Causality detection on US mutual fund movements using evolutionary subset time-series

In this paper we develop an evolutionary kernel-based time update algorithm to recursively estimate subset discrete lag models (including fullorder models) with a forgetting factor and a constant term, using the exactwindowed case. The algorithm applies to causality detection when the true relationship occurs with a continuous or a random delay. We then demonstrate the use of the proposed evolutionary algorithm to study the monthly mutual fund data, which come from the 'CRSP Survivor-bias free US Mutual Fund Database'. The results show that the NAV is an influential player on the international stage of global bond and stock markets.

MCMC-based tracking and identification of leaders in groups

We present a novel framework for identifying and tracking dominant agents in groups. Our proposed approach relies on a causality detection scheme that is capable of ranking agents with respect to their contribution in shaping the system's collective behaviour based exclusively on the agents' observed trajectories. Further, the reasoning paradigm is made robust to multiple emissions and clutter by employing a class of recently introduced Markov chain Monte Carlo-based group tracking methods. Examples are provided that demonstrate the strong potential of the proposed scheme in identifying actual leaders in swarms of interacting agents and moving crowds. © 2011 IEEE.

Detecting stepping stones by abnormal causality probability

Locating the real source of the Internet attacks has long been an important but difficult problem to be addressed. In the real world, attackers can easily hide their identities and evade punishment by relaying their attacks through a series of compromised systems or devices called stepping stones. Currently, researchers mainly use similar features from the network traffic, such as packet timestamps and frequencies, to detect stepping stones. However, these features can be easily destroyed by attackers using evasive techniques. In addition, it is also difficult to implement an appropriate threshold of similarity that can help justify the stepping stones. In order to counter these problems, in this paper, we introduce the consistent causality probability to detect the stepping stones. We formulate the ranges of abnormal causality probabilities according to the different network conditions, and on the basis of it, we further implement to self-adaptive methods to capture stepping stones. To evaluate our proposed detection methods, we adopt theoretic analysis and empirical studies, which demonstrate accuracy of the abnormal causality probability. Moreover, we compare our proposed methods with previous works. The result shows that our methods in this paper significantly outperform previous works in the accuracy of detection malicious stepping stones, even when evasive techniques are adopted by attackers.

Industrial fault detection and diagnosis using Bayesian belief network

Rapid development in industry have contributed to more complex systems that are prone to failure. In applications where the presence of faults may lead to premature failure, fault detection and diagnostics tools are often implemented. The goal of this research is to improve the diagnostic ability of existing FDD methods. Kernel Principal Component Analysis has good fault detection capability, however it can only detect the fault and identify few variables that have contribution on occurrence of fault and thus not precise in diagnosing. Hence, KPCA was used to detect abnormal events and the most contributed variables were taken out for more analysis in diagnosis phase. The diagnosis phase was done in both qualitative and quantitative manner. In qualitative mode, a networked-base causality analysis method was developed to show the causal effect between the most contributing variables in occurrence of the fault. In order to have more quantitative diagnosis, a Bayesian network was constructed to analyze the problem in probabilistic perspective.