Search results for: Inverse fast Fourier transform (IFFT)
Commenced in January 2007
Frequency: Monthly
Edition: International
Paper Count: 1831

Search results for: Inverse fast Fourier transform (IFFT)

811 Detection of Breast Cancer in the JPEG2000 Domain

Authors: Fayez M. Idris, Nehal I. AlZubaidi

Abstract:

Breast cancer detection techniques have been reported to aid radiologists in analyzing mammograms. We note that most techniques are performed on uncompressed digital mammograms. Mammogram images are huge in size necessitating the use of compression to reduce storage/transmission requirements. In this paper, we present an algorithm for the detection of microcalcifications in the JPEG2000 domain. The algorithm is based on the statistical properties of the wavelet transform that the JPEG2000 coder employs. Simulation results were carried out at different compression ratios. The sensitivity of this algorithm ranges from 92% with a false positive rate of 4.7 down to 66% with a false positive rate of 2.1 using lossless compression and lossy compression at a compression ratio of 100:1, respectively.

Keywords: Breast cancer, JPEG2000, mammography, microcalcifications.

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810 Design and Development of an Innovative Advertisement Display with Flipping Mechanism

Authors: Raymond Yeo K. W., P. Y. Lim, Farrah Wong

Abstract:

Attractive and creative advertisement displays are often in high demand as they are known to have profound impact on the commercial market. In the fast advancement of technology, advertising trend has taken a great leap in attracting more and more demanding consumers. A low-cost and low-power consumption flipping advertisement board has been developed in this paper. The design of the electrical circuit and the controller of the advertisement board are presented. A microcontroller, a Darlington Pair driver and a unipolar stepper motor were used to operate the electrical flipping advertisement board. The proposed system has been implemented and the hardware has been tested to demonstrate the capability of displaying multiple advertisements in a panel.

Keywords: Advertisement board, microcontroller, stepper motor.

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809 On the Constructivist Teaching of Extensive Reading for English Majors

Authors: Haiyan Wang

Abstract:

Constructivism, the latest teaching and learning theory in western countries which is based on the premise that cognition (learning) is the result of "mental construction", lays emphasis on the learner's active learning. Guided by constructivism, this thesis discusses the teaching plan and its application in extensive reading course. In extensive reading classroom, emphasis should be laid on the activation of students' prior knowledge, grasping the skills of fast reading and the combination of reading and writing to check extracurricular reading. With three factors supplementing each other, students' English reading ability can be improved effectively.

Keywords: Constructivism, extensive reading, constructivist teaching.

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808 Maternal Health Outcome and Economic Growth in Sub-Saharan Africa: A Dynamic Panel Analysis

Authors: Okwan Frank

Abstract:

Maternal health outcome is one of the major population development challenges in Sub-Saharan Africa. The region has the highest maternal mortality ratio, despite the progressive economic growth in the region during the global economic crisis. It has been hypothesized that increase in economic growth will reduce the level of maternal mortality. The purpose of this study is to investigate the existence of the negative relationship between health outcome proxy by maternal mortality ratio and economic growth in Sub-Saharan Africa. The study used the Pooled Mean Group estimator of ARDL Autoregressive Distributed Lag (ARDL) and the Kao test for cointegration to examine the short-run and long-run relationship between maternal mortality and economic growth. The results of the cointegration test showed the existence of a long-run relationship between the variables considered for the study. The long-run result of the Pooled Mean group estimates confirmed the hypothesis of an inverse relationship between maternal health outcome proxy by maternal mortality ratio and economic growth proxy by Gross Domestic Product (GDP) per capita. Thus increasing economic growth by investing in the health care systems to reduce pregnancy and childbirth complications will help reduce maternal mortality in the sub-region.

Keywords: Economic growth, maternal mortality, pool mean group, Sub-Saharan Africa.

