Stochastic modelling of financial time series with memory and multifractal scaling

Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient market hypothesis, is still an issue for further debates. These difficulties present challenges with the problems of memory detection and modelling the co-presence of long memory and heavy tails. This PhD project aims to respond to these challenges. The first part aims to detect memory in a large number of financial time series on stock prices and exchange rates using their scaling properties. Since financial time series often exhibit stochastic trends, a common form of nonstationarity, strong trends in the data can lead to false detection of memory. We will take advantage of a technique known as multifractal detrended fluctuation analysis (MF-DFA) that can systematically eliminate trends of different orders. This method is based on the identification of scaling of the q-th-order moments and is a generalisation of the standard detrended fluctuation analysis (DFA) which uses only the second moment; that is, q = 2. We also consider the rescaled range R/S analysis and the periodogram method to detect memory in financial time series and compare their results with the MF-DFA. An interesting finding is that short memory is detected for stock prices of the American Stock Exchange (AMEX) and long memory is found present in the time series of two exchange rates, namely the French franc and the Deutsche mark. Electricity price series of the five states of Australia are also found to possess long memory. For these electricity price series, heavy tails are also pronounced in their probability densities. The second part of the thesis develops models to represent short-memory and longmemory financial processes as detected in Part I. These models take the form of continuous-time AR(∞) -type equations whose kernel is the Laplace transform of a finite Borel measure. By imposing appropriate conditions on this measure, short memory or long memory in the dynamics of the solution will result. A specific form of the models, which has a good MA(∞) -type representation, is presented for the short memory case. Parameter estimation of this type of models is performed via least squares, and the models are applied to the stock prices in the AMEX, which have been established in Part I to possess short memory. By selecting the kernel in the continuous-time AR(∞) -type equations to have the form of Riemann-Liouville fractional derivative, we obtain a fractional stochastic differential equation driven by Brownian motion. This type of equations is used to represent financial processes with long memory, whose dynamics is described by the fractional derivative in the equation. These models are estimated via quasi-likelihood, namely via a continuoustime version of the Gauss-Whittle method. The models are applied to the exchange rates and the electricity prices of Part I with the aim of confirming their possible long-range dependence established by MF-DFA. The third part of the thesis provides an application of the results established in Parts I and II to characterise and classify financial markets. We will pay attention to the New York Stock Exchange (NYSE), the American Stock Exchange (AMEX), the NASDAQ Stock Exchange (NASDAQ) and the Toronto Stock Exchange (TSX). The parameters from MF-DFA and those of the short-memory AR(∞) -type models will be employed in this classification. We propose the Fisher discriminant algorithm to find a classifier in the two and three-dimensional spaces of data sets and then provide cross-validation to verify discriminant accuracies. This classification is useful for understanding and predicting the behaviour of different processes within the same market. The fourth part of the thesis investigates the heavy-tailed behaviour of financial processes which may also possess long memory. We consider fractional stochastic differential equations driven by stable noise to model financial processes such as electricity prices. The long memory of electricity prices is represented by a fractional derivative, while the stable noise input models their non-Gaussianity via the tails of their probability density. A method using the empirical densities and MF-DFA will be provided to estimate all the parameters of the model and simulate sample paths of the equation. The method is then applied to analyse daily spot prices for five states of Australia. Comparison with the results obtained from the R/S analysis, periodogram method and MF-DFA are provided. The results from fractional SDEs agree with those from MF-DFA, which are based on multifractal scaling, while those from the periodograms, which are based on the second order, seem to underestimate the long memory dynamics of the process. This highlights the need and usefulness of fractal methods in modelling non-Gaussian financial processes with long memory.

Negative mood, implicit alcohol-related memory, and alcohol use in young adults: The moderating effect of alcohol expectancy

Objective Alcohol-related implicit (preconscious) cognitive processes are established and unique predictors of alcohol use, but most research in this area has focused on alcohol-related implicit cognition and anxiety. This study extends this work into the area of depressed mood by testing a cognitive model that combines traditional explicit (conscious and considered) beliefs, implicit alcohol-related memory associations (AMAs), and self-reported drinking behavior. Method Using a sample of 106 university students, depressed mood was manipulated using a musical mood induction procedure immediately prior to completion of implicit then explicit alcohol-related cognition measures. A bootstrapped two-group (weak/strong expectancies of negative affect and tension reduction) structural equation model was used to examine how mood changes and alcohol-related memory associations varied across groups. Results Expectancies of negative affect moderated the association of depressed mood and AMAs, but there was no such association for tension reduction expectancy. Conclusion Subtle mood changes may unconsciously trigger alcohol-related memories in vulnerable individuals. Results have implications for addressing subtle fluctuations in depressed mood among young adults at risk of alcohol problems.

