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Cornell University
(819 results)-
White Papers
Duality And Convergence For Binomial Markets With Friction
June 10, 2011, 12:00am PDT
The authors prove limit theorems for the super-replication cost of European options in a Binomial model with friction. The examples covered are markets with proportional transaction costs and the...
Provided by Cornell University
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White Papers
Analytical Approximation For Non-linear FBSDEs With Perturbation Scheme
June 13, 2011, 12:00am PDT
In this paper, the authors have presented a simple analytical approximation scheme for the generic non-linear FBSDEs. By treating the interested system as the linear decoupled FBSDE perturbed with...
Provided by Cornell University
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White Papers
The Near-extreme Density Of Intraday Log-returns
May 31, 2011, 12:00am PDT
The extreme event statistics plays a very important role in the theory and practice of time series analysis. The reassembly of classical theoretical results is often undermined by non-stationarity...
Provided by Cornell University
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White Papers
Life Time Of Correlation Between Stocks Prices On Established And Emerging Markets
December 1, 2010, 12:00am PST
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of...
Provided by Cornell University
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White Papers
Hierarchical Structure In Phonographic Market
December 1, 2010, 12:00am PST
The author finds a topological arrangement of assets traded in a phonographic market which has associated a meaningful economic taxonomy. The author continues using the Minimal Spanning Tree and...
Provided by Cornell University
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White Papers
Penalty Methods For The Numerical Solution Of HJB Equations - Continuous Control And Obstacle Problems
May 30, 2011, 12:00am PDT
In this paper, the authors present a novel penalty approach for the numerical solution of continuously controlled HJB equations and HJB obstacle problems. The results include estimates of the...
Provided by Cornell University
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White Papers
Is There A Bubble In Linkedins Stock Price?
May 31, 2011, 12:00am PDT
Recent academic work has developed a method to determine, in real time, if a given stock is exhibiting a price bubble. Currently there is speculation in the financial press concerning the...
Provided by Cornell University
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White Papers
State-observation Sampling And The Econometrics Of Learning Models
May 23, 2011, 12:00am PDT
In nonlinear state-space models, sequential learning about the hidden state can proceed by particle filtering when the density of the observation conditional on the state is available analytically...
Provided by Cornell University
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White Papers
A Note On A Paper By Wong And Heyde
May 19, 2011, 12:00am PDT
In this paper, the authors re-examine the analysis of the paper "On the martingale property of stochastic exponentials" by B. Wong and C.C. Heyde [WH04]. Some counterexamples are presented and...
Provided by Cornell University
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White Papers
Portfolio Selection Problems In Practice: A Comparison Between Linear And Quadratic Optimization Models
July 1, 2010, 12:00am PDT
Several portfolio selection models take into account practical limitations on the number of assets to include and on their weights in the portfolio. The authors present here a study of the Limited...
Provided by Cornell University
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White Papers
Dealing With The Inventory Risk
May 16, 2011, 12:00am PDT
Market makers have to continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask...
Provided by Cornell University
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White Papers
Why Money Trickles Up - Wealth & Income Distributions
May 27, 2011, 12:00am PDT
This paper combines ideas from classical economics and modern finance with the general Lotka-Volterra models of Levy & Solomon to provide straightforward explanations of wealth and income...
Provided by Cornell University
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White Papers
Anomalous Price Impact And The Critical Nature Of Liquidity In Financial Markets
May 10, 2011, 12:00am PDT
The authors propose a dynamical theory of market liquidity that predicts that the average supply/demand profile is V-shaped and vanishes around the current price. This result is generic, and only...
Provided by Cornell University
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White Papers
Liquidation In Limit Order Books With Controlled Intensity
May 12, 2011, 12:00am PDT
The authors consider a framework for solving optimal liquidation problems in limit order books. In particular, order arrivals are modeled as a point process whose intensity depends on the...
Provided by Cornell University
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White Papers
Default Swap Games Driven By Spectrally Negative Levy Processes
May 18, 2011, 12:00am PDT
This paper studies the valuation of game-type Credit Default Swaps (CDSs) that allow the protection buyer and seller to raise or reduce the respective position once prior to default. This leads to...
Provided by Cornell University
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White Papers
Power Series Representations For European Option Prices Under Stochastic Volatility Models
April 30, 2011, 12:00am PDT
In the context of stochastic volatility models, the authors study representation formulas in terms of expectations for the power series' coefficients associated to the call price-function. As in...
Provided by Cornell University
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White Papers
Spin Models As Microfoundation Of Macroscopic Financial Market Models
March 28, 2011, 12:00am PDT
Macroscopic price evolution models are commonly used for investment strategies. There are first promising achievements in defining microscopic agent based models for the same purpose. Microscopic...
Provided by Cornell University
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White Papers
A Note On Delta Hedging In Markets With Jumps
March 25, 2011, 12:00am PDT
Modeling stock prices via jump processes is common in financial markets. In practice, to hedge a contingent claim one typically uses the so-called delta-hedging strategy. This strategy stems from...
Provided by Cornell University
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White Papers
An Empirical Analysis Of Dynamic Multiscale Hedging Using Wavelet Decomposition
March 28, 2011, 12:00am PDT
This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the...
Provided by Cornell University
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White Papers
Mean Reversion Pays, But Costs
March 28, 2011, 12:00am PDT
A mean-reverting financial instrument is optimally traded by buying it when it is sufficiently below the estimated 'Mean level' and selling it when it is above. In the presence of linear...
Provided by Cornell University
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White Papers
The Slippage Paradox
March 14, 2011, 12:00am PDT
Buying or selling assets leads to transaction costs for the investor. On one hand, it is well known to all market practionaires that the transaction costs are positive on average and present...
Provided by Cornell University
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White Papers
Optimal Stopping Under Probability Distortion
March 9, 2011, 12:00am PST
The authors formulate an optimal stopping problem where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet...
Provided by Cornell University
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White Papers
The Dynamics Of Financial Stability
March 3, 2011, 12:00am PST
The social role of any company is to get the maximum profitability with the less risk. Due to Basel III, banks should now raise their minimum capital levels on an individual basis, with the aim of...
Provided by Cornell University
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White Papers
Risk, VaR, CVaR And Their Associated Portfolio Optimizations When Asset Returns Have A Multivariate Student T Distribution
February 28, 2011, 12:00am PST
The authors show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk...
Provided by Cornell University
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White Papers
Testing For Change In Mean Of Heteroskedastic Time Series
March 1, 2011, 12:00am PST
In this paper, the authors consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. They derive the limiting distribution...
Provided by Cornell University
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White Papers
Jump-diffusion Risk-sensitive Asset Management II: Jump-diffusion Factor Model
February 24, 2011, 12:00am PST
In this paper, the authors extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. 2 (2011) 22-54] by allowing jumps in the factor process and the...
Provided by Cornell University
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White Papers
Portfolio Insurance Under A Risk-measure Constraint
February 22, 2011, 12:00am PST
The authors study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold....
Provided by Cornell University
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White Papers
The Fine Structure Of Spectral Properties For Random Correlation Matrices: An Application To Financial Markets
February 22, 2011, 12:00am PST
The authors study some properties of eigenvalue spectra of financial correlation matrices. In particular, they investigate the nature of the large eigenvalue bulks which are observed empirically,...
Provided by Cornell University
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White Papers
A Random Matrix Approach On Credit Risk
May 18, 2011, 12:00am PDT
The authors consider a structural model for the estimation of credit risk based on Merton's original model. By using Random Matrix Theory they demonstrate analytically that the presence of...
Provided by Cornell University
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White Papers
Transition Probability Matrix Methodology For Incremental Risk Charge
February 18, 2011, 12:00am PST
As part of Basel II's Incremental Risk Charge (IRC) methodology, this paper summarizes the authors' extensive investigations of constructing Transition Probability Matrices (TPMs) for...
Provided by Cornell University
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White Papers
Weighted Monte Carlo: Calibrating The Smile And Preserving Martingale Condition
February 17, 2011, 12:00am PST
Weighted Monte Carlo prices exotic options calibrating the probabilities of previously generated paths by a regular Monte Carlo to fit a set of option premiums. When only vanilla call and put...
Provided by Cornell University
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White Papers
Applying Hedging Strategies To Estimate Model Risk And Provision Calculation
February 21, 2011, 12:00am PST
This paper introduces a new model risk measure based on hedging strategies to estimate model risk and provision calculation under uncertainty of volatility. This measure allows comparing different...
Provided by Cornell University
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White Papers
A Note On The Stability Of The Least Squares Monte Carlo
February 16, 2011, 12:00am PST
This paper analyzes Least Squares Monte Carlo (LSM) algorithm, which is proposed by Longstaff and Schwartz (2001) for pricing American style securities. This algorithm is based on the projection...
Provided by Cornell University
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White Papers
Dependence Of Defaults And Recoveries In Structural Credit Risk Models
March 30, 2011, 12:00am PDT
The current paper on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are...
Provided by Cornell University
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White Papers
Approximating European Options By Rebate Barrier Options
February 11, 2011, 12:00am PST
When the underlying stock price is a strict local martingale process under an equivalent local martingale measure, Black-Scholes PDE associated with an European option may have multiple solutions....
