Multivariate dynamic kernels for financial time series forecasting

The final publication is available at http://link.springer.com/chapter/10.1007/978-3-319-44781-0_40We propose a forecasting procedure based on multivariate dynamic kernels, with the capability of integrating information measured at different frequencies and at irregular time intervals in financial markets. A data compression process redefines the original financial time series into temporal data blocks, analyzing the temporal information of multiple time intervals. The analysis is done through multivariate dynamic kernels within support vector regression. We also propose two kernels for financial time series that are computationally efficient without a sacrifice on accuracy. The efficacy of the methodology is demonstrated by empirical experiments on forecasting the challenging S&P500 market.Peer ReviewedPostprint (author's final draft

Statistical Arbitrage Mining for Display Advertising

We study and formulate arbitrage in display advertising. Real-Time Bidding (RTB) mimics stock spot exchanges and utilises computers to algorithmically buy display ads per impression via a real-time auction. Despite the new automation, the ad markets are still informationally inefficient due to the heavily fragmented marketplaces. Two display impressions with similar or identical effectiveness (e.g., measured by conversion or click-through rates for a targeted audience) may sell for quite different prices at different market segments or pricing schemes. In this paper, we propose a novel data mining paradigm called Statistical Arbitrage Mining (SAM) focusing on mining and exploiting price discrepancies between two pricing schemes. In essence, our SAMer is a meta-bidder that hedges advertisers' risk between CPA (cost per action)-based campaigns and CPM (cost per mille impressions)-based ad inventories; it statistically assesses the potential profit and cost for an incoming CPM bid request against a portfolio of CPA campaigns based on the estimated conversion rate, bid landscape and other statistics learned from historical data. In SAM, (i) functional optimisation is utilised to seek for optimal bidding to maximise the expected arbitrage net profit, and (ii) a portfolio-based risk management solution is leveraged to reallocate bid volume and budget across the set of campaigns to make a risk and return trade-off. We propose to jointly optimise both components in an EM fashion with high efficiency to help the meta-bidder successfully catch the transient statistical arbitrage opportunities in RTB. Both the offline experiments on a real-world large-scale dataset and online A/B tests on a commercial platform demonstrate the effectiveness of our proposed solution in exploiting arbitrage in various model settings and market environments.Comment: In the proceedings of the 21st ACM SIGKDD international conference on Knowledge discovery and data mining (KDD 2015

Open Forum (on strategies for advocacy) NAHSL 2013: UMass Medical School’s Experience

Discusses some of the challenges libraries are facing and how the Lamar Soutter Library at the University of Massachusetts Medical School is addressing them with an innovative library fellows program

Building the Future: Rejecting, Rethinking, Redoing, Rejuvenating

Objectives: Traditional library work is spiraling downward. Health sciences librarians are taking on new roles such as embedded librarians or research data informationists. Simultaneously, institutionally mandated budget cuts force the question, How do we maintain mission-critical work within our budget? Survival means rejecting old service models, rethinking our roles, redoing our professional identity, and rejuvenating ourselves and our libraries. Methods: The Library Fellows Program at the University of Massachusetts (UMass) Medical School is one response to the challenges we are facing. The fellows program, designed to foster the next generation of medical librarians, provides a two-year experience for newly graduated library science students, emphasizing hands-on learning and research into topics of information management and medical librarianship. This innovative curriculum incorporates training, professional development, mentorship, and research with the library as the learning laboratory. Curriculum components focus on medical librarianship foundations as well as rotations within core library functional areas. This paper serves as a project description and evaluation. It discusses organizational changes that necessitated and facilitated the structural changes surrounding this program and the resulting effect on staff and operations. The midpoint success of the program is determined and reported, with recommendations and future considerations. Results/Conclusions: In early 2013, management at Lamar Soutter Library (LSL) planned organizational changes necessary to meet strategic initiatives and continue supporting the medical school\u27s mission in the face of severe budget constraints. The final plan resulted in discontinuation of many traditional library activities, elimination of staff that supported those activities, and, ultimately, the development of the FELLOWS PROGRAM. In September 2013, three task forces were created to develop an implementation plan. A search committee was formed to begin the process of hiring three fellows. The Curriculum Task Force was charged with structuring the two-year fellowship program. The curriculum developed includes rotations through library departments, in-depth reference experience, expert searching training, structured projects, and performing research. The Reference Services Task Force was charged with developing a new reference model to replace the current triage and pager model. The Research Task Force was charged with laying the groundwork for creating a research environment in the library. With outside consultation, LSL developed a detailed evaluation plan. The program is in its eighth month. Modifications and refinements are being made as the first cohort experiences the program. The program has led to a redefinition of librarianship and a new professional identity based on a culture of achievement, research, and reflection

Reconstructing an economic space from a market metric

Using a metric related to the returns correlation, a method is proposed to reconstruct an economic space from the market data. A reduced subspace, associated to the systematic structure of the market, is identified and its dimension related to the number of terms in factor models. Example were worked out involving sets of companies from the DJIA and S&P500 indexes. Having a metric defined in the space of companies, network topology coefficients may be used to extract further information from the data. A notion of "continuous clustering" is defined and empirically related to the occurrence of market shocks.Comment: 20 pages Latex, 9 figure

Photolysis of H2O-H2O2 Mixtures: The Destruction of H2O2

We present laboratory results on the loss of H2O2 in solid H2O + H2O2 mixtures at temperatures between 21 and 145 K initiated by UV photolysis (193 nm). Using infrared spectroscopy and microbalance gravimetry, we measured the decrease of the 3.5 micrometer infrared absorption band during UV irradiation and obtained a photodestruction cross section that varies with temperature, being lowest at 70 K. We use our results, along with our previously measured H2O2 production rates via ionizing radiation and ion energy fluxes from the spacecraft to compare H2O2 creation and destruction at icy satellites by ions from their planetary magnetosphere and from solar UV photons. We conclude that, in many cases, H2O2 is not observed on icy satellite surfaces because the H2O2 photodestruction rate is much higher than the production rate via energetic particles, effectively keeping the H2O2 infrared signature at or below the noise level

The Outreach Continuum: Expanding the Medical Librarian’s Role

Objective: With the closing of the reference desk and implementation of a single service point, librarians have more time to engage in outreach. However, questions remain. What does management mean by outreach? What skills are needed to conduct outreach? The objectives of this study are to: (1) reach a common definition of outreach; (2) identify skills needed to perform outreach. Methods: Focus groups were conducted with librarians from three departments (clinical services, research, and technology initiatives) to gain an understanding of initial perceptions of the outreach function and work currently perceived as outreach. Findings from a cross-group analysis were validated with participants and used to inform a definition of outreach and a continuum of outreach activities requiring increasing skill levels. The skills and tools needed to perform outreach activities at each stage of the continuum were identified and cross-group collaboration will be used to develop tools and acquire needed skills. Results: Using a working definition of outreach detailed in the continuum (basic, relationship building, and partnering), librarians tracked outreach activities and mapped them to the continuum for three months. Through discussion, it became clear to librarians where current activities fell, where they needed to concentrate future efforts, and what strategies to use to move from basic interactions to relationship building and then to partnering. The continuum and tracking logs served as a data source for strategic planning and to assist staff with individual goal setting. Librarians found the tracking log to be cumbersome, but the benefits to management were evident. Conclusion: Tracking and categorizing the defined outreach activities is useful to raise awareness of the different types of outreach activity and identify areas for skill development. In the future tracking logs will be streamlined and automated. Presented at the Medical Library Association Annual Meeting on May 23, 2010, in Washington, DC