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

Comparison of The Transformation Temperatures of Heat-Activated Nickel-Titanium Orthodontic Archwires By Two Different Techniques

Objectives The purpose of this study was to investigate the suitability of the Bend and Free Recovery (BFR) method as a standard test method to determine the transformation temperatures of heat-activated Ni-Ti orthodontic archwires. This was done by determining the transformation temperatures of two brands of heat-activated Ni-Ti orthodontic archwires using the both the BFR method and the standard method of Differential Scanning Calorimetry (DSC). The values obtained from the two methods were compared with each other and to the manufacturer-listed values. Methods Forty heat-activated Ni-Ti archwires from both Rocky Mountain Orthodontics (RMO) and Opal Orthodontics (Opal) were tested using BFR and DSC. Round (0.016 inches) and rectangular (0.019 × 0.025 inches) archwires from each manufacturer were tested. The austenite start temperatures (As) and austenite finish temperatures (Af) were recorded. Results For four of the eight test groups, the BFR method resulted in lower standard deviations than the DSC method, and, overall, the average standard deviation for BFR testing was slightly lower than for DSC testing. Statistically significant differences were seen between the transformation temperatures obtained from the BFR and DSC test methods. However, the Af temperatures obtained from the two methods were remarkably similar with the mean differences ranging from 0.0 to 2.1 °C: Af Opal round (BFR 26.7 °C, DSC 27.6 °C) and rectangular (BFR 27.6 °C, DSC 28.6 °C); Af RMO round (BFR 25.5 °C, DSC 25.5 °C) and rectangular (BFR 28.0 °C, DSC 25.9 °C). Significant differences were observed between the manufacturer-listed transformation temperatures and those obtained with BFR and DSC testing for both manufacturers. Significance The results of this study suggest that the Bend and Free Recovery method is suitable as a standard method to evaluate the transformation temperatures of heat-activated Ni-Ti orthodontic archwires

Don't bleach chaotic data

A common first step in time series signal analysis involves digitally filtering the data to remove linear correlations. The residual data is spectrally white (it is ``bleached''), but in principle retains the nonlinear structure of the original time series. It is well known that simple linear autocorrelation can give rise to spurious results in algorithms for estimating nonlinear invariants, such as fractal dimension and Lyapunov exponents. In theory, bleached data avoids these pitfalls. But in practice, bleaching obscures the underlying deterministic structure of a low-dimensional chaotic process. This appears to be a property of the chaos itself, since nonchaotic data are not similarly affected. The adverse effects of bleaching are demonstrated in a series of numerical experiments on known chaotic data. Some theoretical aspects are also discussed.Comment: 12 dense pages (82K) of ordinary LaTeX; uses macro psfig.tex for inclusion of figures in text; figures are uufile'd into a single file of size 306K; the final dvips'd postscript file is about 1.3mb Replaced 9/30/93 to incorporate final changes in the proofs and to make the LaTeX more portable; the paper will appear in CHAOS 4 (Dec, 1993

Estimation of Incident Photosynthetically Active Radiation From Moderate Resolution Imaging Spectrometer Data

Incident photosynthetically active radiation (PAR) is a key variable needed by almost all terrestrial ecosystem models. Unfortunately, the current incident PAR products estimated from remotely sensed data at spatial and temporal resolutions are not sufficient for carbon cycle modeling and various applications. In this study, the authors develop a new method based on the look-up table approach for estimating instantaneous incident PAR from the polar-orbiting Moderate Resolution Imaging Spectrometer (MODIS) data. Since the top-of-atmosphere (TOA) radiance depends on both surface reflectance and atmospheric properties that largely determine the incident PAR, our first step is to estimate surface reflectance. The approach assumes known aerosol properties for the observations with minimum blue reflectance from a temporal window of each pixel. Their inverted surface reflectance is then interpolated to determine the surface reflectance of other observations. The second step is to calculate PAR by matching the computed TOA reflectance from the look-up table with the TOA values of the satellite observations. Both the direct and diffuse PAR components, as well as the total shortwave radiation, are determined in exactly the same fashion. The calculation of a daily average PAR value from one or two instantaneous PAR values is also explored. Ground measurements from seven FLUXNET sites are used for validating the algorithm. The results indicate that this approach can produce reasonable PAR product at 1 km resolution and is suitable for global applications, although more quantitative validation activities are still needed

Optical Property Measurements in Turbid Media Using Frequency Domain Photon Migration

In frequency domain photon migration (FDPM), amplitude-modulated light is launched into a turbid medium, e.g. tissue, which results in the propagation of density waves of diffuse photons. Variations in the optical properties of the medium perturb the phase velocity and amplitude of the diffusing waves. These parameters can be determined by measuring the phase delay and demodulation amplitude of the waves with respect to the source. More specifically, the damped spherical wave solutions to the homogeneous form of the diffusion equation yield expressions for phase (φ) and demodulation (m) as a function of source distance, modulation frequency, absorption coefficient (β), and effective scattering coefficient (Бeff). In this work,we present analytical expressions for the variable dependence of φ and m on modulation frequency. A simple method for extracting absorption coefficients from φ and m vs. frequency plots is applied to the measurement of tissue phantoms. Using modulation frequencies between 5 MHz and 250 MHz, absorption coefficients as low as 0.024cm -l are measured in the presence of effective scattering coefficients as high as 144cm -1. Our results underscore the importance of employing multiple modulation frequencies for the quantitative determination of optical properties

Tissue Characterization and Imaging Using Photon Density Waves

The optical properties of brain tissues have been evaluated by measuring the phase velocity and attenuation of harmonically modulated light. The phase velocity for photon density waves at 650-nm wavelength has been found to be in the range of 5 to 12% of the corresponding velocity in a nonscattering medium, and the optical penetration depth was in the range 2.9 to 5.2 mm. These results are used to predict the resolution of optical imaging of deep tissue structures by diffusely propagating incoherent photons. The results indicate that structures of a few millimeters in linear dimension can be identified at 10 mm depth provided that proper wavelength and time resolution are selected. This depth can possibly be enlarged to 30 mm in the case of tissues with very low scattering such as in the case of the neonatal human brain

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

Silicon Pad Detectors for the PHOBOS Experiment at RHIC

The PHOBOS experiment is well positioned to obtain crucial information about relativistic heavy ion collisions at RHIC, combining a multiplicity counter with a multi-particle spectrometer. The multiplicity arrays will measure the charged particle multiplicity over the full solid angle. The spectrometer will be able to identify particles at mid-rapidity. The experiment is constructed almost exclusively of silicon pad detectors. Detectors of nine different types are configured in the multiplicity and vertex detector (22,000 channels) and two multi-particle spectrometers (120,000 channels). The overall layout of the experiment, testing of the silicon sensors and the performance of the detectors during the engineering run at RHIC in 1999 are discussed.Comment: 7 pages, 7 figures, 1 table, Late