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I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realizing winners rather than losers. Their behavior does not appear to be motivated by a desire to rebalance portfolios, or to avoid the higher trading costs of low priced stocks. Nor is it justified by subsequent portfolio performance. For taxable investments, it is suboptimal and leads to lower after-tax returns. Tax-motivated selling is most evident in December. THE TENDENCY TO HOLD LOSERS too long and sell winners too soon has been labeled the disposition effect by Shefrin and Statman ~1985!. For taxable investments the disposition effect predicts that people will behave quite differently than they would if they paid attention to tax consequences. To test the disposition effect, I obtained the trading records from 1987 through 1993 for 10,000 accounts at a large discount brokerage house. An analysis of these

This paper describes a technique for tracing anonymous packet flooding attacks in the Internet back towards their source. This work is motivated by the increased frequency and sophistication of denial-of-service attacks and by the difficulty in tracing packets with incorrect, or “spoofed”, source addresses. In this paper we describe a general purpose traceback mechanism based on probabilistic packet marking in the network. Our approach allows a victim to identify the network path(s) traversed by attack traffic without requiring interactive operational support from Internet Service Providers (ISPs). Moreover, this traceback can be performed “post-mortem ” – after an attack has completed. We present an implementation of this technology that is incrementally deployable, (mostly) backwards compatible and can be efficiently implemented using conventional technology. 1.

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We describe approximate digital implementations of two new mathematical transforms, namely, the ridgelet transform [2] and the curvelet transform [6], [5]. Our implementations offer exact reconstruction, stability against perturbations, ease of implementation, and low computational complexity. A central tool is Fourier-domain computation of an approximate digital Radon transform. We introduce a very simple interpolation in Fourier space which takes Cartesian samples and yields samples on a rectopolar grid, which is a pseudo-polar sampling set based on a concentric squares geometry. Despite the crudeness of our interpolation, the visual performance is surprisingly good. Our ridgelet transform applies to the Radon transform a special overcomplete wavelet pyramid whose wavelets have compact support in the frequency domain. Our curvelet transform uses our ridgelet transform as a component step, and implements curvelet subbands using a filter bank of à trous wavelet filters. Our philosophy throughout is that transforms should be overcomplete, rather than critically sampled. We apply these digital transforms to the denoising of some standard images embedded in white noise. In the tests reported here, simple thresholding of the curvelet coefficients is very competitive with “state of the art ” techniques based on wavelets, including thresholding of decimated or undecimated wavelet transforms and also including tree-based Bayesian posterior mean methods. Moreover, the curvelet reconstructions exhibit higher perceptual quality than wavelet-based reconstructions, offering visually sharper images and, in particular, higher quality recovery of edges and of faint linear and curvilinear features. Existing theory for curvelet and ridgelet transforms suggests that these new approaches can outperform wavelet methods in certain image reconstruction problems. The empirical results reported here are in encouraging agreement.

representing the official policies, either expressed or implied, of ONR or the U.S. Government. Keywords: data-flow analysis, Scheme, LISP, ML, CPS, type recovery, higher-order functions, functional programming, optimising compilers, denotational semantics, nonstandard Programs written in powerful, higher-order languages like Scheme, ML, and Common Lisp should run as fast as their FORTRAN and C counterparts. They should, but they don’t. A major reason is the level of optimisation applied to these two classes of languages. Many FORTRAN and C compilers employ an arsenal of sophisticated global optimisations that depend upon data-flow analysis: common-subexpression elimination, loop-invariant detection, induction-variable elimination, and many, many more. Compilers for higherorder languages do not provide these optimisations. Without them, Scheme, LISP and ML compilers are doomed to produce code that runs slower than their FORTRAN and C counterparts. The problem is the lack of an explicit control-flow graph at compile time, something which traditional data-flow analysis techniques require. In this dissertation, I present a technique for recovering the control-flow graph of a Scheme program at compile time. I give examples of how this information can be used to perform several data-flow analysis optimisations, including copy propagation, induction-variable elimination, useless-variable elimination, and type recovery. The analysis is defined in terms of a non-standard semantic interpretation. The denotational semantics is carefully developed, and several theorems establishing the correctness of the semantics and the implementing algorithms are proven. iii ivTo my parents, Julia and Olin. v viContents

Words and phrases acquire meaning from the way they are used in society, from their relative semantics to other words and phrases. For computers the equivalent of ‘society ’ is ‘database, ’ and the equivalent of ‘use ’ is ‘way to search the database. ’ We present a new theory of similarity between words and phrases based on information distance and Kolmogorov complexity. To fix thoughts we use the world-wide-web as database, and Google as search engine. The method is also applicable to other search engines and databases. This theory is then applied to construct a method to automatically extract similarity, the Google similarity distance, of words and phrases from the world-wideweb using Google page counts. The world-wide-web is the largest database on earth, and the context information entered by millions of independent users averages out to provide

In this paper we introduce the DOLCE upper level ontology, the first module of a Foundational Ontologies Library being developed within the WonderWeb project. DOLCE is presented here in an intuitive way; the reader should refer to the project deliverable for a detailed axiomatization. A comparison with WordNet's top-level taxonomy of nouns is also provided, which shows how DOLCE, used in addition to the OntoClean methodology, helps isolating and understanding some major WordNet's semantic limitations. We suggest

We present a new self-organizing neural network model having two variants. The first variant performs unsupervised learning and can be used for data visualization, clustering, and vector quantization. The main advantage over existing approaches, e.g., the Kohonen feature map, is the ability of the model to automatically find a suitable network structure and size. This is achieved through a controlled growth process which also includes occasional removal of units. The second variant of the model is a supervised learning method which results from the combination of the abovementioned self-organizing network with the radial basis function (RBF) approach. In this model it is possible - in contrast to earlier approaches - to perform the positioning of the RBF units and the supervised training of the weights in parallel. Therefore, the current classification error can be used to determine where to insert new RBF units. This leads to small networks which generalize very well. Results on the t...

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