Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights are time-varying and may depend on past predictive forecasting performances and other learning mechanisms. The core algorithm is the function DeCo which applies banks of parallel Sequential Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for standard CPU computing and for Graphical Process Unit (GPU) parallel computing. For the GPU implementation we use the Matlab parallel computing toolbox and show how to use General Purposes GPU computing almost effortless. This GPU implementation comes with a speed up of the execution time up to seventy times compared to a standard CPU Matlab implementation on a multicore CPU. We show the use of the package and the computational gain of the GPU version, through some simulation experiments and empirical application

Political spoils or political largesse? Regional development in northern Quebec, Canada and Australia's Northern Territory

This paper examines regional development in northern Quebec, Canada, with a focus on the James Bay Cree, and makes some preliminary comparisons with the Australian Aboriginal people in the Northern Territory. The relationship between economic development and emergent regional Aboriginal governments is a central concern. The paper compares political, juridical, constitutional and cultural factors affecting the organisational and economic resources available to Aboriginal people in the two countries. Even before the signing of the James Bay and Northern Quebec Agreement the Cree have enjoyed relative affluence when compared to most Aboriginal people in Canada or in Australia. With rapid growth in the Cree workforce, subsistence production is a stable but proportionally declining contributor to incomes, while heavily subsidised growth in Cree-controlled public administration and social services, and accelerated entrepreneurial development, have been necessary to avert real economic hardship. This growth has required constant vigilance and lobbying by the Cree, who encounter substantial provincial and federal government resistance to honouring some sections of their Aboriginal claims settlement. Their efforts have not prevented increased unemployment and declines in mean incomes in recent years. But without regional self-government, the Cree would have fared much worse, and their chances of meeting the very substantial demographic, environmental, and economic challenges of current and coming decades would be even more tenuous. This author's impression is that initiatives in Australia are to a greater extent driven by central government policy than in Canada, where Aboriginal organisations, like those in northern Quebec, have put state authorities on the defensive in defining policy and constitutional agendas. There are, however, a number of parallel trends in self-government mobilisation by Australian Aborigines, particularly in the central and northern regions. Regional organisations are assuming a more holistic range of functions of governance, while consolidating Aboriginal control of resources, and are beginning to exploit the attendant possibilities for internal linkages in regional Aboriginal economies

Mathematical Fuzzy Logic in the Emerging Fields of Engineering, Finance, and Computer Sciences

Mathematical fuzzy logic (MFL) specifically targets many-valued logic and has significantly contributed to the logical foundations of fuzzy set theory (FST). It explores the computational and philosophical rationale behind the uncertainty due to imprecision in the backdrop of traditional mathematical logic. Since uncertainty is present in almost every real-world application, it is essential to develop novel approaches and tools for efficient processing. This book is the collection of the publications in the Special Issue “Mathematical Fuzzy Logic in the Emerging Fields of Engineering, Finance, and Computer Sciences”, which aims to cover theoretical and practical aspects of MFL and FST. Specifically, this book addresses several problems, such as:- Industrial optimization problems- Multi-criteria decision-making- Financial forecasting problems- Image processing- Educational data mining- Explainable artificial intelligence, etc

Exploring the Legacy of the 1948 Arnhem Land Expedition

In 1948 a collection of scientists, anthropologists and photographers journeyed to northern Australia for a seven-month tour of research and discovery—now regarded as ‘the last of the big expeditions’. The American–Australian Scientific Expedition to Arnhem Land was front-page news at the time, but 60 years later it is virtually unknown. This lapse into obscurity was due partly to the fraught politics of Australian anthropology and animus towards its leader, the Adelaide-based writer-photographer Charles Mountford. Promoted as a ‘friendly mission’ that would foster good relations between Australia and its most powerful wartime ally, the Expedition was sponsored by National Geographic, the Smithsonian Institution and the Australian Government. An unlikely cocktail of science, diplomacy and popular geography, the Arnhem Land Expedition put the Aboriginal cultures of the vast Arnhem Land reserve on an international stage

Essays on Economic Sentiment Dynamics and Asymmetric Multifractal Models of Financial Volatility

In the first chapter of the dissertation an estimation of the continuous-time Markov chain (CTMC) model of experts' sentiment index is considered in the case of incomplete data. Particularly, three estimation approaches based on a discrete-time sample are presented: the EM algorithm and two versions of the maximum likelihood estimation method. The first approach for the estimation of the considered model is iterative and leads to massive recursive computations of matrices. The most crucial part of the second and third approaches is the numerical computation of the matrix exponential of the intensity matrix. In particular, the second approach is based on the eigendecomposition of the intensity matrix and the corresponding well-known property of matrix exponential for such decomposition. In order to increase the effectiveness of the method in the third approach the fact that the intensity matrix has a lower Hessenberg form is used. All three approaches are based on numerical optimization using the nonlinear conjugate optimizer. The second chapter is dedicated to the development of the methods of calibration and estimation of the model belonging to the asset price class of models. Two variants of the generalization of the Markov Switching Multifractal (MSM) model, called the Asymmetric Markov-Switching Multifrequency, are considered. The modifications are aimed to reproduce such a phenomenon of asset returns as leverage effect. Other features of the model, namely the long memory stylized fact for different frequencies and degrees of persistence, the mean reversion of volatility, and the volatility clustering, are investigated and proven. The option pricing theory based on risk-neutral measure is developed for this model. In-sample and out-of-sample performance are tested