An Engineering Approach to Forecast Volatility of Financial Indices

By systematically applying different engineering methods, difficult financial problems become approachable. Using a combination of theory and techniques such as wavelet transform, time series data mining, Markov chain based discrete stochastic optimization, and evolutionary algorithms, this work formulated a strategy to characterize and forecast non-linear time series. It attempted to extract typical features from the volatility data sets of S&P100 and S&P500 indices that include abrupt drops, jumps and other non-linearity. As a result, accuracy of forecasting has reached an average of over 75% surpassing any other publicly available results on the forecast of any financial index.

Digital Hypertexts vs. Traditional Books: An Inquiry into Non-Linearity

The current study begins with an awareness that today-s media environment is characterized by technological development and a new way of reading caused by the introduction of the Internet. The researcher conducted a meta analysis framed within Technological Determinism to investigate the process of hypertext reading, its differences from linear reading and the effects such differences can have on people-s ways of mentally structuring their world. The relationship between literacy and the comprehension achieved by reading hypertexts is also investigated. The results show hypertexts are not always user friendly. People experience hyperlinks as interruptions that distract their attention generating comprehension and disorientation. On one hand hypertextual jumping reading generates interruptions that finally make people lose their concentration. On the other hand hypertexts fascinate people who would rather read a document in such a format even though the outcome is often frustrating and affects their ability to elaborate and retain information.

Multiple Model and Neural based Adaptive Multi-loop PID Controller for a CSTR Process

Multi-loop (De-centralized) Proportional-Integral- Derivative (PID) controllers have been used extensively in process industries due to their simple structure for control of multivariable processes. The objective of this work is to design multiple-model adaptive multi-loop PID strategy (Multiple Model Adaptive-PID) and neural network based multi-loop PID strategy (Neural Net Adaptive-PID) for the control of multivariable system. The first method combines the output of multiple linear PID controllers, each describing process dynamics at a specific level of operation. The global output is an interpolation of the individual multi-loop PID controller outputs weighted based on the current value of the measured process variable. In the second method, neural network is used to calculate the PID controller parameters based on the scheduling variable that corresponds to major shift in the process dynamics. The proposed control schemes are simple in structure with less computational complexity. The effectiveness of the proposed control schemes have been demonstrated on the CSTR process, which exhibits dynamic non-linearity.