Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006.

Interacting agents in finance represent a behavioral, agent-based approach in which financial markets are viewed as complex adaptive systems consisting of many boundedly rational agents interacting through simple heterogeneous investment strategies, constantly adapting their behavior in response to new information, strategy performance and through social interactions. An interacting agent system acts as a noise filter, transforming and amplifying purely random news about economic fundamentals into an aggregate market outcome exhibiting important stylized facts such as unpredictable asset prices and returns, excess volatility, temporary bubbles and sudden crashes, large and persistent trading volume, clustered volatility and long memory.

Bilinear noise subtraction at the GEO 600 observatory

We develop a scheme to subtract off bilinear noise from the gravitational wave strain data and demonstrate it at the GEO 600 observatory. Modulations caused by test mass misalignments on longitudinal control signals are observed to have a broadband effect on the mid-frequency detector sensitivity ranging from 50 Hz to 500 Hz. We estimate this bilinear coupling by making use of narrow-band signal injections that are already in place for noise projection purposes. A coherent bilinear signal is constructed by a two-stage system identification process where the involved couplings are approximated in terms of stable rational functions. The time-domain filtering efficiency is observed to depend upon the system identification process especially when the involved transfer functions cover a large dynamic range and have multiple resonant features. We improve upon the existing filter design techniques by employing a Bayesian adaptive directed search strategy that optimizes across the several key parameters that affect the accuracy of the estimated model. The resulting post-offline subtraction leads to a suppression of modulation side-bands around the calibration lines along with a broadband reduction of the mid-frequency noise floor. The filter coefficients are updated periodically to account for any non-stationarities that can arise within the coupling. The observed increase in the astrophysical range and a reduction in the occurrence of non-astrophysical transients suggest that the above method is a viable data cleaning technique for current and future gravitational wave observatories

When are adaptive expectations rational? A generalization

This note presents a simple generalization of the adaptive expectations mechanism in which the learning parameter is time variant. It is shown that expectations generated in this way are rational in the sense of producing minimum mean squared forecast errors for a broad class of time series models, namely any process that can be written in linear state space form.Adaptive Expectations; Rational Expectations; Kalman Filter

An adaptive perception-based image preprocessing method

The aim of this paper is to introduce an adaptive preprocessing procedure based on human perception in order to increase the performance of some standard image processing techniques. Specifically, image frequency content has been weighted by the corresponding value of the contrast sensitivity function, in agreement with the sensitiveness of human eye to the different image frequencies and contrasts. The 2D Rational dilation wavelet transform has been employed for representing image frequencies. In fact, it provides an adaptive and flexible multiresolution framework, enabling an easy and straightforward adaptation to the image frequency content. Preliminary experimental results show that the proposed preprocessing allows us to increase the performance of some standard image enhancement algorithms in terms of visual quality and often also in terms of PSNR

A joint time-invariant filtering approach to the linear Gaussian relay problem

In this paper, the linear Gaussian relay problem is considered. Under the linear time-invariant (LTI) model the problem is formulated in the frequency domain based on the Toeplitz distribution theorem. Under the further assumption of realizable input spectra, the LTI Gaussian relay problem is converted to a joint design problem of source and relay filters under two power constraints, one at the source and the other at the relay, and a practical solution to this problem is proposed based on the projected subgradient method. Numerical results show that the proposed method yields a noticeable gain over the instantaneous amplify-and-forward (AF) scheme in inter-symbol interference (ISI) channels. Also, the optimality of the AF scheme within the class of one-tap relay filters is established in flat-fading channels.Comment: 30 pages, 10 figure

A multi-view approach to cDNA micro-array analysis

The official published version can be obtained from the link below.Microarray has emerged as a powerful technology that enables biologists to study thousands of genes simultaneously, therefore, to obtain a better understanding of the gene interaction and regulation mechanisms. This paper is concerned with improving the processes involved in the analysis of microarray image data. The main focus is to clarify an image's feature space in an unsupervised manner. In this paper, the Image Transformation Engine (ITE), combined with different filters, is investigated. The proposed methods are applied to a set of real-world cDNA images. The MatCNN toolbox is used during the segmentation process. Quantitative comparisons between different filters are carried out. It is shown that the CLD filter is the best one to be applied with the ITE.This work was supported in part by the Engineering and Physical Sciences Research Council (EPSRC) of the UK under Grant GR/S27658/01, the National Science Foundation of China under Innovative Grant 70621001, Chinese Academy of Sciences under Innovative Group Overseas Partnership Grant, the BHP Billiton Cooperation of Australia Grant, the International Science and Technology Cooperation Project of China under Grant 2009DFA32050 and the Alexander von Humboldt Foundation of Germany