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Article
Publication date: 24 August 2019

Ling Xin, Kin Lam and Philip L.H. Yu

Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the authors…

500

Abstract

Purpose

Filter trading is a technical trading rule that has been used extensively to test the efficient market hypothesis in the context of long-term trading. In this paper, the authors adopt the rule to analyze intraday trading, in which an open position is not left overnight. This paper aims to explore the relationship between intraday filter trading profitability and intraday realized volatilities. The bivariate thin plate spline (TPS) model is chosen to fit the predictor-response surface for high frequency data from the Hang Seng index futures (HSIF) market. The hypotheses follow the adaptive market hypothesis, arguing that intraday filter trading differs in profitability under different market conditions as measured by realized volatility, and furthermore, the optimal filter size for trading on each day is related to the realized volatility. The empirical results furnish new evidence that range-based realized volatilities (RaV) are more efficient in identifying trading profit than return-based volatilities (ReV). These results shed light on the efficiency of intraday high frequency trading in the HSIF market. Some trading suggestions are given based on the findings.

Design/methodology/approach

Among all the factors that affect the profit of filter trading, intraday realized volatility stands out as an important predictor. The authors explore several intraday volatilities measures using range-based or return-based methods of estimation. The authors then study how the filter trading profit will depend on realized volatility and how the optimal filter size is related to the realized volatility. The bivariate TPS model is used to model the predictor-response relationship.

Findings

The empirical results show that range-based realized volatility has a higher predictive power on filter rule trading profit than the return-based realized volatility.

Originality/value

First, the authors contribute to the literature by investigating the profitability of the filter trading rule on high frequency tick-by-tick data of HSIF market. Second, the authors test the assumption that the magnitude of the intraday momentum trading profit depends on the realized volatilities and aims to identify a relationship between them. Furthermore, the authors consider several intraday realized volatilities and find the RaV have the higher prediction power than ReV. Finally, the authors find some relationship between the optimal filter size and the realized volatilities. Based on the observations, the authors also give some trading suggestions to the intraday filter traders.

Details

Studies in Economics and Finance, vol. 38 no. 3
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 28 October 2014

Steven Prior, Artde Lam and Teen-Hang Meen

188

Abstract

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 28 October 2014

Zhang-Hui Liu, Guo-Long Chen, Ning-Ning Wang and Biao Song

– The purpose of this paper is to present a new immunization strategy for effectively solving the control of the spread of the virus.

149

Abstract

Purpose

The purpose of this paper is to present a new immunization strategy for effectively solving the control of the spread of the virus.

Design/methodology/approach

Inspired by the idea of network partition, taking two optimization targets which are the scale of sub-network and the sum of the strengths of the sub-network's nodes into account at the same time, a new immunization strategy based on greedy algorithm in the scale-free network is presented. After specifying the number of nodes through the immunization, the network is divided into the scale of sub-network and the sum of the strength of the sub-network's nodes as small as possible.

Findings

The experimental results show that the proposed algorithm has the better performance than targeted immunization which is supposed to be highly efficient at present.

Originality/value

This paper proposes a new immunization strategy based on greedy algorithm in the scale-free network for effectively solving the control of the spread of the virus.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 28 October 2014

Jenq-Ruey Horng, Ming-Shyan Wang, Tai-Rung Lai and Sergiu Berinde

Extensive efforts have been conducted on the elimination of position sensors in servomotor control. The purpose of this paper is to aim at estimating the servomotor speed without…

110

Abstract

Purpose

Extensive efforts have been conducted on the elimination of position sensors in servomotor control. The purpose of this paper is to aim at estimating the servomotor speed without using position sensors and the knowledge of its parameters by artificial neural networks (ANNs).

Design/methodology/approach

A neural speed observer based on the Elman neural network (NN) structure takes only motor voltages and currents as inputs.

Findings

After offline NNs training, the observer is incorporated into a DSP-based drive and sensorless control is achieved.

Research limitations/implications

Future work will consider to reduce the computation time for NNs training and to adaptively tune parameters on line.

Practical implications

The experimental results of the proposed method are presented to show the effectiveness.