Provided by Cornell University
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White Papers
On Stochastic Calculus Related To Financial Assets Without Semimartingales
February 11, 2011, 12:00am PST
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced...
Provided by Cornell University
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White Papers
On Utility Maximization Under Convex Portfolio Constraints
February 2, 2011, 12:00am PST
The authors consider a utility-maximization problem in a general semimartingale financial market, subject to constraints on the number of shares held in each risky asset. These constraints are...
Provided by Cornell University
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White Papers
An Econophysics Model For The Stock-markets Analysis And Diagnosis
December 8, 2010, 12:00am PST
In this paper, the authors present an econophysic model for the description of shares transactions in a capital market. For introducing the fundamentals of this model they used an analogy between...
Provided by Cornell University
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White Papers
Macrostate Parameter And Investment Risk Diagrams For 2008 And 2009
December 6, 2010, 12:00am PST
In this paper, are made some considerations of the application of phenomenological thermodynamics in risk analysis for the transaction on financial markets, using the concept of economic entropy...
Provided by Cornell University
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White Papers
Globalization And Long-run Co-movements In The Stock Market For The G7: An Application Of VECM Under Structural Breaks
January 21, 2011, 12:00am PST
This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and Vector Error Correction (VEC) models. The cointegration tests used...
Provided by Cornell University
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Whitepapers
Securing the Kernel Via Static Binary Rewriting and Program Shepherding
May 10, 2011, 12:00am PDT
Recent Microsoft security bulletins show that kernel vulnerabilities are becoming more and more important security threats. Despite the pretty extensive security mitigations many of the kernel...
Provided by Cornell University
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Whitepapers
Attack Interference in Non-Collaborative Scenarios for Security Protocol Analysis
June 21, 2011, 12:00am PDT
In security protocol analysis, the traditional choice to consider a single Dolev-Yao attacker is supported by the fact thatmodels with multiple collaborating Dolev-Yao attackers have been shown to...
Provided by Cornell University
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Whitepapers
Secure and Robust IPV6 Autoconfiguration Protocol for Mobile Adhoc Networks Under Strong Adversarial Model
July 1, 2011, 12:00am PDT
Automatic IP address assignment in Mobile Ad hoc NETworks (MANETs) enables nodes to obtain routable addresses without any infrastructure. Different protocols have been developed throughout the...
Provided by Cornell University
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Whitepapers
Increasing Physical Layer Security Through Scrambled Codes and ARQ
September 5, 2011, 12:00am PDT
The authors develop the proposal of non-systematic channel codes on the AWGN wire-tap channel. Such coding technique, based on scrambling, achieves high transmission security with a small...
Provided by Cornell University
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Whitepapers
A Contribution to Secure the Routing Protocol "Greedy Perimeter Stateless Routing" Using a Symmetric Signature-Based AES and MD5 Hash
September 29, 2011, 12:00am PDT
This paper presents a contribution to secure the routing protocol GPSR (Greedy Perimeter Stateless Routing) for vehicular ad hoc networks, the authors examine the possible attacks against GPSR and...
Provided by Cornell University
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Whitepapers
Enhanced Secure Algorithm for Message Communion
September 6, 2011, 12:00am PDT
This paper puts forward a safe mechanism of data transmission to tackle the security problem of information which is transmitted in Internet. The encryption standards such as DES (Data Encryption...
Provided by Cornell University
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Whitepapers
Secure Capacity Region for Erasure Broadcast Channels with Feedback
October 26, 2011, 12:00am PDT
The authors formulate and explain a cryptographic problem relevant to wireless: a sender, Alice, wants to transmit private messages to two receivers, Bob and Calvin, using unreliable wireless...
Provided by Cornell University
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Whitepapers
Quantum/Relativistic Computation of Security and Efficiency of Electrical Power System for a Day-Ahead
September 21, 2012, 12:00am PDT
An algorithm for Electrical Power System (EPS) quantum/relativistic security and efficiency computation via perturbative renormalization of the EPS, finding the computation flowcharts,...
Provided by Cornell University
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Whitepapers
Secured Data Consistency and Storage Way in Untrusted Cloud Using Server Management Algorithm
November 10, 2011, 12:00am PST
It is very challenging part to keep safely all required data that are needed in many applications for user in cloud. Storing user's data in cloud may not be fully trustworthy. Since client doesn't...
Provided by Cornell University
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Whitepapers
Efficient and Cryptographically Secure Generation of Chaotic Pseudorandom Numbers on GPU
December 23, 2011, 12:00am PST
In this paper, the authors present a new PseudoRandom Number Generator (PRNG) on Graphics Processing Units (GPU). This PRNG is based on the so-called chaotic iterations. It is firstly proven to be...
