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

Computationally Sound Mechanized Proofs for Basic and Public-key Kerberos

We present a computationally sound mechanized analysis of Kerberos 5, both with and without its public-key extension PKINIT. We prove authentication and key secrecy properties using the prover CryptoVerif, which works directly in the computational model; these are the first mechanical proofs of a full industrial protocol at the computational level. We also generalize the notion of key usability and use CryptoVerif to prove that this definition is satisfied by keys in Kerberos

A Novel Non-Intrusive Method to Resolve the Thermal-Dome-Effect of Pyranometers: Radiometric Calibration and Implications

Traditionally the calibration equation for pyranometers assumes that the measured solar irradiance is solely proportional to the thermopile's output voltage; therefore only a single calibration factor is derived. This causes additional measurement uncertainties because it does not capture sufficient information to correctly account for a pyranometer's thermal effect. In our updated calibration equation, temperatures from the pyranometer's dome and case are incorporated to describe the instrument's thermal behavior, and a new set of calibration constants are determined, thereby reducing measurement uncertainties. In this paper, we demonstrate why a pyranometer's uncertainty using the traditional calibration equation is always larger than a-few-percent, but with the new approach can become much less than 1% after the thermal issue is resolved. The highlighted calibration results are based on NIST-traceable light sources under controlled laboratory conditions. The significance of the new approach lends itself to not only avoiding the uncertainty caused by a pyranometer's thermal effect but also the opportunity to better isolate and characterize other instrumental artifacts, such as angular response and non-linearity of the thermopile, to further reduce additional uncertainties. We also discuss some of the implications, including an example of how the thermal issue can potentially impact climate studies by evaluating aerosol's direct-radiative effect using field measurements with and without considering the pyranometer's thermal effect. The results of radiative transfer model simulation show that a pyranometer's thermal effect on solar irradiance measurements at the surface can be translated into a significant alteration of the calculated distribution of solar energy inside the column atmosphere

AC-coupled GaAs microstrip detectors with a new type of integrated bias resistors

Full size single-sided GaAs microstrip detectors with integrated coupling capacitors and bias resistors have been fabricated on 3'' substrate wafers. PECVD deposited SiO_2 and SiO_2/Si_3N_4 layers were used to provide coupling capacitaces of 32.5 pF/cm and 61.6 pF/cm, respectively. The resistors are made of sputtered CERMET using simple lift of technique. The sheet resistivity of 78 kOhm/sq. and the thermal coefficient of resistance of less than 4x10^-3 / degree C satisfy the demands of small area biasing resistors, working on a wide temperature range.Comment: 20 pages, 9 figures, to be published in NIM

Improving numerical reasoning capabilities of inductive logic programming systems

Inductive Logic Programming (ILP) systems have been largely applied to classification problems with a considerable success. The use of ILP systems in problems requiring numerical reasoning capabilities has been far less successful. Current systems have very limited numerical reasoning capabilities, which limits the range of domains where the ILP paradigm may be applied. This paper proposes improvements in numerical reasoning capabilities of ILP systems. It proposes the use of statistical-based techniques like Model Validation and Model Selection to improve noise handling and it introduces a new search stopping criterium based on the PAG method to evaluate learning performance. We have found these extensions essential to improve on results mer statistical-based algorithms for time series forecasting used in the empirical evaluation study

On the relevance of earnings components in valuation and forecasting

Pre-print also submitted to SSRN Archive. The final publication is available at Springer via http://dx.doi.org/ 10.1007/s11156-013-0347-yThis paper articulates the links between relevance of an earnings component in forecasting (abnormal) earnings and its relevance in valuation in a nonlinear framework. The analysis shows that forecasting relevance does not imply valuation relevance even though valuation irrelevance is implied by forecasting irrelevance. Firstly, I consider an accounting information system where earnings components "add up" to a fully informative earnings number. Secondly, I analyze two accounting systems where a "core" earnings component is the relevant earnings construct for valuation and the second earnings component is irrelevant but may be predictable and relevant in forecasting other accounting items. I find that dividend displacement effect on earnings and the dynamics of individual earnings components are critical in this analysis

