Applications of regime-switching models based on aggregation operators

summary:A synthesis of recent development of regime-switching models based on aggregation operators is presented. It comprises procedures for model specification and identification, parameter estimation and model adequacy testing. Constructions of models for real life data from hydrology and finance are presented

Economic location-based services, privacy and the relationship to identity

Mobile telephony and mobile internet are driving a new application paradigm: location-based services (LBS). Based on a person’s location and context, personalized applications can be deployed. Thus, internet-based systems will continuously collect and process the location in relationship to a personal context of an identified customer. One of the challenges in designing LBS infrastructures is the concurrent design for economic infrastructures and the preservation of privacy of the subjects whose location is tracked. This presentation will explain typical LBS scenarios, the resulting new privacy challenges and user requirements and raises economic questions about privacy-design. The topics will be connected to “mobile identity” to derive what particular identity management issues can be found in LBS

Comparison of a multiple regresion model and a two-regime model of a vertical refraction

Accuracy of the trigonometric measurement of elevations is affected by the systematic influence of a vertical refraction, which is caused by changes of meteorological parameters. Submitted paper deals with a modelling of the impact of the vertical refraction using selected meteorological parameters. At first, a concise derivation of a physical principle of the vertical refraction is given. Then, a multiple regression model and its extension into a form of two-regime model are given. Division into two regimes provides a threshold function, which expresses the dependence of the original explanatory variables. Different types of the threshold function are considered and finally a comparison of the quality of the proposed models and application of a chosen model on the results of repeated trigonometric measurements is given.Presnosť trigonometrického merania prevýšení ovplyvňuje vplyv vertikálnej refrakcie, ktorá je spôsobená zmenami meteorologických prvkov. Príspevok sa zaoberá modelovaním vplyvu vertikálnej refrakcie pomocou vybraných meteorologických prvkov. Úvodná časť sa venuje stručnému odvodeniu fyzikálneho princípu vertikálnej refrakcie. Následne je definovaný viacnásobný regresný model vertikálnej refrakcie, ktorý je ďalej rozvinutý do dvojrežimového modelu. Rozdelenie do dvoch režimov zabezpečuje prahová funkcia, ktorá vyjadruje závislosť pôvodných vysvetľujúcich premenných. Rôzne typy prahovej funkcie sú uvážené a následne porovnanie navrhnutých modelov ako aj použitie vybraného modelu je uvedené

Benchmarking and viability assessment of optical packet switching for metro networks

Optical packet switching (OPS) has been proposed as a strong candidate for future metro networks. This paper assesses the viability of an OPS-based ring architecture as proposed within the research project DAVID (Data And Voice Integration on DWDM), funded by the European Commission through the Information Society Technologies (IST) framework. Its feasibility is discussed from a physical-layer point of view, and its limitations in size are explored. Through dimensioning studies, we show that the proposed OPS architecture is competitive with respect to alternative metropolitan area network (MAN) approaches, including synchronous digital hierarchy, resilient packet rings (RPR), and star-based Ethernet. Finally, the proposed OPS architectures are discussed from a logical performance point of view, and a high-quality scheduling algorithm to control the packet-switching operations in the rings is explained

Integrated chaos generators

This paper surveys the different design issues, from mathematical model to silicon, involved on the design of integrated circuits for the generation of chaotic behavior.Comisión Interministerial de Ciencia y Tecnología 1FD97-1611(TIC)European Commission ESPRIT 3110

Spurious Long Memory in Commodity Futures: Implications for Agribusiness Option Pricing

Long memory, and more precisely fractionally integration, has been put forward as an explanation for the persistence of shocks in a number of economic time series data as well as to reconcile misleading findings of unit roots in data that should be stationary. Recent evidence suggests that long memory characterizes not commodity futures prices but rather price volatility (generally defined as $L_p$ norms of price logreturns). One implication of long memory in volatility is the mispricing of options written on commodity futures, the consequence of which is that fractional Brownian motion should replace geometric Brownian motion as the building block for option pricing solutions. This paper asks whether findings of long memory in volatility might be spurious and caused either by fragile and inaccurate estimation methods and standard errors, by correlated short memory dynamics, or by alternative data generating processes proven to generate the illusion of long memory. We find that for nine out of eleven agricultural commodities for which futures contracts are traded, long memory is spurious but is not caused by the effect of short memory. Alternative explanations are addressed and implications for option pricing are highlighted.Q13, Q14, Marketing, C52, C53, G12, G13,