Determining The Value-at-risk In The Shadow Of The Power Law: The Case Of The SP-500 Index

In extant financial market models, including the Black-Scholes’ contruct, the dramatic events of October 1987 and August 2007 are totally unexpected, because these models are based on the assumptions of ‘independent price fluctuations’ and the existence of some ‘fixed-point equilibrium’. This paper argues that the convolution of a generalized fractional Brownian motion (into an array in frequency or time domain) and their corresponding amplitude spectra describes the surface of the attractor driving the evolution of prices. This more realistic approach shows that the SP-500 Index is characterized by a high long term Hurst exponent and hence by a ‘black noise’ with a power spectrum proportional to f-b (b > 2). In that set up, the above dramatic events are expected and their frequencies are determined. The paper also constructs an exhaustive frequency-variation relationship which can be used as practical guide to assess the ‘value at risk’.Market Collapse; Fractional Brownian Motion; Fractal Attractors; Maximum Hausdorff Dimension of Markets and Affine Profiles; Hurst Exponent; Power Spectrum Exponent; Value at Risk

Signal and data processing for machine olfaction and chemical sensing: A review

Signal and data processing are essential elements in electronic noses as well as in most chemical sensing instruments. The multivariate responses obtained by chemical sensor arrays require signal and data processing to carry out the fundamental tasks of odor identification (classification), concentration estimation (regression), and grouping of similar odors (clustering). In the last decade, important advances have shown that proper processing can improve the robustness of the instruments against diverse perturbations, namely, environmental variables, background changes, drift, etc. This article reviews the advances made in recent years in signal and data processing for machine olfaction and chemical sensing

Multi-spectral light interaction modeling and imaging of skin lesions

Nevoscope as a diagnostic tool for melanoma was evaluated using a white light source with promising results. Information about the lesion depth and its structure will further improve the sensitivity and specificity of melanoma diagnosis. Wavelength-dependent variable penetration power of monochromatic light in the trans-illumination imaging using the Nevoscope can be used to obtain this information. Optimal selection of wavelengths for multi-spectral imaging requires light-tissue interaction modeling. For this, three-dimensional wavelength dependent voxel-based models of skin lesions with different depths are proposed. A Monte Carlo simulation algorithm (MCSVL) is developed in MATLAB and the tissue models are simulated using the Nevoscope optical geometry. 350-700nm optical wavelengths with an interval of 5nm are used in the study. A correlation analysis between the lesion depth and the diffuse reflectance is then used to obtain wavelengths that will produce diffuse reflectance suitable for imaging and give information related to the nevus depth and structure. Using the selected wavelengths, multi-spectral trans-illumination images of the skin lesions are collected and analyzed. An adaptive wavelet transform based tree-structure classification method (ADWAT) is proposed to classify epi-illuminance images of the skin lesions obtained using a white light source into melanoma and dysplastic nevus images classes. In this method, tree-structure models of melanoma and dysplastic nevus are developed and semantically compared with the tree-structure of the unknown image for classification. Development of the tree-structure is dependent on threshold selections obtained from a statistical analysis of the feature set. This makes the classification method adaptive. The true positive value obtained for this classifier is 90% with a false positive of 10%. The Extended ADWAT method and Fuzzy Membership Functions method using combined features from the epi-illuminance and multi-spectral images further improve the sensitivity and specificity of melanoma diagnosis. The combined feature set with the Extended-ADWAT method gives a true positive of 93.33% with a false positive of 8.88%. The Gaussian Membership Functions give a true positive of 100% with a false positive of 17.77% while the Bell Membership Functions give a true positive of 100% with a false positive of 4.44%

