Stylized facts of financial time series and hidden semi-Markov models

Hidden Markov models reproduce most of the stylized facts about daily series of returns. A notable exception is the inability of the models to reproduce one ubiquitous feature of such time series, namely the slow decay in the autocorrelation function of the squared returns. It is shown that this stylized fact can be described much better by means of hidden semi-Markov models. This is illustrated by examining the fit of two such models to 18 series of daily sector returns.     

A comprehensive database schema integration method based on the theory of formal concepts

Integrating heterogeneous database schemata is a major task in federated database design where preexisting and heterogeneous database systems need to be integrated virtually by providing a homogenization database interface. Most proposed schema integration methods suffer from very complex result schemata and insufficient handling of extensional relations, i.e. in the way how redundant data of the input systems are dealt with. Redundancy among the input systems may thus remain undetected and, hence, remains uncontrolled.Our GIM (Generic Integration Model) method is based on the elegant and mathematically founded theory of formal concept analysis (FCA). The main idea is to integrate schemata into one formal context which is a binary relation between a set of attributes and a set of base extensions (set of potential objects). From that context we apply an FCA-algorithm to semi-automatically derive a concept lattice which we interpret as an inheritance hierarchy of classes for a homogenized schema. Thus, the integration task following our method can be supported by tools.     

Upper and Lower Bounds for Randomized Search Heuristics in Black-Box Optimization

Randomized search heuristics like local search, tabu search, simulated annealing, or all kinds of evolutionary algorithms have many applications. However, for most problems the best worst-case expected run times are achieved by more problem-specific algorithms. This raises the question about the limits of general randomized search heuristics. Here a framework called black-box optimization is developed. The essential issue is that the problem but not the problem instance is knownto the algorithm which can collect information about the instance only by asking for the value of points in the search space. All known randomized search heuristics fit into this scenario. Lower bounds on the black-box complexity of problems are derived without complexity theoretical assumptions and are compared with upper bounds in this scenario.     

Verlaufsgesteuerte Trinkwasserbrunnen als neues Fassungsorgan für die Grundwassererschließung

Curved horizontal wells have been developed in the late nineties for the purpose of in situ remediation of contaminated water. The discharge of contaminated backwater has been performed very successfully. These wells are usually designed for short time use with high precision and lower requirements on productivity in comparison to the needs of fresh water discharge from groundwater. Potable water resources are explored with highly productive and durable water wells. Classical wells are vertical and radial collector wells. Under certain hydrogeological conditions a curved horizontal well may be more efficient than classical wells. Therefore well construction and design have been accepted to meet the requirements of fresh water exploration. This paper compares the three fundamental well design principles. A quantitative analytical engineering concept is presented on a basis of the Dupuit-Thiem well equation. Especially the geometry of draw-down figures is reflected in this calculations.     

Gastric emptying and antral myoelectrical activity in chronic alcoholics with dyspepsia

BACKGROUND/AIMS: Chronic alcoholism is known to effect gastric motor activity. An association between gastric motility disorders and abnormal myoelectrical activity has been observed in various gastrointestinal and extra-intestinal diseases. The aim of this study was to investigate the effect of chronic alcoholism on gastric emptying and antral myoelectrical activity. METHODOLOGY: Electrogastrography (EGG) was performed on 20 chronic alcoholics with chronic dyspepsia using a pair of electrodes sonographically placed on the skin overlying the gastric antrum. After an overnight fast, patients were tested over a period of one hour in the a) fasting and b) fed state, after ingestion of a 370 kcal liquid-solid test meal. The following EGG parameters were determined: dominant frequency (DF (cpm); DF (%) in the normal range (2-4 cpm); bradygastria (<2 cpm); tachygastria (4-10 cpm); dominant frequency instability coefficient (DFIC), and postprandial to fasting power ratio (PR). The data were correlated with results obtained from 20 controls matched for age and sex. In 18 alcoholics, the EGG data were compared to the percentage of radionuclides (liquid phase labeled with 99m Tc colloid) remaining in the stomach after 60 minutes (%) (gamma camera system). Moreover, for the alcoholics, various parameters such as ethanol consumption, and gastrointestinal symptoms were determined and related to EGG values and scintigraphy. RESULTS: About 50% of the alcoholics showed delayed gastric emptying compared to normal values previously reported (t 60 values: >68%). In opposite to scintigraphy, the alcoholics did not exhibit abnormalities in antral myoelectrical activity. They had significantly decreased bradygastria measures compared to controls (p<0.05). The scintigraphic t 60 values did not correlate either with EGG values or with dyspepsia and clinical parameters. EGG values did not correlate with dyspepsia. However, increased preprandial DF was significantly correlated with ethanol consumption. CONCLUSIONS: Chronic alcoholism induces a disturbance of gastric emptying, probably resulting from toxic damage of the gastrointestinal smooth muscles. Disturbances in antral myoelectrical activity were not found.     

