Non-linear Dynamics Commons^™

Normrank Correlations For Testing Associations And For Use In Latent Variable Models, Daniel B. Wright

Educational Psychology, Leadership, and Higher Education Faculty Research

Pearson’s correlation is widely used to test for an association between two variables and also forms the basis of several multivariate statistical procedures including many latent variable models. Spearman’s p is a popular alternative. These procedures are compared with ranking the data and then applying the inverse normal transformation, or for short the normrank transformation. Using the normrank transformation was more powerful than Pearson’s and Spearman’s procedures when the distributions have less than normal kurtosis (platykurtic), when the distributions have greater than normal kurtosis (leptokurtic), and when the distribution is skewed. This is examined for testing if there is an …

Self-Correcting Kelly Strategies For Skeptical Traders, Aaron C. Brown

International Conference on Gambling & Risk Taking

The Kelly criterion gives the appropriate bet size in idealized situations with known parameters. In financial trading situations parameters are generally unknown and the mathematical assumptions underlying the Kelly proof are not met precisely. Moreover a risk manager typically must cooperate with a trader who may be skeptical about both the Kelly criterion specifically and the concept of mathematical optimization of bet size in general.

This presentation tackles the problem of designing a Kelly-based system for setting trade risk management parameters that is both self-correcting (the system delivers good results even if initial parameter are misestimated or parameters change) and …

Design Of Fuzzy Logic Controllers For Optimal Performance, Mohamed Trabia

Mechanical Engineering Faculty Presentations

While fuzzy logic controllers are generally robust, the performance of a system whose behavior is not well understood, or that has a large number of coupled inputs and outputs, may be less than optimal. In this paper, nonlinear programming techniques are used to improve the performance of a fuzzy logic controller for navigating an autonomous vehicle.