Thesis (M.A.)--Miami University, Dept. of Psychology, 2009. / Title from first page of PDF document. Includes bibliographical references (p. 43-47).

Magister Scientiae - MSc / This study examines the behaviour of the South African financial markets with regards to the Geometric Brownian motion process. It uses the daily, weekly, and monthly stock returns time series of some major securities trading in the South African financial market, more specifically the US dollar/Euro, JSE ALSI Total Returns Index, South African All Bond Index, Anglo American Corporation, Standard Bank, Sasol, US dollar Gold Price , Brent spot oil price, and South African white maize near future. The assumptions underlying the Geometric Brownian motion in finance, namely the stationarity, the normality and the independence of stock returns, are tested using both graphical (histograms and normal plots) and statistical test (Kolmogorov-Simirnov test, Box-Ljung statistic and Augmented Dickey-Fuller test) methods to check whether or not the Brownian motion as a model for South African financial markets holds. The Hurst exponent or independence index is also applied to support the results from the previous test. Theoretically, the independent or Geometric Brownian motion time series should be characterised by the Hurst exponent of ½. A value of a Hurst exponent different from that would indicate the presence of long memory or fractional Brownian motion in a time series. The study shows that at least one assumption is violated when the Geometric Brownian motion process is examined assumption by assumption. It also reveals the presence of both long memory and random walk or Geometric Brownian motion in the South African financial markets returns when the Hurst index analysis is used and finds that the Currency market is the most efficient of the South African financial markets. The study concludes that although some assumptions underlying the rocess are violated, the Brownian motion as a model in South African financial markets can not be rejected. It can be accepted in some instances if some parameters such as the Hurst exponent are added. / South Africa

The thesis deals with the design and optimization of artificial neural networks (specifically nonlinear autoregressive networks) and their subsequent usage in predictive application of stock market time series.

This thesis deals with a complex analysis and prediction of foreign exchange markets. It uses advanced artificial intelligence methods, namely neural networks and chaos theory. It introduces unconventional approaches and methods of each of these areas, compares them and uses on a real problem. The core of this thesis is a comparison of several prediction models based on completely different principles and underlying theories. The outcome is then a selection of the most appropriate prediction model called NAR + H. The model is evaluated according to several criteria, the pros and cons are discussed and approximate expected profitability and risk are calculated. All analytical, prediction and partial algorithms are implemented in Matlab development environment and form a unified library of all used functions and scripts. It also may be considered as a secondary main outcome of the thesis.

The aim of this thesis is to examine an empirical relationship between multifrac- tality of financial time series and its returns. We approach the multifractality of a given time series as a measure of its complexity. Multifractal financial time series exhibit repeating self-similar patterns. Multifractality could be a good predictor of stock returns or a factor which can be used in asset pricing. We expected that capturing the complexity of a given time series by a model, a positive or a negative risk premia for investing into "more multifractal assets" could be found. Daily prices of 31 stock indices and daily returns of 10-years US government bonds were downloaded. All the data were recorded between 2012 and 2021. After estimation the multifractal spectra, applying MF-DFA method, of all stock indices, we ordered all stock indices from the lowest to the most multifractal. Then, we constructed a "multifractal portfolio" holding a long position in the 7 most multifractal and holding a short position in the 7 least multifractal stock indices. Fama-MacBeth regression with market risk premia and multifractal variable as independent variables was applied. Multi- fractality in all examined financial time series was found. We also found a very low negative risk premia for holding "a multifractal...

New Zealand-born architect Joseph Fearis Munnings (1879-1937) is largely forgotten in the country of his birth. Considering the importance of his public works in Bihar and Orissa, India (1912-1919) and his prominence as a school architect in New South Wales, Australia (1923-1937), recognition of his architectural achievements is long overdue. This thesis takes as its premise the notion that early twentieth century architecture in colonial New Zealand, India and Australia was British, the rationale expounded by G. A. Bremner in Imperial Gothic– Religious Architecture and High Anglican Culture in the British Empire (2013). My thesis argues that, considering Munnings’ colonial upbringing and English training, the styles he employed reflected his and his clients’ identity as British. It explores the extent to which Munnings adapted British styles, by incorporating features appropriate for colonial conditions. Drawing upon the work of Ian Lochhead on the achievements of Samuel Hurst Seager, my thesis considers the role played by Seager in mentoring Munnings and guiding his philosophy of architecture. Peter Scriver’s papers, ‘Edge of empire or edge of Asia’ (2009) and ‘Complicity and Contradiction in the Office of the Consulting Architect to the Government of India, 1903-1921’ (1996), also inform my analysis of Munnings’ work in India. To enable an analysis of Munnings’ work, this study divides his career into chronological stages: Early experiences and training, Christchurch, New Zealand, 1879-1903 Architectural training, London, England, 1903-1906 Partnership with Hurst Seager and Cecil Wood, Christchurch, 1906-1909 Work with Leonard Stokes, London, 1909 Responsibilities and achievements, India, 1910-1918 Contributions and achievements, New Zealand, 1919-1923 Partnership with Power and Adam, Sydney, Australia, 1923-1937. This thesis, the first comprehensive study of Munnings’ career, illuminates the extent of his architectural legacy in India, his significant contribution to school architecture in New South Wales, and asserts his place as an architect of the British Empire.