Output feedback robust H∞ control with D-stability and variance constraints: A parametrization approach

This is the post print version of the article. The official published version can be obtained from the link below - Copyright 2005 Springer Ltd.In this paper, we study the problem of robust H∞ controller design for uncertain continuous-time systems with variance and D-stability constraints. The parameter uncertainties are allowed to be unstructured but norm-bounded. The aim of this problem is the design of an output feedback controller such that, for all admissible uncertainties, the closed-loop poles be placed within a specified disk, the H∞ norm bound constraint on the disturbance rejection attenuation be guaranteed, and the steady-state variance for each state of the closed-loop system be no more than the prescribed individual upper bound, simultaneously. A parametric design method is exploited to solve the problem addressed. Sufficient conditions for the existence of the desired controllers are derived by using the generalized inverse theory. The analytical expression of the set of desired controllers is also presented. It is shown that the obtained results can be readily extended to the dynamic output feedback case and the discrete-time case

Deep Wide-Field Spectrophotometry of the Open Cluster M67

We present nine color CCD intermediate-band spectrophotometry of a two square degree field centered on the old open cluster M67, from 3890$\rm \AA$ to nearly 1$\mu$. These observations are taken as a part of the BATC (Beijing-Arizona-Taipei-Connecticut) Color Survey of the Sky, for both scientific and calibration reasons. With these data we show that the BATC survey can reach its goal of obtaining spectrophotometry to a zero point accuracy of 0.01 mag, and down to V = 21 with 0.3 mag random error. We fit the color-magnitude diagrams (CMDs) with Worthey's theoretical models. The net result is the excellent fit of the 4.0 Gyr, [Fe/H] = $-0.10$ model to our data, including a good fit to the main sequence (MS) turn-off. Our data are consistent with a toy model with 50\% of the stars in M67 being binaries and a random distribution of binary mass-ratios, although other models with different mass-ratio distributions cannot be ruled out. The spatial distribution and mass function (MF) of stars in M67 show marked effects of dynamical evolution and evaporation of stars from the cluster. Blue stragglers and binary stars are the most condensed within the cluster, with degree of condensation depending on mass.We find M67 to have an elongated shape, oriented at an angle of $15^{\circ}$ relative to the galactic plane. Within its tidal radius, the observed MF of M67 between 1.2 $\rm M_\odot$ and $\rm 0.8 M_\odot$ has a Salpeter slope $\rm \eta = -1.93 \pm 0.66$. For stars of mass below 0.8 $\rm M_\odot$, $\rm \eta \sim 0$. It is plausible that the leveling-off of the MF at lower masses is a result of evaporation of lower mass stars in this mass range at a rate of one every $\sim 10^7$ years. If so, it is plausible that the IMF of M67 has the canonical field value of $\rm \eta = -2.0$.Comment: 74 pages, including 19 ps figures. Accepted for publication in AJ, Aug, 199

No positive effect of autologous platelet gel after total knee arthroplasty: A double-blind randomized controlled trial: 102 patients with a 3-month follow-up

Background and purpose Activated platelets release a cocktail of growth factors, some of which are thought to stimulate repair. We investigated whether the use of autologous platelet gel (PG) in total knee arthroplasty (TKA) would improve wound healing and knee function, and reduce blood loss and the use of analgesics. Patients and methods 102 patients undergoing TKA were randomly assigned to a PG group (n 50) or to a control (C) group (n 52). The primary analysis was based on 73 participants (PG: 32; C: 41) with comparison of postoperative wound scores, VAS, WOMAC, knee function, use of analgesics, and the pre- and postoperative hemoglobin values after a follow-up of 3 months. 29 participants were excluded due to insufficient data. Results The characteristics of the protocol-compliant patients were similar to those of the patients who w