On-line quality control in polymer processing using hyperspectral imaging

L’industrie du plastique se tourne de plus en plus vers les matériaux composites afin d’économiser de la matière et/ou d’utiliser des matières premières à moindres coûts, tout en conservant de bonnes propriétés. L’impressionnante adaptabilité des matériaux composites provient du fait que le manufacturier peut modifier le choix des matériaux utilisés, la proportion selon laquelle ils sont mélangés, ainsi que la méthode de mise en œuvre utilisée. La principale difficulté associée au développement de ces matériaux est l’hétérogénéité de composition ou de structure, qui entraîne généralement des défaillances mécaniques. La qualité des prototypes est normalement mesurée en laboratoire, à partir de tests destructifs et de méthodes nécessitant la préparation des échantillons. La mesure en-ligne de la qualité permettrait une rétroaction quasi-immédiate sur les conditions d’opération des équipements, en plus d’être directement utilisable pour le contrôle de la qualité dans une situation de production industrielle. L’objectif de la recherche proposée consiste à développer un outil de contrôle de qualité pour la qualité des matériaux plastiques de tout genre. Quelques sondes de type proche infrarouge ou ultrasons existent présentement pour la mesure de la composition en-ligne, mais celles-ci ne fournissent qu’une valeur ponctuelle à chaque acquisition. Ce type de méthode est donc mal adapté pour identifier la distribution des caractéristiques de surface de la pièce (i.e. homogénéité, orientation, dispersion). Afin d’atteindre cet objectif, un système d’imagerie hyperspectrale est proposé. À l’aide de cet appareil, il est possible de balayer la surface de la pièce et d’obtenir une image hyperspectrale, c’est-à-dire une image formée de l’intensité lumineuse à des centaines de longueurs d’onde et ce, pour chaque pixel de l’image. L’application de méthodes chimiométriques permettent ensuite d’extraire les caractéristiques spatiales et spectrales de l’échantillon présentes dans ces images. Finalement, les méthodes de régression multivariée permettent d’établir un modèle liant les caractéristiques identifiées aux propriétés de la pièce. La construction d’un modèle mathématique forme donc l’outil d’analyse en-ligne de la qualité des pièces qui peut également prédire et optimiser les conditions de fabrication.The use of plastic composite materials has been increasing in recent years in order to reduce the amount of material used and/or use more economic materials, all of which without compromising the properties. The impressive adaptability of these composite materials comes from the fact that the manufacturer can choose the raw materials, the proportion in which they are blended as well as the processing conditions. However, these materials tend to suffer from heterogeneous compositions and structures, which lead to mechanical weaknesses. Product quality is generally measured in the laboratory, using destructive tests often requiring extensive sample preparation. On-line quality control would allow near-immediate feedback on the operating conditions and may be transferrable to an industrial production context. The proposed research consists of developing an on-line quality control tool adaptable to plastic materials of all types. A number of infrared and ultrasound probes presently exist for on-line composition estimation, but only provide single-point values at each acquisition. These methods are therefore less adapted for identifying the spatial distribution of a sample’s surface characteristics (e.g. homogeneity, orientation, dispersion). In order to achieve this objective, a hyperspectral imaging system is proposed. Using this tool, it is possible to scan the surface of a sample and obtain a hyperspectral image, that is to say an image in which each pixel captures the light intensity at hundreds of wavelengths. Chemometrics methods can then be applied to this image in order to extract the relevant spatial and spectral features. Finally, multivariate regression methods are used to build a model between these features and the properties of the sample. This mathematical model forms the backbone of an on-line quality assessment tool used to predict and optimize the operating conditions under which the samples are processed

Drift Correction Methods for gas Chemical Sensors in Artificial Olfaction Systems: Techniques and Challenges

In this chapter the authors introduce the main challenges faced when developing drift correction techniques and will propose a deep overview of state-of-the-art methodologies that have been proposed in the scientific literature trying to underlying pros and cons of these techniques and focusing on challenges still open and waiting for solution

Design Issues and Challenges of File Systems for Flash Memories

This chapter discusses how to properly address the issues of using NAND flash memories as mass-memory devices from the native file system standpoint. We hope that the ideas and the solutions proposed in this chapter will be a valuable starting point for designers of NAND flash-based mass-memory devices

Advanced photonic and electronic systems WILGA 2018

WILGA annual symposium on advanced photonic and electronic systems has been organized by young scientist for young scientists since two decades. It traditionally gathers around 400 young researchers and their tutors. Ph.D students and graduates present their recent achievements during well attended oral sessions. Wilga is a very good digest of Ph.D. works carried out at technical universities in electronics and photonics, as well as information sciences throughout Poland and some neighboring countries. Publishing patronage over Wilga keep Elektronika technical journal by SEP, IJET and Proceedings of SPIE. The latter world editorial series publishes annually more than 200 papers from Wilga. Wilga 2018 was the XLII edition of this meeting. The following topical tracks were distinguished: photonics, electronics, information technologies and system research. The article is a digest of some chosen works presented during Wilga 2018 symposium. WILGA 2017 works were published in Proc. SPIE vol.10445. WILGA 2018 works were published in Proc. SPIE vol.10808