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807 Switching Studies on Ge15In5Te56Ag24 Thin Films

Authors: Diptoshi Roy, G. Sreevidya Varma, S. Asokan, Chandasree Das

Abstract:

Germanium Telluride based quaternary thin film switching devices with composition Ge15In5Te56Ag24, have been deposited in sandwich geometry on glass substrate with aluminum as top and bottom electrodes. The bulk glassy form of the said composition is prepared by melt quenching technique. In this technique, appropriate quantity of elements with high purity are taken in a quartz ampoule and sealed under a vacuum of 10-5 mbar. Then, it is allowed to rotate in a horizontal rotary furnace for 36 hours to ensure homogeneity of the melt. After that, the ampoule is quenched into a mixture of ice - water and NaOH to get the bulk ingot of the sample. The sample is then coated on a glass substrate using flash evaporation technique at a vacuum level of 10-6 mbar. The XRD report reveals the amorphous nature of the thin film sample and Energy - Dispersive X-ray Analysis (EDAX) confirms that the film retains the same chemical composition as that of the base sample. Electrical switching behavior of the device is studied with the help of Keithley (2410c) source-measure unit interfaced with Lab VIEW 7 (National Instruments). Switching studies, mainly SET (changing the state of the material from amorphous to crystalline) operation is conducted on the thin film form of the sample. This device is found to manifest memory switching as the device remains 'ON' even after the removal of the electric field. Also it is found that amorphous Ge15In5Te56Ag24 thin film unveils clean memory type of electrical switching behavior which can be justified by the absence of fluctuation in the I-V characteristics. The I-V characteristic also reveals that the switching is faster in this sample as no data points could be seen in the negative resistance region during the transition to on state and this leads to the conclusion of fast phase change during SET process. Scanning Electron Microscopy (SEM) studies are performed on the chosen sample to study the structural changes at the time of switching. SEM studies on the switched Ge15In5Te56Ag24 sample has shown some morphological changes at the place of switching wherein it can be explained that a conducting crystalline channel is formed in the device when the device switches from high resistance to low resistance state. From these studies it can be concluded that the material may find its application in fast switching Non-Volatile Phase Change Memory (PCM) Devices.

Keywords: Chalcogenides, vapor deposition, electrical switching, PCM.

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806 Kinematic Analysis and Software Development of a Seven Degree of Freedom Inspection Robot

Authors: G. Shanmugasundar, R. Sivaramakrishnan, S. Venugopal

Abstract:

Robots are booming as an essential substituent in the field of inspection. In hazardous environments like nuclear waste disposal, robots are really a necessitate one. In a view to meet such demands, this paper presents the seven degree of freedom articulated inspection robot. To design such a robot the kinematic analysis of seven Degree of freedom robot which can inspect the hazardous nuclear waste storage tanks is done. The effective utilization of universal joints for arms and screw jack mechanisms at the base gives the higher order of degree of freedom to the newly designed robot. The analytical method of deriving the manipulator forward as well as inverse kinematics is explained elaborately using the Denavit-Hartenberg Approach for the purpose of calculating the robot joints, links and end-effector parameters. The comparison of the geometric and the analytical approach is stated. The self-developed kinematic model gives the accurate positions of the end effector. The Graphical User Interface (GUI) is developed in Visual Basic language for the manipulation of kinematic results easily. This software gives the expected position of the end-effector accurately at short time compared to manual manipulations.

Keywords: Robot kinematics, screw jack mechanisms, Denavit-Hartenberg approach, universal joints.

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805 On Reversal and Transposition Medians

Authors: Martin Bader

Abstract:

During the last years, the genomes of more and more species have been sequenced, providing data for phylogenetic recon- struction based on genome rearrangement measures. A main task in all phylogenetic reconstruction algorithms is to solve the median of three problem. Although this problem is NP-hard even for the sim- plest distance measures, there are exact algorithms for the breakpoint median and the reversal median that are fast enough for practical use. In this paper, this approach is extended to the transposition median as well as to the weighted reversal and transposition median. Although there is no exact polynomial algorithm known even for the pairwise distances, we will show that it is in most cases possible to solve these problems exactly within reasonable time by using a branch and bound algorithm.

Keywords: Comparative genomics, genome rearrangements, me-dian, reversals, transpositions.

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804 Fast Codevector Search Algorithm for 3-D Vector Quantized Codebook

Authors: H. B. Kekre, Tanuja K. Sarode

Abstract:

This paper presents a very simple and efficient algorithm for codebook search, which reduces a great deal of computation as compared to the full codebook search. The algorithm is based on sorting and centroid technique for search. The results table shows the effectiveness of the proposed algorithm in terms of computational complexity. In this paper we also introduce a new performance parameter named as Average fractional change in pixel value as we feel that it gives better understanding of the closeness of the image since it is related to the perception. This new performance parameter takes into consideration the average fractional change in each pixel value.

