6,037 research outputs found
Realtime market microstructure analysis: online Transaction Cost Analysis
Motivated by the practical challenge in monitoring the performance of a large
number of algorithmic trading orders, this paper provides a methodology that
leads to automatic discovery of the causes that lie behind a poor trading
performance. It also gives theoretical foundations to a generic framework for
real-time trading analysis. Academic literature provides different ways to
formalize these algorithms and show how optimal they can be from a
mean-variance, a stochastic control, an impulse control or a statistical
learning viewpoint. This paper is agnostic about the way the algorithm has been
built and provides a theoretical formalism to identify in real-time the market
conditions that influenced its efficiency or inefficiency. For a given set of
characteristics describing the market context, selected by a practitioner, we
first show how a set of additional derived explanatory factors, called anomaly
detectors, can be created for each market order. We then will present an online
methodology to quantify how this extended set of factors, at any given time,
predicts which of the orders are underperforming while calculating the
predictive power of this explanatory factor set. Armed with this information,
which we call influence analysis, we intend to empower the order monitoring
user to take appropriate action on any affected orders by re-calibrating the
trading algorithms working the order through new parameters, pausing their
execution or taking over more direct trading control. Also we intend that use
of this method in the post trade analysis of algorithms can be taken advantage
of to automatically adjust their trading action.Comment: 33 pages, 12 figure
Online Detection of False Data Injection Attacks to Synchrophasor Measurements: A Data-Driven Approach
This paper presents an online data-driven algorithm to detect false data injection attacks towards synchronphasor measurements. The proposed algorithm applies density-based local outlier factor (LOF) analysis to detect the anomalies among the data, which can be described as spatio-temporal outliers among all the synchrophasor measurements from the grid. By leveraging the spatio-temporal correlations among multiple time instants of synchrophasor measurements, this approach could detect false data injection attacks which are otherwise not detectable using measurements obtained from single snapshot. This algorithm requires no prior knowledge on system parameters or topology. The computational speed shows satisfactory potential for online monitoring applications. Case studies on both synthetic and real-world synchrophasor data verify the effectiveness of the proposed algorithm
Robust Rotation Synchronization via Low-rank and Sparse Matrix Decomposition
This paper deals with the rotation synchronization problem, which arises in
global registration of 3D point-sets and in structure from motion. The problem
is formulated in an unprecedented way as a "low-rank and sparse" matrix
decomposition that handles both outliers and missing data. A minimization
strategy, dubbed R-GoDec, is also proposed and evaluated experimentally against
state-of-the-art algorithms on simulated and real data. The results show that
R-GoDec is the fastest among the robust algorithms.Comment: The material contained in this paper is part of a manuscript
submitted to CVI
One-Class Classification: Taxonomy of Study and Review of Techniques
One-class classification (OCC) algorithms aim to build classification models
when the negative class is either absent, poorly sampled or not well defined.
This unique situation constrains the learning of efficient classifiers by
defining class boundary just with the knowledge of positive class. The OCC
problem has been considered and applied under many research themes, such as
outlier/novelty detection and concept learning. In this paper we present a
unified view of the general problem of OCC by presenting a taxonomy of study
for OCC problems, which is based on the availability of training data,
algorithms used and the application domains applied. We further delve into each
of the categories of the proposed taxonomy and present a comprehensive
literature review of the OCC algorithms, techniques and methodologies with a
focus on their significance, limitations and applications. We conclude our
paper by discussing some open research problems in the field of OCC and present
our vision for future research.Comment: 24 pages + 11 pages of references, 8 figure
Byzantine Attack and Defense in Cognitive Radio Networks: A Survey
The Byzantine attack in cooperative spectrum sensing (CSS), also known as the
spectrum sensing data falsification (SSDF) attack in the literature, is one of
the key adversaries to the success of cognitive radio networks (CRNs). In the
past couple of years, the research on the Byzantine attack and defense
strategies has gained worldwide increasing attention. In this paper, we provide
a comprehensive survey and tutorial on the recent advances in the Byzantine
attack and defense for CSS in CRNs. Specifically, we first briefly present the
preliminaries of CSS for general readers, including signal detection
techniques, hypothesis testing, and data fusion. Second, we analyze the spear
and shield relation between Byzantine attack and defense from three aspects:
the vulnerability of CSS to attack, the obstacles in CSS to defense, and the
games between attack and defense. Then, we propose a taxonomy of the existing
Byzantine attack behaviors and elaborate on the corresponding attack
parameters, which determine where, who, how, and when to launch attacks. Next,
from the perspectives of homogeneous or heterogeneous scenarios, we classify
the existing defense algorithms, and provide an in-depth tutorial on the
state-of-the-art Byzantine defense schemes, commonly known as robust or secure
CSS in the literature. Furthermore, we highlight the unsolved research
challenges and depict the future research directions.Comment: Accepted by IEEE Communications Surveys and Tutoiral
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