Smart Sensor Monitoring in Machining of Difficult-to-cut Materials

The research activities presented in this thesis are focused on the development of smart sensor monitoring procedures applied to diverse machining processes with particular reference to the machining of difficult-to-cut materials. This work will describe the whole smart sensor monitoring procedure starting from the configuration of the multiple sensor monitoring system for each specific application and proceeding with the methodologies for sensor signal detection and analysis aimed at the extraction of signal features to feed to intelligent decision-making systems based on artificial neural networks. The final aim is to perform tool condition monitoring in advanced machining processes in terms of tool wear diagnosis and forecast, in the perspective of zero defect manufacturing and green technologies. The work has been addressed within the framework of the national MIUR PON research project CAPRI, acronym for “Carrello per atterraggio con attuazione intelligente” (Landing Gear with Intelligent Actuation), and the research project STEP FAR, acronym for “Sviluppo di materiali e Tecnologie Ecocompatibili, di Processi di Foratura, taglio e di Assemblaggio Robotizzato” (Development of eco-compatible materials and technologies for robotised drilling and assembly processes). Both projects are sponsored by DAC, the Campania Technological Aerospace District, and involve two aerospace industries, Magnaghi Aeronautica S.p.A. and Leonardo S.p.A., respectively. Due to the industrial framework in which the projects were developed and taking advantage of the support from the industrial partners, the project activities have been carried out with the aim to contribute to the scientific research in the field of machining process monitoring as well as to promote the industrial applicability of the results. The thesis was structured in order to illustrate all the methodologies, the experimental tests and the results obtained from the research activities. It begins with an introduction to “Sensor monitoring of machining processes” (Chapter 2) with particular attention to the main sensor monitoring applications and the types of sensors which are employed in machining. The key methods for advanced sensor signal processing, including the implementation of sensor fusion technology, are discussed in details as they represent the basic input for cognitive decision-making systems construction. The chapter finally presents a brief discussion on cloud-based manufacturing which will represent one of the future developments of this research work. Chapters 3 and 4 illustrate the case studies of machining process sensor monitoring investigated in the research work. Within the CAPRI project, the feasibility of the dry turning process of Ti6Al4V alloy (Chapter 3) was studied with particular attention to the optimization of the machining parameters avoiding the use of coolant fluids. Since very rapid tool wear is experienced during dry machining of Titanium alloys, the multiple sensor monitoring system was used in order to develop a methodology based on a smart system for on line tool wear detection in terms of maximum flank wear land. Within the STEP FAR project, the drilling process of carbon fibre reinforced (CFRP) composite materials was studied using diverse experimental set-ups. Regarding the tools, three different types of drill bit were employed, including traditional as well as innovative geometry ones. Concerning the investigated materials, two different types of stack configurations were employed, namely CFRP/CFRP stacks and hybrid Al/CFRP stacks. Consequently, the machining parameters for each experimental campaign were varied, and also the methods for signal analysis were changed to verify the performance of the different methodologies. Finally, for each case different neural network configurations were investigated for cognitive-based decision making. First of all, the applicability of the system was tested in order to perform tool wear diagnosis and forecast. Then, the discussion proceeds with a further aim of the research work, which is the reduction of the number of selected sensor signal features, in order to improve the performance of the cognitive decision-making system, simplify modelling and facilitate the implementation of these methodologies in a cloud manufacturing approach to tool condition monitoring. Sensor fusion methodologies were applied to the extracted and selected sensor signal features in the perspective of feature reduction with the purpose to implement these procedures for big data analytics within the Industry 4.0 framework. In conclusion, the positive impact of the proposed tool condition monitoring methodologies based on multiple sensor signal acquisition and processing is illustrated, with particular reference to the reliable assessment of tool state in order to avoid too early or too late cutting tool substitution that negatively affect machining time and cost