41815623
Looking for Arbitrage or Term Structures in Frictional Markets
In this paper we consider a frictional market with finitely many securities and finite and discrete future times. The frictions under consideration include fixed and proportional transaction costs, bid-ask spreads, and taxes. In such a market, we find that whether there exists an arbitrage opportunity does not dependent on the fixed transaction costs. Under a reasonable assumption, the no-arbitrage is equivalent to the condition that the optimal value of some linear programming problem is zero, and to the existence of a so-called consistent term structure. These results permit us to identify and to find arbitrage and consistent term structures in polynomial time. Two linear programming problems are proposed, each of which can identify and find the arbitrage opportunity or the consistent term structure if either exists.
45868269
Minimum variance unbiased estimation based on bootstrap iterations
Practical computation of the minimum variance unbiased estimator (MVUE) is often a difficult, if not impossible, task, even though general theory assures its existence under regularity conditions. We propose a new approach based on iterative bootstrap bias correction of the maximum likelihood estimator to accurately approximate the MVUE. Viewing bootstrap iteration as a Markov process, we develop a computational algorithm for bias correction based on arbitrarily many bootstrap iterations. The algorithm, when applied parametrically to finite sample spaces, does not involve Monte Carlo simulation. For infinite sample spaces, a nonparametric version of the algorithm is combined with a preliminary round of Monte Carlo simulation to yield an approximate MVUE. Both algorithms are computationally more efficient and stable than conventional simulation-based bootstrap iterations. Examples are given of both finite and infinite sample spaces to illustrate the effectiveness of our new approach.
16910052
On best restricted range approximation in continuous complex-valued function spaces
To provide a Kolmogorov-type condition for characterizing a best approximation in a continuous complex-valued function space, it is usually assumed that the family of closed convex sets in the complex plane used to restrict the range satisfies a strong interior-point condition, and this excludes the interesting case when some @W"t is a line-segment or a singleton. The main aim of the present paper is to remove this restriction by virtue of a study of the notion of the strong CHIP for an infinite system of closed convex sets in a continuous complex-valued function space.
8292565
Recognition and reconstruction of primitives in music scores
Abstract Music recognition bears similarities and differences to OCR. In this paper we identify some of the problems peculiar to musical scores, and propose an approach which succeeds in a wide range of non-trivial cases. The composer customarily proceeds by writing notes, then stems, beams, ties and slurs — we have inverted this approach by segmenting and then subsegmenting scores to recapture the component parts of symbols. In this paper, we concentrate on the strategy of recognizing sub-segmented primitives, and the reassembly process which reconstructs low level graphical primitives back to musical symbols. The sub-segmentation process proves to be worthwhile, since many primitives complement each other and high level musical theory can be employed to enhance the recognition process.
22708219
Automated Paper-Based Watermark Extraction and Processing
The boom of digital market and rapid expansion and demand of digital content consumption have many requirements for automated content processing, cataloguing, authenticating, indexing, etc.. Digital watermarking and fingerprinting techniques are being explored to authenticate and detect features in digital objects. This is similar to the analogue paper-based watermarking technique that was invented in the 13th century in Italy for the identification of the workers. This paper presents a framework for the digitisation, extraction and graphical representation of paper-based watermark designs. With a general overview of the framework by Hiary and Ng (2005), the paper focuses on automated processes which determine the configuration of processing parameters in order to allow optimal content processing without time-consuming manual intervention. With a machine readable graphical representation of the watermark, cataloguing and indexing of these heritage resources can be enhanced with the ease of digital content retrieval functionalities for scholarly usages and many other advantages of digital technologies including distribution and preservation
27297851
AXMEDIS Programme and Publication Tools Integration with Workflow-Enabled Communication and Process Control
This paper presents the AXMEDIS Programme and Publications (P&P) tools as supported by workflow (WF) integration enabling communication and control in a way that is designed to empower the user to locate digital contents of interest over the AXMEDIS P2P network and to manage and assign the distributions as required. These communications support a large set of interconnections between different sections of the AXMEDIS framework to enable automated processing and integration of digital contents. Following a brief introduction to the overall AXMEDIS framework, this paper presents the functionalities and features of the Programme and Publication (P&P) tools, discusses each individual component, including the P&P Editor and P&P Engine set in the context of the architecture for workflow integration and control for P&P tools within the AXMEDIS Framework
8200849
Error Bound Moduli for Conic Convex Systems on Banach Spaces
We give two explicit formulas which express the error bound moduli for conic convex systems, one in terms of directional derivative, and the other in terms of the coderivative. As applications, we study error bounds for systems of infinitely many convex inequalities.