Keywords: Vector Quantization, Data Compression, Encoding, Searching.

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803 Identification of an Unstable Nonlinear System: Quadrotor

Authors: Mauricio Pe˜na, Adriana Luna, Carol Rodr´ıguez

Abstract:

In the following article we begin from a multi-parameter unstable nonlinear model of a Quadrotor. We design a control to stabilize and assure the attitude of the device, starting off a linearized system at the equilibrium point of the null angles of Euler (hover), which provides us a control with limited capacities at small angles of rotation of the vehicle in three dimensions. In order to clear this obstacle, we propose the identification of models in different angles by means of simulations and the design of a controller specifically implemented for the identification task, that in future works will allow the development of controllers according to fast and agile angles of Euler for Quadrotor.

Keywords: Quadrotor, model, control, identification.

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802 About the Instability Modes of Current Sheet in Wide Range of Frequencies

Authors: V. V. Lyahov, V. M. Neshchadim

Abstract:

We offer a new technique for research of stability of current sheaths in space plasma taking into account the effect of polarization. At the beginning, the found perturbation of the distribution function is used for calculation of the dielectric permeability tensor, which simulates inhomogeneous medium of a current sheath. Further, we in the usual manner solve the system of Maxwell's equations closed with the material equation. The amplitudes of Fourier perturbations are considered to be exponentially decaying through the current sheath thickness. The dispersion equation follows from the nontrivial solution requirement for perturbations of the electromagnetic field. The resulting dispersion equation allows one to study the temporal and spatial characteristics of instability modes of the current sheath (within the limits of the proposed model) over a wide frequency range, including low frequencies.

Keywords: Current sheath, distribution function, effect of polarization, instability modes, low frequencies, perturbation of electromagnetic field dispersion equation, space plasma, tensor of dielectric permeability.

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801 Applying Wavelet Entropy Principle in Fault Classification

Authors: S. El Safty, A. El-Zonkoly

Abstract:

The ability to detect and classify the type of fault plays a great role in the protection of power system. This procedure is required to be precise with no time consumption. In this paper detection of fault type has been implemented using wavelet analysis together with wavelet entropy principle. The simulation of power system is carried out using PSCAD/EMTDC. Different types of faults were studied obtaining various current waveforms. These current waveforms were decomposed using wavelet analysis into different approximation and details. The wavelet entropy of such decompositions is analyzed reaching a successful methodology for fault classification. The suggested approach is tested using different fault types and proven successful identification for the type of fault.

Keywords: Fault classification, wavelet transform, waveletentropy.

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800 Forecasting of Grape Juice Flavor by Using Support Vector Regression

Authors: Ren-Jieh Kuo, Chun-Shou Huang

Abstract:

The research of juice flavor forecasting has become more important in China. Due to the fast economic growth in China, many different kinds of juices have been introduced to the market. If a beverage company can understand their customers’ preference well, the juice can be served more attractive. Thus, this study intends to introducing the basic theory and computing process of grapes juice flavor forecasting based on support vector regression (SVR). Applying SVR, BPN, and LR to forecast the flavor of grapes juice in real data shows that SVR is more suitable and effective at predicting performance.

Keywords: Flavor forecasting, artificial neural networks, support vector regression, grape juice flavor.

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799 A Study of Color Transformation on Website Images for the Color Blind

Authors: Siew-Li Ching, Maziani Sabudin

Abstract:

In this paper, we study on color transformation method on website images for the color blind. The most common category of color blindness is red-green color blindness which is viewed as beige color. By transforming the colors of the images, the color blind can improve their color visibility. They can have a better view when browsing through the websites. To transform colors on the website images, we study on two algorithms which are the conversion techniques from RGB color space to HSV color space and self-organizing color transformation. The comparative study focuses on criteria based on the ease of use, quality, accuracy and efficiency. The outcome of the study leads to enhancement of website images to meet the color blinds- vision requirements in perceiving image detailed.

Keywords: Color blind, color transformation, HSV (Hue, Saturation, Value), RGB (Red, Green, Blue).

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798 The Shanghai Cooperation Organization: China's Grand Strategy in Central Asia

Authors: Mara Gubaidullina, Aigerim Yelibayeva

Abstract:

The Shanghai Cooperation Organization is one of the successful outcomes of China's foreign policy since the end of the Cold war. The expansion of multilateral ties all over the world by dint of pursuing institutional strategies as SCO, identify China as a more constructive power. SCO became a new model of cooperation that was formed on remains of collapsed Soviet system, and predetermined China's geopolitical role in the region. As the fast developing effective regional mechanism, SCO today has more of external impact on the international system and forms a new type of interaction for promoting China's grand strategy of 'peaceful rise'.

Keywords: Central Asia, China's grand strategy, Shanghai Cooperation Organization.

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797 ECG Analysis using Nature Inspired Algorithm

Authors: A.Sankara Subramanian, G.Gurusamy, G.Selvakumar, P.Gnanasekar, A.Nagappan

Abstract:

This paper presents an algorithm based on the wavelet decomposition, for feature extraction from the ECG signal and recognition of three types of Ventricular Arrhythmias using neural networks. A set of Discrete Wavelet Transform (DWT) coefficients, which contain the maximum information about the arrhythmias, is selected from the wavelet decomposition. After that a novel clustering algorithm based on nature inspired algorithm (Ant Colony Optimization) is developed for classifying arrhythmia types. The algorithm is applied on the ECG registrations from the MIT-BIH arrhythmia and malignant ventricular arrhythmia databases. We applied Daubechies 4 wavelet in our algorithm. The wavelet decomposition enabled us to perform the task efficiently and produced reliable results.

Keywords: Daubechies 4 Wavelet, ECG, Nature inspired algorithm, Ventricular Arrhythmias, Wavelet Decomposition.

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796 Design an Electrical Nose with ZnO Nanowire Arrays

Authors: Amin Nekoubin, Abdolamir Nekoubin

Abstract:

Vertical ZnO nanowire array films were synthesized based on aqueous method for sensing applications. ZnO nanowires were investigated structurally using X-ray diffraction (XRD) and scanning electron microscopy (SEM). The gas-sensing properties of ZnO nanowires array films are studied. It is found that the ZnO nanowires array film sensor exhibits excellent sensing properties towards O2 and CO2 at 100 °C with the response time shorter than 5 s. High surface area / volume ratio of vertical ZnO nanowire and high mobility accounts for the fast response and recovery. The sensor response was measured in the range from 100 to 500 ppm O2 and CO2 in this study.

Keywords: Gas sensor, semiconductor, ZnO, Nanowire array

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795 Fade Dynamics Investigation Applying Statistics of Fade Duration and Level Crossing Rate

Authors: Balázs Héder, Róbert Singliar, János Bitó

Abstract:

The impact of rain attenuation on wireless communication signals is predominant because of the used high frequency (above 10 GHz). The knowledge of statistics of attenuation is very important for planning point-to-point microwave links operating in high frequency band. Describing the statistics of attenuation is possible for instance with fade duration or level crossing rate. In our examination we determine these statistics from one year measured data for a given microwave link, and we are going to make an attempt to transform the level crossing rate statistic to fade duration statistic.

Keywords: Rain attenuation measurement, fade duration, level crossing rate.

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794 Algorithms for Computing of Optimization Problems with a Common Minimum-Norm Fixed Point with Applications

Authors: Apirak Sombat, Teerapol Saleewong, Poom Kumam, Parin Chaipunya, Wiyada Kumam, Anantachai Padcharoen, Yeol Je Cho, Thana Sutthibutpong

Abstract:

This research is aimed to study a two-step iteration process defined over a finite family of σ-asymptotically quasi-nonexpansive nonself-mappings. The strong convergence is guaranteed under the framework of Banach spaces with some additional structural properties including strict and uniform convexity, reflexivity, and smoothness assumptions. With similar projection technique for nonself-mapping in Hilbert spaces, we hereby use the generalized projection to construct a point within the corresponding domain. Moreover, we have to introduce the use of duality mapping and its inverse to overcome the unavailability of duality representation that is exploit by Hilbert space theorists. We then apply our results for σ-asymptotically quasi-nonexpansive nonself-mappings to solve for ideal efficiency of vector optimization problems composed of finitely many objective functions. We also showed that the obtained solution from our process is the closest to the origin. Moreover, we also give an illustrative numerical example to support our results.

Keywords: σ-asymptotically quasi-nonexpansive nonselfmapping, strong convergence, fixed point, uniformly convex and uniformly smooth Banach space.

