Forecasting conditional correlations in stock,bond and foreign exchange markets

The paper forecasts conditional correlations between three classes of international financial assets, namely stock, bond and foreign exchange. Two countries are considered, namely Australia and New Zealand. Forecasting will be conducted using three multivariate GARCH models, namely the CCC model [T. Bollerslev, Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model, Rev. Econ. Stat. 72 (1990) 498–505], VARMA-GARCH model [S. Ling, M. McAleer, Asymptotic theory for a vector ARMA-GARCH model, Econometric Theory 19 (2003) 280–310], and VARMA-AGARCH model [M. McAleer, S. Hoti, F. Chan, Structure and asymptotic theory for multivariate asymmetric volatility, Econometric Rev., in press]. A rolling window technique is used to forecast 1-day ahead conditional correlations. To evaluate the impact of model specification on conditional correlations forecasts, this paper calculates and compares the correlations between conditional correlations forecasts resulted from the three models. The paper finds the evidence of volatility spillovers and asymmetric effect of negative and positive shock on the conditional variance in most pairs of series. However, it suggests that incorporating volatility spillovers and asymmetric do not contribute to better conditional correlations forecasts.     

A survey and taxonomy on energy efficient resource allocation techniques for cloud computing systems

In a cloud computing paradigm, energy efficient allocation of different virtualized ICT resources (servers, storage disks, and networks, and the like) is a complex problem due to the presence of heterogeneous application (e.g., content delivery networks, MapReduce, web applications, and the like) workloads having contentious allocation requirements in terms of ICT resource capacities (e.g., network bandwidth, processing speed, response time, etc.). Several recent papers have tried to address the issue of improving energy efficiency in allocating cloud resources to applications with varying degree of success. However, to the best of our knowledge there is no published literature on this subject that clearly articulates the research problem and provides research taxonomy for succinct classification of existing techniques. Hence, the main aim of this paper is to identify open challenges associated with energy efficient resource allocation. In this regard, the study, first, outlines the problem and existing hardware and software-based techniques available for this purpose. Furthermore, available techniques already presented in the literature are summarized based on the energy-efficient research dimension taxonomy. The advantages and disadvantages of the existing techniques are comprehensively analyzed against the proposed research dimension taxonomy namely: resource adaption policy, objective function, allocation method, allocation operation, and interoperability.     

Profiling drivers based on driver dependent vehicle driving features

This work addresses the problem of profiling drivers based on their driving features. A purpose-built hardware integrated with a software tool is used to record data from multiple drivers. The recorded data is then profiled using clustering techniques. k-means has been used for clustering and the results are counterchecked with Fuzzy c-means (FCM) and Model Based Clustering (MBC). Based on the results of clustering, a classifier, i.e., an Artificial Neural Network (ANN) is trained to classify a driver during driving in one of the four discovered clusters (profiles). The performance of ANN is compared with that of a Support Vector Machine (SVM). Comparison of the clustering techniques shows that different subsets of the recorded dataset with a diverse combination of attributes provide approximately the same number of profiles, i.e., four. Analysis of features shows that average speed, maximum speed, number of times brakes were applied, and number of times horn was used provide the information regarding drivers’ driving behavior, which is useful for clustering. Both one versus one (SVM) and one versus rest (SVM) method for classification have been applied. Average accuracy and average mean square error achieved in the case of ANN was 84.2 % and 0.05 respectively. Whereas the average performance for SVM was 47 %, the maximum performance was 86 % using RBF kernel. The proposed system can be used in modern vehicles for early warning system, based on drivers’ driving features, to avoid accidents.     

Determining the Impact of Personal Mobility Carbon Allowance Schemes in Transportation Networks

Personal mobility carbon allowance (PMCA) schemes are designed to reduce carbon consumption from transportation networks. PMCA schemes influence the travel decision process of users and accordingly impact the system metrics including travel time and greenhouse gas (GHG) emissions. We develop a multi-user class dynamic user equilibrium model to evaluate the transportation system performance when PMCA scheme is implemented. The results using Sioux-Falls test network indicate that PMCA schemes can achieve the emissions reduction goals for transportation networks. Further, users characterized by high value of travel time are found to be less sensitive to carbon budget in the context of work trips. Results also show that PMCA scheme can lead to higher emissions for a path compared with the case without PMCA because of flow redistribution. The developed network equilibrium model allows to examine the change in system states at different carbon allocation levels and to design parameters of PMCA schemes accounting for population heterogeneity.     

Survivable millimeter-wave mesh networks

Millimeter-wave mesh networks have the potential to provide cost-effective high-bandwidth solutions to many current bandwidth-constrained networks including cellular backhaul. However, the availability of such networks is severely limited due to their susceptibility to weather, such as precipitation and humidity. In this paper, we present a rigorous approach to survivable millimeter-wave mesh networks based on experimentation, modeling, and simulation. Individual link performance is characterised using frame error-rate measurements from millimeter-wave transmissions on test links over a period of one year. A geometric model based on radar-reflectivity data is used to characterise rain storms and determine their impact on spatially correlated links of a mesh network. To mitigate the impact of link impairments on network services, we present two cross-layered routing protocols to route around the failures: P-WARP (predictive weather-assisted routing protocol) and XL-OSPF (cross-layered open shortest-path first). We conduct a performance analysis of the proposed mesh network under the presence of actual weather events as recorded by the US National Weather Service. Results show that the proposed approach yields the highest dependability when compared against existing routing methods.     

