Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319539
Xing Yu
A basket option is an option on a portfolio of multiple risky assets. There is no analytical solution for basket option pricing, because the payoff of a basket option is determined by the weighted average of the prices of the multiple underlying assets. This study presents an approximation approach for valuing basket options by the algorithms of piecewise lognormal interpolation. The idea is to partition the time axis into collection of small intervals, in which the multiple lognormal average price process is approximated by a simple lognormal with the same first and second moments at the endpoints of the time intervals. Numerical examples of basket option with two stocks illustrate the accuracy of the approach when compared with results from Monte Carlo (MC) simulations. This method can be extrapolated to other complex option pricing, such as combination of options.
{"title":"Basket option pricing with the algorithms of piecewise lognormal interpolation","authors":"Xing Yu","doi":"10.1109/URKE.2012.6319539","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319539","url":null,"abstract":"A basket option is an option on a portfolio of multiple risky assets. There is no analytical solution for basket option pricing, because the payoff of a basket option is determined by the weighted average of the prices of the multiple underlying assets. This study presents an approximation approach for valuing basket options by the algorithms of piecewise lognormal interpolation. The idea is to partition the time axis into collection of small intervals, in which the multiple lognormal average price process is approximated by a simple lognormal with the same first and second moments at the endpoints of the time intervals. Numerical examples of basket option with two stocks illustrate the accuracy of the approach when compared with results from Monte Carlo (MC) simulations. This method can be extrapolated to other complex option pricing, such as combination of options.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122393908","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319572
I Made Murwantara
Architecture design of a software product line includes a lot of decision of how the variability component will be implemented. The decision corresponds to the requirements of the architecture specifications. Furthermore, most of the decision may have dependency between components. However, only some research devoted to address the quality attributes. In this paper, we propose a new approach that hybrid the Analytical Network Process to model the decision, which addressed the quality attributes. In our method, first, the software component derives from the feature model by the domain expert. Then, groups the components to specific quality attributes. Subsequently, models the dependency of quality attributes in the ANP model. We use a eLearning Product Line Architecture to demonstrate the feasibility of our approach.
{"title":"Hybrid ANP: Quality attributes decision modeling of a product line architecture design","authors":"I Made Murwantara","doi":"10.1109/URKE.2012.6319572","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319572","url":null,"abstract":"Architecture design of a software product line includes a lot of decision of how the variability component will be implemented. The decision corresponds to the requirements of the architecture specifications. Furthermore, most of the decision may have dependency between components. However, only some research devoted to address the quality attributes. In this paper, we propose a new approach that hybrid the Analytical Network Process to model the decision, which addressed the quality attributes. In our method, first, the software component derives from the feature model by the domain expert. Then, groups the components to specific quality attributes. Subsequently, models the dependency of quality attributes in the ANP model. We use a eLearning Product Line Architecture to demonstrate the feasibility of our approach.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117059317","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319548
Na Zhao, Jian Wang, W. Du, Yunchun Zhang, Z. Jiang, Jinzhuo Liu, Ye Qian
Centered around the model of ESDDM, a software evolution process model based on evolution behavior interface, and the knowledge of component classification and component retrieval evaluation, this paper furthered previous work by proposing a component reusability evaluation method based on fuzzy mathematics. The method provides an effective way of evaluating the reusable ability of a certain component during the process of software evolution.
{"title":"Using fuzzy theories to evaluate the component reusability in the process of software evolution","authors":"Na Zhao, Jian Wang, W. Du, Yunchun Zhang, Z. Jiang, Jinzhuo Liu, Ye Qian","doi":"10.1109/URKE.2012.6319548","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319548","url":null,"abstract":"Centered around the model of ESDDM, a software evolution process model based on evolution behavior interface, and the knowledge of component classification and component retrieval evaluation, this paper furthered previous work by proposing a component reusability evaluation method based on fuzzy mathematics. The method provides an effective way of evaluating the reusable ability of a certain component during the process of software evolution.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125192899","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319594
P. Purwacandra, F. W. Wibowo
The digital audio analyzer based on the smartphone is used to measure the strength of the sound frequency that is purposed in the audio field captured in the graphic bar. The fast track of frequency is to be analyzed and determined by the graphic form display. In this paper, the analog signal data captured by microphone of smartphone that is embedded operating system of android. The operating system of android is suitable for development of product to test harmony level both embedded hardware and embedded software. Feasibility errorness could be emerging in the input, filtering, arbitrary, and output processes. In this case, the good sensor and quite algorithms must have more portion to be identified and defined to get result as well. But, due to a good sensor isn't much showing in this paper. This paper shows how getting noise of digital data, glitch, can affect in the output display and which solution should be taken to counteract it by algorithm and coding. The result of processes level of digital audio is derivated by binary data from evaluating data produced by digital-to-analog converter (DAC) which is embedded in the smartphone.