Provided by Cornell University
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Whitepapers
Secure SQL Server - Enabling Secure Access to Remote Relational Data
January 5, 2012, 12:00am PST
The Secure SQL Server - SecSS, is a technology primarily developed to enable self service governance of states, as described in (Paulin 2012). Self service governance is a novel model of...
Provided by Cornell University
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Whitepapers
Information Hiding in CSS : A Secure Scheme Text-Steganography Using Public Key Cryptosystem
December 1, 2011, 12:00am PST
In many recent years, the programming world has been introduced about a new programming language for designing websites, it is CSS that can be used together with HTML to develop a web interface....
Provided by Cornell University
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Whitepapers
Securing Business Operations in an SOA
March 2, 2012, 12:00am PST
Service-oriented infrastructures pose new challenges in a number of areas, notably with regard to security and dependability. BT has developed a combination of innovative security solutions and...
Provided by Cornell University
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Whitepapers
A Mathematical Problem for Security Analysis of Hash Functions and Pseudorandom Generators
June 1, 2012, 12:00am PDT
In this paper, the authors specify a class of mathematical problems, which they refer to as "Function Density Problems" (FDPs), and point out novel connections of FDPs to the following two...
Provided by Cornell University
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Whitepapers
Deducing Security Goals From Shape Analysis Sentences
January 13, 2012, 12:00am PST
Guttman presented a model-theoretic approach to establishing security goals in the context of Strand Space theory. In his approach, a run of the Cryptographic Protocol Shapes Analyzer (CPSA)...
Provided by Cornell University
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Whitepapers
A Formal Definition and a New Security Mechanism of Physical Unclonable Functions
April 4, 2012, 12:00am PDT
The characteristic novelty of what is generally meant by a "Physical Unclonable Function" (PUF) is precisely defined, in order to supply a firm basis for security evaluations and the proposal of...
Provided by Cornell University
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Whitepapers
Towards a Security Engineering Process Model for Electronic Business Processes
April 5, 2012, 12:00am PDT
Business Process Management (BPM) and accompanying systems aim at enabling enterprises to become adaptive. In spite of the dependency of enterprises on secure business processes, BPM languages and...
Provided by Cornell University
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Whitepapers
STP/HAMPI and Computer Security
April 12, 2012, 12:00am PDT
In the past several years, the author have written two SMT solvers called STP and HAMPI that have found widespread use in computer security research by leading groups in academia, industry and the...
Provided by Cornell University
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Whitepapers
An Exact Solution to the Power Networks Security Index Problem and Its Generalized Min Cut Formulation
April 27, 2012, 12:00am PDT
The resilience of Supervisory Control And Data Acquisition (SCADA) systems for electric power networks for certain cyber-attacks is considered. In particular, the authors study the robustness of...
Provided by Cornell University
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Whitepapers
Delegated Secure Sum Service for Distributed Data Mining in Multi-Cloud Settings
June 10, 2012, 12:00am PDT
An increasing number of businesses are migrating their IT operations to the cloud. Likewise there is an increased emphasis on data analytics based on multiple datasets and sources to derive...
Provided by Cornell University
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Whitepapers
Topological Study and Lyapunov Exponent of a Secure Steganographic Scheme
June 14, 2012, 12:00am PDT
CI S2 is a steganographic scheme proposed in the information hiding literature, belonging into the small category of algorithms being both stego and topologically secure. Due to its...
Provided by Cornell University
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Whitepapers
Classification of Various Security Techniques in Databases and Their Comparative Analysis
June 19, 2012, 12:00am PDT
Data security is one of the most crucial and a major challenge in the digital world. Security, privacy and integrity of data are demanded in every operation performed on internet. Whenever...
Provided by Cornell University
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Whitepapers
Securing Electronic Transactions to Support E-Commerce
July 18, 2012, 12:00am PDT
Many reports regarding online fraud in varieties media create skepticism for conducting transactions online, especially through an open network such as the Internet, which offers no security...
Provided by Cornell University
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Whitepapers
SSCADA: Securing SCADA Infrastructure Communications
February 7, 2012, 12:00am PST
Distributed Control Systems (DCS) and Supervisory Control and Data Acquisition (SCADA) systems were developed to reduce labor costs, and to allow system-wide monitoring and remote control from a...
Provided by Cornell University
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Whitepapers
Enhancing Data Security in Medical Information System Using the Watermarking Techniques and Oracle SecureFile LOBs
July 1, 2012, 12:00am PDT
In this paper, the authors propose an efficient digital watermarking scheme to strengthen the security level already present in the database management system and to avoid illegal access to...
