A robust optimization approach for index tracking problem

Index tracking is an investment approach where the primary objective is to keep portfolio return as close as possible to a target index without purchasing all index components. The main purpose is to minimize the tracking error between the returns of the selected portfolio and a benchmark. In this paper, quadratic as well as linear models are presented for minimizing the tracking error. The uncertainty is considered in the input data using a tractable robust framework that controls the level of conservatism while maintaining linearity. The linearity of the proposed robust optimization models allows a simple implementation of an ordinary optimization software package to find the optimal robust solution. The proposed model of this paper employs Morgan Stanley Capital International Index as the target index and the results are reported for six national indices including Japan, the USA, the UK, Germany, Switzerland and France. The performance of the proposed models is evaluated using several financial criteria e.g. information ratio, market ratio, Sharpe ratio and Treynor ratio. The preliminary results demonstrate that the proposed model lowers the amount of tracking error while raising values of portfolio performance measures.

Intra-cluster correlation structure in longitudinal data analysis: Selection criteria and misspecification tests

Selection criteria and misspecification tests for the intra-cluster correlation structure (ICS) in longitudinal data analysis are considered. In particular, the asymptotical distribution of the correlation information criterion (CIC) is derived and a new method for selecting a working ICS is proposed by standardizing the selection criterion as the p-value. The CIC test is found to be powerful in detecting misspecification of the working ICS structures, while with respect to the working ICS selection, the standardized CIC test is also shown to have satisfactory performance. Some simulation studies and applications to two real longitudinal datasets are made to illustrate how these criteria and tests might be useful.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

PERCOLATION ON THE INFORMATION-THEORETICALLY SECURE SIGNAL TO INTERFERENCE RATIO GRAPH

We consider a continuum percolation model consisting of two types of nodes, namely legitimate and eavesdropper nodes, distributed according to independent Poisson point processes in R-2 of intensities lambda and lambda(E), respectively. A directed edge from one legitimate node A to another legitimate node B exists provided that the strength of the signal transmitted from node A that is received at node B is higher than that received at any eavesdropper node. The strength of the signal received at a node from a legitimate node depends not only on the distance between these nodes, but also on the location of the other legitimate nodes and an interference suppression parameter gamma. The graph is said to percolate when there exists an infinitely connected component. We show that for any finite intensity lambda(E) of eavesdropper nodes, there exists a critical intensity lambda(c) < infinity such that for all lambda > lambda(c) the graph percolates for sufficiently small values of the interference parameter. Furthermore, for the subcritical regime, we show that there exists a lambda(0) such that for all lambda < lambda(0) <= lambda(c) a suitable graph defined over eavesdropper node connections percolates that precludes percolation in the graphs formed by the legitimate nodes.

Exploiting a priori time constant ratio information in difference equation two-thermocouple sensor characterisation

The characterization of thermocouple sensors for temperature measurement in varying-flow environments is a challenging problem. Recently, the authors introduced novel difference-equation-based algorithms that allow in situ characterization of temperature measurement probes consisting of two-thermocouple sensors with differing time constants. In particular, a linear least squares (LS) lambda formulation of the characterization problem, which yields unbiased estimates when identified using generalized total LS, was introduced. These algorithms assume that time constants do not change during operation and are, therefore, appropriate for temperature measurement in homogenous constant-velocity liquid or gas flows. This paper develops an alternative ß-formulation of the characterization problem that has the major advantage of allowing exploitation of a priori knowledge of the ratio of the sensor time constants, thereby facilitating the implementation of computationally efficient algorithms that are less sensitive to measurement noise. A number of variants of the ß-formulation are developed, and appropriate unbiased estimators are identified. Monte Carlo simulation results are used to support the analysis.

