High performance Monte Carlo computation for finance risk data analysis

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Finance risk management has been playing an increasingly important role in the finance sector, to analyse finance data and to prevent any potential crisis. It has been widely recognised that Value at Risk (VaR) is an effective method for finance risk management and evaluation. This thesis conducts a comprehensive review on a number of VaR methods and discusses in depth their strengths and limitations. Among these VaR methods, Monte Carlo simulation and analysis has proven to be the most accurate VaR method in finance risk evaluation due to its strong modelling capabilities. However, one major challenge in Monte Carlo analysis is its high computing complexity of O(n²). To speed up the computation in Monte Carlo analysis, this thesis parallelises Monte Carlo using the MapReduce model, which has become a major software programming model in support of data intensive applications. MapReduce consists of two functions - Map and Reduce. The Map function segments a large data set into small data chunks and distribute these data chunks among a number of computers for processing in parallel with a Mapper processing a data chunk on a computing node. The Reduce function collects the results generated by these Map nodes (Mappers) and generates an output. The parallel Monte Carlo is evaluated initially in a small scale MapReduce experimental environment, and subsequently evaluated in a large scale simulation environment. Both experimental and simulation results show that the MapReduce based parallel Monte Carlo is greatly faster than the sequential Monte Carlo in computation, and the accuracy level is maintained as well. In data intensive applications, moving huge volumes of data among the computing nodes could incur high overhead in communication. To address this issue, this thesis further considers data locality in the MapReduce based parallel Monte Carlo, and evaluates the impacts of data locality on the performance in computation

Passphrase and keystroke dynamics authentication: security and usability

It was found that employees spend a total 2.25 days within a 60 day period on password related activities. Another study found that over 85 days an average user will create 25 accounts with an average of 6.5 unique passwords. These numbers are expected to increase over time as more systems become available. In addition, the use of 6.5 unique passwords highlight that passwords are being reused which creates security concerns as multiple systems will be accessible by an unauthorised party if one of these passwords is leaked. Current user authentication solutions either increase security or usability. When security increases, usability decreases, or vice versa. To add to this, stringent security protocols encourage unsecure behaviours by the user such as writing the password down on a piece of paper to remember it. It was found that passphrases require less cognitive effort than passwords and because passphrases are stronger than passwords, they don’t need to be changed as frequently as passwords. This study aimed to assess a two-tier user authentication solution that increases security and usability. The proposed solution uses passphrases in conjunction with keystroke dynamics to address this research problem. The design science research approach was used to guide this study. The study’s theoretical foundation includes three theories. The Shannon entropy formula was used to calculate the strength of passwords, passphrases and keystroke dynamics. The chunking theory assisted in assessing password and passphrase memorisation issues and the keystroke-level model was used to assess password and passphrase typing issues. Two primary data collection methods were used to evaluate the findings and to ensure that gaps in the research were filled. A login assessment experiment collected data on user authentication and user-system interaction for passwords and passphrases. Plus, an expert review was conducted to verify findings and assess the research artefact in the form of a model. The model can be used to assist with the implementation of a two-tier user authentication solution which involves passphrases and keystroke dynamics. There are a number of components that need to be considered to realise the benefits of this solution and ensure successful implementation

Introductory Computer Forensics

INTERPOL (International Police) built cybercrime programs to keep up with emerging cyber threats, and aims to coordinate and assist international operations for ?ghting crimes involving computers. Although signi?cant international efforts are being made in dealing with cybercrime and cyber-terrorism, ?nding effective, cooperative, and collaborative ways to deal with complicated cases that span multiple jurisdictions has proven dif?cult in practic

Cyber Security and Critical Infrastructures

This book contains the manuscripts that were accepted for publication in the MDPI Special Topic "Cyber Security and Critical Infrastructure" after a rigorous peer-review process. Authors from academia, government and industry contributed their innovative solutions, consistent with the interdisciplinary nature of cybersecurity. The book contains 16 articles: an editorial explaining current challenges, innovative solutions, real-world experiences including critical infrastructure, 15 original papers that present state-of-the-art innovative solutions to attacks on critical systems, and a review of cloud, edge computing, and fog's security and privacy issues

Evaluating the Robustness of Resource Allocations Obtained through Performance Modeling with Stochastic Process Algebra

Recent developments in the field of parallel and distributed computing has led to a proliferation of solving large and computationally intensive mathematical, science, or engineering problems, that consist of several parallelizable parts and several non-parallelizable (sequential) parts. In a parallel and distributed computing environment, the performance goal is to optimize the execution of parallelizable parts of an application on concurrent processors. This requires efficient application scheduling and resource allocation for mapping applications to a set of suitable parallel processors such that the overall performance goal is achieved. However, such computational environments are often prone to unpredictable variations in application (problem and algorithm) and system characteristics. Therefore, a robustness study is required to guarantee a desired level of performance. Given an initial workload, a mapping of applications to resources is considered to be robust if that mapping optimizes execution performance and guarantees a desired level of performance in the presence of unpredictable perturbations at runtime. In this research, a stochastic process algebra, Performance Evaluation Process Algebra (PEPA), is used for obtaining resource allocations via a numerical analysis of performance modeling of the parallel execution of applications on parallel computing resources. The PEPA performance model is translated into an underlying mathematical Markov chain model for obtaining performance measures. Further, a robustness analysis of the allocation techniques is performed for finding a robustmapping from a set of initial mapping schemes. The numerical analysis of the performance models have confirmed similarity with the simulation results of earlier research available in existing literature. When compared to direct experiments and simulations, numerical models and the corresponding analyses are easier to reproduce, do not incur any setup or installation costs, do not impose any prerequisites for learning a simulation framework, and are not limited by the complexity of the underlying infrastructure or simulation libraries

Improving Network Performance Through Endpoint Diagnosis And Multipath Communications

Components of networks, and by extension the internet can fail. It is, therefore, important to find the points of failure and resolve existing issues as quickly as possible. Resolution, however, takes time and its important to maintain high quality of service (QoS) for existing clients while it is in progress. In this work, our goal is to provide clients with means of avoiding failures if/when possible to maintain high QoS while enabling them to assist in the diagnosis process to speed up the time to recovery. Fixing failures relies on first detecting that there is one and then identifying where it occurred so as to be able to remedy it. We take a two-step approach in our solution. First, we identify the entity (Client, Server, Network) responsible for the failure. Next, if a failure is identified as network related additional algorithms are triggered to detect the device responsible. To achieve the first step, we revisit the question: how much can you infer about a failure using TCP statistics collected at one of the endpoints in a connection? Using an agent that captures TCP statistics at one of the end points we devise a classification algorithm that identifies the root cause of failures. Using insights derived from this classification algorithm we identify dominant TCP metrics that indicate where/why problems occur. If/when a failure is identified as a network related problem, the second step is triggered, where the algorithm uses additional information that is collected from ``failed\u27\u27 connections to identify the device which resulted in the failure. Failures are also disruptive to user\u27s performance. Resolution may take time. Therefore, it is important to be able to shield clients from their effects as much as possible. One option for avoiding problems resulting from failures is to rely on multiple paths (they are unlikely to go bad at the same time). The use of multiple paths involves both selecting paths (routing) and using them effectively. The second part of this thesis explores the efficacy of multipath communication in such situations. It is expected that multi-path communications have monetary implications for the ISP\u27s and content providers. Our solution, therefore, aims to minimize such costs to the content providers while significantly improving user performance