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Support vector machine with adaptive parameters in financial time series forecasting
 IEEE Transactions on Neural Networks
, 2003
"... Abstract—A novel type of learning machine called support vector machine (SVM) has been receiving increasing interest in areas ranging from its original application in pattern recognition to other applications such as regression estimation due to its remarkable generalization performance. This paper ..."
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Abstract—A novel type of learning machine called support vector machine (SVM) has been receiving increasing interest in areas ranging from its original application in pattern recognition to other applications such as regression estimation due to its remarkable generalization performance. This paper deals with the application of SVM in financial time series forecasting. The feasibility of applying SVM in financial forecasting is first examined by comparing it with the multilayer backpropagation (BP) neural network and the regularized radial basis function (RBF) neural network. The variability in performance of SVM with respect to the free parameters is investigated experimentally. Adaptive parameters are then proposed by incorporating the nonstationarity of financial time series into SVM. Five real futures contracts collated from the Chicago Mercantile Market are used as the data sets. The simulation shows that among the three methods, SVM outperforms the BP neural network in financial forecasting, and there are comparable generalization performance between SVM and the regularized RBF neural network. Furthermore, the free parameters of SVM have a great effect on the generalization performance. SVM with adaptive parameters can both achieve higher generalization performance and use fewer support vectors than the standard SVM in financial forecasting. Index Terms—Backpropagation (BP) neural network, nonstationarity, regularized radial basis function (RBF) neural network, support vector machine (SVM). I.
Numerical analysis of nonlinear eigenvalue problems, Preprint arXiv:0905.1645
"... We provide a priori error estimates for variational approximations of the ground state energy, eigenvalue and eigenvector of nonlinear elliptic eigenvalue problems of the form −div(A∇u) + V u + f(u 2)u = λu, ‖u ‖ L 2 = 1. We focus in particular on the Fourier spectral approximation (for periodic pro ..."
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Cited by 17 (4 self)
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We provide a priori error estimates for variational approximations of the ground state energy, eigenvalue and eigenvector of nonlinear elliptic eigenvalue problems of the form −div(A∇u) + V u + f(u 2)u = λu, ‖u ‖ L 2 = 1. We focus in particular on the Fourier spectral approximation (for periodic problems) and on the P1 and P2 finiteelement discretizations. Denoting by (uδ, λδ) a variational approximation of the ground state eigenpair (u, λ), we are interested in the convergence rates of ‖uδ − u ‖ H 1, ‖uδ − u ‖ L 2, λδ − λ, and the ground state energy, when the discretization parameter δ goes to zero. We prove in particular that if A, V and f satisfy certain conditions, λδ − λ  goes to zero as ‖uδ − u ‖ 2 H1 + ‖uδ − u‖L2. We also show that under more restrictive assumptions on A, V and f, λδ − λ  converges to zero as ‖uδ − u ‖ 2 H1, thus recovering a standard result for linear elliptic eigenvalue problems. For the latter analysis, we make use of estimates of the error uδ − u in negative Sobolev norms.
Numerical analysis of the planewave discretization of some orbitalfree and KohnSham models. ESAIM: Mathematical Modelling and Numerical Analysis
, 2012
"... We provide a priori error estimates for the spectral and pseudospectral Fourier (also called planewave) discretizations of the periodic ThomasFermivon Weizsäcker (TFW) model and for the spectral discretization of the KohnSham model, within the local density approximation (LDA). These models allow ..."
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Cited by 10 (1 self)
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We provide a priori error estimates for the spectral and pseudospectral Fourier (also called planewave) discretizations of the periodic ThomasFermivon Weizsäcker (TFW) model and for the spectral discretization of the KohnSham model, within the local density approximation (LDA). These models allow to compute approximations of the ground state energy and density of molecular systems in the condensed phase. The TFW model is stricly convex with respect to the electronic density, and allows for a comprehensive analysis. This is not the case for the KohnSham LDA model, for which the uniqueness of the ground state electronic density is not guaranteed. Under a coercivity assumption on the second order optimality condition, we prove that for large enough energy cutoffs, the discretized KohnSham LDA problem has a minimizer in the vicinity of any KohnSham ground state, and that this minimizer is unique up to unitary transform. We then derive optimal a priori error estimates for the spectral discretization method. 1
ON THE SPECTRAL VANISHING VISCOSITY METHOD FOR PERIODIC FRACTIONAL CONSERVATION LAWS
, 2013
"... We introduce and analyze a spectral vanishing viscosity approximation of periodic fractional conservation laws. The fractional part of these equations can be a fractional Laplacian or other nonlocal operators that are generators of pure jump Lévy processes. To accommodate for shock solutions, we ..."
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Cited by 6 (4 self)
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We introduce and analyze a spectral vanishing viscosity approximation of periodic fractional conservation laws. The fractional part of these equations can be a fractional Laplacian or other nonlocal operators that are generators of pure jump Lévy processes. To accommodate for shock solutions, we first extend to the periodic setting the KruˇzkovAlibaud entropy formulation and prove wellposedness. Then we introduce the numerical method, which is a nonlinear Fourier Galerkin method with an additional spectral viscosity term. This type of approximation was first introduced by Tadmor for pure conservation laws. We prove that this nonmonotone method converges to the entropy solution of the problem, that it retains the spectral accuracy of the Fourier method, and that it diagonalizes the fractional term reducing dramatically the computational cost induced by this term. We also derive a robust L 1error estimate, and provide numerical experiments for the fractional Burgers’ equation.