Calculation of mutual information for nonlinear communication channel at large signal-to-noise ratio

Using the path-integral technique we examine the mutual information for the communication channel modeled by the nonlinear Schrödinger equation with additive Gaussian noise. The nonlinear Schrödinger equation is one of the fundamental models in nonlinear physics, and it has a broad range of applications, including fiber optical communications - the backbone of the internet. At large signal-to-noise ratio we present the mutual information through the path-integral, which is convenient for the perturbative expansion in nonlinearity. In the limit of small noise and small nonlinearity we derive analytically the first nonzero nonlinear correction to the mutual information for the channel.

Interleaved PC-OFDM to reduce peak-to-average power ratio

Parallel combinatory orthogonal frequency division multiplexing (PC-OFDM yields lower maximum peak-to-average power ratio (PAR), high bandwidth efficiency and lower bit error rate (BER) on Gaussian channels compared to OFDM systems. However, PC-OFDM does not improve the statistics of PAR significantly. In this chapter, the use of a set of fixed permutations to improve the statistics of the PAR of a PC-OFDM signal is presented. For this technique, interleavers are used to produce K-1 permuted sequences from the same information sequence. The sequence with the lowest PAR, among K sequences is chosen for the transmission. The PAR of a PC-OFDM signal can be further reduced by 3-4 dB by this technique. Mathematical expressions for the complementary cumulative density function (CCDF)of PAR of PC-OFDM signal and interleaved PC-OFDM signal are also presented.

Cross likelihood ratio based speaker clustering using eigenvoice models

This paper proposes the use of eigenvoice modeling techniques with the Cross Likelihood Ratio (CLR) as a criterion for speaker clustering within a speaker diarization system. The CLR has previously been shown to be a robust decision criterion for speaker clustering using Gaussian Mixture Models. Recently, eigenvoice modeling techniques have become increasingly popular, due to its ability to adequately represent a speaker based on sparse training data, as well as an improved capture of differences in speaker characteristics. This paper hence proposes that it would be beneficial to capitalize on the advantages of eigenvoice modeling in a CLR framework. Results obtained on the 2002 Rich Transcription (RT-02) Evaluation dataset show an improved clustering performance, resulting in a 35.1% relative improvement in the overall Diarization Error Rate (DER) compared to the baseline system.

Automatic Audio Segmentation Using the Generalized Likelihood Ratio

This paper presents a novel technique for segmenting an audio stream into homogeneous regions according to speaker identities, background noise, music, environmental and channel conditions. Audio segmentation is useful in audio diarization systems, which aim to annotate an input audio stream with information that attributes temporal regions of the audio into their specific sources. The segmentation method introduced in this paper is performed using the Generalized Likelihood Ratio (GLR), computed between two adjacent sliding windows over preprocessed speech. This approach is inspired by the popular segmentation method proposed by the pioneering work of Chen and Gopalakrishnan, using the Bayesian Information Criterion (BIC) with an expanding search window. This paper will aim to identify and address the shortcomings associated with such an approach. The result obtained by the proposed segmentation strategy is evaluated on the 2002 Rich Transcription (RT-02) Evaluation dataset, and a miss rate of 19.47% and a false alarm rate of 16.94% is achieved at the optimal threshold.

Eigenvoice modeling for cross likelihood ratio based speaker clustering : a Bayesian approach

This paper proposes the use of Bayesian approaches with the cross likelihood ratio (CLR) as a criterion for speaker clustering within a speaker diarization system, using eigenvoice modeling techniques. The CLR has previously been shown to be an effective decision criterion for speaker clustering using Gaussian mixture models. Recently, eigenvoice modeling has become an increasingly popular technique, due to its ability to adequately represent a speaker based on sparse training data, as well as to provide an improved capture of differences in speaker characteristics. The integration of eigenvoice modeling into the CLR framework to capitalize on the advantage of both techniques has also been shown to be beneficial for the speaker clustering task. Building on that success, this paper proposes the use of Bayesian methods to compute the conditional probabilities in computing the CLR, thus effectively combining the eigenvoice-CLR framework with the advantages of a Bayesian approach to the diarization problem. Results obtained on the 2002 Rich Transcription (RT-02) Evaluation dataset show an improved clustering performance, resulting in a 33.5% relative improvement in the overall Diarization Error Rate (DER) compared to the baseline system.

