24 research outputs found

    Essays on the nonlinear and nonstochastic nature of stock market data

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    The nature and structure of stock-market price dynamics is an area of ongoing and rigourous scientific debate. For almost three decades, most emphasis has been given on upholding the concepts of Market Efficiency and rational investment behaviour. Such an approach has favoured the development of numerous linear and nonlinear models mainly of stochastic foundations. Advances in mathematics have shown that nonlinear deterministic processes i.e. "chaos" can produce sequences that appear random to linear statistical techniques. Till recently, investment finance has been a science based on linearity and stochasticity. Hence it is important that studies of Market Efficiency include investigations of chaotic determinism and power laws. As far as chaos is concerned, there are rather mixed or inconclusive research results, prone with controversy. This inconclusiveness is attributed to two things: the nature of stock market time series, which are highly volatile and contaminated with a substantial amount of noise of largely unknown structure, and the lack of appropriate robust statistical testing procedures. In order to overcome such difficulties, within this thesis it is shown empirically and for the first time how one can combine novel techniques from recent chaotic and signal analysis literature, under a univariate time series analysis framework. Three basic methodologies are investigated: Recurrence analysis, Surrogate Data and Wavelet transforms. Recurrence Analysis is used to reveal qualitative and quantitative evidence of nonlinearity and nonstochasticity for a number of stock markets. It is then demonstrated how Surrogate Data, under a statistical hypothesis testing framework, can be simulated to provide similar evidence. Finally, it is shown how wavelet transforms can be applied in order to reveal various salient features of the market data and provide a platform for nonparametric regression and denoising. The results indicate that without the invocation of any parametric model-based assumptions, one can easily deduce that there is more to linearity and stochastic randomness in the data. Moreover, substantial evidence of recurrent patterns and aperiodicities is discovered which can be attributed to chaotic dynamics. These results are therefore very consistent with existing research indicating some types of nonlinear dependence in financial data. Concluding, the value of this thesis lies in its contribution to the overall evidence on Market Efficiency and chaotic determinism in financial markets. The main implication here is that the theory of equilibrium pricing in financial markets may need reconsideration in order to accommodate for the structures revealed

    Pattern Recognition

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    Pattern recognition is a very wide research field. It involves factors as diverse as sensors, feature extraction, pattern classification, decision fusion, applications and others. The signals processed are commonly one, two or three dimensional, the processing is done in real- time or takes hours and days, some systems look for one narrow object class, others search huge databases for entries with at least a small amount of similarity. No single person can claim expertise across the whole field, which develops rapidly, updates its paradigms and comprehends several philosophical approaches. This book reflects this diversity by presenting a selection of recent developments within the area of pattern recognition and related fields. It covers theoretical advances in classification and feature extraction as well as application-oriented works. Authors of these 25 works present and advocate recent achievements of their research related to the field of pattern recognition

    Segmentation d'images et suivi d'objets en vidéos approches par estimation, sélection de caractéristiques et contours actifs

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    Cette thèse aborde deux problèmes parmi les plus importants et les plus complexes dans la vision artificielle, qui sont la segmentation d'images et le suivi d'objets dans les vidéos. Nous proposons plusieurs approches, traitant de ces deux problèmes, qui sont basées sur la modélisation variationnelle (contours actifs) et statistique. Ces approches ont pour but de surmonter différentes limites théoriques et pratiques (algorithmiques) de ces deux problèmes. En premier lieu, nous abordons le problème d'automatisation de la segmentation par contours actifs"ensembles de niveaux", et sa généralisation pour le cas de plusieurs régions. Pour cela, un modèle permettant d'estimer l'information de régions de manière automatique, et adaptative au contenu de l'image, est proposé. Ce modèle n'utilise aucune information a priori sur les régions, et traite également les images de couleur et de texture, avec un nombre arbitraire de régions. Nous introduisons ensuite une approche statistique pour estimer et intégrer la pertinence des caractéristiques et la sémantique dans la segmentation d'objets d'intérêt. En deuxième lieu, nous abordons le problème du suivi d'objets dans les vidéos en utilisant les contours actifs. Nous proposons pour cela deux modèles différents. Le premier suppose que les propriétés photométriques des objets suivis sont invariantes dans le temps, mais le modèle est capable de suivre des objets en présence de bruit, et au milieu de fonds de vidéos non-statiques et encombrés. Ceci est réalisé grâce à l'intégration de l'information de régions, de frontières et de formes des objets suivis. Le deuxième modèle permet de prendre en charge les variations photométriques des objets suivis, en utilisant un modèle statistique adaptatif à l'apparence de ces derniers. Finalement, nous proposons un nouveau modèle statistique, basé sur la Gaussienne généralisée, pour une représentation efficace de données bruitées et de grandes dimensions en segmentation. Ce modèle est utilisé pour assurer la robustesse de la segmentation des images de couleur contenant du bruit, ainsi que des objets en mouvement dans les vidéos (acquises par des caméras statiques) contenant de l'ombrage et/ou des changements soudains d'illumination