Numerical analysis of the planewave discretization of orbitalfree and Kohn–Sham models part I: The Thomas–Fermi–von Weizsäcker model
, 2009
"... We provide a priori error estimates for the spectral and pseudospectral Fourier (also called planewave) discretizations of the periodic ThomasFermivon Weizsäcker (TFW) model and of the KohnSham model, within the local density approximation (LDA). These models allow to compute approximations of the ..."
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Cited by 5 (2 self)
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We provide a priori error estimates for the spectral and pseudospectral Fourier (also called planewave) discretizations of the periodic ThomasFermivon Weizsäcker (TFW) model and of the KohnSham model, within the local density approximation (LDA). These models allow to compute approximations of the ground state energy and density of molecular systems in the condensed phase. The TFW model is stricly convex with respect to the electronic density, and allows for a comprehensive analysis (Part I). This is not the case for the KohnSham LDA model, for which the uniqueness of the ground state electronic density is not guaranteed. Under a coercivity assumption on the second order optimality condition, we prove in Part II that for large enough energy cutoffs, the discretized KohnSham LDA problem has a minimizer in the vicinity of any KohnSham ground state, and that this minimizer is unique up to unitary transform. We then derive optimal a priori error estimates for both the spectral and the pseudospectral discretization methods.
DIET, OCCUPANCY AND BREEDING PERFORMANCE OF WEDGETAILED EAGLES Aquila audax NEAR CANBERRA, AUSTRALIA 2OO22OO3= FOUR DECADES AFTER LEOPOLD AND WOLFE
"... W € compared the diet and breeding performance of Wedgetailed Eagles Aquila audax near Canberra in 20022003 wiih that tound in the same area in 1964 by Leopoid and Wolfe (1970). We located a total of 44 active territories, and checked 26 of the 32 territories originally lound by Leopold and Wolfe. ..."
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Cited by 2 (2 self)
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W € compared the diet and breeding performance of Wedgetailed Eagles Aquila audax near Canberra in 20022003 wiih that tound in the same area in 1964 by Leopoid and Wolfe (1970). We located a total of 44 active territories, and checked 26 of the 32 territories originally lound by Leopold and Wolfe. Twentytwo (85%) of the 26 were still occupied after nearly four decades. Contrary to what was found in the 1964 survey, nine active nests were located inside the city limits, with an average distance to paved roads of 720 + '132 metres (range 1301 270 m) and to suburbs of 1 117 * 251 metres (range 26G2 000 m). Four nests were less than 500 metres from houses, but only one territory was completely surrounded by urban areas. Fledgling rates were greater in 200203 than in 1964 (l.1 versus 0.8 young per tenitory) mainly because more pajrs fledged two young in the 20022003 survey, and there was a decrease in the number of pairs lhat fledged no young. ln 20022003,492 prey items were recorded lrom 33 territories. Fiftyseven different species were found: '19 mammals, 20 birds, seven reptiles and one crustacean. Mammals and birds were the dominant groups by number, 54.7 and 41.9 percent respectively, and mammals dominated by biomass (95.3%). The breeding dist in 20022003 was dominated by macropods, representing 19.9 percent (n = 98) of the total items and 45.6 percont of biomass. The most important species among these macropods was the Eastern Grey Kangaroo (13.6 and 31.20,6 by number and biomass respectively). Other important items were the European Rabbit (16.9 and 9.5 % by number and biomass)and adult sheep
A Block Procedure with Linear MultiStep Methods Using Legendre Polynomials for Solving ODEs
"... In this article, we derive a block procedure for some Kstep linear multistep methods (for K = 1, 2 and 3), using Legendre polynomials as the basis functions. We give discrete methods used in block and implement it for solving the nonstiff initial value problems, being the continuous interpolant d ..."
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In this article, we derive a block procedure for some Kstep linear multistep methods (for K = 1, 2 and 3), using Legendre polynomials as the basis functions. We give discrete methods used in block and implement it for solving the nonstiff initial value problems, being the continuous interpolant derived and collocated at grid and offgrid points. Numerical examples of ordinary differential equations (ODEs) are solved using the proposed methods to show the validity and the accuracy of the introduced algorithms. A comparison with fourthorder RungeKutta method is given. The obtained numerical results reveal that the proposed method is efficient.
The Suntory Centre
, 2011
"... Our new approach to mobility measurement involves separating out the valuation of positions in terms of individual status (using income, social rank, or other criteria) from the issue of movement between positions. The quantification of movement is addressed using a general concept of distance betwe ..."
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Our new approach to mobility measurement involves separating out the valuation of positions in terms of individual status (using income, social rank, or other criteria) from the issue of movement between positions. The quantification of movement is addressed using a general concept of distance between positions and a parsimonious set of axioms that characterise the distance concept and yield a class of aggregative indices. This class of indices induces a superclass of mobility measures over the different status concepts consistent with the same underlying data. We investigate the statistical inference of mobility indices using two wellknown status concepts, related to income mobility and rank mobility.
Gravitational Wave Signal identification and transformations in timefrequency domain
"... Abstract: A gravitational wave signal carries information about an astrophysical source, a time varying quantity that has to be analyzed in the time frequency domain. There are varieties of transforms that can be applied to understand the complex evolution timevarying frequencies and chirps. This p ..."
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Abstract: A gravitational wave signal carries information about an astrophysical source, a time varying quantity that has to be analyzed in the time frequency domain. There are varieties of transforms that can be applied to understand the complex evolution timevarying frequencies and chirps. This paper discusses various techniques of transforms that can be applied to various categories of this problem to identify and analyze signal, and to assess their efficacy.