{"title":"An android-based uncertainty digital audio representation for frequency analyzer","authors":"P. Purwacandra, F. W. Wibowo","doi":"10.1109/URKE.2012.6319594","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319594","url":null,"abstract":"The digital audio analyzer based on the smartphone is used to measure the strength of the sound frequency that is purposed in the audio field captured in the graphic bar. The fast track of frequency is to be analyzed and determined by the graphic form display. In this paper, the analog signal data captured by microphone of smartphone that is embedded operating system of android. The operating system of android is suitable for development of product to test harmony level both embedded hardware and embedded software. Feasibility errorness could be emerging in the input, filtering, arbitrary, and output processes. In this case, the good sensor and quite algorithms must have more portion to be identified and defined to get result as well. But, due to a good sensor isn't much showing in this paper. This paper shows how getting noise of digital data, glitch, can affect in the output display and which solution should be taken to counteract it by algorithm and coding. The result of processes level of digital audio is derivated by binary data from evaluating data produced by digital-to-analog converter (DAC) which is embedded in the smartphone.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"241 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129992341","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319535
A. Abbas, M. Minhat, Md. Nizam Bin Abdul Rahman, H. Akbar
In today's industries, optimization of turning processes is one of vital problems which aim to increase competitiveness and product quality. In fact, the decision of optimal machining parameters is arbitrary and complex. Traditionally, the selections is heavily relies on trial and error methods which is tedious and unreliable. To overcome these problems, metaheuristics methods has been proposed over the last decade. The results on several parameters such as cutting speed, depth of cut and feed rate indicate more effective and efficient way in comparison to traditional methods. This paper presents current development and future prospects due to metaheuristics techniques for optimizing the parameters of turning processes.
{"title":"Future prospects of turning processes optimization using metaheuristics methods","authors":"A. Abbas, M. Minhat, Md. Nizam Bin Abdul Rahman, H. Akbar","doi":"10.1109/URKE.2012.6319535","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319535","url":null,"abstract":"In today's industries, optimization of turning processes is one of vital problems which aim to increase competitiveness and product quality. In fact, the decision of optimal machining parameters is arbitrary and complex. Traditionally, the selections is heavily relies on trial and error methods which is tedious and unreliable. To overcome these problems, metaheuristics methods has been proposed over the last decade. The results on several parameters such as cutting speed, depth of cut and feed rate indicate more effective and efficient way in comparison to traditional methods. This paper presents current development and future prospects due to metaheuristics techniques for optimizing the parameters of turning processes.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115954347","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319576
Li Yuan
Detecting a set of facial points is a crucial phase for facial expression analysis and face recognition, yet the robust facial point detector is yet to be developed. In this paper we present a method based on Active Shape Model of Subsets (ASMS) learning from 3D models to drastically reduce the time needed to search for a point's location and increase the accuracy and robustness of the algorithm. Using 3D Information allows us to expand training samples and set up complete point distribution models (PDMs). On the other hand, training samples are grouped into different subsets, which makes detection of the points very fast and the algorithm robust to pose and illumination variations as well. In order to improve the accuracy of location, objective function and parameter optimization process of Active Appearance Model (AAM) will be introduced in ASMS. The proposed point detection algorithm was tested on WHU-3D-2D database, the results of which showed we outperform current state of the art point detectors.