This thesis explores the domestic designs produced in Canterbury, New Zealand, by the architectural firm of Collins and Harman between 1883 and 1927. Architects John James Collins (1855 – 1933) and Richard Dacre Harman (1859 – 1927) were partners in the firm founded in Christchurch by William Barnett Armson (1833 – 1883) in 1870. Like many New Zealand architects practicing at the turn of twentieth century, Collins and Harman worked amidst a climate of major social and economic transformation, yet they managed to navigate these transitions with their personal connections and respected positions within the local architectural profession. From Collins and Harman’s surviving architectural drawings and office records, the firm’s ability to design residences in accordance with its clients’ wishes is evaluated. The methods with which they carried out designs, transacted business and secured future clients are also considered. The social standing of the firm’s clientele is emphasised to highlight the tight-knit nature of architectural patronage in Canterbury during this period. In order to assess the firm’s contribution to the development of domestic architecture in New Zealand, the local architectural profession, the firm’s reputation, and the effects that its built designs had on its clients and the local community are also investigated. While their major public and commercial designs are included in general surveys of New Zealand architecture, Collins and Harman tend to be overlooked as domestic architects in comparison with better-known contemporaries such as Samuel Hurst Seager and Cecil Wood. In catering to the requirements of a diverse clientele, the firm adopted varied approaches in its designs, which illustrate a more complex evolution than the linear progression usually found in standard architectural historical methodologies. Divided chronologically into four distinct periods, the thesis focuses on key commissions to chart the firm’s development over forty-four years within the context of the evolution of domestic architecture in Canterbury. The diversity in its domestic work engendered by the firm’s professionalism demonstrates that Collins and Harman made a substantial and vital contribution in the development of domestic architecture in Canterbury.

This Ph.D. dissertation processes and analyzes signals from the neonatal intensive care units (NICUs) for the study of maturity, systemic infection (sepsis) and the influence of immunization in the premature newborn. A special attention is payed to the electroencephalography and the breathing signal. The former is often contaminated by several sources of noise, thus methods based on the signals decomposition and optimal noise cancellation, adapted to the characteristics of the immature EEG, were proposed and evaluated objectively on real and simulated signals. By means of the EEG and delta burst analysis, detected automatically by a proposed classifier, infant's maturation and the effects of vaccination are studied. Concerning the second signal, breathing, non-linear and fractal methods are adapted to evaluate maturity and sepsis. A robustness study of estimation methods is also conducted, showing that the Hurst exponent, estimated on respiratory variability signals, is a good detector of infection.

隨著各行各業的飛速發展、科技的不斷進步，一般的公司行號、工廠及現代化的建築對於電力需求大大增加。但是在有限的電力資源下，有時候一到用電高峰時期，很難滿足各行各業的用電需求，因此難免會出現很多地方在用電高峰期跳電的情況。電力公司為了更加有效的分配電力，提出所謂時間電價的概念，和用戶實現簽訂各自的契約容量，將這個契約容量作為每個月分配給各個用戶的最大電量標準。對於用戶來說，若選擇相對較低的契約容量，其所需要負擔的基本電費會較低。然而，當用電量超過契約容量時，用戶可能需要支付非常高額的罰款；若選擇相對較高的契約容量，雖然其支付高額罰款的機率會降低很多，但是所需要負擔的基本電費會增多。因此，對於電力公司和用戶而言，使用時間電價系統，來選擇一個適當的且最佳化的契約容量，已然成為一個非常重要的課題。本文介紹如何用分形布朗運動的模型，來描述用戶用電量趨勢，同時介紹了如何估計分形布朗運動模型中的各個參數。本文也介紹如何建立每月總電費期望值的估計方程式，並利用估計出來的用電量分形布朗運動模型來搜尋最佳化的契約容量。最後，本文以美國密西根州的安娜堡的居民住宅大樓用電量為數據資料作為研究的實例，進一步的提出並論證了選擇最佳化契約容量的方法。 / Over the last few decades, the advances in technology and industry have significantly increased the need of electric power, while the power resource is usually limited. In order to best control the power usage, a so-called Time-of-Use (TOU) pricing system is recently developed so that different rates over different seasons and/or weekly/daily peak periods are charged (this is different from the traditional pricing system with flat rate contracts). An important feature of the TOU system is that the consumers have to pre-select the power contract capacities (i.e. the maximum power demands claimed by consumers over different pricing periods) so that the electricity tariff can be calculated accordingly. This means that risk is transferred from the retailer side to the consumer side -- one has to pay more if a larger contract capacity is selected but can potentially mitigate the penalty charge placed when the maximum demand exceeds the contract level. In this thesis, a general stochastic modeling framework for consumer's power demand based on which the contract capacities of a Time-of-Use pricing system can be best selected so as to minimize the mean electricity price. Due to the observed nature of self-similarity and time dependence, the power demand over a homogeneous peak period is modeled as a constant mean with the noise described by a scaled fractional Brownian motion. However, the underlying optimization problem involves an intricate mathematical formulation, thus requiring techniques such as Monte Carlo simulation and numerical search so as to estimate the solution. Finally, a real data set from Ann Arbor, Michigan along with two pricing systems are used to illustrate our proposed method.

The thesis deals with design, implementation and optimization of a model based on artificial intelligence and neural networks, which is able to predict future time series prices on a stock market. Main goal is to create an object oriented application for successful future trend prediction of financial derivatives with the use of cooperating methods such as Hurst exponent evaluation and automated market simulation.