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

Enhanced Pre-Monsoon Warming over the Himalayan-Gangetic Region from 1979-2007

Fundamental to the onset of the Indian Summer Monsoon is the land-sea thermal gradient from the Indian Ocean to the Himalayas-Tibetan Plateau (HTP). The timing of the onset is strongly controlled by the meridional tropospheric temperature gradient due to the rapid premonsoon heating of the HTP compared to the relatively cooler Indian Ocean. Analysis of tropospheric temperatures from the longest available record of microwave satellite measurements reveals widespread warming over the Himalayan-Gangetic region and consequent strengthening of the land-sea thermal gradient. This trend is most pronounced in the pre-monsoon season, resulting in a warming of 2.7 C in the 29-year record (1979–2007), when this region is strongly influenced by dust aerosols at elevated altitudes. The enhanced tropospheric warming is accompanied by increased atmospheric loading of absorbing aerosols, particularly vertically extended dust aerosols, raising the possibility that aerosol solar heating has amplified the seasonal warming and in turn strengthened the land-sea gradient

Gist: A Solver for Probabilistic Games

GIST is a tool that (a) solves the qualitative analysis problem of turn-based probabilistic games with ω-regular objectives; and (b) synthesizes reasonable environment assumptions for synthesis of unrealizable specifications. Our tool provides the first and efficient implementations of several reduction-based techniques to solve turn-based probabilistic games, and uses the analysis of turn-based probabilistic games for synthesizing environment assumptions for unrealizable specifications

Examining Symptom Trajectories That Predict Worse Outcomes in Post-CABG Patients

Background: Coronary artery bypass grafting is one of the most common interventional revascularisation procedures used to treat coronary artery disease worldwide. With a wide variability in postoperative cardiac symptoms, identification of symptom trajectories during the 3-month postoperative recovery period may improve clinicians’ abilities to support symptom recovery. Aims: To identify distinct trajectories of cardiac symptoms seen over time in a cohort of patients during the 3-month post-coronary artery bypass grafting period, and determine clinical characteristics associated with different symptom trajectories postoperatively. Methods: A prospective trial used the cardiac symptom survey to determine patient symptoms at baseline prior to surgery, and at 1 week, 6 weeks and 3 months following coronary artery bypass grafting. A latent class growth model and multivariate logistic regression analyses were used. Results: Data were obtained from patients (N=198) undergoing coronary artery bypass grafting in six medical centres of Taiwan, through patient medical records and interviews. Based on their frequency, trajectories were explored for the six most common postoperative symptoms including angina, dyspnoea, fatigue, depression, sleep problems and anxiety. We identified two to three distinct classes of trajectories for each symptom. Age, longer intensive care unit stay, fewer vessels bypassed, off-pump coronary artery bypass grafting, smoking history and lack of regular exercise were associated with worse symptom outcome trends over time. Conclusions: Using this unique trajectories-based research method, we are able to achieve a better understanding of symptom recovery patterns over time among coronary artery bypass grafting patients. Recognising risk factors and potential recovery patterns prior to surgery may allow healthcare providers to deliver targeted discharge planning and individualised care after coronary artery bypass grafting

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

A regional chemical transport modeling to identify the influences of biomass burning during 2006 BASE-ASIA

To evaluate the impact of biomass burning from Southeast Asia to East Asia, this study conducted numerical simulations during NASA\u27s 2006 Biomass-burning Aerosols in South-East Asia: Smoke Impact Assessment (BASE-ASIA). Two typical episode periods (27–28 March and 13–14 April) were examined. Two emission inventories, FLAMBE and GFED, were used in the simulations. The influences during two episodes in the source region (Southeast Asia) contributed to CO, O3 and PM2.5 concentrations as high as 400 ppbv, 20 ppbv and 80 μg/m3, respectively. The perturbations with and without biomass burning of the above three species were in the range of 10 to 60%, 10 to 20% and 30 to 70%, respectively. The impact due to long-range transport could spread over the southeastern parts of East Asia and could reach about 160 to 360 ppbv, 8 to 18 ppbv and 8 to 64 μg/m3 on CO, O3 and PM2.5, respectively; the percentage impact could reach 20 to 50% on CO, 10 to 30% on O3, and as high as 70% on PM2.5. An impact pattern can be found in April, while the impact becomes slightly broader and goes up to Yangtze River Delta. Two cross-sections at 15° N and 20° N were used to compare the vertical flux of biomass burning. In the source region (Southeast Asia), CO, O3 and PM2.5 concentrations had a strong upward tendency from surface to high altitudes. The eastward transport becomes strong from 2 to 8 km in the free troposphere. The subsidence contributed 60 to 70%, 20 to 50%, and 80% on CO, O3 and PM2.5, respectively to surface in the downwind area. The study reveals the significant impact of Southeastern Asia biomass burning on the air quality in both local and downwind areas, particularly during biomass burning episodes. This modeling study might provide constraints of lower limit. An additional study is underway for an active biomass burning year to obtain an upper limit and climate effects. doi:10.5194/acpd-11-3071-201

A regional chemical transport modeling to identify the influences of biomass burning during 2006 BASE-ASIA

To evaluate the impact of biomass burning from Southeast Asia to East Asia, this study conducted numerical simulations during NASA\u27s 2006 Biomass-burning Aerosols in South-East Asia: Smoke Impact Assessment (BASE-ASIA). Two typical episode periods (27–28 March and 13–14 April) were examined. Two emission inventories, FLAMBE and GFED, were used in the simulations. The influences during two episodes in the source region (Southeast Asia) contributed to CO, O3 and PM2.5 concentrations as high as 400 ppbv, 20 ppbv and 80 μg/m3, respectively. The perturbations with and without biomass burning of the above three species were in the range of 10 to 60%, 10 to 20% and 30 to 70%, respectively. The impact due to long-range transport could spread over the southeastern parts of East Asia and could reach about 160 to 360 ppbv, 8 to 18 ppbv and 8 to 64 μg/m3 on CO, O3 and PM2.5, respectively; the percentage impact could reach 20 to 50% on CO, 10 to 30% on O3, and as high as 70% on PM2.5. An impact pattern can be found in April, while the impact becomes slightly broader and goes up to Yangtze River Delta. Two cross-sections at 15° N and 20° N were used to compare the vertical flux of biomass burning. In the source region (Southeast Asia), CO, O3 and PM2.5 concentrations had a strong upward tendency from surface to high altitudes. The eastward transport becomes strong from 2 to 8 km in the free troposphere. The subsidence contributed 60 to 70%, 20 to 50%, and 80% on CO, O3 and PM2.5, respectively to surface in the downwind area. The study reveals the significant impact of Southeastern Asia biomass burning on the air quality in both local and downwind areas, particularly during biomass burning episodes. This modeling study might provide constraints of lower limit. An additional study is underway for an active biomass burning year to obtain an upper limit and climate effects. doi:10.5194/acpd-11-3071-201