Statistical properties of volatility in fractal dimension and probability distribution among six stock markets - USA, Japan, Taiwan, South Korea, Singapore, and Hong Kong

This study examines the statistical properties of volatility. Fractal dimension, probability distribution and two-point volatility correlation are used to measure and compare volatility among six different markets for the 12-year period from Jan. 1 1990 to Dec. 31 2001. New York market is found to be the strongest among the six in terms of market efficiency. Moreover, the Tokyo and Singapore markets are found to be very similar in fractal dimension and probability distribution, but different in their resistance to volatility : Tokyo has a higher ability to dissipate volatility. This phenomenon implies that the Tokyo market is more efficient than the Singapore market. The Hong Kong market is similar to the Singapore market in its ability to dissipate volatility. Meanwhile, the Taiwanese and Korean markets are the two most volatile markets among the six. Notably, the Taiwanese market is weaker than the Korean market in dissipating volatility.Volatility, fractal dimension, probability distribution.

Phase Distribution and Phase Correlation of Financial Time Series

Scaling, phase distribution and phase correlation of financial time series are investigated based on the Dow Jones Industry Average (DJIA) and NASDAQ 10-minute intraday data for a period from Aug. 1 1997 to Dec. 31 2003. The returns of the two indices are shown to have nice scaling behaviors and belong to stable distributions according to the criterion of Levy's alpha stable distribution condition. A novel approach catching characteristic features of financial time series based on the concept of instantaneous phase is further proposed to study phase distribution and correlation. The analysis of phase distribution concludes return time series fall into a class which is different from other non-stationary time series. The correlation between returns of the two indices probed by the distribution of phase difference indicates there was a remarkable change of trading activities after the event of 911 attack, and this change persisted in later trading activities.Phase Distribution, High Frequency Data, Scaling Analysis, Levy Distribution, Stock Market, Frequency Variant

UNIX-based operating systems robustness evaluation

Robust operating systems are required for reliable computing. Techniques for robustness evaluation of operating systems not only enhance the understanding of the reliability of computer systems, but also provide valuable feed- back to system designers. This thesis presents results from robustness evaluation experiments on five UNIX-based operating systems, which include Digital Equipment's OSF/l, Hewlett Packard's HP-UX, Sun Microsystems' Solaris and SunOS, and Silicon Graphics' IRIX. Three sets of experiments were performed. The methodology for evaluation tested (1) the exception handling mechanism, (2) system resource management, and (3) system capacity under high workload stress. An exception generator was used to evaluate the exception handling mechanism of the operating systems. Results included exit status of the exception generator and the system state. Resource management techniques used by individual operating systems were tested using programs designed to usurp system resources such as physical memory and process slots. Finally, the workload stress testing evaluated the effect of the workload on system performance by running a synthetic workload and recording the response time of local and remote user requests. Moderate to severe performance degradations were observed on the systems under stress