Sai-Ping Li

A guided Monte Carlo approach to optimization problems

Conversational agent is a system that provides user with proper information and maintains the context of dialogue based on natural language. When experts design the network for conversational agent of a domain, the network is usually very complicated and is hard to be understood. So the simplification of network by separating variables in the domain is helpful to design the conversational agent more efficiently. Composing Bayesian network as two stages, we aim to design conversational agent easily and analyze user’s query in detail. Also, by using previous information of dialogue, it is possible to maintain the context of conversation. Actually implementing it for a guide of web pages, we can confirm the usefulness of the proposed architecture for conversational agent.

Guided simulated annealing method for optimization problems

Incorporating the concept of order parameter of the mean-field theory into the simulated annealing method, we present an optimization algorithm, the guided simulated annealing method. In this method mean-field order parameters are calculated to guide the configuration search for the global minimum. Allowing fluctuations and improvement of mean-field values iteratively, this method successfully identifies global minima for several difficult optimization problems. Application of this method to the HP lattice-protein model has found another lowest-energy state for an N=100 sequence that was not found by other methods before. Results for spin glass models are also presented which show improvement over the previous results.

Statistical properties of agent-based models in markets with continuous double auction mechanism

Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experiments on our web-based prediction market platform which allows us to reconstruct transaction networks among traders. From these networks, we are able to record the degree of a trader, the size of a community of traders, the transaction time interval among traders and other variables that are of interest. The distributions of all these variables show power-law behavior. On the other hand, agent-based models have been proposed to study the properties of real financial markets. We here study the statistical properties of these agent-based models and compare them with the results from our web-based market experiments. In this work, three agent-based models are studied, namely, zero-intelligence (ZI), zero-intelligence-plus (ZIP) and Gjerstad–Dickhaut (GD). Computer simulations of variables based on these three agent-based models were carried out. We found that although being the most naive agent-based model, ZI indeed best describes the properties observed in real markets. Our study suggests that the basic ingredient to produce the observed properties from real world markets could in fact be the result of a continuously evolving dynamical system with basic features similar to the ZI model.

Taming the Gerrymander—Statistical physics approach to Political Districting Problem

The Political Districting Problem is mapped to a q-state Potts model in which the constraints can be written as interactions between sites or external fields acting on the system. Districting into q voter districts is equivalent to finding the ground state of this q-state Potts model. We illustrate this by districting Taipei city in its 2008 Legislature Election. Statistical properties of the model are also studied.

Asset returns and volatility clustering in financial time series

An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autocorrelation functions of absolute returns is actually directly related to the degree of clustering of large fluctuations within the financial time series. We also introduce an index to quantitatively measure the clustering behaviour of fluctuations in these time series and show that big losses in financial markets usually lump more severely than big gains. We further give examples to demonstrate that comparing to conventional methods, our index enables one to extract more information from the financial time series.

Organ‐specific ligation‐induced changes in harmonic components of the pulse spectrum and regional vasoconstrictor selectivity in Wistar rats

It has been shown previously that the amplitudes of the harmonic components of the pulse spectrum vary in specific patterns when the arteries leading to different organs are ligated, with the variations in the harmonics being linearly additive. Since ligation can be regarded as a vast increase in organ resistance, the present study examined the potential of using these ligation‐induced variations in the pulse spectrum as reference parameters for an increase in vascular resistance and for regional vasoconstrictor selectivity. A vasoconstrictor, either arginine vasopressin (AVP) or angiotensin II (Ang II), was infused into anaesthetized Wistar rats via the femoral vein for 1 h. The distinct harmonic‐specific drug effects on the pulse spectrum were simulated by combining renal artery and superior mesenteric artery ligations in different ratios, the ratio with the lowest mean square difference determining the regional drug selectivity. The ratios indicated that the effect of AVP on the pulse spectrum was attributable to the combined effect of ligating the renal and superior mesenteric arteries, while the effect of Ang II was attributable to ligation of the renal artery. The results are comparable with those of investigations of regional vascular resistance performed using traditional methods. Our findings indicate that the ligation‐induced variations in the pulse spectrum can be used to determine regional increases in vascular resistance. This implies that blood pressure can be used as the sole parameter to determine which arterial bed has been affected by the vasoconstrictor, and how seriously.

