952 resultados para financial data processing


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Real-Time Kinematic (RTK) positioning is a technique used to provide precise positioning services at centimetre accuracy level in the context of Global Navigation Satellite Systems (GNSS). While a Network-based RTK (N-RTK) system involves multiple continuously operating reference stations (CORS), the simplest form of a NRTK system is a single-base RTK. In Australia there are several NRTK services operating in different states and over 1000 single-base RTK systems to support precise positioning applications for surveying, mining, agriculture, and civil construction in regional areas. Additionally, future generation GNSS constellations, including modernised GPS, Galileo, GLONASS, and Compass, with multiple frequencies have been either developed or will become fully operational in the next decade. A trend of future development of RTK systems is to make use of various isolated operating network and single-base RTK systems and multiple GNSS constellations for extended service coverage and improved performance. Several computational challenges have been identified for future NRTK services including: • Multiple GNSS constellations and multiple frequencies • Large scale, wide area NRTK services with a network of networks • Complex computation algorithms and processes • Greater part of positioning processes shifting from user end to network centre with the ability to cope with hundreds of simultaneous users’ requests (reverse RTK) There are two major requirements for NRTK data processing based on the four challenges faced by future NRTK systems, expandable computing power and scalable data sharing/transferring capability. This research explores new approaches to address these future NRTK challenges and requirements using the Grid Computing facility, in particular for large data processing burdens and complex computation algorithms. A Grid Computing based NRTK framework is proposed in this research, which is a layered framework consisting of: 1) Client layer with the form of Grid portal; 2) Service layer; 3) Execution layer. The user’s request is passed through these layers, and scheduled to different Grid nodes in the network infrastructure. A proof-of-concept demonstration for the proposed framework is performed in a five-node Grid environment at QUT and also Grid Australia. The Networked Transport of RTCM via Internet Protocol (Ntrip) open source software is adopted to download real-time RTCM data from multiple reference stations through the Internet, followed by job scheduling and simplified RTK computing. The system performance has been analysed and the results have preliminarily demonstrated the concepts and functionality of the new NRTK framework based on Grid Computing, whilst some aspects of the performance of the system are yet to be improved in future work.

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This thesis addresses modeling of financial time series, especially stock market returns and daily price ranges. Modeling data of this kind can be approached with so-called multiplicative error models (MEM). These models nest several well known time series models such as GARCH, ACD and CARR models. They are able to capture many well established features of financial time series including volatility clustering and leptokurtosis. In contrast to these phenomena, different kinds of asymmetries have received relatively little attention in the existing literature. In this thesis asymmetries arise from various sources. They are observed in both conditional and unconditional distributions, for variables with non-negative values and for variables that have values on the real line. In the multivariate context asymmetries can be observed in the marginal distributions as well as in the relationships of the variables modeled. New methods for all these cases are proposed. Chapter 2 considers GARCH models and modeling of returns of two stock market indices. The chapter introduces the so-called generalized hyperbolic (GH) GARCH model to account for asymmetries in both conditional and unconditional distribution. In particular, two special cases of the GARCH-GH model which describe the data most accurately are proposed. They are found to improve the fit of the model when compared to symmetric GARCH models. The advantages of accounting for asymmetries are also observed through Value-at-Risk applications. Both theoretical and empirical contributions are provided in Chapter 3 of the thesis. In this chapter the so-called mixture conditional autoregressive range (MCARR) model is introduced, examined and applied to daily price ranges of the Hang Seng Index. The conditions for the strict and weak stationarity of the model as well as an expression for the autocorrelation function are obtained by writing the MCARR model as a first order autoregressive process with random coefficients. The chapter also introduces inverse gamma (IG) distribution to CARR models. The advantages of CARR-IG and MCARR-IG specifications over conventional CARR models are found in the empirical application both in- and out-of-sample. Chapter 4 discusses the simultaneous modeling of absolute returns and daily price ranges. In this part of the thesis a vector multiplicative error model (VMEM) with asymmetric Gumbel copula is found to provide substantial benefits over the existing VMEM models based on elliptical copulas. The proposed specification is able to capture the highly asymmetric dependence of the modeled variables thereby improving the performance of the model considerably. The economic significance of the results obtained is established when the information content of the volatility forecasts derived is examined.

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(PDF contains 57 pages)

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Discrete element modeling is being used increasingly to simulate flow in fluidized beds. These models require complex measurement techniques to provide validation for the approximations inherent in the model. This paper introduces the idea of modeling the experiment to ensure that the validation is accurate. Specifically, a 3D, cylindrical gas-fluidized bed was simulated using a discrete element model (DEM) for particle motion coupled with computational fluid dynamics (CFD) to describe the flow of gas. The results for time-averaged, axial velocity during bubbling fluidization were compared with those from magnetic resonance (MR) experiments made on the bed. The DEM-CFD data were postprocessed with various methods to produce time-averaged velocity maps for comparison with the MR results, including a method which closely matched the pulse sequence and data processing procedure used in the MR experiments. The DEM-CFD results processed with the MR-type time-averaging closely matched experimental MR results, validating the DEM-CFD model. Analysis of different averaging procedures confirmed that MR time-averages of dynamic systems correspond to particle-weighted averaging, rather than frame-weighted averaging, and also demonstrated that the use of Gaussian slices in MR imaging of dynamic systems is valid. © 2013 American Chemical Society.

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Based on the data processing technologies of interferential spectrometer, a sort of real-time data processing system on chip of interferential imaging spectrometer was studied based on large capacitance and high speed field programmable gate array( FPGA) device. The system integrates both interferograrn sampling and spectrum rebuilding on a single chip of FPGA and makes them being accomplished in real-time with advantages such as small cubage, fast speed and high reliability. It establishes a good technical foundation in the applications of imaging spectrometer on target detection and recognition in real-time.

