Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional, correlation-based approach. This paper concerns the application of copula functions in VaR and conditional VaR valuation. Some measures of dependence risks are proposed in studying financial portfoliopsilas risk. We investigate the relations between the dependence risk measure and copula function, and find that the choice of copula will effect on the degree of dependence risk in portfolio.
{"title":"Study on Measures of Dependence Conditional Risk Based-on Copulas in Financial Portfolio","authors":"Yi Wen-de, Huang Ai-hua","doi":"10.1109/FITME.2008.131","DOIUrl":"https://doi.org/10.1109/FITME.2008.131","url":null,"abstract":"Copulas have become a powerful tool for modeling the dependence structure of financial data and preferable to the traditional, correlation-based approach. This paper concerns the application of copula functions in VaR and conditional VaR valuation. Some measures of dependence risks are proposed in studying financial portfoliopsilas risk. We investigate the relations between the dependence risk measure and copula function, and find that the choice of copula will effect on the degree of dependence risk in portfolio.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120958710","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Currently, there exist different trust models in peer-to-peer application. Each model has an abundance of trust information about trust and reputation attributes which are needed for establishing trust between peers. These trust models canpsilat be easily interoperable due to no approach for integrating in a semantic way the trust information from different models. Integrating trust information in a semantic way is a significant step towards the realization of trust models interoperability in an open system such as Web where resource providers and users are often strangers to one another and universal and correct expressiveness of trust information will be crucial. Therefore, this paper proposes an ontology-based approach for integrating trust information models. Additionally, it is also useful for simplifying security policies specification and protecting sensitive information.
{"title":"An Approach for Integrating Trust Information Model","authors":"Xu Wu, Jingsha He, Fei Xu","doi":"10.1109/FITME.2008.24","DOIUrl":"https://doi.org/10.1109/FITME.2008.24","url":null,"abstract":"Currently, there exist different trust models in peer-to-peer application. Each model has an abundance of trust information about trust and reputation attributes which are needed for establishing trust between peers. These trust models canpsilat be easily interoperable due to no approach for integrating in a semantic way the trust information from different models. Integrating trust information in a semantic way is a significant step towards the realization of trust models interoperability in an open system such as Web where resource providers and users are often strangers to one another and universal and correct expressiveness of trust information will be crucial. Therefore, this paper proposes an ontology-based approach for integrating trust information models. Additionally, it is also useful for simplifying security policies specification and protecting sensitive information.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122116287","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Guoai Xu, Yang Gao, Fan-fan Liu, Aiguo Chen, Miao Zhang
As the scale and complexity of software systems increasing, researches have begun to place much more emphasis on the area of software measurement, especially coupling measurement in object-oriented systems. In order to understand the coupling measure, we make use of complex network theory to characterize and describe its macroscopic properties. A novel software coupling network was proposed firstly, then the well-defined weight was further added to the software coupling network and got the software coupling weight network which was used to calculate coupling measure. Some of the coupling measure methods such as coupling between objects (CBO) and message passing coupling (MPC) were calculated based on the general statistical features of software coupling weight network. The examinations show that both of CBO and MPC have the scale-free property. Finally the relationship between them was interpreted.
{"title":"Statistical Analysis of Software Coupling Measurement Based on Complex Networks","authors":"Guoai Xu, Yang Gao, Fan-fan Liu, Aiguo Chen, Miao Zhang","doi":"10.1109/FITME.2008.62","DOIUrl":"https://doi.org/10.1109/FITME.2008.62","url":null,"abstract":"As the scale and complexity of software systems increasing, researches have begun to place much more emphasis on the area of software measurement, especially coupling measurement in object-oriented systems. In order to understand the coupling measure, we make use of complex network theory to characterize and describe its macroscopic properties. A novel software coupling network was proposed firstly, then the well-defined weight was further added to the software coupling network and got the software coupling weight network which was used to calculate coupling measure. Some of the coupling measure methods such as coupling between objects (CBO) and message passing coupling (MPC) were calculated based on the general statistical features of software coupling weight network. The examinations show that both of CBO and MPC have the scale-free property. Finally the relationship between them was interpreted.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"144 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121394306","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
As the quick increase of urban economy, which is brought about by the development of market economy, China's urban logistics are facing new and higher - requirement challenges. At present, the people pay more and more attention on logistics transport, and the cooperative development which is a new, more reasonable concept of development has been universally recognized around the world. This article studies the organization mode of urban rapid logistics transport systempsilas cooperative development. First, the theoretical connotation of urban rapid logistics transport systempsilas cooperative development was depicted. Second, the article analyses this organization model, which include introducing all parts of urban rapid logistics system, analyzing the existing problems in its development, and how to solve these problems to construct a rapid logistics system of cooperative development. Last, the article studies the realizing route of this organizations mode.