Originality/value

This paper achieves sensorless servomotor control by ANNs which are seldom studied.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 28 October 2014

Long-Jyi Yeh, Tsung Han Lee and Kuei-Shu Hsu

The purpose of this paper is to use vision stereo to simultaneously acquire image pairs under a normal environment. Then the methods of moving edges detection and moving target…

200

Abstract

Purpose

The purpose of this paper is to use vision stereo to simultaneously acquire image pairs under a normal environment. Then the methods of moving edges detection and moving target shifting are applied to reduce noise error in order to position a target efficiently. The target is then double confirmed via image merge and alignment. After positioning, the visual difference between the target and the image created by the stereo vision system is measured for alignment. Finally, the image depth of the target is calculated followed by real-time target tracking.

Design/methodology/approach

This study mainly applies Sobel image principle. In addition, moving edges detection and moving target shifting are also used to work with system multi-threading for improving image identification efficiency.

Findings

The results of the experiment suggest that real-time image tracking and positioning under a pre-set environment can be effectively improved. On the other hand, tracking and positioning are slightly affected under a normal environment. Errors of distance measurements occur because there is more noise existing.

Research limitations/implications

This study mainly determines the movements and positioning of an object or a target via image. However, the stability of moving edges detection executed by the stereo vision system can be affected if the light sources in an environment are too strong or extreme.

Practical implications

So far the method of tracking and positioning a moving object has been applied to surveillance systems or the application which requires measuring and positioning under a normal environment. The method proposed by this study can also be used to construct a 3D environment.

Originality/value

The method proposed by this study can also be used to construct a 3D environment or tracking moving object to measure the distance.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 28 October 2014

Ying-Shieh Kung, Ming-Kuang Wu, Hai Linh Bui Thi and, Tz-Han Jung, Feng-Chi Lee and Wen-Chuan Chen

The inverse kinematics in robot manipulator have to handle the arctangent and arccosine function. However, the two functions are complicated and need much computation time so that…

270

Abstract

Purpose

The inverse kinematics in robot manipulator have to handle the arctangent and arccosine function. However, the two functions are complicated and need much computation time so that it is difficult to be realized in the typical processing system. The purpose of this paper is to solve this problem by using Field Programmable Gate Array (FPGA) to speed up the computation power.

Design/methodology/approach

The Taylor series expansion method is firstly applied to transfer arctangent and arccosine function to a polynomial form. And Look-Up Table (LUT) is used to store the parameters of the polynomial form. Then the behavior of the computation algorithm is described by Very high-speed IC Hardware Description Language (VHDL) and a co-simulation using ModelSim and Simulink is applied to evaluate the correctness of the VHDL code.

Findings

The computation time of arctangent and arccosine function using by FPGA need only 320 and 420 ns, respectively, and the accuracy is <0.01°.

Practical implications

Fast computation in arctangent and arccosine function can speed up the motion response of the real robot system when it needs to perform the inverse kinematics function.

Originality/value

This is the first time such to combine the Taylor series method and LUT method in the computation the arctangent and arccosine function as well as to implement it with FPGA.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 28 October 2014

Minchen Zhu, Weizhi Wang and Jingshan Huang

It is well known that the selection of initial cluster centers can significantly affect K-means clustering results. The purpose of this paper is to propose an improved, efficient…

526

Abstract

Purpose

It is well known that the selection of initial cluster centers can significantly affect K-means clustering results. The purpose of this paper is to propose an improved, efficient methodology to handle such a challenge.

Design/methodology/approach

According to the fact that the inner-class distance among samples within the same cluster is supposed to be smaller than the inter-class distance among clusters, the algorithm will dynamically adjust initial cluster centers that are randomly selected. Consequently, such adjusted initial cluster centers will be highly representative in the sense that they are distributed among as many samples as possible. As a result, local optima that are common in K-means clustering can then be effectively reduced. In addition, the algorithm is able to obtain all initial cluster centers simultaneously (instead of one center at a time) during the dynamic adjustment.

Findings

Experimental results demonstrate that the proposed algorithm greatly improves the accuracy of traditional K-means clustering results and, in a more efficient manner.

