Volatility is an important measure of stock market performance. Competing securities market makers keep abreast of the pace of volatility change by adjusting the bid-ask spreads and bid/ask quotes properly and efficiently. For intradaily high frequency transaction data, the observed volatility of stock returns can be decomposed into the sum of the two components - the realized volatility and the volatility due to microstructure noise. The quote adjustments of the market makers comprise part of the microstructure noise. In this study, we define the ratio of the realized integrated volatility to the observed squared returns as the proportion of realized integrated volatility (PIV). Time series models with generalized error distributed innovations are fitted to the PIV data based on 70-minute returns of NYSE tick-to-tick transaction data. Both retrospective and dynamic online control charts of the PIV data are established based on the fitted time series models. The McNemar test supports that the dynamic online control charts have the same power of detecting out of control events as the retrospective control charts. The Wilcoxon signedrank test is adopted to test the differences between the changes of the market maker volatility and the realized volatility for in-control and out-of-control periods, respectively. The results reveals that the points above the upper control limit are related to the situation when the market makers can not keep up with the realized integrated volatility, whereas the points below the lower control limit indicate excessive reaction of the the market makers.

In this thesis, we present a new hybrid pre-coded direct-sequence code division multiple access (DS-CDMA) system framework that use the multiple-input multiple-output (MIMO) antennas along with Alamouti¡¦s space-time block code (ST-BC). In the transmitter, the idea of hybrid pre-coded is exploited. It not only used to counteract the inter-symbol interference (ISI) introduced by the channel fading duo to multipath propagation but also very useful for exacting the phase of channel by appropriate design, which is not adopted in the conventional blind receiver. Under this structure, we propose a new blind adaptive MIMO-CDMA receiver based on the linearly constrained constant modulus (LCCM) criterion. To reduce the complexity of receiver design, framework of the generalized sidelobe canceller (GSC) associated with the recursive least square (RLS) algorithm is adopted for implementing the LCCM MIMO-CDMA receiver, and use gradient method to track the desired user¡¦s amplitude, simultaneously. Via computer simulations, advantages of the proposed scheme will be verified. Compared to the conventional blind Capon receiver, we will show that the performance of the proposed scheme is more robust against inaccuracies in the acquisition of the desired user¡¦s timing.

The presence of a large pinch velocity in the edge pedestal of high confinement (H-mode) tokamak plasmas implies that particle transport in the plasma edge must be treated by a pinch-diffusion theory, rather than a pure diffusion theory. Momentum balance also requires the inclusion of a pinch term in descriptions of edge particle transport. A numerical investigation of solving generalized pinch-diffusion theory using methods extended from the numerical solution methodology of pure diffusion theory has been carried out. The generalized diffusion equation has been numerically integrated using the central finite-difference approximation for the diffusion term and three finite difference approximations of the pinch term, and then solved using Gauss reduction. The pinch-diffusion relation for the radial particle flux was solved directly and used as a benchmark for the finite-difference algorithm solutions to the generalized diffusion equation. Both equations are solved using several mesh spacings, and it is found that a finer mesh spacing will be required in the edge pedestal, where the inward pinch velocity is large in H-mode plasmas, than is necessary for similar accuracy further inward where the pinch velocity diminishes. An expression for the numerical error of various finite-differencing algorithms is presented.

<p>Directional wave-field decomposition for heterogeneousanisotropic media with in-stantaneous response is establishedfor both the acoustic and the electromagnetic equations.</p><p>We derive a sufficient condition for ellipticity of thesystem's matrix in the Laplace domain and show that theconstruction of the splitting matrix via a Dunford-Taylorintegral over the resolvent of the non-compact, non-normalsystem's matrix is well de ned. The splitting matrix also hasproperties that make it possible to construct the decompositionwith a generalized eigenvector procedure. The classical way ofobtaining the decomposition is equivalent to solving analgebraic Riccati operator equation. Hence the proceduredescribed above also provides a solution to the algebraicRiccati operator equation.</p><p>The solution to the wave-field decomposition for theisotropic wave equation is expressed in terms of theDirichlet-to-Neumann map for a plane. The equivalence of thisDirichlet-to-Neumann map is the acoustic admittance, i.e. themapping between the pressure and the particle velocity. Theacoustic admittance, as well as the related impedance aresolutions to algebraic Riccati operator equations and are keyelements in the decomposition. In the electromagnetic case thecorresponding impedance and admittance mappings solve therespective algebraic Riccati operator equations and henceprovide solutions to the decomposition problem.</p><p>The present research shows that it is advantageous toutilize the freedom implied by the generalized eigenvectorprocedure to obtain the solution to the decomposition problemin more general terms than the admittance/impedancemappings.</p><p>The time-reversal approach to steer an acoustic wave eld inthe cavity and half space geometries are analyzed from aboundary control perspective. For the cavity it is shown thatwe can steer the field to a desired final configuration, withthe assumption of local energy decay. It is also shown that thetime-reversal algorithm minimizes a least square error forfinite times when the data are obtained by measurements. Forthe half space geometry, the boundary condition is expressedwith help of the wave-field decomposition. In the homogeneousmaterial case, the response of the time-reversal algorithm iscalculated analytically. This procedure uses the one-wayequations together with the decomposition operator.</p>

<p>Most AI approaches for fault isolation handle only the behavioral modes OK and NOT OK. To be able to isolate faults in components with generalized behavioral modes, a new framework is needed. By introducing domain logic and assigning the behavior of a component to a behavioral mode domain, efficient representation and calculation of diagnostic information is made possible. </p><p>Diagnosing components with generalized behavioral modes also requires extending familiar characterizations. The characterizations candidate, generalized kernel candidate and generalized minimal candidate are introduced and it is indicated how these are deduced. </p><p>It is concluded that neither the full candidate representation nor the generalized kernel candidate representation are conclusive enough. The generalized minimal candidate representation focuses on the interesting diagnostic statements to a large extent. If further focusing is needed, it is satisfactory to present the minimal candidates which have a probability close to the most probable minimal candidate. </p><p>The performance of the fault isolation algorithm is very good, faults are isolated as far as it is possible with the provided diagnostic information.</p>

We investigate model reduction of large-scale linear time-invariant systems in generalized state-space form. We consider sparse state matrix pencils, including pencils with banded structure. The balancing-based methods employed here are composed of well-known linear algebra operations and have been recently shown to be applicable to large models by exploiting the structure of the matrices defining the dynamics of the system. In this paper we propose a modification of the LR-ADI iteration to solve large-scale generalized Lyapunov equations together with a practical convergence criterion, and several other implementation refinements. Using kernels from several serial and parallel linear algebra libraries, we have developed a parallel package for model reduction, SpaRed, extending the applicability of balanced truncation to sparse systems with up to $O(10^5)$ states. Experiments on an SMP parallel architecture consisting of Intel Itanium 2 processors illustrate the numerical performance of this approach and the potential of the parallel algorithms for model reduction of large-scale sparse systems.

Tez (Yüksek Lisans) - Süleyman Demirel Üniversitesi, Fen Bilimleri Enstitüsü, Matematik Anabilim Dalı, 2009. / Kaynakça var.

No description available.

The current study contributes to the already substantial scholarly literature on telecommuting by estimating a joint model of three dimensions- option, choice and frequency of telecommuting. In doing so, we focus on workers who are not self-employed workers and who have a primary work place that is outside their homes. The unique methodological features of this study include the use of a general and flexible generalized hurdle count model to analyze the precise count of telecommuting days per month, and the formulation and estimation of a model system that embeds the count model within a larger multivariate choice framework. The unique substantive aspects of this study include the consideration of the "option to telecommute" dimension and the consideration of a host of residential neighborhood built environment variables. The 2009 NHTS data is used for the analysis, and allows us to develop a current perspective of the process driving telecommuting decisions. This data set is supplemented with a built environment data base to capture the effects of demographic, work-related, and built environment measures on the telecommuting-related dimensions. In addition to providing important insights for policy analysis, the results in this study indicate that ignoring the "option" dimension of telecommuting can, and generally will, lead to incorrect conclusions regarding the behavioral processes governing telecommuting decisions. The empirical results have implications for transportation planning analysis as well as for the worker recruitment/retention and productivity literature. / text

This paper presents a spatial utility model of support for multiple political parties. The model includes a "valence" term, which I reparameterize to include both party competence and the voters' key sociodemographic concerns. The paper shows how this spatial utility model can be interpreted as a hierarchical model using data from the 2009 European Elections Study. I estimate this model via Bayesian Markov Chain Monte Carlo (MCMC) using a block Gibbs sampler and show that the model can capture broad European-wide trends while allowing for significant amounts of heterogeneity. This approach, however, which assumes a normal dependent variable, is only able to partially reproduce the data generating process. I show that the data generating process can be reproduced more accurately with an ordered probit model. Finally, I discuss trade-offs between parsimony and descriptive richness and other practical challenges that may be encountered when v building models of party support and make recommendations for capturing the best of both approaches. / text