{"title":"The Research on the Organization Mode of Urban Rapid Logistics Transport System's Cooperative Development","authors":"Aiyuan Duan, Jungang Yang, Min Deng","doi":"10.1109/FITME.2008.122","DOIUrl":"https://doi.org/10.1109/FITME.2008.122","url":null,"abstract":"As the quick increase of urban economy, which is brought about by the development of market economy, China's urban logistics are facing new and higher - requirement challenges. At present, the people pay more and more attention on logistics transport, and the cooperative development which is a new, more reasonable concept of development has been universally recognized around the world. This article studies the organization mode of urban rapid logistics transport systempsilas cooperative development. First, the theoretical connotation of urban rapid logistics transport systempsilas cooperative development was depicted. Second, the article analyses this organization model, which include introducing all parts of urban rapid logistics system, analyzing the existing problems in its development, and how to solve these problems to construct a rapid logistics system of cooperative development. Last, the article studies the realizing route of this organizations mode.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122011297","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The auditory localization technology based on microphone array has wildly used in the field of communication as well as voice processing. Embarking from the basic principle of sound transmission, we deduce the precise near field model of sound transmission. Combining such model with the idea of subspace algorithm, we also put forward a two-dimensional auditory localization algorithm which is suitable in the near field wide band voice signal, by which built the development platform based on the DSP auditory localization hardware system. The result turns out this algorithm has an efficient localization.
{"title":"Study on Auditory Localization System Based on Microphone Array","authors":"H. He, Fengjiu Wang, Dongyan Bai","doi":"10.1109/FITME.2008.39","DOIUrl":"https://doi.org/10.1109/FITME.2008.39","url":null,"abstract":"The auditory localization technology based on microphone array has wildly used in the field of communication as well as voice processing. Embarking from the basic principle of sound transmission, we deduce the precise near field model of sound transmission. Combining such model with the idea of subspace algorithm, we also put forward a two-dimensional auditory localization algorithm which is suitable in the near field wide band voice signal, by which built the development platform based on the DSP auditory localization hardware system. The result turns out this algorithm has an efficient localization.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"47 29","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120928953","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The face recognition is an active subject in the area of computer pattern recognition, which has been a focus in reach for the last couple of decades because of its widely potential applications. A face recognition approach is put forward based on the RBF neural network. Also discussed are the problem of feature of a face image vector, the problem of normalization of the image-size, and the problem of training algorithm of hidden layerpsilas neural nodes. Experiments have been conducted on ORL face database. The results show that compared with BP neural network, the RBF neural network can decrease the error rate, the training time, and the recognition time efficiently.
{"title":"Face Recognition Based on Radial Basis Function Neural Networks","authors":"Weihua Wang","doi":"10.1109/FITME.2008.79","DOIUrl":"https://doi.org/10.1109/FITME.2008.79","url":null,"abstract":"The face recognition is an active subject in the area of computer pattern recognition, which has been a focus in reach for the last couple of decades because of its widely potential applications. A face recognition approach is put forward based on the RBF neural network. Also discussed are the problem of feature of a face image vector, the problem of normalization of the image-size, and the problem of training algorithm of hidden layerpsilas neural nodes. Experiments have been conducted on ORL face database. The results show that compared with BP neural network, the RBF neural network can decrease the error rate, the training time, and the recognition time efficiently.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115938034","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A method for moving multi-target recognition and tracking in stable scene is presented. Optical flow is used to extract the velocity of pixels, and targets are recognized by combining motion character points obtained by binary discrete wavelet transforms (BDWT). A discrete kalman filter is used to track targets in the follow-up frames; the center and scale of tracking window are updated by a Mexico wavelet kernel function mean shift method which is embedded into the discrete kalman filter framework to stabilize the trajectories of the targets for robust tracking during mutual occlusion. The method is tested on several frame sequences and shown to achieve robust and reliable frame-rate recognition and tracking.