Provided by Cornell University
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Whitepapers
JASF: Jasta Security Framework
August 6, 2012, 12:00am PDT
JASM is a model designed to increase the security level in authentication systems. It uses IP Address of the user in the authentication process to enhance the security. On-line security plays a...
Provided by Cornell University
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Whitepapers
Securing Instrumented Environments Over Content-Centric Networking: The Case of Lighting Control
August 7, 2012, 12:00am PDT
Instrumented environments, such as modern Building Automation Systems (BAS), are becoming commonplace and are increasingly interconnected with (and sometimes by) enterprise networks and the...
Provided by Cornell University
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Whitepapers
Securing Speech in GSM Networks Using DES with Random Permutation and Inversion Algorithm
July 1, 2012, 12:00am PDT
Global System for Mobile Communications (GSM) is one of the most commonly used cellular technologies in the world. One of the objectives in mobile communication systems is the security of the...
Provided by Cornell University
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Whitepapers
Coordination in Network Security Games: a Monotone Comparative Statics Approach
August 20, 2012, 12:00am PDT
Malicious softwares or malwares for short have become a major security threat. While originating in criminal behavior, their impacts are also influenced by the decisions of legitimate end users....
Provided by Cornell University
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Whitepapers
Secure Electronic Lock Using Pic 16f628a Microcontroller
September 21, 2012, 12:00am PDT
The proposed system implements an electronic embedded lock that provides a great benefit over a traditional lock, which uses only a manual key. If in case, the key is lost or stolen then anyone...
Provided by Cornell University
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Whitepapers
Secure Abstraction with Code Capabilities
October 19, 2012, 12:00am PDT
The authors propose embedding executable code fragments in cryptographically protected capabilities to enable flexible discretionary access control in cloud-like computing infrastructures. They...
Provided by Cornell University
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Whitepapers
Contrasting Multiple Social Network Autocorrelations for Binary Outcomes, with Applications to Technology Adoption
October 15, 2012, 12:00am PDT
The rise of socially targeted marketing suggests that decisions made by consumers can be predicted not only from their personal tastes and characteristics, but also from the decisions of people...
Provided by Cornell University
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Whitepapers
Graph-Coupled HMMs for Modeling the Spread of Infection
June 28, 2012, 12:00am PDT
The authors develop Graph-Coupled Hidden Markov Models (GCHMMs) for modeling the spread of infectious disease locally within a social network. Unlike most previous research in epidemiology, which...
Provided by Cornell University
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Whitepapers
Predicting Group Evolution in the Social Network
October 18, 2012, 12:00am PDT
Social communities are important components of entire societies, analyzed by means of the social network concept. Their immanent feature is continuous evolution over time. If user's know how...
Provided by Cornell University
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Whitepapers
Fast Packed String Matching for Short Patterns
February 9, 2012, 12:00am PST
Searching for all occurrences of a pattern in a text is a fundamental problem in computer science with applications in many other fields, like natural language processing, information retrieval...
Provided by Cornell University
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Whitepapers
Classification Of Heterogeneous Operating System
September 12, 2012, 12:00am PDT
Operating system is a bridge between system and user. An Operating System (OS) is a software program that manages the hardware and software resources of a computer. The OS performs basic tasks,...
Provided by Cornell University
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Whitepapers
A Flexible Mixed Integer Programming Framework for Nurse Scheduling
October 12, 2012, 12:00am PDT
In this paper, a nurse-scheduling model is developed using mixed integer programming model. It is deployed to a general care ward to replace and automate the current manual approach for...
Provided by Cornell University
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Whitepapers
Online Computation of Sparse Representations of Time Varying Stimuli Using a Biologically Motivated Neural Network
October 13, 2012, 12:00am PDT
Natural stimuli are highly redundant, possessing significant spatial and temporal correlations. While sparse coding has been proposed as an efficient strategy employed by neural systems to encode...
Provided by Cornell University
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Whitepapers
The Limitation of Random Network Coding
October 9, 2012, 12:00am PDT
It is already known that in multicast (single source, multiple sinks) network, random linear network coding can achieve the maximum flow upper bound. In this paper, the authors investigate how...
Provided by Cornell University
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Whitepapers
Wireless Network-Coded Four-Way Relaying Using Latin Hyper-Cubes
October 15, 2012, 12:00am PDT
This paper deals with physical layer network-coding for the four-way wireless relaying scenario where four nodes A, B, C and D wish to communicate their messages to all the other nodes with the...
Provided by Cornell University
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