    Untangling hotel industry’s inefficiency: An SFA approach applied to a renowned Portuguese hotel chain

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    The present paper explores the technical efficiency of four hotels from Teixeira Duarte Group - a renowned Portuguese hotel chain. An efficiency ranking is established from these four hotel units located in Portugal using Stochastic Frontier Analysis. This methodology allows to discriminate between measurement error and systematic inefficiencies in the estimation process enabling to investigate the main inefficiency causes. Several suggestions concerning efficiency improvement are undertaken for each hotel studied.info:eu-repo/semantics/publishedVersio

    Measuring Non-Gaussianity by Phi-Transformed and Fuzzy Histograms

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    Independent component analysis (ICA) is an essential building block for data analysis in many applications. Selecting the truly meaningful components from the result of an ICA algorithm, or comparing the results of different algorithms, however, is nontrivial problems. We introduce a very general technique for evaluating ICA results rooted in information-theoretic model selection. The basic idea is to exploit the natural link between non-Gaussianity and data compression: the better the data transformation represented by one or several ICs improves the effectiveness of data compression, the higher is the relevance of the ICs. We propose two different methods which allow an efficient data compression of non-Gaussian signals: Phi-transformed histograms and fuzzy histograms. In an extensive experimental evaluation, we demonstrate that our novel information-theoretic measures robustly select non-Gaussian components from data in a fully automatic way, that is, without requiring any restrictive assumptions or thresholds

    Multiresolution models in image restoration and reconstruction with medical and other applications

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    Neuroinformatics in Functional Neuroimaging

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    This Ph.D. thesis proposes methods for information retrieval in functional neuroimaging through automatic computerized authority identification, and searching and cleaning in a neuroscience database. Authorities are found through cocitation analysis of the citation pattern among scientific articles. Based on data from a single scientific journal it is shown that multivariate analyses are able to determine group structure that is interpretable as particular “known ” subgroups in functional neuroimaging. Methods for text analysis are suggested that use a combination of content and links, in the form of the terms in scientific documents and scientific citations, respectively. These included context sensitive author ranking and automatic labeling of axes and groups in connection with multivariate analyses of link data. Talairach foci from the BrainMap ™ database are modeled with conditional probability density models useful for exploratory functional volumes modeling. A further application is shown with conditional outlier detection where abnormal entries in the BrainMap ™ database are spotted using kernel density modeling and the redundancy between anatomical labels and spatial Talairach coordinates. This represents a combination of simple term and spatial modeling. The specific outliers that were found in the BrainMap ™ database constituted among others: Entry errors, errors in the article and unusual terminology

    Inverse Problem Formulation and Deep Learning Methods for Ultrasound Beamforming and Image Reconstruction

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    Ultrasound imaging is among the most common medical imaging modalities, which has the advantages of being real-time, non-invasive, cost-effective, and portable. Medical ultrasound images, however, have low values of signal-to-noise ratio due to many factors, and there has been a long-standing line of research on improving the quality of ultrasound images. Ultrasound transducers are made from piezoelectric elements, which are responsible for the insonification of the medium with non-invasive acoustic waves and also the reception of backscattered signals. Design optimizations span all steps of the image formation pipeline, including system architecture, hardware development, and software algorithms. Each step entails parameter optimizations and trade-offs in order to achieve a balance in competing effects such as cost, performance, and efficiency. The current thesis is devoted to research on image reconstruction techniques in order to push forward the classical limitations. It is tried not to be restricted into a specific class of computational imaging or machine learning method. As such, classical approaches and recent methods based on deep learning are adapted according to the requirements and limitations of the image reconstruction problem. In other words, we aim to reconstruct a high-quality spatial map of the medium echogenicity from raw channel data received from piezoelectric elements. All other steps of the ultrasound image formation pipeline are considered fixed, and the goal is to extract the best possible image quality (in terms of resolution, contrast, speckle pattern, etc.) from echo traces acquired by transducer elements. Two novel approaches are proposed on super-resolution ultrasound imaging by training deep models that create mapping functions from observations recorded from a single transmission to high-quality images. These models are mainly developed to resolve the necessity of several transmissions, which can potentially be used in applications that require both high framerate and image quality. The remaining four contributions are on beamforming, which is an essential step in medical ultrasound image reconstruction. Different approaches, including independent component analysis, deep learning, and inverse problem formulations, are utilized to tackle the ill-posed inverse problem of receive beamforming. The primary goal of novel beamformers is to find a solution to the trade-off between image quality and framerate. The final chapter consists of concluding remarks on each of our contributions, where the strengths and weaknesses of our proposed techniques based on classical computational imaging and deep learning methods are outlined. There is still a large room for improvement in all of our proposed techniques, and the thesis is concluded by providing avenues for future research to attain those improvements

    STK /WST 795 Research Reports

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    These documents contain the honours research reports for each year for the Department of Statistics.Honours Research Reports - University of Pretoria 20XXStatisticsBSs (Hons) Mathematical Statistics, BCom (Hons) Statistics, BCom (Hons) Mathematical StatisticsUnrestricte
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