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793 Analysis of Histogram Asymmetry for Waste Recognition

Authors: Janusz Bobulski, Kamila Pasternak

Abstract:

Despite many years of effort and research, the problem of waste management is still current. There is a lack of fast and effective algorithms for classifying individual waste fractions. Many programs and projects improve statistics on the percentage of waste recycled every year. In these efforts, it is worth using modern Computer Vision techniques supported by artificial intelligence. In the article, we present a method of identifying plastic waste based on the asymmetry analysis of the histogram of the image containing the waste. The method is simple but effective (94%), which allows it to be implemented on devices with low computing power, in particular on microcomputers. Such de-vices will be used both at home and in waste sorting plants.

Keywords: Computer vision, environmental protection, image processing, waste management.

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792 Ranking - Convex Risk Minimization

Authors: Wojciech Rejchel

Abstract:

The problem of ranking (rank regression) has become popular in the machine learning community. This theory relates to problems, in which one has to predict (guess) the order between objects on the basis of vectors describing their observed features. In many ranking algorithms a convex loss function is used instead of the 0-1 loss. It makes these procedures computationally efficient. Hence, convex risk minimizers and their statistical properties are investigated in this paper. Fast rates of convergence are obtained under conditions, that look similarly to the ones from the classification theory. Methods used in this paper come from the theory of U-processes as well as empirical processes.

Keywords: Convex loss function, empirical risk minimization, empirical process, U-process, boosting, euclidean family.

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791 Automatic Segmentation of the Clean Speech Signal

Authors: M. A. Ben Messaoud, A. Bouzid, N. Ellouze

Abstract:

Speech Segmentation is the measure of the change point detection for partitioning an input speech signal into regions each of which accords to only one speaker. In this paper, we apply two features based on multi-scale product (MP) of the clean speech, namely the spectral centroid of MP, and the zero crossings rate of MP. We focus on multi-scale product analysis as an important tool for segmentation extraction. The MP is based on making the product of the speech wavelet transform coefficients (WTC). We have estimated our method on the Keele database. The results show the effectiveness of our method. It indicates that the two features can find word boundaries, and extracted the segments of the clean speech.

Keywords: Speech segmentation, Multi-scale product, Spectral centroid, Zero crossings rate.

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790 The Euler Equations of Steady Flow in Terms of New Dependent and Independent Variables

Authors: Peiangpob Monnuanprang

Abstract:

In this paper we study the transformation of Euler equations  1 , u u u Pf t (ρ ∂) + ⋅∇ = − ∇ + ∂ G G G G ∇⋅ = u 0, G where (ux, t) G G is the velocity of a fluid, P(x, t) G is the pressure of a fluid andρ (x, t) G is density. First of all, we rewrite the Euler equations in terms of new unknown functions. Then, we introduce new independent variables and transform it to a new curvilinear coordinate system. We obtain the Euler equations in the new dependent and independent variables. The governing equations into two subsystems, one is hyperbolic and another is elliptic.

Keywords: Euler equations, transformation, hyperbolic, elliptic

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789 Studies on Automatic Measurement Technology for Surface Braided Angle of Three-Dimensional Braided Composite Material Performs

Authors: Na Li

Abstract:

This paper describes a new measuring algorithm for three-dimensional (3-D) braided composite material .Braided angle is an important parameter of braided composites. The objective of this paper is to present an automatic measuring system. In the paper, the algorithm is performed by using vcµ6.0 language on PC. An advanced filtered algorithm for image of 3-D braided composites material performs has been developed. The procedure is completely automatic and relies on the gray scale information content of the images and their local wavelet transform modulus maxims. Experimental results show that the proposed method is feasible. The algorithm was tested on both carbon-fiber and glass-fiber performs.

Keywords: Three-Dimensional composite material, Mathematical morphology.

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788 Status and Requirements of Counter-Cyberterrorism

Authors: Jeong-Tae Kim, Tchanghee Hyun

Abstract:

The number of intrusions and attacks against critical infrastructures and other information networks is increasing rapidly. While there is no identified evidence that terrorist organizations are currently planning a coordinated attack against the vulnerabilities of computer systems and network connected to critical infrastructure, and origins of the indiscriminate cyber attacks that infect computers on network remain largely unknown. The growing trend toward the use of more automated and menacing attack tools has also overwhelmed some of the current methodologies used for tracking cyber attacks. There is an ample possibility that this kind of cyber attacks can be transform to cyberterrorism caused by illegal purposes. Cyberterrorism is a matter of vital importance to national welfare. Therefore, each countries and organizations have to take a proper measure to meet the situation and consider effective legislation about cyberterrorism.

