Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible pointmass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions. Keywords: High-frequency Data , Point-mass Mixture , Multiplicative Error Model , Excess Zeros , Semiparametric Specification Test , Market Microstructure JEL Classification: C22, C25, C14, C16, C5

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible point-mass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions.high-frequency data, point-mass mixture, multiplicative error model, excess zeros, semiparametric specification test, market microstructure

Evolutionary design of a full-envelope full-authority flight control system for an unstable high-performance aircraft

The use of an evolutionary algorithm in the framework of H1 control theory is being considered as a means for synthesizing controller gains that minimize a weighted combination of the infinite norm of the sensitivity function (for disturbance attenuation requirements) and complementary sensitivity function (for robust stability requirements) at the same time. The case study deals with a complete full-authority longitudinal control system for an unstable high-performance jet aircraft featuring (i) a stability and control augmentation system and (ii) autopilot functions (speed and altitude hold). Constraints on closed-loop response are enforced, that representing typical requirements on airplane handling qualities, that makes the control law synthesis process more demanding. Gain scheduling is required, in order to obtain satisfactory performance over the whole flight envelope, so that the synthesis is performed at different reference trim conditions, for several values of the dynamic pressure, used as the scheduling parameter. Nonetheless, the dynamic behaviour of the aircraft may exhibit significant variations when flying at different altitudes, even for the same value of the dynamic pressure, so that a trade-off is required between different feasible controllers synthesized at different altitudes for a given equivalent airspeed. A multiobjective search is thus considered for the determination of the best suited solution to be introduced in the scheduling of the control law. The obtained results are then tested on a longitudinal non-linear model of the aircraft

Differential Dynamic Programming for time-delayed systems

Trajectory optimization considers the problem of deciding how to control a dynamical system to move along a trajectory which minimizes some cost function. Differential Dynamic Programming (DDP) is an optimal control method which utilizes a second-order approximation of the problem to find the control. It is fast enough to allow real-time control and has been shown to work well for trajectory optimization in robotic systems. Here we extend classic DDP to systems with multiple time-delays in the state. Being able to find optimal trajectories for time-delayed systems with DDP opens up the possibility to use richer models for system identification and control, including recurrent neural networks with multiple timesteps in the state. We demonstrate the algorithm on a two-tank continuous stirred tank reactor. We also demonstrate the algorithm on a recurrent neural network trained to model an inverted pendulum with position information only.Comment: 7 pages, 6 figures, conference, Decision and Control (CDC), 2016 IEEE 55th Conference o

The effects of inflation on growth and fluctuations in dynamic macroeconomic models

Economic Growth;Macroeconomic Models;Inflation;Monetary Models

Dynamic Occupancy Grid Prediction for Urban Autonomous Driving: A Deep Learning Approach with Fully Automatic Labeling

Long-term situation prediction plays a crucial role in the development of intelligent vehicles. A major challenge still to overcome is the prediction of complex downtown scenarios with multiple road users, e.g., pedestrians, bikes, and motor vehicles, interacting with each other. This contribution tackles this challenge by combining a Bayesian filtering technique for environment representation, and machine learning as long-term predictor. More specifically, a dynamic occupancy grid map is utilized as input to a deep convolutional neural network. This yields the advantage of using spatially distributed velocity estimates from a single time step for prediction, rather than a raw data sequence, alleviating common problems dealing with input time series of multiple sensors. Furthermore, convolutional neural networks have the inherent characteristic of using context information, enabling the implicit modeling of road user interaction. Pixel-wise balancing is applied in the loss function counteracting the extreme imbalance between static and dynamic cells. One of the major advantages is the unsupervised learning character due to fully automatic label generation. The presented algorithm is trained and evaluated on multiple hours of recorded sensor data and compared to Monte-Carlo simulation