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Physical Sciences and Mathematics Commons™
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- ABX index (1)
- Anisotropic Diffusion (1)
- Asset management (1)
- Demand profiling (1)
- Deterministic chaos (1)
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- Domestic (1)
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- Fractional Diffusion (1)
- Fractional diffusion (1)
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- Risk assessment of economy (1)
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- Volatility (1)
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Articles 1 - 5 of 5
Full-Text Articles in Physical Sciences and Mathematics
Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge
Application Of The Fractional Diffusion Equation For Predicting Market Behaviour, Jonathan Blackledge
Articles
Most Financial modelling system rely on an underlying hypothesis known as the Eficient Market Hypothesi (EMH) including the famous BlackScholes formula for placing an option. However, the EMH has a fundamental flaw: it is based on the assumption that economic processes are normally distributed and it has long been known that this is not the case. This fundamental assumption leads to a number of shortcomings associated with using the EMH to analyse financial data which includes failure to predict the future volatility of a market share value. This paper introduces a new financial risk assessment model based on Levy statistics …
The Generation Of Domestic Electricity Load Profiles Through Markov Chain Modelling, Aidan Duffy, Fintan Mcloughlin, Michael Conlon
The Generation Of Domestic Electricity Load Profiles Through Markov Chain Modelling, Aidan Duffy, Fintan Mcloughlin, Michael Conlon
Conference Papers
Micro-generation technologies such as photovoltaics and micro-wind power are becoming increasing popular among homeowners, mainly a result of policy support mechanisms helping to improve cost competiveness as compared to traditional fossil fuel generation. National government strategies to reduce electricity demand generated from fossil fuels and to meet European Union 20/20 targets is driving this change. However, the real performance of these technologies in a domestic setting is not often known as high time resolution models for domestic electricity load profiles are not readily available. As a result, projections in terms of reducing electricity demand and financial paybacks for these micro-generation …
Fractional Anisotropic Diffusion For Noise Reduction In Magnetic Resonance Images, Jonathan Blackledge, Matthew Blackledge
Fractional Anisotropic Diffusion For Noise Reduction In Magnetic Resonance Images, Jonathan Blackledge, Matthew Blackledge
Articles
We extend the method of anisotropic diffusion for noise reduction in digital images to the case when the diffusion processes are non-Gaussian and Levy distributed. This yields a fractional diffusion equation characterised by the Levy index. A solution to this equation is considered and a numerical algorithm developed. The algorithm is then applied as a case study to the problem of reducing noise in magnetic resonance imaging. The focus of this study is on diffusion weighted images which have low signal-to-noise ratios.
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Economic Risk Assessment Using The Fractal Market Hypothesis, Jonathan Blackledge, Marek Rebow
Conference papers
This paper considers the Fractal Market Hypothesi (FMH) for assessing the risk(s) in developing a financial portfolio based on data that is available through the Internet from an increasing number of sources. Most financial risk management systems are still based on the Efficient Market Hypothesis which often fails due to the inaccuracies of the statistical models that underpin the hypothesis, in particular, that financial data are based on stationary Gaussian processes. The FMH considered in this paper assumes that financial data are non-stationary and statistically self-affine so that a risk analysis can, in principal, be applied at any time scale …
Encryption Using Deterministic Chaos, Jonathan Blackledge, Nikolai Ptitsyn
Encryption Using Deterministic Chaos, Jonathan Blackledge, Nikolai Ptitsyn
Articles
The concepts of randomness, unpredictability, complexity and entropy form the basis of modern cryptography and a cryptosystem can be interpreted as the design of a key-dependent bijective transformation that is unpredictable to an observer for a given computational resource. For any cryptosystem, including a Pseudo-Random Number Generator (PRNG), encryption algorithm or a key exchange scheme, for example, a cryptanalyst has access to the time series of a dynamic system and knows the PRNG function (the algorithm that is assumed to be based on some iterative process) which is taken to be in the public domain by virtue of the Kerchhoff-Shannon …