Analysis of transverse wave as a propagation mode for the pressure pulse in large arteries

A general axial momentum equation for fluid inside a transverse vibrating elastic tube is derived here. In a system with high pressure and low elastic modulus, transverse motion of the wall contributes important nonlinear forces, and the longitudinal fluid wave which assumes that flow is governed by the Navier-Stokes equation cannot describe the pulse wave completely. By comparing the transverse elastic wave with the longitudinal fluid wave, we conclude that transverse wave is a significant wave mode in large arteries. The longitudinal stress force, commonly ignored in the literature, can be considered as a significant factor that influences the propagation of the arterial pulse.

Noninvasive blood glucose monitoring using the optical signal of pulsatile microcirculation: a pilot study in subjects with diabetes

OBJECTIVE The objective of this study was to determine the conditions for optimizing measurements obtained with a noninvasive blood glucose monitor using the optical signal of pulsatile microcirculation (OSPM) in both prediabetic and diabetic subjects receiving medication. RESEARCH DESIGN AND METHODS Eighteen subjects (3 prediabetic, 15 diabetic) aged 61.8 [15.9] years (mean [S.D.]) were studied. OSPM was the pulsatile component (P) of the signal obtained and analyzed by a blood glucose monitor. The measurement was calibrated to the fingerstick meter for each subject for personal calibration. Data were obtained from all subjects using both meters. RESULTS A total of 179 data pairs were measured and analyzed. The validity of the position of the tested finger was assessed using the position criterion, which resulted in the removal of 38 data pairs. The criterion for the intensity of the P signal was satisfied by 141 data pairs, with nonconforming data (with a much lower P signal) mainly occurring below 26 degrees C. A total of 113 data points passed both criteria, and 100% of them fell within Zones A and B of the Clarke error grid. Data in Zones A and B exhibited a linear relationship (r=.81; slope=0.82; intercept=28.0) between noninvasive and fingerstick measurements. CONCLUSIONS Environmental temperature has the greatest influence on the capability of the OSPM technique to monitoring blood glucose concentration, which is subject dependent. The position of the tested finger is the second major factor, hence a carefully designed finger adaptor is essential.

Testing the performance of technical trading rules in the Chinese markets based on superior predictive test

Technical trading rules have a long history of being used by practitioners in financial markets. The profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousand traditional technical trading rules on the Shanghai Securities Composite Index (SSCI) from May 21, 1992 through June 30, 2013 and China Securities Index 300 (CSI 300) from April 8, 2005 through June 30, 2013 to check whether an effective trading strategy could be found by using the performance measurements based on the return and Sharpe ratio. To correct for the influence of the data-snooping effect, we adopt the Superior Predictive Ability test to evaluate if there exists a trading rule that can significantly outperform the benchmark. The result shows that for SSCI, technical trading rules offer significant profitability, while for CSI 300, this ability is lost. We further partition the SSCI into two sub-series and find that the efficiency of technical trading in sub-series, which have exactly the same spanning period as that of CSI 300, is severely weakened. By testing the trading rules on both indexes with a five-year moving window, we find that during the financial bubble from 2005 to 2007, the effectiveness of technical trading rules is greatly improved. This is consistent with the predictive ability of technical trading rules which appears when the market is less efficient.

Profitability of simple technical trading rules of Chinese stock exchange indexes

Although technical trading rules have been widely used by practitioners in financial markets, their profitability still remains controversial. We here investigate the profitability of moving average (MA) and trading range break (TRB) rules by using the Shanghai Stock Exchange Composite Index (SHCI) from May 21, 1992 through December 31, 2013 and Shenzhen Stock Exchange Component Index (SZCI) from April 3, 1991 through December 31, 2013. The t-test is adopted to check whether the mean returns which are conditioned on the trading signals are significantly different from unconditioned returns and whether the mean returns conditioned on the buy signals are significantly different from the mean returns conditioned on the sell signals. We find that TRB rules outperform MA rules and short-term variable moving average (VMA) rules outperform long-term VMA rules. By applying White’s Reality Check test and accounting for the data snooping effects, we find that the best trading rule outperforms the buy-and-hold strategy when transaction costs are not taken into consideration. Once transaction costs are included, trading profits will be eliminated completely. Our analysis suggests that simple trading rules like MA and TRB cannot beat the standard buy-and-hold strategy for the Chinese stock exchange indexes.