Originality/value

The authors presented in this paper an efficient algorithm, which is able to dynamically adjust initial cluster centers that are randomly selected. The adjusted centers are highly representative, i.e. they are distributed among as many samples as possible. As a result, local optima that are common in K-means clustering can be effectively reduced so that the authors can achieve an improved clustering accuracy. In addition, the algorithm is a cost-efficient one and the enhanced clustering accuracy can be obtained in a more efficient manner compared with traditional K-means algorithm.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

Keywords

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Article
Publication date: 28 October 2014

Ming-Yuan Shieh, Chung-Yu Hsieh and Tsung-Min Hsieh

The purpose of this paper is to propose a fast object detection algorithm based on structural light analysis, which aims to detect and recognize human gesture and pose and then to…

196

Abstract

Purpose

The purpose of this paper is to propose a fast object detection algorithm based on structural light analysis, which aims to detect and recognize human gesture and pose and then to conclude the respective commands for human-robot interaction control.

Design/methodology/approach

In this paper, the human poses are estimated and analyzed by the proposed scheme, and then the resultant data concluded by the fuzzy decision-making system are used to launch respective robotic motions. The RGB camera and the infrared light module aim to do distance estimation of a body or several bodies.

Findings

The modules not only provide image perception but also objective skeleton detection. In which, a laser source in the infrared light module emits invisible infrared light which passes through a filter and is scattered into a semi-random but constant pattern of small dots which is projected onto the environment in front of the sensor. The reflected pattern is then detected by an infrared camera and analyzed for depth estimation. Since the depth of object is a key parameter for pose recognition, one can estimate the distance to each dot and then get depth information by calculation of distance between emitter and receiver.

Research limitations/implications

Future work will consider to reduce the computation time for objective estimation and to tune parameters adaptively.

Practical implications

The experimental results demonstrate the feasibility of the proposed system.

Originality/value

This paper achieves real-time human-robot interaction by visual detection based on structural light analysis.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

Keywords

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Article
Publication date: 28 October 2014

Kun-Chieh Wang

For machine tools, the machining performance is mainly determined by the rigidity of the machine structure. How to design a machine tool with high rigidity is always a challenge…

499

Abstract

Purpose

For machine tools, the machining performance is mainly determined by the rigidity of the machine structure. How to design a machine tool with high rigidity is always a challenge issue. The paper aims to discuss these issues.

Design/methodology/approach

In this paper, the Computer Aided Engineering (CAE) technique is used to analyze the structure rigidity of a Computer-Numerical Control (CNC) turn-mill machining center. The considered structure parameters include static rigidity and vibration mode. Through the integral analyses of these two structure parameters in conjunction with the practical design experiences, an optimal structure is obtained.

Findings

Comparisons between the original prototype and the suggested new design structure via CAE technique under the guide of these two stiffness parameters show a great improvement on the maximal deformation of the machine structure under the action of cutting forces.

Originality/value

Through the proposed integrative examination of two structural parameters and the CAE technique, together with design experiences, an optimal CNC machine structure can be obtained.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

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Article
Publication date: 28 October 2014

Yi-Yeh Lee, Aaron Raymond See, Shih-Chung Chen and Chih-Kuo Liang

– The purpose of this paper was to investigate the response of good and poor sleepers toward audio-visual stimulation via prefrontal theta EEG measurement.

432

Abstract

Purpose

The purpose of this paper was to investigate the response of good and poor sleepers toward audio-visual stimulation via prefrontal theta EEG measurement.

Design/methodology/approach

The experiment included ten healthy subjects that were chosen after going through the Pittsburgh Sleep Quality Index (PSQI). They were divided into two groups that include five good and five poor sleepers. Next, in order to clarify the effects of audio-visual biofeedback during daytime, each subject was asked to go through six two-minute tasks that include: pre-baseline, eyes open at rest, eyes closed at rest, audio biofeedback with eyes open, video biofeedback also with eyes open, and post-baseline.

Findings

In Task 4, the audio stimulation task, both types of sleepers elicited higher theta waves due to demand in mental activity and also a meditation state. It was significantly higher in poor sleeper that demonstrated a peak difference of 25 percent compared to its good sleeper counterpart. In Task 5, the visual stimulation task, through the use of random numbers having blue and red color background, the theta amplitudes of good and poor sleepers drop together, due to beta waves becoming dominant, as the task required attention and focussed accounting for reduced theta amplitudes. The study was able to prove the use of prefrontal EEG in measuring and evaluating sleep quality by examining theta variation.

Originality/value

This paper proposed a novel and convenient method for evaluating sleep quality by utilizing only a single channel prefrontal EEG measurement.

Details

Engineering Computations, vol. 31 no. 8
Type: Research Article
ISSN: 0264-4401

Keywords

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