Information provision and network performance represented by Macroscopic Fundamental Diagram

The existence of the Macroscopic Fundamental Diagram (MFD), which relates network space-mean density and flow, has been shown in urban networks under homogeneous traffic conditions. Since the MFD represents the area-wide network traffic performances, studies on perimeter control strategies and an area traffic state estimation utilizing the MFD concept has been reported. The key requirements for the well-defined MFD is the homogeneity of the area wide traffic condition, which is not universally expected in real world. For the practical application of the MFD concept, several researchers have identified the influencing factors for network homogeneity. However, they did not explicitly take drivers’ behaviour under real time information provision into account, which has a significant impact on the shape of the MFD. This research aims to demonstrate the impact of drivers’ route choice behaviour on network performance by employing the MFD as a measurement. A microscopic simulation is chosen as an experimental platform. By changing the ratio of en-route informed drivers and pre-trip informed drivers as well as by taking different route choice parameters, various scenarios are simulated in order to investigate how drivers’ adaptation to the traffic congestion influences the network performance and the MFD shape. This study confirmed and addressed the impact of information provision on the MFD shape and highlighted the significance of the route choice parameter setting as an influencing factor in the MFD analysis.

Real time information provision benefit measured by macroscopic fundamental diagram

The existence of Macroscopic Fundamental Diagram (MFD), which relates space-mean density and flow, has been shown in urban networks under homogeneous traffic conditions. Since MFD represents the area-wide network traffic performances, studies on perimeter control strategies and an area traffic state estimation utilizing the MFD concept has been reported. One of the key requirements for well-defined MFD is the homogeneity of the area-wide traffic condition with links of similar properties, which is not universally expected in real world. For the practical application of the MFD concept, several researchers have identified the influencing factors for network homogeneity. However, they did not explicitly take the impact of drivers’ behaviour and information provision into account, which has a significant impact on simulation outputs. This research aims to demonstrate the effect of dynamic information provision on network performance by employing the MFD as a measurement. A microscopic simulation, AIMSUN, is chosen as an experiment platform. By changing the ratio of en-route informed drivers and pre-trip informed drivers different scenarios are simulated in order to investigate how drivers’ adaptation to the traffic congestion influences the network performance with respect to the MFD shape as well as other indicators, such as total travel time. This study confirmed the impact of information provision on the MFD shape, and addressed the usefulness of the MFD for measuring the dynamic information provision benefit.

Factors affecting the extraction of absorbed dose information in a 3D polymer gel dosimeter by X ray computed tomography (IAEA-CN-96/122P)

Two sources of uncertainty in the X ray computed tomography imaging of polymer gel dosimeters are investigated in the paper.The first cause is a change in postirradiation density, which is proportional to the computed tomography signal and is associated with a volume change. The second cause of uncertainty is reconstruction noise.A simple technique that increases the residual signal to noise ratio by almost two orders of magnitude is examined.

Multiscale features and information extraction of online strain for long-span bridges

The strain data acquired from structural health monitoring (SHM) systems play an important role in the state monitoring and damage identification of bridges. Due to the environmental complexity of civil structures, a better understanding of the actual strain data will help filling the gap between theoretical/laboratorial results and practical application. In the study, the multi-scale features of strain response are first revealed after abundant investigations on the actual data from two typical long-span bridges. Results show that, strain types at the three typical temporal scales of 10^5, 10^2 and 10^0 sec are caused by temperature change, trains and heavy trucks, and have their respective cut-off frequency in the order of 10^-2, 10^-1 and 10^0 Hz. Multi-resolution analysis and wavelet shrinkage are applied for separating and extracting these strain types. During the above process, two methods for determining thresholds are introduced. The excellent ability of wavelet transform on simultaneously time-frequency analysis leads to an effective information extraction. After extraction, the strain data will be compressed at an attractive ratio. This research may contribute to a further understanding of actual strain data of long-span bridges; also, the proposed extracting methodology is applicable on actual SHM systems.