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2008

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Margin Trading, Overpricing, And Synchronization Risk, Sanjeev Bhojraj, Robert J. Bloomfield, William B. Tayler Jan 2008

Margin Trading, Overpricing, And Synchronization Risk, Sanjeev Bhojraj, Robert J. Bloomfield, William B. Tayler

Faculty Publications

We provide experimental evidence that relaxing margin restrictions to allow more short selling can exacerbate overpricing, even though it reduces equilibrium price levels. This is because smart-money traders initially profit more by front-running optimistic investor sentiment than by disciplining prices. When short selling is not possible, competitive pressures among arbitrageurs rapidly drive prices to the equilibrium. However, the risk of margin calls slows the convergence process, because arbitrageurs who sell short too early face substantial losses if they are unable to synchronize their trades with other arbitrageurs (as in Abreu and Brunnermeier. 2002. Journal of Financial Economics 66(2–3):341–60; 2003. Econometrica …

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Individual-Based Artificial Ecosystems For Design And Optimization, Srinivasa Shivakar Vulli, Sanjeev Agarwal Jan 2008

Individual-Based Artificial Ecosystems For Design And Optimization, Srinivasa Shivakar Vulli, Sanjeev Agarwal

Electrical and Computer Engineering Faculty Research & Creative Works

Individual-Based modeling has gained popularity over the last decade, mainly due to its proven ability to address a variety of problems, including modeling complex systems from bottom-up, providing relationships between component level and system level parameters, and relating emergent system level behaviors from simple component level interactions. Availability of computational power to run simulation models with thousands to millions of agents is another driving force in the wide-spread adoption of individual-Based modeling. in this paper, we propose an individual-Based modeling approach to solve engineering design and optimization problems using artificial ecosystems (AES). the problem to be solved is "mapped" to …

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Technology And Signal Processing For Brain-Machine Interfaces, Justin C. Sanchez, Jose C. Principe, Toshikazu Nishida, Rizwan Bashirullah, John G. Harris, José A.B. Fortes Jan 2008

Technology And Signal Processing For Brain-Machine Interfaces, Justin C. Sanchez, Jose C. Principe, Toshikazu Nishida, Rizwan Bashirullah, John G. Harris, José A.B. Fortes

Electrical and Computer Engineering Faculty Research & Creative Works

Brain-machine interfaces (BMIs) aid disabled humans. BMI systems face challenges such as interfacing with neural tissue, selecting the most appropriate control signals, acquiring data and decoding patient intent in implantable or wearable computers. They must be able to adapt to different variety of behavioral states. Today's hybrid BMI systems consume less power and are made to chronically extract control commands from the nervous system. In terms of signal processing approaches, one challenge for BMI data analysis is learning how to handle large multi-input multi-output systems with signal representations that span continuous and discrete time. BMI systems also need sufficient information …

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Gaussian Basis Functions For Chemometrics, Tuomas Kärnä, Francesco Corona, Amaury Lendasse Jan 2008

Gaussian Basis Functions For Chemometrics, Tuomas Kärnä, Francesco Corona, Amaury Lendasse

Engineering Management and Systems Engineering Faculty Research & Creative Works

High-Dimensional Data Are Becoming More and More Common, especially in the Field of Chemometrics. Nevertheless, it is Generally Known that Most of the Commonly Used Prediction Models Suffer from Curse of Dimensionality that is the Prediction Performance Degrades as Data Dimension Grows. Therefore, It is Important to Develop Methodology for Reliable Dimensionality Reduction. in This Paper, We Propose a Method that is based on Functional Approximation using Gaussian Basis Functions. the Basis Functions Are Optimized to Accurately Fit the Spectral Data using Nonlinear Gauss-Newton Algorithm. the Fitting Weights Are Then Used as Training Data to Build a Least-Squares Support Vector …

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Wavelength Selection Using The Measure Of Topological Relevance On The Self-Organizing Map, Francesco Corona, Satu Pia Reinikainen, Kari Aaljoki, Annikki Perkiö, Elia Liitiäinen, Roberto Baratti, Olli Simula, Amaury Lendasse Jan 2008

Wavelength Selection Using The Measure Of Topological Relevance On The Self-Organizing Map, Francesco Corona, Satu Pia Reinikainen, Kari Aaljoki, Annikki Perkiö, Elia Liitiäinen, Roberto Baratti, Olli Simula, Amaury Lendasse