Estimation of safe exposure time from an ophthalmic operating microscope with regard to ultraviolet radiation and blue-light hazards to the eye

Hazards from the optical radiation of an operating microscope that cause damage at the corneal, lenticular, and retinal levels were investigated; we considered, in particular, ultraviolet radiation (UVR) and blue light. The spectral irradiance from a Zeiss operation microscope OPMI VISU 200 was measured in the corneal plane between 300 and 1100 nm. Effective irradiance and radiance were calculated with relative spectral effectiveness data from the American Conference for Governmental and Industrial Hygienists. Safe exposure time to avoid UVR injury to the lens and cornea was found to be 2 h without a filter, 4 h with a UVR filter, 200 a yellow filter, and 400 h with a filter combination. Safe exposure time to avoid retinal photochemical injury was found to be 3 min without a filter and with a UVR filter, 10 min with a yellow filter, and 49 min with a filter combination. The effective radiance limit for retinal thermal injury was not exceeded. The hazard due to the UVR component from the operating microscope is not critical, and operation time can be safely prolonged with the use of appropriate filters. The retinal photochemical hazard appears critical without appropriate filters, permitting only some minutes of safe exposure time. The calculated safe exposure times are for worst-case conditions and maximal light output and include a safety factor.     

Model Checking

Die Gewährleistung der korrekten Funktionsweise von Hard- und Software ist ein entscheidender Faktor bei der heutigen Systementwicklung. Dies trifft ganz besonders auf das Gebiet der sog. sicherheitskritischen Systeme zu, bei dem ein Systemversagen Menschenleben gefährden kann.     

Integrating context-free and context-dependent attentional mechanisms for gestural object reference

We present a vision system for human-machine interaction based on a small wearable camera mounted on glasses. The camera views the area in front of the user, especially the hands. To evaluate hand movements for pointing gestures and to recognise object references, an approach to integrating bottom-up generated feature maps and top-down propagated recognition results is introduced. Modules for context-free focus of attention work in parallel with the hand gesture recognition. In contrast to other approaches, the fusion of the two branches is on the sub-symbolic level. This method facilitates both the integration of different modalities and the generation of auditory feedback.Published online: 5 October 2004Robert Rae: Now at PerFact Innovation, Lampingstr. 8, 33615 Bielefeld, Germany     

Use of equivalent spheres to model the relation between radar reflectivity and optical extinction of ice cloud particles

The effect of ice crystal size and shape on the relation between radar reflectivity and optical extinction is examined. Discrete-dipole approximation calculations of 95-GHz radar reflectivity and ray-tracing calculations are applied to ice crystals of various habits and sizes. Ray tracing was used primarily to calculate optical extinction and to provide approximate information on the lidar backscatter cross section. The results of the combined calculations are compared with Mie calculations applied to collections of different types of equivalent spheres. Various equivalent sphere formulations are considered, including equivalent radar-lidar spheres; equivalent maximum dimension spheres; equivalent area spheres, and equivalent volume and equivalent effective radius spheres. Marked differences are found with respect to the accuracy of different formulations, and certain types of equivalent spheres can be used for useful prediction of both the radar reflectivity at 95 GHz and the optical extinction (but not lidar backscatter cross section) over a wide range of particle sizes. The implications of these results on combined lidar-radar ice cloud remote sensing are discussed.     

COLLATE – A collaboratory supporting research on historic European films

In the COLLATE project, we aim to design and implement a Web-based collaboratory for archives, scientists, and end users working with digitized cultural material. Our example domain is the historic film documentation comprising digitized material about European films of the early 20th century. Designed as a content- and context-based knowledge working environment for distributed user groups, the COLLATE system supports both individual work and collaboration of domain experts who are analyzing, evaluating, indexing, and annotating material in the data repository. The system provides appropriate task-based interfaces for indexing and annotating. As a multifunctional means of in-depth analysis, annotations can be made individually but also collaboratively, for example in the form of annotation of annotations. Combining results from manual and automatic indexing procedures, elaborate content- and context-based information retrieval mechanisms can be applied.