Geometry-based Detection of Flash Worms

While it takes traditional internet worms hours to infect all the vulnerable hosts on the Internet, a flash worm takes seconds. Because of the rapid rate with which flash worms spread, the existing worm defense mechanisms cannot respond fast enough to detect and stop the flash worm infections. In this project, we propose a geometric-based detection mechanism that can detect the spread of flash worms in a short period of time. We tested the mechanism on various simulated flash worm traffics consisting of more than 10,000 nodes. In addition to testing on flash worm traffics, we also tested the mechanism on non-flash worm traffics to see if our detection mechanism produces false alarms. In order to efficiently analyze bulks of various network traffics, we implemented an application that can be used to convert the network traffic data into graphical notations. Using the application, the analysis can be done graphically as it displays the large amount of network relationships as tree structures

Cross Hedging with Single Stock Futures

This study evaluates the efficiency of cross hedging with the new single stock futures (SSF) contracts recently introduced in the United States. We use matched sample estimation techniques to select SSF contracts that will reduce the basis risk of crossing hedging and will yield the most efficient hedging portfolio. Employing multivariate matching techniques with cross-sectional matching characteristics, we can improve hedging efficiency while at the same time overcoming the contingency of the correlation between spot and futures prices on the sample period and length. Overall, we find that the best hedging performance is achieved through a portfolio that is hedged with market index futures and a SSF matched by both historical return correlation and cross-sectional matching characteristics. We also find it preferable to retain the chosen SSF contracts for the whole out-of-sample period but to re-estimate the optimal hedge ratio for each rolling window.

Monte Carlo Simulation of Absorbing Phase Transition in the Models with a Conserved Field on Diluted Lattices

AbstractAn influence of quenched disorder on absorbing phase transitions of the conserved lattice gas (CLG) model and the conserved threshold transfer process (CTTP) was investigated via Monte Carlo simulations. It was found that when the concentration of disordered site is less than the critical concentration, the critical exponents were similar to those of the pure models for both the CLG and the CTTP models. When the concentration becomes critical, the density of active particles showed nonuniversal power-law behavior for all particle densities for the CLG model, whereas the CTTP model exhibited usual critical behavior but with different critical exponents. The nonuniversal power law was attributed to the dead ends on an infinite percolation network. Eliminating those dead ends, it was found that both the CLG model and the CTTP model exhibited usual critical behavior; the estimated exponents were similar for the two models, and they were also similar to those of the CTTP model on an infinite network