Technology, memory and experience : virtual reality, motion capture and early modern theatre

This paper investigates virtual reality representations of performance in London’s late sixteenth-century Rose Theatre, a venue that, by means of current technology, can once again challenge perceptions of space, performance, and memory. The VR model of The Rose becomes a Camillo device in that it represents a virtual recreation of this venue in as much detail as possible and attempts to recover graphic demonstrations of the trace memories of the performance modes of the day. The VR model is based on accurate archeological and theatre historical records and is easy to navigate. The introduction of human figures onto The Rose’s stage via motion capture allows us to explore the relationships between space, actor and environment. The combination of venue and actors facilitates a new way of thinking about how the work of early modern playwrights can be stored and recalled. This virtual theatre is thus activated to intersect productively with contemporary studies in performance; as such, our paper provides a perspective on and embodiment of the relation between technology, memory and experience. It is, at its simplest, a useful archiving project for theatrical history, but it is directly relevant to contemporary performance practice as well. Further, it reflects upon how technology and ‘re-enactments’ of sorts mediate the way in which knowledge and experience are transferred, and even what may be considered ‘knowledge.’ Our work provides opportunities to begin addressing what such intermedial confrontations might produce for ‘remembering, experiencing, thinking and imagining.’ We contend that these confrontations will enhance live theatre performance rather than impeding or disrupting contemporary performance practice. This paper intersects with the CFP’s ‘Performing Memory’ and ‘Memory Lab’ themes. Our presentation (which includes a demonstration of the VR model and the motion capture it requires) takes the form of two closely linked papers that share a single abstract. The two papers will be given by two people, one of whom will be physically present in Utrecht, the other participating via Skype.

Australian television, popular memory and suburbia

Different archives of television material construct different versions of Australian national identity. There exists a Pro-Am archive of Australian television history materials consisting of many individual collections. This archive is not centrally located nor clearly bounded. The collections are not all linked to each other, nor are they aware of each other, and they do not claim to have a single common project. Pro-Am collections tend not to address Australian television as a whole, rather addressing particular genres, programs or production companies. Their vision of Australia is 'ordinary' and everyday. The boundaries of 'Australia' in the Pro-Am archive are porous, allowing non-Australians to contribute material, and also including non-Australian material and this causes little sense of anxiety.

Does Identifying Ambushers as Non-Sponsors Help or Hurt Legitimate Sponsors? Memory and Attitudinal Consequences

Two experiments examine outcomes for sponsor and ambusher brands within sponsorship settings. It is demonstrated that although making consumers aware of the presence of ambusher brands can reduce subsequent event recall to competitor cues, recall to sponsor cues can also suffer. Attitudinal effects are also considered.

Managing memory and reducing I/O cost for correlation matrix calculation in bioinformatics

The generation of a correlation matrix from a large set of long gene sequences is a common requirement in many bioinformatics problems such as phylogenetic analysis. The generation is not only computationally intensive but also requires significant memory resources as, typically, few gene sequences can be simultaneously stored in primary memory. The standard practice in such computation is to use frequent input/output (I/O) operations. Therefore, minimizing the number of these operations will yield much faster run-times. This paper develops an approach for the faster and scalable computing of large-size correlation matrices through the full use of available memory and a reduced number of I/O operations. The approach is scalable in the sense that the same algorithms can be executed on different computing platforms with different amounts of memory and can be applied to different problems with different correlation matrix sizes. The significant performance improvement of the approach over the existing approaches is demonstrated through benchmark examples.

Paradoxical enhancement of fear extinction memory and synaptic plasticity by inhibition of the histone acetyltransferase p300

It is well established that the coordinated regulation of activity-dependent gene expression by the histone acetyltransferase (HAT) family of transcriptional coactivators is crucial for the formation of contextual fear and spatial memory, and for hippocampal synaptic plasticity. However, no studies have examined the role of this epigenetic mechanism within the infralimbic prefrontal cortex (ILPFC), an area of the brain that is essential for the formation and consolidation of fear extinction memory. Here we report that a postextinction training infusion of a combined p300/CBP inhibitor (Lys-CoA-Tat), directly into the ILPFC, enhances fear extinction memory in mice. Our results also demonstrate that the HAT p300 is highly expressed within pyramidal neurons of the ILPFC and that the small-molecule p300-specific inhibitor (C646) infused into the ILPFC immediately after weak extinction training enhances the consolidation of fear extinction memory. C646 infused 6 h after extinction had no effect on fear extinction memory, nor did an immediate postextinction training infusion into the prelimbic prefrontal cortex. Consistent with the behavioral findings, inhibition of p300 activity within the ILPFC facilitated long-term potentiation (LTP) under stimulation conditions that do not evoke long-lasting LTP. These data suggest that one function of p300 activity within the ILPFC is to constrain synaptic plasticity, and that a reduction in the function of this HAT is required for the formation of fear extinction memory.