Engineering Management and Systems Engineering Faculty Research & Creative Works

In This Work, We Investigated the Possibility to Perform Wavelength Selection by Exploiting the Metric Structure of the Spectrophotoscopic Measurements. the Topologically Preserving Representation of the Data is Performed using the Self-Organizing Map (Som) Where the Inputs' Significance to the Output is Computed with the Measure of Topological Relevance (MTR) on Som. the MTR on Som is a Metric Measuring the Similarity between Local Distance Matrices and We Found that Spectral Inputs with a Topology, Which Is, Close to the Outputs Are Also Associated to the Wavelengths that Chemically Explain the Influence of the Spectra to the Property of Interest. …

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A Comparison Of Mlp, Rnn And Esn In Determining Harmonic Contributions From Nonlinear Loads, Jing Dai, Pinjia Zhang, Joy Mazumdar, Ronald G. Harley, G. K. Venayagamoorthy Jan 2008

A Comparison Of Mlp, Rnn And Esn In Determining Harmonic Contributions From Nonlinear Loads, Jing Dai, Pinjia Zhang, Joy Mazumdar, Ronald G. Harley, G. K. Venayagamoorthy

Electrical and Computer Engineering Faculty Research & Creative Works

With the wide use of power electronics devices, harmonic currents are being injected into the power system, known as "harmonic pollution". Although IEEE standards [1][2] have required the utilities and customers to limit the amount of harmonic current and voltage, the practical evaluation is complicated, as it is difficult to separate the contributions from the utilities and customers. a neural network-Based harmonic current prediction scheme was previously proposed by the authors to estimate the true harmonic current attributed to the nonlinearity of the load, instead of the distorted power supply. to test the feasibility of different types of neural networks …

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Noise Coupling Between Signal And Power/Ground Nets Due To Signal Vias Transitioning Through Power/Ground Plane Pair, Jun Fan, Matteo Cocchini, Bruce Archambeault, James L. Knighten, James L. Drewniak, Samuel Connor Jan 2008

Noise Coupling Between Signal And Power/Ground Nets Due To Signal Vias Transitioning Through Power/Ground Plane Pair, Jun Fan, Matteo Cocchini, Bruce Archambeault, James L. Knighten, James L. Drewniak, Samuel Connor

Electrical and Computer Engineering Faculty Research & Creative Works

Signal vias are often used to move a signal from one PCB layer to another. as a result, these vias can penetrate power/ground plane pair and cause noise coupling (crosstalk) between signal and power/ground nets. This paper studies the noise coupling mechanism using a segmentation approach combined with a via capacitance model and a plane-pair cavity model. Noise coupling from signal to power/ground, and vice versa, is demonstrated in the modeling results.

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Implementing An Architectural Framework To Define And Deliver Net-Centric Capability To Legacy Military Air Assets Operating Within A System Of Systems, Mark S. Anderson, S. M. Martin, Cihan H. Dagli, Ann K. Miller Jan 2008

Implementing An Architectural Framework To Define And Deliver Net-Centric Capability To Legacy Military Air Assets Operating Within A System Of Systems, Mark S. Anderson, S. M. Martin, Cihan H. Dagli, Ann K. Miller

Engineering Management and Systems Engineering Faculty Research & Creative Works

The United States Air Force (USAF) is implementing an integrated net-centric system of systems for airborne operations in support of the global war on terror (GWOT). The GWOT demands that a successful architecture framework transforms and delivers net-centric assets to the war-fighter in a timely manner. A critical component of this implementation is the transformation of legacy strategic air platforms into net-centric air power assets operating within a system of systems. The System Architectural (SA) framework, and the Department of Defense Architectural Framework (DoDAF) are ways of managing complexity and organizing information within a system of systems network. This paper …

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Estimation Of Earthquake Loss Due To Bridge Damage In The St. Louis Metropolitan Area. Ii: Indirect Losses, David Lee Enke, Chakkaphan Tirasirichai, Ronaldo Luna Jan 2008

Estimation Of Earthquake Loss Due To Bridge Damage In The St. Louis Metropolitan Area. Ii: Indirect Losses, David Lee Enke, Chakkaphan Tirasirichai, Ronaldo Luna

Engineering Management and Systems Engineering Faculty Research & Creative Works

An approach to estimate the indirect economic loss due to damaged bridges within the highway system from an earthquake event is presented. The indirect cost considered refers to the increased highway transportation cost only. The study zone covers the St. Louis metropolitan area and its surrounding suburban regions. An earthquake scenario centered in St. Louis, with a magnitude 7.0 is used. The direct earthquake loss was primarily damage to bridges, which causes an increase in travel time and distance within the transportation network. This information is then used as input for the indirect loss model. The indirect loss is examined …

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