Engineering Commons^™

Can Deep Learning Techniques Improve The Risk Adjusted Returns From Enhanced Indexing Investment Strategies, Anthony Grace

Dissertations

Deep learning techniques have been widely applied in the field of stock market prediction particularly with respect to the implementation of active trading strategies. However, the area of portfolio management and passive portfolio management in particular has been much less well served by research to date. This research project conducts an investigation into the science underlying the implementation of portfolio management strategies in practice focusing on enhanced indexing strategies. Enhanced indexing is a passive management approach which introduces an element of active management with the aim of achieving a level of active return through small adjustments to the portfolio weights. …

Statistical Anomaly Denial Of Service And Reconnaissance Intrusion Detection, Zheng Zhang

Dissertations

This dissertation presents the architecture, methods and results of the Hierarchical Intrusion Detection Engine (HIDE) and the Reconnaissance Intrusion Detection System (RIDS); the former is denial-of-service (DoS) attack detector while the latter is a scan and probe (P&S) reconnaissance detector; both are statistical anomaly systems.

The HIDE is a packet-oriented, observation-window using, hierarchical, multi-tier, anomaly based network intrusion detection system, which monitors several network traffic parameters simultaneously, constructs a 64-bin probability density function (PDF) for each, statistically compares it to a reference PDF of normal behavior using a similarity metric, then combines the results into an anomaly status vector that …