{"title":"Motion Multi-Vehicle Recognition and Tracking in Stable Scene","authors":"T. Gao, Zhengguang Liu, Jun Zhang","doi":"10.1109/FITME.2008.112","DOIUrl":"https://doi.org/10.1109/FITME.2008.112","url":null,"abstract":"A method for moving multi-target recognition and tracking in stable scene is presented. Optical flow is used to extract the velocity of pixels, and targets are recognized by combining motion character points obtained by binary discrete wavelet transforms (BDWT). A discrete kalman filter is used to track targets in the follow-up frames; the center and scale of tracking window are updated by a Mexico wavelet kernel function mean shift method which is embedded into the discrete kalman filter framework to stabilize the trajectories of the targets for robust tracking during mutual occlusion. The method is tested on several frame sequences and shown to achieve robust and reliable frame-rate recognition and tracking.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128828560","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
An improved genetic algorithm based on the hK1 triangulation is proposed for optimization of dual multimodal function. With this algorithm, the optimal problems converse to solution of fixed point problems. The minimum points can be distinguished by using the Hessian Matrix. The test results of many typical functions indicated that the algorithm is valid and highly effective.
{"title":"An Improved Genetic Algorithm Based on hK1 Triangulation","authors":"Jingjun Zhang, Yanmin Shang, Ruizhen Gao, Yuzhen Dong","doi":"10.1109/FITME.2008.158","DOIUrl":"https://doi.org/10.1109/FITME.2008.158","url":null,"abstract":"An improved genetic algorithm based on the hK1 triangulation is proposed for optimization of dual multimodal function. With this algorithm, the optimal problems converse to solution of fixed point problems. The minimum points can be distinguished by using the Hessian Matrix. The test results of many typical functions indicated that the algorithm is valid and highly effective.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130704860","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In the process of risk investment decision-making, real option which is one of the key issues in the research of finance engineering is very important to enforce flexibility of management decision. As for appraising methodology, the real option approach is used. However, The investment circumstance is always vague. That is to say, the information we need is incomplete. The uncertainty influences the real option valuation by all appearances. In this paper we take into account the uncertainty of the up and down jump factors of underling assets, which are estimated by triangular fuzzy numbers. While pricing for the real option, we use the binomial model and the risk-neutral valuation approach, and then derive the risk-neutral probability intervals. As a result, we obtain a decision-making model for risk investment projects under vague circumstance. It is beneficial for the evaluation of risk-investment and useful for avoiding the mistaken investment decision-making.Finality, we provide a corresponding example analysis.
{"title":"Fuzzy Decision-Making Model for Risk Investment Projects","authors":"Z. Sheng","doi":"10.1109/FITME.2008.58","DOIUrl":"https://doi.org/10.1109/FITME.2008.58","url":null,"abstract":"In the process of risk investment decision-making, real option which is one of the key issues in the research of finance engineering is very important to enforce flexibility of management decision. As for appraising methodology, the real option approach is used. However, The investment circumstance is always vague. That is to say, the information we need is incomplete. The uncertainty influences the real option valuation by all appearances. In this paper we take into account the uncertainty of the up and down jump factors of underling assets, which are estimated by triangular fuzzy numbers. While pricing for the real option, we use the binomial model and the risk-neutral valuation approach, and then derive the risk-neutral probability intervals. As a result, we obtain a decision-making model for risk investment projects under vague circumstance. It is beneficial for the evaluation of risk-investment and useful for avoiding the mistaken investment decision-making.Finality, we provide a corresponding example analysis.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"06 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129486274","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
A diameter-age model was developed for dahurian larch (Larix gmelinii. Rupr.) in northeastern China based on Chapman-Richards growth model using nonlinear mixed-effects modeling approach. The methods of model development include which parameters should be considered to be random and which should be purely fixed, as well as procedures for determining autoregressive correlation structures. Model performance was evaluated utilizing information criterion statistics (AIC, BIC, and LRT). The Chapman-Richards model with two random parameters showed the best performance. The inclusion of autoregressive models (AR(p), MA(q), ARMA(p,q)) in the mixed-effects model resulted in a significant improvement of model fitting statistics.
{"title":"Modeling Tree Diameter Growth Using Nonlinear Mixed-Effects Models","authors":"Lichun Jiang, Fengri Li","doi":"10.1109/FITME.2008.141","DOIUrl":"https://doi.org/10.1109/FITME.2008.141","url":null,"abstract":"A diameter-age model was developed for dahurian larch (Larix gmelinii. Rupr.) in northeastern China based on Chapman-Richards growth model using nonlinear mixed-effects modeling approach. The methods of model development include which parameters should be considered to be random and which should be purely fixed, as well as procedures for determining autoregressive correlation structures. Model performance was evaluated utilizing information criterion statistics (AIC, BIC, and LRT). The Chapman-Richards model with two random parameters showed the best performance. The inclusion of autoregressive models (AR(p), MA(q), ARMA(p,q)) in the mixed-effects model resulted in a significant improvement of model fitting statistics.","PeriodicalId":218182,"journal":{"name":"2008 International Seminar on Future Information Technology and Management Engineering","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124823929","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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