Memory and Epileptogenesis in Complex Biological and Simulated Systems

Oscillations of neural activity may bind widespread cortical areas into a neural representation that encodes disparate aspects of an event. In order to test this theory we have turned to data collected from complex partial epilepsy (CPE) patients with chronically implanted depth electrodes. Data from regions critical to word and face information processing was analyzed using spectral coherence measurements. Similar analyses of intracranial EEG (iEEG) during seizure episodes display HippoCampal Formation (HCF)—NeoCortical (NC) spectral coherence patterns that are characteristic of specific seizure stages (Klopp et al. 1996). We are now building a computational memory model to examine whether spatio-temporal patterns of human iEEG spectral coherence emerge in a computer simulation of HCF cellular distribution, membrane physiology and synaptic connectivity. Once the model is reasonably scaled it will be used as a tool to explore neural parameters that are critical to memory formation and epileptogenesis.

Memory and Gender in Medieval Europe 900-1200

Review of Memory and Gender in Medieval Europe, 900-1200 by Elizabeth van Houts (Toronto UP, 1999).

Brain oscillatory responses, working memory and cognitive developmental stages in 11- and 14-year-old children: an ERD/ERS study

Aim: So far, most of the cognitive neuroscience studies investigating the development of brain activity in childhood have made comparisons between different age groups and ignored the individual stage of cognitive development. Given the wide variation in the rate of cognitive development, this study argues that chronological age alone cannot explain the developmental changes in brain activity. This study demonstrates how Piaget s theory and information on child s individual stage of development can complement the age-related evaluations of brain oscillatory activity. In addition, the relationship between cognitive development and working memory is investigated. Method: A total of 33 children (17 11-year-olds, 16 14-year-olds) participated in this study. The study consisted of behavioural tests and an EEG experiment. Behavioral tests included two Piagetian tasks (the Volume and Density task, the Pendulum task) and Raven s Standard Progressive Matrices task. During EEG experiment, subjects performed a modified version of the Sternberg s memory search paradigm which consisted of an auditorily presented memory set of 4 words and a probe word following these. The EEG data was analyzed using the event-related desynchronization / synchronization (ERD/ERS) method. The Pendulum task was used to assess the cognitive developmental stage of each subject and to form four groups based on age (11- or 14-year-olds) and cognitive developmental stage (concrete or formal operational stage). Group comparisons between these four groups were performed for the EEG data. Results and conclusions: Both age- and cognitive stage-related differences in brain oscillatory activity were found between the four groups. Importantly, age-related changes similar to those reported by previous studies were found also in this study, but these changes were modified by developmental stage. In addition, the results support a strong link between working memory and cognitive development by demonstrating differences in memory task related brain activity and cognitive developmental stages. Based on these findings it is suggested that in the future, comparisons of development of brain activity should not be based only on age but also on the individual cognitive developmental stage.

Narrative, Memory and the Crisis of Mimesis: the Case of Adam Elsheimer and Giordano Bruno

The triangular space between memory, narrative and pictorial representation is the terrain on which this article is developed. Taking the art of memory developed by Giordano Bruno (1548 – 1600) and the art of painting subtly revolutionised by Adam Elsheimer (1578 – 1610) as test-cases, it is shown how both subvert the norms of mimesis and narration prevalent throughout the Renaissance, how disrupted memory creates “incoherent” narratives, and how perspective and the notion of “place” are questioned in a corollary way. Two paintings by Elsheimer are analysed and shown to include, in spite of their supposed “realism”, numerous incoherencies, aporias and strange elements – often overlooked. Thus, they do not conform to two of the basic rules governing both the classical art of memory and the humanist art of painting: well-defined places and the exhaustive translatability of words into images (and vice-versa). In the work of Bruno, both his philosophical claims and the literary devices he uses are analysed as hints for a similar (and contemporaneous) undermining of conventions about the transparency and immediacy of representation.