Keywords: Cyberterrorism, cyber attack, information security, legislation

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787 K-Means Based Matching Algorithm for Multi-Resolution Feature Descriptors

Authors: Shao-Tzu Huang, Chen-Chien Hsu, Wei-Yen Wang

Abstract:

Matching high dimensional features between images is computationally expensive for exhaustive search approaches in computer vision. Although the dimension of the feature can be degraded by simplifying the prior knowledge of homography, matching accuracy may degrade as a tradeoff. In this paper, we present a feature matching method based on k-means algorithm that reduces the matching cost and matches the features between images instead of using a simplified geometric assumption. Experimental results show that the proposed method outperforms the previous linear exhaustive search approaches in terms of the inlier ratio of matched pairs.

Keywords: Feature matching, k-means clustering, scale invariant feature transform, linear exhaustive search.

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786 Building and Tree Detection Using Multiscale Matched Filtering

Authors: Abdullah H. Özcan, Dilara Hisar, Yetkin Sayar, Cem Ünsalan

Abstract:

In this study, an automated building and tree detection method is proposed using DSM data and true orthophoto image. A multiscale matched filtering is used on DSM data. Therefore, first watershed transform is applied. Then, Otsu’s thresholding method is used as an adaptive threshold to segment each watershed region. Detected objects are masked with NDVI to separate buildings and trees. The proposed method is able to detect buildings and trees without entering any elevation threshold. We tested our method on ISPRS semantic labeling dataset and obtained promising results.

Keywords: Building detection, tree detection, matched filtering, multiscale, local maximum filtering, watershed segmentation.

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785 High Level Synthesis of Kahn Process Networks(KPN) for Streaming Applications

Authors: Attiya Mahmood, Syed Ali Abbas, Shoab A. Khan

Abstract:

Streaming Applications usually run in parallel or in series that incrementally transform a stream of input data. It poses a design challenge to break such an application into distinguishable blocks and then to map them into independent hardware processing elements. For this, there is required a generic controller that automatically maps such a stream of data into independent processing elements without any dependencies and manual considerations. In this paper, Kahn Process Networks (KPN) for such streaming applications is designed and developed that will be mapped on MPSoC. This is designed in such a way that there is a generic Cbased compiler that will take the mapping specifications as an input from the user and then it will automate these design constraints and automatically generate the synthesized RTL optimized code for specified application.

Keywords: KPN, DFG, FPGA

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784 A Model-following Adaptive Controller for Linear/Nonlinear Plantsusing Radial Basis Function Neural Networks

Authors: Yuichi Masukake, Yoshihisa Ishida

Abstract:

In this paper, we proposed a method to design a model-following adaptive controller for linear/nonlinear plants. Radial basis function neural networks (RBF-NNs), which are known for their stable learning capability and fast training, are used to identify linear/nonlinear plants. Simulation results show that the proposed method is effective in controlling both linear and nonlinear plants with disturbance in the plant input.

Keywords: Linear/nonlinear plants, neural networks, radial basisfunction networks.

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783 All-Pairs Shortest-Paths Problem for Unweighted Graphs in O(n2 log n) Time

Authors: Udaya Kumar Reddy K. R, K. Viswanathan Iyer

Abstract:

Given a simple connected unweighted undirected graph G = (V (G), E(G)) with |V (G)| = n and |E(G)| = m, we present a new algorithm for the all-pairs shortest-path (APSP) problem. The running time of our algorithm is in O(n2 log n). This bound is an improvement over previous best known O(n2.376) time bound of Raimund Seidel (1995) for general graphs. The algorithm presented does not rely on fast matrix multiplication. Our algorithm with slight modifications, enables us to compute the APSP problem for unweighted directed graph in time O(n2 log n), improving a previous best known O(n2.575) time bound of Uri Zwick (2002).

Keywords: Distance in graphs, Dynamic programming, Graphalgorithms, Shortest paths.

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782 An Engineering Approach to Forecast Volatility of Financial Indices

Authors: Irwin Ma, Tony Wong, Thiagas Sankar

Abstract:

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.

Keywords: Discrete stochastic optimization, genetic algorithms, genetic programming, volatility forecast

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