A Computational Complexity Theory in Membrane Computing

In this paper, a computational complexity theory within the framework of Membrane Computing is introduced. Polynomial complexity classes associated with di erent models of cell-like and tissue-like membrane systems are de ned and the most relevant results obtained so far are presented. Many attractive characterizations of P 6= NP conjecture within the framework of a bio-inspired and non-conventional computing model are deduced.Ministerio de Educación y Ciencia TIN2006-13425Junta de Andalucía P08–TIC-0420

A P-Lingua Programming Environment for Membrane Computing

A new programming language for membrane computing, PLingua, is developed in this paper. This language is not designed for a speci c simulator software. On the contrary, its purpose is to o er a general syntactic framework that could de ne a uni ed standard for membrane computing, covering a broad variety of models. At the present stage, P-Lingua can only handle P systems with active membranes, although the authors intend to extend it to other models in the near future. P-Lingua allows to write programs in a friendly way, as its syntax is very close to standard scienti c notation, and parameterized expressions can be used as shorthand for sets of rules. There is a built-in compiler that parses these human-style programs and generates XML documents that can be given as input to simulation tools, di erent plugins can be designed to produce speci c adequate outputs for existing simulators. Furthermore, we present in this paper an integrated development environment that plays the role of interface where P-lingua programs can be written and compiled. We also present a simulator for the class of recognizer P systems with active membranes, and we illustrate it by following the writing, compiling and simulating processes with a family of P systems solving the SAT problem.Ministerio de Educación y Ciencia TIN2006-13425Junta de Andalucía TIC-58

Evaluation of CNN architectures for gait recognition based on optical flow maps

This work targets people identification in video based on the way they walk (\ie gait) by using deep learning architectures. We explore the use of convolutional neural networks (CNN) for learning high-level descriptors from low-level motion features (\ie optical flow components). The low number of training samples for each subject and the use of a test set containing subjects different from the training ones makes the search of a good CNN architecture a challenging task.Universidad de Málaga. Campus de Excelencia Internacional Andalucía Tec

GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions

What Happened to Risk Management During the 2008-09 Financial Crisis?

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the selection of optimal risk models, consider combining alternative risk models, discuss the choice between a conservative and aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk management strategies performed during the 2008-09 financial crisis, evaluate how the financial crisis affected risk management practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the financial crisis. These issues are illustrated using Standard and Poor’s 500 Index, with an emphasis on how risk management practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis

International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord

A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. Such a risk management strategy is robust to the GFC in the sense that, while maintaining the same risk management strategy before, during and after a financial crisis, it will lead to comparatively low daily capital charges and violation penalties for the entire period. This paper presents evidence to support the claim that the median point forecast of VaR is generally GFC-robust. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. In the empirical analysis, we choose several major indexes, namely French CAC, German DAX, US Dow Jones, UK FTSE100, Hong Kong Hang Seng, Spanish Ibex35, Japanese Nikkei, Swiss SMI and US S&P500. The GARCH, EGARCH, GJR and Riskmetrics models, as well as several other strategies, are used in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to examine the performance of the Median strategy in terms of the number of violations and daily capital charges, among other criteria. The Median is shown to be a profitable and safe strategy for risk management, both in calm and turbulent periods, as it provides a reasonable number of violations and daily capital charges. The Median also performs well when both total losses and the asymmetric linear tick loss function are considere

Human interaction categorization by using audio-visual cues

Human Interaction Recognition (HIR) in uncontrolled TV video material is a very challenging problem because of the huge intra-class variability of the classes (due to large differences in the way actions are performed, lighting conditions and camera viewpoints, amongst others) as well as the existing small inter-class variability (e.g., the visual difference between hug and kiss is very subtle). Most of previous works have been focused only on visual information (i.e., image signal), thus missing an important source of information present in human interactions: the audio. So far, such approaches have not shown to be discriminative enough. This work proposes the use of Audio-Visual Bag of Words (AVBOW) as a more powerful mechanism to approach the HIR problem than the traditional Visual Bag of Words (VBOW). We show in this paper that the combined use of video and audio information yields to better classification results than video alone. Our approach has been validated in the challenging TVHID dataset showing that the proposed AVBOW provides statistically significant improvements over the VBOW employed in the related literature

GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008-09 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions

GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast was based on the median of the point VaR forecasts of a set of conditional volatility models. In this paper we provide further evidence on the suitability of the median as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008-09 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions