Travel Time Variability of a Group of Car Commuters in North London

This working paper describes a study of the variability of journey times of a panel of fifteen commuters using one north London radial corridor, over a total of seven weeks in the spring and summer of 1987. The objectives were to gain preliminary information on the extent of journey time variability and on the commuters* perception of and responses to the variability they experienced. The procedure for selecting the panel and contacting them is described, together with the data collection method, which consisted principally of panellists using tape recorders in their cars to record the time at which fixed points along the route were passed on each day's journey to work. Early or late arrival and its consequences in relation to the day's tasks were recorded at the destination. Analyses are presented of the distributions of times of complete and partial journeys, of the relationship between journey duration and variability and of the effects of diversion in response to perceived traffic conditions. The safety margins needed to ensure given percentages of punctual arrivals were estimated and contrasted with those from previous studies. Further analyses are presented indicating the general unimportance of punctuality for these panellists, the effects of significant lateness when it did occur, and of the panellists' ability to predict their arrival times in advance. A study of highway link travel time variability and its causes was also carried out for cars at the a same time in the same corridor. The methodology, surveys and data processing of this parallel study are set out in ITS Working - Paper 278, and the results and analysis in ITS Working Paper 279

An Empirical Analysis of the Thai and Major International Stock Markets

This paper investigates the existence of cointegration and causality between the stock market price indices of Thailand and its major trading partners (Australia, Hong Kong, Indonesia, Japan, Korea, Malaysia, the Philippines, Singapore, Taiwan, the UK and the US), using monthly data spanning December 1987 to December 2005. Both the Engle- Granger two-step procedure (assuming no structural breaks) and the Gregory and Hansen (1996) test (allowing for one structural break) provide no evidence of a long-run relationship between the stock prices of Thailand and these countries. Based on the empirical results obtained from these two residual-based cointegration tests, potential long-run benefits exist from diversifying the investment portfolios internationally to reduce the associated systematic risks across countries. However, in the short run, three unidirectional Granger causalities run from the stock returns of Hong Kong, the Philippines and the UK to those of Thailand, pair-wise. Furthermore, there are two unidirectional causalities running from the stock returns of Thailand to those of Indonesia and the US. We also found empirical evidence of bidirectional Granger causality, suggesting that the stock returns of Thailand and three of its neighbouring countries (Malaysia, Singapore and Taiwan) are interrelated. No previous study examines the possibility that the pair-wise long-run relationship between the stock prices of Thailand and those of both emerging and developed markets may have been subject to a structural break.Stock markets, Cointegration, Structural breaks, Thailand

An application of lyapunov stability analysis to improve the performance of NARMAX models

Previously we presented a novel approach to program a robot controller based on system identification and robot training techniques. The proposed method works in two stages: first, the programmer demonstrates the desired behaviour to the robot by driving it manually in the target environment. During this run, the sensory perception and the desired velocity commands of the robot are logged. Having thus obtained training data we model the relationship between sensory readings and the motor commands of the robot using ARMAX/NARMAX models and system identification techniques. These produce linear or non-linear polynomials which can be formally analysed, as well as used in place of “traditional robot” control code. In this paper we focus our attention on how the mathematical analysis of NARMAX models can be used to understand the robot’s control actions, to formulate hypotheses and to improve the robot’s behaviour. One main objective behind this approach is to avoid trial-and-error refinement of robot code. Instead, we seek to obtain a reliable design process, where program design decisions are based on the mathematical analysis of the model describing how the robot interacts with its environment to achieve the desired behaviour. We demonstrate this procedure through the analysis of a particular task in mobile robotics: door traversal