A self-organising mixture autoregressive network for FX time series modelling and prediction

Nowadays a great deal of effort has been made in order to gain advantages in foreign exchange (FX) rates predictions. However, most existing techniques seldom excel the simple random walk model in practical applications. This paper describes a self-organising network formed on the basis of a mixture of adaptive autoregressive models. The proposed network, termed self-organising mixture autoregressive (SOMAR) model, can be used to describe and model nonstationary, nonlinear time series by means of a number of underlying local regressive models. An autocorrelation coefficient-based measure is proposed as the similarity measure for assigning input samples to the underlying local models. Experiments on both benchmark time series and several FX rates have been conducted. The results show that the proposed method consistently outperforms other local time series modelling techniques on a range of performance measures including the mean-square-error, correct trend predication percentage, accumulated profit and model variance.     

Bayesian sample-size determination for two independent Poisson rates

Because of the high cost and time constraints for clinical trials, researchers often need to determine the smallest sample size that provides accurate inferences for a parameter of interest. Although most experimenters have employed frequentist sample-size determination methods, the Bayesian paradigm offers a wide variety of sample-size determination methodologies. Bayesian sample-size determination methods are becoming increasingly more popular in clinical trials because of their flexibility and easy interpretation inferences. Recently, Bayesian approaches have been used to determine the sample size of a single Poisson rate parameter in a clinical trial setting. In this paper, we extend these results to the comparison of two Poisson rates and develop methods for sample-size determination for hypothesis testing in a Bayesian context. We have created functions in R to determine the parameters for the conjugate gamma prior and calculate the sample size for the average length criterion and average power methods. We also provide two examples that implement our sample-size determination methods using clinical data.     

On the number of Dejean words over alphabets of 5, 6, 7, 8, 9 and 10 letters

We give lower bounds on the growth rate of Dejean words, i.e. minimally repetitive words, over a k-letter alphabet, for 5≤k≤10. Put together with the known upper bounds, we estimate these growth rates with the precision of 0.005. As a consequence, we establish the exponential growth of the number of Dejean words over a k-letter alphabet, for 5≤k≤10.     

Estimation of the Bivariate Stable Spectral Representation by theProjection Method

A method of estimating the spectral representation of a generalized bivariatestable distribution is presented, based on a series of maximum likelihood (ML)estimates of the stable parameters of univariate projections of the data. Thecorresponding stable spectral density is obtained by solving a quadraticprogram. The proposed method avoids the often arduous task of computing themultivariate stable density, relying instead on the standard univariate stabledensity. The paper applies this projection procedure, under the simplifyingassumption of symmetry, to simulated data as well as to foreign exchangereturn data, with favorable results. Kanter projection coefficients governingconditional expectations are computed from the estimated spectral density. For the simulated data these compare well to their known true values.     

一个基于Web Service的数据交换系统的设计

针对基于Web Service的数据交换系统的具体设计,提出了其中的两个技术关键即"基于WSDL的数据交换标准的制定"以及"可视化界面定义的数据转化方式",探讨了其实现方法。     

Robust Estimation of GARMA Model Parameters with an Application to Cointegration among Interest Rates of Industrialized Countries

We review the literature on long memory ARFIMA and GARMA models andintroduce a new efficient estimator for GARMA models, which we show to berobust. Next we conduct a Monte Carlo study to demonstate the power of theDickie–Fuller test when the data are generated from a stationary GARMAprocess. We conclude with a brief discussion of cointegration in the contextof GARMA models with an application to international interest rates.     

证券广播、信息处理系统的设计与实现

本文提出一种证券广播、信息处理系统，能实时的完成电脑证券系统的所有功能又无需上网。使用不同的接口．可应用于电脑系统和电视系统。本文主要从两个方面论述了该系统的原理，以W77E58为主芯片的证券信息广播服务器系统和以DALLS80C320为主要芯片的证券信息处理（接收、分析、交易）系统，并在此基础上，详细介绍了实现证券信息广播和接收、分析、交易的方法和原理。     

Fuzzy-PID算法在换热站控制中的应用

在换热站温度控制中，由于被控对象具有不确定、非线性、变参数等因素。常规的PID控制难以满足供暖热水温度控制要求，采用模糊PID算法实现对换热站温度的控制，利用模糊推理对PID参数Kp、Ki、Kd进行在线整定。仿真结果表明：该控制器取得了较好的快速性和稳定性。