Cornell University

Displaying 1-40 of 1203 results

  • White Papers // Mar 2015

    Efficient Query Processing for SPARQL Federations with Replicated Fragments

    Low reliability and availability of public SPARQL endpoints prevent real-world applications from exploiting all the potential of these querying infrastructures. Fragmenting data on servers can improve data availability but degrades performance. Replicating fragments can offer new tradeoff between performance and availability. The authors propose FEDRA, a framework for querying Linked...

    Provided By Cornell University

  • White Papers // Mar 2015

    EmptyHeaded: Boolean Algebra Based Graph Processing

    The authors present a graph pattern engine, EmptyHeaded that uses recent algorithmic advances in join processing to compile patterns into Boolean algebra operations that exploit SIMD parallelism. The EmptyHeaded engine demonstrates that treating graph patterns as a general join processing problem can compete with and often outperform both specialized approaches...

    Provided By Cornell University

  • White Papers // Mar 2015

    Memory Networks

    In this paper, the authors describe a new class of learning models called memory networks. Memory networks reason with inference components combined with a long-term memory component; they learn how to use these jointly. The long-term memory can be read and written to, with the goal of using it for...

    Provided By Cornell University

  • White Papers // Mar 2015

    Mapping-Equivalence and Oid-Equivalence of Single-Function Object-Creating Conjunctive Queries

    Conjunctive database queries have been extended with a mechanism for object creation to capture important applications such as data ex-change, data integration, and ontology-based data access. Object creation generates new object identifiers in the result that do not belong to the set of constants in the source database. The new...

    Provided By Cornell University

  • White Papers // Feb 2015

    Designing Applications with Distributed Databases in a Hybrid Cloud

    The authors present a set of technological approaches for efficient application development in a hybrid cloud infrastructure. Under the hybrid cloud infrastructure, they understand the distributed databases in the private and public cloud, as well as communication channels and programs providing the interaction between the components of the database. Designing...

    Provided By Cornell University

  • White Papers // Feb 2015

    Evaluation of Security Solutions for Android Systems

    With the increasing usage of Smartphones a plethora of security solutions are being designed and developed. Many of the security solutions fail to cope with advanced attacks and are not always properly designed for Smartphone platforms. Therefore, there is a need for a methodology to evaluate their effectiveness. Since the...

    Provided By Cornell University

  • White Papers // Feb 2015

    Fraudulent Electronic Transaction Detection Using Dynamic KDA Model

    Clustering analysis and data mining methodologies were applied to the problem of identifying illegal and fraud transactions. The researchers independently developed model and software using data provided by a bank and using rapid-miner modeling tool. This paper is to propose dynamic model and mechanism to cover fraud detection system limitations....

    Provided By Cornell University

  • White Papers // Jan 2015

    Joint Ranging and Clock Parameter Estimation by Wireless Round Trip Time Measurements

    In this paper, the authors develop a new technique for estimating fine clock errors and range between two nodes simultaneously by two-way time-of-arrival measurements using impulse-radio ultra-wideband signals. Estimators for clock parameters and the range are proposed that are robust with respect to outliers. They are analyzed numerically and by...

    Provided By Cornell University

  • White Papers // Jan 2015

    QoE-Centric Localized Mobility Management for Future Mobile Networks

    Mobility support in future networks will be predominately based on micro mobility protocols. Current proposed schemes such as Hierarchical Mobile IPv6 (HMIPv6) and more importantly Proxy Mobile IPv6 (PMIPv6) provide localized mobility support by electing a node within the network (topologically close to the Access Routers (AR)) to act as...

    Provided By Cornell University

  • White Papers // Jan 2015

    Designing Low Cost and Energy Efficient Access Network for the Developing World

    The authors' main observation is the existence of users that allow switching o the networking devices during night hours. However, it is not straightforward to implement the energy savings as the network topology is a tree in which any switched o node may imply disconnection of the users. The issue...

    Provided By Cornell University

  • White Papers // Jan 2015

    Seeking Black Lining in Cloud

    In this paper, the authors focus on attacks on confidentiality that require time synchronization. This manuscript proposes a detection framework for covert channel perspective in cloud security. This problem is interpreted as a binary classification problem and the algorithm proposed is based on certain features that emerged after data analysis...