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INTRODUCTION: The characterization of urinary calculi using noninvasive methods has the potential to affect clinical management. CT remains the gold standard for diagnosis of urinary calculi, but has not reliably differentiated varying stone compositions. Dual-energy CT (DECT) has emerged as a technology to improve CT characterization of anatomic structures. This study aims to assess the ability of DECT to accurately discriminate between different types of urinary calculi in an in vitro model using novel postimage acquisition data processing techniques. METHODS: Fifty urinary calculi were assessed, of which 44 had >or=60% composition of one component. DECT was performed utilizing 64-slice multidetector CT. The attenuation profiles of the lower-energy (DECT-Low) and higher-energy (DECT-High) datasets were used to investigate whether differences could be seen between different stone compositions. RESULTS: Postimage acquisition processing allowed for identification of the main different chemical compositions of urinary calculi: brushite, calcium oxalate-calcium phosphate, struvite, cystine, and uric acid. Statistical analysis demonstrated that this processing identified all stone compositions without obvious graphical overlap. CONCLUSION: Dual-energy multidetector CT with postprocessing techniques allows for accurate discrimination among the main different subtypes of urinary calculi in an in vitro model. The ability to better detect stone composition may have implications in determining the optimum clinical treatment modality for urinary calculi from noninvasive, preprocedure radiological assessment.

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Remote sensing airborne hyperspectral data are routinely used for applications including algorithm development for satellite sensors, environmental monitoring and atmospheric studies. Single flight lines of airborne hyperspectral data are often in the region of tens of gigabytes in size. This means that a single aircraft can collect terabytes of remotely sensed hyperspectral data during a single year. Before these data can be used for scientific analyses, they need to be radiometrically calibrated, synchronised with the aircraft's position and attitude and then geocorrected. To enable efficient processing of these large datasets the UK Airborne Research and Survey Facility has recently developed a software suite, the Airborne Processing Library (APL), for processing airborne hyperspectral data acquired from the Specim AISA Eagle and Hawk instruments. The APL toolbox allows users to radiometrically calibrate, geocorrect, reproject and resample airborne data. Each stage of the toolbox outputs data in the common Band Interleaved Lines (BILs) format, which allows its integration with other standard remote sensing software packages. APL was developed to be user-friendly and suitable for use on a workstation PC as well as for the automated processing of the facility; to this end APL can be used under both Windows and Linux environments on a single desktop machine or through a Grid engine. A graphical user interface also exists. In this paper we describe the Airborne Processing Library software, its algorithms and approach. We present example results from using APL with an AISA Eagle sensor and we assess its spatial accuracy using data from multiple flight lines collected during a campaign in 2008 together with in situ surveyed ground control points.

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Remote sensing airborne hyperspectral data are routinely used for applications including algorithm development for satellite sensors, environmental monitoring and atmospheric studies. Single flight lines of airborne hyperspectral data are often in the region of tens of gigabytes in size. This means that a single aircraft can collect terabytes of remotely sensed hyperspectral data during a single year. Before these data can be used for scientific analyses, they need to be radiometrically calibrated, synchronised with the aircraft's position and attitude and then geocorrected. To enable efficient processing of these large datasets the UK Airborne Research and Survey Facility has recently developed a software suite, the Airborne Processing Library (APL), for processing airborne hyperspectral data acquired from the Specim AISA Eagle and Hawk instruments. The APL toolbox allows users to radiometrically calibrate, geocorrect, reproject and resample airborne data. Each stage of the toolbox outputs data in the common Band Interleaved Lines (BILs) format, which allows its integration with other standard remote sensing software packages. APL was developed to be user-friendly and suitable for use on a workstation PC as well as for the automated processing of the facility; to this end APL can be used under both Windows and Linux environments on a single desktop machine or through a Grid engine. A graphical user interface also exists. In this paper we describe the Airborne Processing Library software, its algorithms and approach. We present example results from using APL with an AISA Eagle sensor and we assess its spatial accuracy using data from multiple flight lines collected during a campaign in 2008 together with in situ surveyed ground control points.

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How can GPU acceleration be obtained as a service in a cluster? This question has become increasingly significant due to the inefficiency of installing GPUs on all nodes of a cluster. The research reported in this paper is motivated to address the above question by employing rCUDA (remote CUDA), a framework that facilitates Acceleration-as-a-Service (AaaS), such that the nodes of a cluster can request the acceleration of a set of remote GPUs on demand. The rCUDA framework exploits virtualisation and ensures that multiple nodes can share the same GPU. In this paper we test the feasibility of the rCUDA framework on a real-world application employed in the financial risk industry that can benefit from AaaS in the production setting. The results confirm the feasibility of rCUDA and highlight that rCUDA achieves similar performance compared to CUDA, provides consistent results, and more importantly, allows for a single application to benefit from all the GPUs available in the cluster without loosing efficiency.

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The goal of this study is the analysis of the dynamical properties of financial data series from worldwide stock market indexes during the period 2000–2009. We analyze, under a regional criterium, ten main indexes at a daily time horizon. The methods and algorithms that have been explored for the description of dynamical phenomena become an effective background in the analysis of economical data. We start by applying the classical concepts of signal analysis, fractional Fourier transform, and methods of fractional calculus. In a second phase we adopt the multidimensional scaling approach. Stock market indexes are examples of complex interacting systems for which a huge amount of data exists. Therefore, these indexes, viewed from a different perspectives, lead to new classification patterns.