Volumetric Curved Planar Reformation for virtual endoscopy

Curved Planar Reformation (CPR) has proved to be a practical and widely used tool for the visualization of curved tubular structures within the human body. It has been useful in medical procedures involving the examination of blood vessels and the spine. However, it is more difficult to use it for large, tubular, structures such as the trachea and the colon because abnormalities may be smaller relative to the size of the structure and may not have such distinct density and shape characteristics. Our new approach improves on this situation by using volume rendering for hollow regions and standard CPR for the surrounding tissue. This effectively combines gray scale contextual information with detailed color information from the area of interest. The approach is successfully used with each of the standard CPR types and the resulting images are promising as an alternative to virtual endoscopy. Because the CPR and the volume rendering are tightly coupled, the projection method used has a significant effect on properties of the volume renderer, such as distortion and isometry. We describe and compare the different CPR projection methods and how they affect the volume rendering process. A version of the algorithm is also presented which makes use of importance driven techniques; this ensures the users attention is always focused on the area of interest and also improves the speed of the algorithm.     

Time stepping in discontinuous Galerkin method

The time discretization in the Discontinuous Galerkin (DG) scheme has been traditionally based on the Total Variation Diminishing (TVD) second-order Runge-Kutta (RK2) scheme. Computational efficiency and accuracy with the Euler Forward (EF) and the TVD second-order RK2 time stepping schemes in the DG method are investigated in this work. Numerical tests are conducted with the scalar Burgers equation, 1-D and 2-D shallow water flow equations. The maximum Courant number or time step size required for stability for the EF scheme and RK2 scheme with different slope limiters are compared. Numerical results show that the slope limiters affect the stability requirement in the DG method. The RK2 scheme is generally more diffusive than the EF scheme, and the RK2 scheme allows larger time step sizes. The EF scheme is found to be more efficient and accurate than the RK2 scheme in the DG method in computation.     

Adsorptive performance of penta-bismuth hepta-oxide nitrate, Bi?O?NO?, for removal of methyl orange dye

The adsorption of methyl orange dye from aqueous solution onto penta-bismuth hepta-oxide nitrate, Bi(5)O(7)NO(3), synthesized by precipitation method, was studied in a batch adsorption system. The effects of operation parameters such as adsorbent dose, initial dye concentration, pH and temperature were investigated. The adsorption equilibrium and mechanism of adsorption was evaluated by Langmuir and Freundlich isotherm and different kinetic models, respectively. The results indicate that adsorption is highly dependent on all operation parameters. At optimum conditions, the adsorption capacity was found to be 18.9 mg/g. The adsorption data fits well with the Langmuir isotherm model indicating monolayer coverage of adsorbate molecules on the surface of Bi(5)O(7)NO(3). The kinetic studies show that the adsorption process is a second-order kinetic reaction. Although intra-particle diffusion limits the rate of adsorption, the multi-linearity plot of intra-particle model shows the importance of both film and intra-particle diffusion as the rate-limiting steps of the dye removal. Thermodynamic parameters show that the adsorption process is endothermic, spontaneous and favourable at high temperature.     

A correlation-based ant miner for classification rule discovery

In recent years, a few sequential covering algorithms for classification rule discovery based on the ant colony optimization meta-heuristic (ACO) have been proposed. This paper proposes a new ACO-based classification algorithm called AntMiner-C. Its main feature is a heuristic function based on the correlation among the attributes. Other highlights include the manner in which class labels are assigned to the rules prior to their discovery, a strategy for dynamically stopping the addition of terms in a rule’s antecedent part, and a strategy for pruning redundant rules from the rule set. We study the performance of our proposed approach for twelve commonly used data sets and compare it with the original AntMiner algorithm, decision tree builder C4.5, Ripper, logistic regression technique, and a SVM. Experimental results show that the accuracy rate obtained by AntMiner-C is better than that of the compared algorithms. However, the average number of rules and average terms per rule are higher.     

Adherence to antiretroviral therapy and its impact on clinical outcome in HIV-infected patients.

We analyse data on patient adherence to prescribed regimens and surrogate markers of clinical outcome for 168 human immunodeficiency virus infected patients treated with antiretroviral therapy. Data on patient adherence consisted of dose-timing measurements collected for an average of 12 months per patient via electronic monitoring of bottle opening events. We first discuss how such data can be presented to highlight suboptimal adherence patterns and between-patient differences, before introducing two novel methods by which such data can be statistically modelled. Correlations between adherence and subsequent measures of viral load and CD4+T-cell counts are then evaluated. We show that summary measures of short-term adherence, which incorporate pharmacokinetic and pharmacodynamic data on the monitored regimen, predict suboptimal trends in viral load and CD4+T-cell counts better than measures based on adherence data alone.