    Provided By Cornell University

  • White Papers // Jan 2015

    Open-Source Software Implications in the Competitive Mobile Platforms Market

    The era of the PC platform left a legacy of competitive strategies for the future technologies to follow. However, this notion became more complicated, once the future grew out to be a present with huge bundle of innovative technologies, Internet capabilities, communication possibilities, and ease in life. A major step...

    Provided By Cornell University

  • White Papers // Jan 2015

    High-level Synthesis under I/O Timing and Memory Constraints

    The design of complex systems-on-chip implies to take into account communication and memory access constraints for the integration of dedicated hardware accelerator. In this paper, the authors present a methodology and a tool that allow the high-level synthesis of DSP algorithm, under both I/O timing and memory constraints. Based on...

    Provided By Cornell University

  • White Papers // Dec 2014

    Associative Arrays: Unified Mathematics for Spreadsheets, Databases, Matrices, and Graphs

    Data processing systems impose multiple views on data as it is processed by the system. These views include spreadsheets, databases, matrices, and graphs. The common theme amongst these views is the need to store and operate on data as whole sets instead of as individual data elements. This paper describes...

    Provided By Cornell University

  • White Papers // Dec 2014

    Graph Analytics Using the Vertica Relational Database

    Graph analytics is becoming increasingly popular, with a deluge of new systems for graph analytics having been proposed in the past few years. These systems often start from the assumption that a new storage or query processing system is needed, in spite of graph data being often collected and stored...

    Provided By Cornell University

  • White Papers // Dec 2014

    Material Recognition in the Wild with the Materials in Context Database

    Recognizing materials in images in the wild is a challenging task. Real-world materials have rich surface texture, geometry, lighting conditions, and clutter, which combine to make the problem particularly difficult. Recently, deep learning combined with large datasets is proving to be an effective approach to tackling hard problems in scene...

    Provided By Cornell University

  • White Papers // Nov 2014

    Survey of End-to-End Mobile Network Measurement Testbeds

    Mobile (cellular) networks enable innovation, but can also stifle it and lead to user frustration when network performance falls below expectations. As mobile networks become the predominant method of Internet access, research, development, and regulatory communities have taken an increased interest in measuring mobile network performance and its impact on...

    Provided By Cornell University

  • White Papers // Nov 2014

    Privacy-Preserving Content-Based Image Retrieval in the Cloud

    Storage requirements for visual data have been increasing in recent years, following the emergence of many new services and applications for both personal and corporate use. This has been a key driving factor for the adoption of cloud-based data outsourcing solutions. However, outsourcing data storage to the Cloud also leads...

    Provided By Cornell University

  • White Papers // Oct 2014

    Faster Algorithms for Algebraic Path Properties in RSMs with Constant Treewidth

    Interprocedural analysis is at the heart of numerous applications in programming languages, such as alias analysis, constant propagation, etc. Recursive State Machines (RSMs) are standard models for interprocedural analysis. The authors consider a general framework with RSMs where the transitions are labeled from a semiring, and path properties are algebraic...

    Provided By Cornell University

  • White Papers // Oct 2014

    A Note on Two Notions of Compliance

    Several recent papers have been devoted to the study of contracts as a way to formally specify abstractions of the behavior of software systems. A common aspect that gathers together some of these studies is a notion of compliance. This is a relation between systems which want to interact. Before...

    Provided By Cornell University

  • White Papers // Oct 2014

    Toward Sequentializing Overparallelized Protocol Code

    A promising application domain for coordination languages is programming protocols among threads in multi-core programs: coordination languages typically provide high-level constructs and abstractions that more easily compose into correct - with respect to a programmer's intentions - protocol specifications than do low-level synchronization constructs provided by conventional languages (e.g., locks...

    Provided By Cornell University

  • White Papers // Oct 2014

    Reducing Cascading Failure Risk by Increasing Infrastructure Network Interdependency

    Increased coupling between critical infrastructure networks, such as power and communications, has important implications for the reliability and security of these networks. To understand the implications of power-communications coupling, researchers have studied interdependent network models and reported that increased coupling can increase system vulnerability. However, these results come from models...

