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Modelling the trading behaviour in high-frequency markets 对高频市场的交易行为进行建模
2011 3rd Computer Science and Electronic Engineering Conference (CEEC) Pub Date : 2011-07-13 DOI: 10.1109/CEEC.2011.5995816
M. Aloud, E. Tsang
{"title":"Modelling the trading behaviour in high-frequency markets","authors":"M. Aloud, E. Tsang","doi":"10.1109/CEEC.2011.5995816","DOIUrl":"https://doi.org/10.1109/CEEC.2011.5995816","url":null,"abstract":"We use an agent-based approach to model trading behaviour in high-frequency markets. This study focuses on the Foreign Exchange (FX) market. The initial part of this study is to observe the micro-behaviour of traders to define the stylized facts of their trading activities. This is performed using a high-frequency dataset of anonymised individual traders' historical transactions on an account level, provided by OANDA Ltd. This dataset is considered to be the biggest available high-frequency dataset dealing with the individual FX market traders' trading activities. The second step is to build agent-based models of traders. The traders are modelled to respond to physical time to account for the different market seasonalities. The key elements in modeling the traders are zero-intelligence directional-change events trading strategy, historical prices, actual FX market traders' behaviour, limit orders, FX market trading sessions and market holidays. Using the identified stylized facts of FX market trading activity, we evaluate the trading agents' collective trading behaviour. The results of this comparison indicate that the trading agents' collective trading behaviour resembles, to a certain extent, the collective trading behaviour of FX market traders.","PeriodicalId":409910,"journal":{"name":"2011 3rd Computer Science and Electronic Engineering Conference (CEEC)","volume":"601 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129091485","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}
引用次数: 3
Content dependent intra-refresh placement for video streaming 视频流的内容依赖于内部刷新位置
2011 3rd Computer Science and Electronic Engineering Conference (CEEC) Pub Date : 2011-07-01 DOI: 10.1109/CEEC.2011.5995821
Ismail Amin Ali, M. Fleury, S. Moiron, M. Ghanbari
{"title":"Content dependent intra-refresh placement for video streaming","authors":"Ismail Amin Ali, M. Fleury, S. Moiron, M. Ghanbari","doi":"10.1109/CEEC.2011.5995821","DOIUrl":"https://doi.org/10.1109/CEEC.2011.5995821","url":null,"abstract":"Intra-refresh is an efficient error resiliency technique that protects against temporal error propagation resulting from transmission errors. Classic periodic intra-coded frames can add some protection and additionally facilitate random access, but within mobile networks with bandwidth constraints their disadvantages may outweigh their advantages. By analyzing the received video quality across a variety of video clips it becomes apparent that, for semi-active video sequences, cyclic intra-coded line placement results in superior video quality in the face of errors. For more active sequences, the quality gain is reduced but, for an equivalent constant bitrate, usually remains better than periodic intra-coded frames. This suggests a video streaming scheme which is content-dependent, turning on intra-refresh MB line when channel conditions and content type warrant it.","PeriodicalId":409910,"journal":{"name":"2011 3rd Computer Science and Electronic Engineering Conference (CEEC)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126112110","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}
引用次数: 1
Multi-document arabic text summarisation 多文件阿拉伯文本摘要
2011 3rd Computer Science and Electronic Engineering Conference (CEEC) Pub Date : 2011-07-01 DOI: 10.1109/CEEC.2011.5995822
Mahmoud El-Haj, Udo Kruschwitz, C. Fox
{"title":"Multi-document arabic text summarisation","authors":"Mahmoud El-Haj, Udo Kruschwitz, C. Fox","doi":"10.1109/CEEC.2011.5995822","DOIUrl":"https://doi.org/10.1109/CEEC.2011.5995822","url":null,"abstract":"In this paper we present our generic extractive Arabic and English multi-document summarisers. We also describe the use of machine translation for evaluating the generated Arabic multi-document summaries using English extractive gold standards. In this work we first address the lack of Arabic multi-document corpora for summarisation and the absence of automatic and manual Arabic gold-standard summaries. These are required to evaluate any automatic Arabic summarisers. Second, we demonstrate the use of Google Translate in creating an Arabic version of the DUC-2002 dataset. The parallel Arabic/English dataset is summarised using the Arabic and English summarisation systems. The automatically generated summaries are evaluated using the ROUGE metric, as well as precision and recall. The results we achieve are compared with the top five systems in the DUC-2002 multi-document summarisation task.","PeriodicalId":409910,"journal":{"name":"2011 3rd Computer Science and Electronic Engineering Conference (CEEC)","volume":"177 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122073496","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}
引用次数: 34
Age estimation based on speech features and support vector machine 基于语音特征和支持向量机的年龄估计
2011 3rd Computer Science and Electronic Engineering Conference (CEEC) Pub Date : 2011-07-01 DOI: 10.1109/CEEC.2011.5995826
D. Mahmoodi, H. Marvi, M. Taghizadeh, Ali Gholipour Soleimani, F. Razzazi, M. Mahmoodi
{"title":"Age estimation based on speech features and support vector machine","authors":"D. Mahmoodi, H. Marvi, M. Taghizadeh, Ali Gholipour Soleimani, F. Razzazi, M. Mahmoodi","doi":"10.1109/CEEC.2011.5995826","DOIUrl":"https://doi.org/10.1109/CEEC.2011.5995826","url":null,"abstract":"Age estimation based on human's speech features is an interesting subject in Automatic Speech Recognition (ASR) systems. There are some works in literature on speaker age estimation but it needs more new works especially for Persian speakers. In age estimation, like other speech processing systems, we encounter with two main challenges: finding an appropriate procedure for feature extraction, and selecting a reliable method for pattern classification. In this paper we propose an automatic age estimation system for classification of 6 age groups of various Persian speaker people. Perceptual Linear Predictive (PLP) and Mel-Frequency Cepstral Coefficients (MFCC) are extracted as speech features and SVM is utilized for classification procedure. Furthermore the effects of variations in parameter of kernel function, time of frame length in sampling process, the number of MFCC coefficients, and the order of PLP on system efficiency has been evaluated, and the results has been compared.","PeriodicalId":409910,"journal":{"name":"2011 3rd Computer Science and Electronic Engineering Conference (CEEC)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121270661","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}
引用次数: 29
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