{"title":"Facial point detection based on ASMS learning from 3D models","authors":"Li Yuan","doi":"10.1109/URKE.2012.6319576","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319576","url":null,"abstract":"Detecting a set of facial points is a crucial phase for facial expression analysis and face recognition, yet the robust facial point detector is yet to be developed. In this paper we present a method based on Active Shape Model of Subsets (ASMS) learning from 3D models to drastically reduce the time needed to search for a point's location and increase the accuracy and robustness of the algorithm. Using 3D Information allows us to expand training samples and set up complete point distribution models (PDMs). On the other hand, training samples are grouped into different subsets, which makes detection of the points very fast and the algorithm robust to pose and illumination variations as well. In order to improve the accuracy of location, objective function and parameter optimization process of Active Appearance Model (AAM) will be introduced in ASMS. The proposed point detection algorithm was tested on WHU-3D-2D database, the results of which showed we outperform current state of the art point detectors.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121292259","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319562
Wei Hu, Xing-guo Yang, Fugang Xu, Ming-hui Hao
It has important significance in engineering to analyze rock slope's evolution rule and forecast its development trend based on the safety monitoring displacement data. The actual slope monitoring sequence is non-stationary time series containing a number of errors, therefore, firstly discrete stationary wavelet transform (DSWT) are used to denoising for monitoring data, then the reconstruction series are transformed into a stationary sequence by first-order difference, finally exponential smoothing method is used to prediction for the stationary differential sequence. The combination forecasting model is applied to high slope displacement prediction on the left bank of Jinping I Hydropower Station, the calculation results show that the combined model have higher forecast accuracy compared with other prediction methods, most of the relative errors of the prediction results are less than 5%, meeting engineering prediction requirements.
{"title":"Exponential smoothing method based on wavelet transform for slope displacement prediction","authors":"Wei Hu, Xing-guo Yang, Fugang Xu, Ming-hui Hao","doi":"10.1109/URKE.2012.6319562","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319562","url":null,"abstract":"It has important significance in engineering to analyze rock slope's evolution rule and forecast its development trend based on the safety monitoring displacement data. The actual slope monitoring sequence is non-stationary time series containing a number of errors, therefore, firstly discrete stationary wavelet transform (DSWT) are used to denoising for monitoring data, then the reconstruction series are transformed into a stationary sequence by first-order difference, finally exponential smoothing method is used to prediction for the stationary differential sequence. The combination forecasting model is applied to high slope displacement prediction on the left bank of Jinping I Hydropower Station, the calculation results show that the combined model have higher forecast accuracy compared with other prediction methods, most of the relative errors of the prediction results are less than 5%, meeting engineering prediction requirements.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127817344","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319526
H. Widiputra, L. Christianto
Being able to gain profit is one of the main objectives of people who work in the financial area. Yet, the volatility of the stock price movement makes the task of predicting future condition of a stock market difficult to accomplish. One approach known to provide a safe strategy in stock trading is by collecting only those stocks, which are considered as liquid. The Indonesia Stock Exchange market (IDX) publishes this list of liquid stocks every six months (known as the LQ45 list). Having prior knowledge of stocks that will be in the upcoming LQ45 list would then be a great help to assist people who work in the Financial area in planning their future investment and gain profit. This study proposed the use of unsupervised data mining technique called the Self-Organizing Map algorithm (SOM) to perform early identification of liquid stocks from all listed companies in the IDX by dynamically creating a group of liquid stocks based on their historical states.
{"title":"Indonesia stock exchange liquid stocks identification using self-organizing map","authors":"H. Widiputra, L. Christianto","doi":"10.1109/URKE.2012.6319526","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319526","url":null,"abstract":"Being able to gain profit is one of the main objectives of people who work in the financial area. Yet, the volatility of the stock price movement makes the task of predicting future condition of a stock market difficult to accomplish. One approach known to provide a safe strategy in stock trading is by collecting only those stocks, which are considered as liquid. The Indonesia Stock Exchange market (IDX) publishes this list of liquid stocks every six months (known as the LQ45 list). Having prior knowledge of stocks that will be in the upcoming LQ45 list would then be a great help to assist people who work in the Financial area in planning their future investment and gain profit. This study proposed the use of unsupervised data mining technique called the Self-Organizing Map algorithm (SOM) to perform early identification of liquid stocks from all listed companies in the IDX by dynamically creating a group of liquid stocks based on their historical states.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"64 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132828268","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}
Our paper studies customer value of e-commerce from two different points of view based on grounded theory and tries to conduct large amount of data in e-commerce with our model. The customer value model of e-commerce is built up through analyzing the relationship of categorizations and conceptions selected by grounded theory. After that, the evaluation value model is built up by proposing three measurements: the measurement of components, the measurement of relationship and the measurement of influential factors. Finally, we calculate the data from taobao.com utilizing fuzzy comprehensive evaluation method on the first kind of measurement.
