A Dynamic Semiparametric Factor Model for Implied Volatility String Dynamics

A primary goal in modelling the implied volatility surface (IVS) for pricing and hedging aims at reducing complexity. For this purpose one fits the IVS each day and applies a principal component analysis using a functional norm. This approach, however, neglects the degenerated string structure of the implied volatility data and may result in a modelling bias. We propose a dynamic semiparametric factor model (DSFM), which approximates the IVS in a finite dimensional function space. The key feature is that we only fit in the local neighborhood of the design points. Our approach is a combination of methods from functional principal component analysis and backfitting techniques for additive models. The model is found to have an approximate 10% better performance than a sticky moneyness model. Finally, based on the DSFM, we devise a generalized vega-hedging strategy for exotic options that are priced in the local volatility framework. The generalized vega-hedging extends the usual approaches employed in the local volatility framework.Smile, local volatility, generalized additive model, backfitting, functional principal component analysis

Modeling the Effects of Maintenance on the degradation of a Water-feeding Turbo-pump of a Nuclear Power Plant

International audienceThis work addresses the modelling of the effects of maintenance on the degradation of an electric power plant component. This is done within a modelling framework previously proposed by the authors, of which the distinguishing feature is the characterization of the component living conditions by influencing factors (IFs), i.e. conditioning aspects of the component life that influence its degradation. The original fuzzy logic-based modelling framework includes maintenance as an IF; this requires one to jointly model its effects on the component degradation together with those of the other influencing factors. This may not come natural to the experts who are requested to provide the if-then linguistic rules at the basis of the fuzzy model linking the IFs with the component degradation state. An alternative modelling approach is proposed in this work, which does not consider maintenance as an IF that directly impacts on the degradation but as an external action that affects the state of the other IFs. By way of an example regarding the propagation of a crack in a water-feeding turbo-pump of a nuclear power plant, the approach is shown to properly model the maintenance actions based on information that can be more easily elicited from experts

Using a design by features CAD system for process capability modelling

Process capability modelling offers a method of matching the shape, technological and cost capabilities of manufacturing equipment to the requirements of components, singly or as groups. This provides the basis of planning tools useful in the capital intensive business of the construction of new manufacturing facilities or the reconfiguration of existing ones. The success of this modelling approach is dependent upon having an appropriate representation of the design geometry. The representation must be such that all geometric inquiries raised by the process capability modelling are either explicitly held within some data representation or alternatively can be derived algorithmically by reference to a geometric model. The representation must also be capable of withstanding the rigours of use within the wider context of implementing an important part of the CAM interface within a CIM environment. This paper describes a feature-based representation based on a feature taxonomy which uses External Access Directions (EAD) as the characterizing aspect of geometry. These EADs become potential machining directions for a collection of features on a component, and are used as an essential link into generative process planning activities. The representation has been used in conjunction with process planning and process capability modelling applications. This paper concentrates on the latter, where the feature representation has been embedded within a proprietary geometric modeller which has been provided with a purpose-built user interface. A feature-based component model is created by the geometric modeller and accessed by functions which enable flexible component grouping and matching to process capability through the concept of a composite component. Subsequent process component grouping within the context of particular manufacturing systems strategies (cellular manufacture, flow-line, etc.) ultimately results in functional machine descriptions and variants

Video Classification Using Spatial-Temporal Features and PCA

We investigate the problem of automated video classification by analysing the low-level audio-visual signal patterns along the time course in a holistic manner. Five popular TV broadcast genre are studied including sports, cartoon, news, commercial and music. A novel statistically based approach is proposed comprising two important ingredients designed for implicit semantic content characterisation and class identities modelling. First, a spatial-temporal audio-visual "super" feature vector is computed, capturing crucial clip-level video structure information inherent in a video genre. Second, the feature vector is further processed using Principal Component Analysis to reduce the spatial-temporal redundancy while exploiting the correlations between feature elements, which give rise to a compact representation for effective probabilistic modelling of each video genre. Extensive experiments are conducted assessing various aspects of the approach and their influence on the overall system performance

Multiclass microarray gene expression classification based on fusion of correlation features

In this paper, we propose novel algorithmic models based on fusion of independent and correlated gene features for multiclass microarray gene expression classification. It is possible for genes to get co-expressed via different pathways. Moreover, a gene may or may not be co-active for all samples. In this paper, we approach this problem with a optimal feature selection technique using analysis based on statistical techniques to model the complex interactions between genes. The two different types of correlation modelling techniques based on the cross modal factor analysis (CFA) and canonical correlation analysis (CCA) were examined. The subsequent fusion of CCA/CFA features with principal component analysis (PCA) features at feature-level, and at score-level result in significant enhancement in classification accuracy for different data sets corresponding to multiclass microarray gene expression data

Modelling and analysis of temporal preference drifts using a component-based factorised latent approach

In recommender systems, human preferences are identified by a number of individual components with complicated interactions and properties. Recently, the dynamicity of preferences has been the focus of several studies. The changes in user preferences can originate from substantial reasons, like personality shift, or transient and circumstantial ones, like seasonal changes in item popularities. Disregarding these temporal drifts in modelling user preferences can result in unhelpful recommendations. Moreover, different temporal patterns can be associated with various preference domains, and preference components and their combinations. These components comprise preferences over features, preferences over feature values, conditional dependencies between features, socially-influenced preferences, and bias. For example, in the movies domain, the user can change his rating behaviour (bias shift), her preference for genre over language (feature preference shift), or start favouring drama over comedy (feature value preference shift). In this paper, we first propose a novel latent factor model to capture the domain-dependent component-specific temporal patterns in preferences. The component-based approach followed in modelling the aspects of preferences and their temporal effects enables us to arbitrarily switch components on and off. We evaluate the proposed method on three popular recommendation datasets and show that it significantly outperforms the most accurate state-of-the-art static models. The experiments also demonstrate the greater robustness and stability of the proposed dynamic model in comparison with the most successful models to date. We also analyse the temporal behaviour of different preference components and their combinations and show that the dynamic behaviour of preference components is highly dependent on the preference dataset and domain. Therefore, the results also highlight the importance of modelling temporal effects but also underline the advantages of a component-based architecture that is better suited to capture domain-specific balances in the contributions of the aspects

Recognition of Machined Features from Solid Database of Prismatic Components

The automation of process planning requires features to he recognized directly from a computer aided design (CAD) system. This paper presents a new technique for recognition of machined features using point classification technique with a logic-based approach. Boundary r~presentation of solid modelling is used to model a prismatic component. The system is developed entirely in the AutoCAD environment, and the AutoLISP language was used to build the recognition system as it has direct access to the database. Test results are presented to demonstrate the capabilities of the feature recognition algorithm. This paper concentrates on depression and protrusion type machined features