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

Spiral bevel and circular arc helical gears: Tooth contact analysis and the effect of misalignment on circular arc helical gears

A computer aided method for tooth contact analysis was developed and applied. Optimal machine-tool settings for spiral bevel gears are proposed and when applied indicated that kinematic errors can be minimized while maintaining a desirable bearing contact. The effect of misalignment for circular arc helical gears was investigated and the results indicted that directed pinion refinishing can compensate the kinematic errors due to misalignment

New generation methods for spur, helical, and spiral-bevel gears

New methods for generating spur, helical, and spiral-bevel gears are proposed. These methods provide the gears with conjugate gear tooth surfaces, localized bearing contact, and reduced sensitivity to gear misalignment. Computer programs have been developed for simulating gear meshing and bearing contact

The Distance To The Hyades Cluster Based On Hubble Space Telescope Fine Guidance Sensor Parallaxes

Trigonometric parallax observations made with the Hubble Space Telescope (HST) Fine Guidance Sensor (FGS) 3 of seven Hyades members in six fields of view have been analyzed along with their proper motions to determine the distance to the cluster. Knowledge of the convergent point and mean proper motion of the Hyades is critical to the derivation of the distance to the center of the cluster. Depending on the choice of the proper-motion system, the derived cluster center distance varies by 9%. Adopting a reference distance of 46.1 pc or m - M = 3.32, which is derived from the ground-based parallaxes in the General Catalogue of Trigonometric Stellar Parallaxes (1995 edition), the FK5/PPM proper-motion system yields a distance 4% larger, while the Hanson system yields a distance 2% smaller. The HST FGS parallaxes reported here yield either a 14% or 5% larger distance, depending on the choice of the proper-motion system. Orbital parallaxes (Torres et al.) yield an average distance 4% larger than the reference distance. The variation in the distance derived from the HST data illustrates the importance of the proper-motion system and the individual proper motions to the derivation of the distance to the Hyades center; therefore, a full utilization of the HST FGS parallaxes awaits the establishment of an accurate and consistent proper-motion system.NASA HST GTO, HF-1042.01-93A, HF-1046.01-93A, NAS526555Astronom

Inferring hidden states in Langevin dynamics on large networks: Average case performance

We present average performance results for dynamical inference problems in large networks, where a set of nodes is hidden while the time trajectories of the others are observed. Examples of this scenario can occur in signal transduction and gene regulation networks. We focus on the linear stochastic dynamics of continuous variables interacting via random Gaussian couplings of generic symmetry. We analyze the inference error, given by the variance of the posterior distribution over hidden paths, in the thermodynamic limit and as a function of the system parameters and the ratio {\alpha} between the number of hidden and observed nodes. By applying Kalman filter recursions we find that the posterior dynamics is governed by an "effective" drift that incorporates the effect of the observations. We present two approaches for characterizing the posterior variance that allow us to tackle, respectively, equilibrium and nonequilibrium dynamics. The first appeals to Random Matrix Theory and reveals average spectral properties of the inference error and typical posterior relaxation times, the second is based on dynamical functionals and yields the inference error as the solution of an algebraic equation.Comment: 20 pages, 5 figure

The Distance to the Hyades Cluster Based on HST Fine Guidance Sensor Parallaxes

Trigonometric parallax observations made with the Hubble Space Telescope's Fine Guidance Sensor #3 (HST FGS) of seven Hyades Cluster members in six fields of view have been analyzed along with their proper motions to determine the distance to the cluster. Knowledge of the Cluster's convergent point and mean proper motion are critical to the derivation of the distance to the center of the cluster. Depending on the choice of the proper-motion system, the derived cluster center distance varies by 9%. Adopting a reference distance of 46.1 pc or m-M=3.32, which is derived from the ground-based parallaxes in the General Catalogue of Trigonometric Stellar Parallaxes (1995 edition), the FK5/PPM proper-motion system yields a distance 4% larger, while the Hanson (1975) system yields a distance 2% smaller. The HST FGS parallaxes reported here yield either a 14% or 5% larger distance depending on the choice of the proper-motion system. Orbital parallaxes (Torres et al. 1997a, 1997b, 1997c) yield an average distance 4% larger than the reference distance. The variation in the distance derived from the HST data illustrates the importance of the proper-motion system and the individual proper motions to the derivation of the distance to the Hyades Cluster center, therefore a full utilization of the HST FGS parallaxes awaits the establishment of an accurate and consistent proper-motion system.Comment: 7 pages; This study is collaborated with 8 institution

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

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