Search all articles

This paper examines the volatility dynamics of the greater China stock markets (Shanghai A- and B-shares, Shenzhen A- and B-shares, Taiwan, and Hong Kong) by employing a multivariate (tetravariate) framework that incorporates the features of asymmetries, persistence, and time-varying correlations, which...

OCR makes it possible for the user to edit or search the document’s contents. In this paper we describe a special water fill technique for detecting the upside down text document. Each character has a upside and downside filling capacities. A character may have two sides or one side filling capacity...

Due to the rapid grow up of transaction volume of derivatives in the financial market, the Black-Scholes options pricing model (BSM) is played an important role recently and widely applied in various options contract. However, this theoretical model limited by the influences of many unexpected real world...

Object correlations are common semantic patterns in virtual reality systems. They can be exploited for improving the effectiveness of storage caching, prefecthing, data layout, and minimization of query-response times. Unfortunately, this information about object correlations is unavailable at the storage...

In this paper, we extend research done in max-min fuzzy neural networks in several important ways. We replace max and min operations use in the fuzzy operations by more general t-norms and co-norms, respectively. In addition, instead of the Łukasiewicz equivalence connective used in the network of Reyes-Garcia...

Security Exchange Commission in Taiwan requires all public companies to file and announce their monthly sales figure by the of the following month. This requirement has established another channel for market investors to obtain additional accounting information on a more timely basis than quarterly or...

In the security infrastructure, intrusion detection has become an indispensable defense line in face of increasing vulnerabilities exposed in today’s computing systems and Internet. In this paper, our approach uses ontologies as a way of grasping the knowledge of a domain, expressing the intrusion detection...

This study attempts to find the possibility of making relatively higher profit with lower risk when trading futures commodities. The system applies XCS classifiers to explore the rules of spread trading of these commodities. Our simulation holds a trading strategy that in every transaction, the proposed...

We provide a framework for learning risk-neutral measures (Martingale measures) for pricing options from high frequency financial data. In a simple geometric Brownian motion model, a price volatility, a fixed interest rate and a no-arbitrage condition suffice to determine a unique risk-neutral measure....

The feature selection process can be considered a problem of global combinatorial optimization in machine learning, which reduces the number of features, removes irrelevant, noisy and redundant data, and results in acceptable classification accuracy. In this paper, we propose a combination of genetic...

In this paper we adopt the Markov-switching specification to establish the hybrid model with time-varying loading on each of chartist and fundamentalist techniques. The US dollar exchange rates of four Asian tiger countries’ currencies serve as the representative examples in this paper. Our empirical...

Most of GA-based portfolio assets allocation uses normalization method to allocate investment asset’s weight. However, the normalization process will cause unease converging and even diverging characteristics, because it changes the gene’s relativity of address in chromosome. In this paper, we propose...

Artificial intelligence decision support system is always a popular topic in providing the human user with an optimized decision recommendation when operating under uncertainty in complex environments. The particular focus of our discussion is to compare different methods of artificial intelligence decision...

This paper outlines a data mining approach to analysis and prediction of the trend of stock prices. The approach consists of three steps, namely partitioning, analysis and prediction. A modification of the commonly used k-means clustering algorithm is used to partition stock price time series data. After...

A novel training paradigm for artificial neural networks had been developed and presented in this article. In the proposed approach, a revised version of particle swarm optimization (PSO) had been employed to find out the optimal connection weights of feed-forward artificial neural networks for given...

Concept hierarchies are important for generalization in many data mining applications. We propose a method to automatically build a concept hierarchy from a provided distance matrix. The method is a modification of traditional agglomerative hierarchical clustering algorithm. When two closest clusters...

Information technology (IT) has been extensively adopted in banking industries. The reasons for this massive adoption of IT are mainly twofold: for individual banks, IT can reduce banks’ operational costs (the cost advantage), and facilitate transactions among customers within the same network (the network...

Due to the flood of pornographic web sites on the internet, content-based web filtering has become an important technique to detect and filter inappropriate information on the web. This is because pornographic web sites contain many sexually oriented texts, images, and other information that can be helpful...

In this paper we present a novel dense matching algorithm that relies on sparse stereo data in order to build a dense disparity map. The algorithm uses a recursive updating scheme to estimate the dense stereo data using various interpolation techniques. The major problem of classical template matching...

In this paper we introduce a practicable system by combining a vision processing algorithm and a fuzzy controller to obtain an efficient active tracker. Target tracking performance is heavily dependent on a good blend of vision algorithm and control. Because of performance and computational complexity,...

Once the input values are given, the active rules in a fuzzy inference execution have been determined. Based on the observation, our approach is to identify the active rules before fuzzy inference execution. To achieve this goal, our architecture provides the following two mechanisms: (1) a mechanism...

We present Pavelka-style fuzzy logic for reasoning about attribute implications, i.e. formulas $A\Rightarrow B$. Fuzzy attribute implications allow for two different interpretations, namely, in data tables with graded (fuzzy) attributes and in data tables over domains with similarity relations. The axioms...

There is a significant problem associated with the fuzzy time series. That is a strict increasing and decreasing case. Under the discussion case, fuzzy time series model arise a continuous increasing/decreasing forecasting value. From the illustrative example, we can see that our definition not only...

This paper presents a neuro-fuzzy system to speech classification. We propose a multi-resolution feature extraction technique to deal with adaptive frame size. We utilize fuzzy adaptive resonance theory (FART) to cluster each frame. FART was an extension to ART, performs clustering of its inputs via...

In Dense Wavelength Division Multiplexing (DWDM) technologies, the optimal packet scheduling is a common encounter issue in multiple channels network. NP-hard problem deals with finding a way to rearrange packets in multiple channels into a finite and rare channel. Genetic algorithm (GA) is one of the...

A dynamic optical reconstructed system for digital hologram is developed using two commercially available twisted-nematic-liquid- crystal spatial light modulators (TNLC-SLMs), which are operating in the amplitude- and phase-mostly modulation modes, respectively. The complex modulated properties of this...

Objects in the world exhibit complex interactions.When captured in a video sequence, some interactions manifest themselves as occlusions. A visual tracking system must be able to track objects which are partially or even fully occluded. Occlusion is a difficult problem in target tracking, especially...

Some approaches such as path indexing, labeling, and numbering scheme have been proposed in order to facilitate query of XML data. The indexes derived by these approaches must be rebuilt if XML data is updated. The method LSDX (Labeling Scheme for Dynamic XML data) can dynamically add new labels without...

Recognizing the importance of developing renewable energy resources, the Highways Agency commissioned a preliminary scoping study in 2001 to explore available methods and assess the possibility of renewable energy generation being exploited within the highway network. Among the various means of transportation,...