{"title":"The Customer value of e-commerce based on the grounded theory","authors":"Pengpeng Zheng, Tianyu Ding, Yanan Fu, Shaoying Huang","doi":"10.1109/URKE.2012.6319521","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319521","url":null,"abstract":"Our paper studies customer value of e-commerce from two different points of view based on grounded theory and tries to conduct large amount of data in e-commerce with our model. The customer value model of e-commerce is built up through analyzing the relationship of categorizations and conceptions selected by grounded theory. After that, the evaluation value model is built up by proposing three measurements: the measurement of components, the measurement of relationship and the measurement of influential factors. Finally, we calculate the data from taobao.com utilizing fuzzy comprehensive evaluation method on the first kind of measurement.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128659101","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}
Pub Date : 2012-10-04DOI: 10.1109/URKE.2012.6319520
A. Sukoco, Marzuki, A. Cucus
Computers are being used in an increasingly wide variety of application areas, and their correct operation is often critical for business success and/or human safety. Among all the Software-related standards in the worlds, there are few that every person who practices software at least something about ISO standard [1], ISO standard established an influential vocabulary and conceptual for quality. ISO/IEC 9126 standard has been developed in order to address software quality it specifies software product quality characteristics and sub-characteristics and proposes metrics for their evaluation. The ISO 19011 about Quality Management System series of International Standards emphasize the importance of audits as a management tool for monitoring and verifying the effective implementation of an organization's quality Policy [8], include software. Audits are also an essential part of conformity assessment activities such as external, internal assessment and surveillance. In order to perform your own internal audit software, need a number of things. (a) A trained, experienced auditor is needed. In addition training, auditor should perform a regular amount of auditing, al least 2 days or more per month-in order to ensure training developed by ongoing practice; (b) written a standard against which to audit a necessary. All auditor must have a documented standard against the audit must be performed in the case of ISO 9126, this would be ISO 9126 and own written measurement Characteristic and sub characteristic; (c) that organization must wait for before conducting audits.
{"title":"Concept of quality measurement system software based on standard ISO 9126 and ISO 19011","authors":"A. Sukoco, Marzuki, A. Cucus","doi":"10.1109/URKE.2012.6319520","DOIUrl":"https://doi.org/10.1109/URKE.2012.6319520","url":null,"abstract":"Computers are being used in an increasingly wide variety of application areas, and their correct operation is often critical for business success and/or human safety. Among all the Software-related standards in the worlds, there are few that every person who practices software at least something about ISO standard [1], ISO standard established an influential vocabulary and conceptual for quality. ISO/IEC 9126 standard has been developed in order to address software quality it specifies software product quality characteristics and sub-characteristics and proposes metrics for their evaluation. The ISO 19011 about Quality Management System series of International Standards emphasize the importance of audits as a management tool for monitoring and verifying the effective implementation of an organization's quality Policy [8], include software. Audits are also an essential part of conformity assessment activities such as external, internal assessment and surveillance. In order to perform your own internal audit software, need a number of things. (a) A trained, experienced auditor is needed. In addition training, auditor should perform a regular amount of auditing, al least 2 days or more per month-in order to ensure training developed by ongoing practice; (b) written a standard against which to audit a necessary. All auditor must have a documented standard against the audit must be performed in the case of ISO 9126, this would be ISO 9126 and own written measurement Characteristic and sub characteristic; (c) that organization must wait for before conducting audits.","PeriodicalId":277189,"journal":{"name":"2012 2nd International Conference on Uncertainty Reasoning and Knowledge Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129290572","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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