160,583 research outputs found

    Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm in the Context of ARCH Models

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    Autoregressive conditional heteroscedasticity (ARCH) models have successfully been applied in order to predict asset return volatility. Predicting volatility is of great importance in pricing financial derivatives, selecting portfolios, measuring and managing investment risk more accurately. In this paper, a number of ARCH models are considered in the framework of evaluating the performance of a method for model selection based on a standardized prediction error criterion (SPEC). According to this method, the ARCH model with the lowest sum of squared standardized forecasting errors is selected for predicting future volatility. A number of statistical criteria, that measure the distance between predicted and inter-day realized volatility, are used to examine the performance of a model to predict future volatility, for forecasting horizons ranging from one day to one hundred days ahead. The results reveal that the SPEC model selection procedure has a satisfactory performance in picking that model that generates “better” volatility predictions. A comparison of the SPEC algorithm with a set of other model evaluation criteria yields similar findings. It appears, therefore, that it can be regarded as a tool in guiding one’s choice of the appropriate model for predicting future volatility, with applications in evaluating portfolios, managing financial risk and creating speculative strategies with options

    Resampling Methods and Visualization Tools for Computer Performance Comparisons in the Presence of Performance Variation

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    Performance variability, stemming from non-deterministic hardware and software behaviors or deterministic behaviors such as measurement bias, is a well-known phenomenon of computer systems which increases the difficulty of comparing computer performance metrics and is slated to become even more of a concern as interest in Big Data Analytics increases. Conventional methods use various measures (such as geometric mean) to quantify the performance of different benchmarks to compare computers without considering this variability which may lead to wrong conclusions. In this paper, we propose three resampling methods for performance evaluation and comparison: a randomization test for a general performance comparison between two computers, bootstrapping confidence estimation, and an empirical distribution and five-number-summary for performance evaluation. The results show that for both PARSEC and high-variance BigDataBench benchmarks: 1) the randomization test substantially improves our chance to identify the difference between performance comparisons when the difference is not large; 2) bootstrapping confidence estimation provides an accurate confidence interval for the performance comparison measure (e.g. ratio of geometric means); and 3) when the difference is very small, a single test is often not enough to reveal the nature of the computer performance due to the variability of computer systems. We further propose using empirical distribution to evaluate computer performance and a five-number-summary to summarize computer performance. We use published SPEC 2006 results to investigate the sources of performance variation by predicting performance and relative variation for 8,236 machines. We achieve a correlation of predicted performances of 0.992 and a correlation of predicted and measured relative variation of 0.5. Finally, we propose the utilization of a novel Biplotting technique to visualize the effectiveness of benchmarks and cluster machines by behavior. We illustrate the results and conclusion through detailed Monte Carlo simulation studies and real examples

    Technical Report: A Trace-Based Performance Study of Autoscaling Workloads of Workflows in Datacenters

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    To improve customer experience, datacenter operators offer support for simplifying application and resource management. For example, running workloads of workflows on behalf of customers is desirable, but requires increasingly more sophisticated autoscaling policies, that is, policies that dynamically provision resources for the customer. Although selecting and tuning autoscaling policies is a challenging task for datacenter operators, so far relatively few studies investigate the performance of autoscaling for workloads of workflows. Complementing previous knowledge, in this work we propose the first comprehensive performance study in the field. Using trace-based simulation, we compare state-of-the-art autoscaling policies across multiple application domains, workload arrival patterns (e.g., burstiness), and system utilization levels. We further investigate the interplay between autoscaling and regular allocation policies, and the complexity cost of autoscaling. Our quantitative study focuses not only on traditional performance metrics and on state-of-the-art elasticity metrics, but also on time- and memory-related autoscaling-complexity metrics. Our main results give strong and quantitative evidence about previously unreported operational behavior, for example, that autoscaling policies perform differently across application domains and by how much they differ.Comment: Technical Report for the CCGrid 2018 submission "A Trace-Based Performance Study of Autoscaling Workloads of Workflows in Datacenters
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