queue and in the system are obtained. The generating functions of the busy period as well as the sojourn times of a message in the server, the queue and the system are also provided.

Co-movements between US and UK stock prices: the roles of macroeconomic information and time-series varying conditional correlations

This paper provides evidence on the sources of co-movement in monthly US and UK stock price movements by investigating the role of macroeconomic and financial variables in a bivariate system with time-varying conditional correlations. Crosscountry communality in response is uncovered, with changes in the US Federal Funds rate, UK bond yields and oil prices having similar negative effects in both markets. Other variables also play a role, especially for the UK market. These effects do not, however, explain the marked increase in cross-market correlations observed from around 2000, which we attribute to time variation in the correlations of shocks to these markets. A regime-switching smooth transition model captures this time variation well and shows the correlations increase dramatically around 1999-2000. JEL classifications: C32, C51, G15 Keywords: international stock returns, DCC-GARCH model, smooth transition conditional correlation GARCH model, model evaluation.

Control of a Teleoperation System by State Convergence with Variable Time Delay

In this paper, we propose a novel control scheme for bilateral teleoperation of n degree-of-freedom (DOF) nonlinear robotic systems with time-varying communication delay. We consider that the human operator contains a constant force on the local manipulator. The local and remote manipulators are coupled using state convergence control scheme. By choosing a Lyapunov-Krasovskii functional, we show that the local-remote teleoperation system is asymptotically stable. It is also shown that, in the case of reliable communication protocols, the proposed scheme guarantees that the remote manipulator tracks the delayed trajectory of the local manipulator. The time delay of communication channel is assumed to be unknown and randomly time varying, but the upper bounds of the delay interval and the derivative of the delay are assumed to be known.

Stability Analysis of Teleoperation System by State Convergence with Variable Time Delay

We propose a novel control scheme for bilateral teleoperation of n degree-of-freedom (DOF) nonlinear robotic systems with time-varying communication delay. A major contribution from this work lies in the demonstration that the structure of a state convergence algorithm can be also applied to nth-order nonlinear teleoperation systems. By choosing a Lyapunov Krasovskii functional, we show that the local-remote teleoperation system is asymptotically stable. The time delay of communication channel is assumed to be unknown and randomly time varying, but the upper bounds of the delay interval and the derivative of the delay are assumed to be known.

System Identification and Prediction of Dengue Fever Incidence in Rio de Janeiro

Identification, prediction, and control of a system are engineering subjects, regardless of the nature of the system. Here, the temporal evolution of the number of individuals with dengue fever weekly recorded in the city of Rio de Janeiro, Brazil, during 2007, is used to identify SIS (susceptible-infective-susceptible) and SIR (susceptible-infective-removed) models formulated in terms of cellular automaton (CA). In the identification process, a genetic algorithm (GA) is utilized to find the probabilities of the state transition S -> I able of reproducing in the CA lattice the historical series of 2007. These probabilities depend on the number of infective neighbors. Time-varying and non-time-varying probabilities, three different sizes of lattices, and two kinds of coupling topology among the cells are taken into consideration. Then, these epidemiological models built by combining CA and GA are employed for predicting the cases of sick persons in 2008. Such models can be useful for forecasting and controlling the spreading of this infectious disease.

Forearm surface EMG signals recognition and muscoloskeletal system dynamics identification using intelligent computational methods

Biosignals processing, Biological Nonlinear and time-varying systems identification, Electomyograph signals recognition, Pattern classification, Fuzzy logic and neural networks methods

An embedded real-time red peach detection system based on an OV7670 camera, ARM Cortex-M4 processor and 3D Look-Up Tables

This work proposes the development of an embedded real-time fruit detection system for future automatic fruit harvesting. The proposed embedded system is based on an ARM Cortex-M4 (STM32F407VGT6) processor and an Omnivision OV7670 color camera. The future goal of this embedded vision system will be to control a robotized arm to automatically select and pick some fruit directly from the tree. The complete embedded system has been designed to be placed directly in the gripper tool of the future robotized harvesting arm. The embedded system will be able to perform real-time fruit detection and tracking by using a three-dimensional look-up-table (LUT) defined in the RGB color space and optimized for fruit picking. Additionally, two different methodologies for creating optimized 3D LUTs based on existing linear color models and fruit histograms were implemented in this work and compared for the case of red peaches. The resulting system is able to acquire general and zoomed orchard images and to update the relative tracking information of a red peach in the tree ten times per second.

Computerized invasive measurement of time-dependent intraocular pressure

Several methods have been described to measure intraocular pressure (IOP) in clinical and research situations. However, the measurement of time varying IOP with high accuracy, mainly in situations that alter corneal properties, has not been reported until now. The present report describes a computerized system capable of recording the transitory variability of IOP, which is sufficiently sensitive to reliably measure ocular pulse peak-to-peak values. We also describe its characteristics and discuss its applicability to research and clinical studies. The device consists of a pressure transducer, a signal conditioning unit and an analog-to-digital converter coupled to a video acquisition board. A modified Cairns trabeculectomy was performed in 9 Oryctolagus cuniculus rabbits to obtain changes in IOP decay parameters and to evaluate the utility and sensitivity of the recording system. The device was effective for the study of kinetic parameters of IOP, such as decay pattern and ocular pulse waves due to cardiac and respiratory cycle rhythm. In addition, there was a significant increase of IOP versus time curve derivative when pre- and post-trabeculectomy recordings were compared. The present procedure excludes corneal thickness and error related to individual operator ability. Clinical complications due to saline infusion and pressure overload were not observed during biomicroscopic evaluation. Among the disadvantages of the procedure are the requirement of anesthesia and the use in acute recordings rather than chronic protocols. Finally, the method described may provide a reliable alternative for the study of ocular pressure dynamic alterations in man and may facilitate the investigation of the pathogenesis of glaucoma.

Time patterns in UK demand for alcohol and tobacco: an application of the EM algorithm

Capturing the pattern of structural change is a relevant task in applied demand analysis, as consumer preferences may vary significantly over time. Filtering and smoothing techniques have recently played an increasingly relevant role. A dynamic Almost Ideal Demand System with random walk parameters is estimated in order to detect modifications in consumer habits and preferences, as well as changes in the behavioural response to prices and income. Systemwise estimation, consistent with the underlying constraints from economic theory, is achieved through the EM algorithm. The proposed model is applied to UK aggregate consumption of alcohol and tobacco, using quarterly data from 1963 to 2003. Increased alcohol consumption is explained by a preference shift, addictive behaviour and a lower price elasticity. The dynamic and time-varying specification is consistent with the theoretical requirements imposed at each sample point. (c) 2005 Elsevier B.V. All rights reserved.