    Provided By Cornell University

  • White Papers // Oct 2014

    Statistical Models for Cores Decomposition of Undirected Random Graphs

    The authors develop a rigorous and interpretable statistical model for networks using their shell structure to construct minimal sufficient statistics. The model provides the formalism necessary for using k-cores in statistical considerations of random graphs, and in particular social networks. It cannot be specialized to any known degree-centric model and...

    Provided By Cornell University

  • White Papers // Oct 2014

    Pricing in Social Networks with Negative Externalities

    The authors study the problems of pricing an indivisible product to consumers who are embedded in a given social network. The goal is to maximize the revenue of the seller. They assume impatient consumers who buy the product as soon as the seller posts a price not greater than their...

    Provided By Cornell University

  • White Papers // Oct 2014

    Hierarchical Sequencing of Online Social Graphs

    In online communications, patterns of conduct of individual actors and use of emotions in the process can lead to a complex social graph exhibiting multilayered structure and mesoscopic communities. Using simplicial complexes representation of graphs, the authors investigate in-depth topology of online social network which is based on MySpace dialogs....

    Provided By Cornell University

  • White Papers // Oct 2014

    Effects of Social Influence in Peer Online Recommendation

    Website providers often use peer recommendation to help people find interesting content. A common method for leveraging opinions of others on these web sites is to display the number of prior recommendations as a social signal. How people react to these social influence signals, in combination with other effects, such...

    Provided By Cornell University

  • White Papers // Oct 2014

    Detection of Core-Periphery Structure in Networks Using Spectral Methods and Geodesic Paths

    The authors introduce several novel and computationally efficient methods for detecting \"Core-periphery structure\" in networks. Core-periphery structure is a type of meso-scale structure that includes densely-connected core vertices and sparsely-connected peripheral vertices. Core vertices are well-connected both among themselves and to peripheral vertices, which are not well-connected to any vertices....

    Provided By Cornell University

  • White Papers // Oct 2014

    Quantum Clouds: A Future Perspective

    Quantum computing and cloud computing are two gaints for futuristic computing. Both technologies complement each other. Quantum clouds, therefore, is deploying the resources of quantum computation in a cloud environment to provide solution to the challenges and problems faced by present model of classical cloud computation. State of the art...

    Provided By Cornell University

  • White Papers // Oct 2014

    Efficient Key Generation for Dynamic Blom's Scheme

    The need for secure communication between the nodes in a network has led to the development of various key distribution schemes. Blom's scheme is a prominent key exchange protocol used for sensor and wireless networks, but its shortcomings include large computation overhead and memory cost. In this paper, the authors...

    Provided By Cornell University

  • White Papers // Oct 2014

    Repairable Threshold Secret Sharing Schemes

    In this paper, the authors propose a class of new threshold secret sharing schemes with repairing function between shares. Specifically, each share, when it is broken or lost, can be repaired by some others without the help of the dealer. Further, a construction of such repairable threshold secret sharing schemes...

    Provided By Cornell University

  • White Papers // Oct 2014

    Efficient LTE Access with Collision Resolution for Massive M2M Communications

    LTE random access procedure performs satisfactorily in case of asynchronous, uncorrelated traffic arrivals. However, when the arrivals are correlated and arrive synchronously, the performance of the Random Access CHannel (RACH) is drastically reduced, causing a large number of devices to experience outage. In this paper, the authors propose a LTE...

    Provided By Cornell University

  • White Papers // Oct 2014

    Capacity Analysis of Decoupled Downlink and Uplink Access in 5G Heterogeneous Systems

    The peoples' traditional notion of a cell is changing dramatically given the increasing degree of heterogeneity in 4G and emerging 5G systems. Rather than belonging to a specific cell, a device would choose the most suitable connection from the plethora of connections available. In such a setting, given the transmission...

    Provided By Cornell University

  • White Papers // Oct 2014

    Timed Influence: Computation and Maximization

    The authors consider a cost model for diffusion in a network that captures both the scope of infection and its propagation time: the edges of the network have associated lengths which model transmission times, and influence scores are higher for faster propagation. They propose an intuitive measure of timed influence,...

    Provided By Cornell University

  • White Papers // Oct 2014

    Probabilistic Definitions of Actual Causation Using CP-logic

    Since Pearl's seminal work on providing a formal language for causality, the subject has garnered a lot of interest among philosophers and researchers in artificial intelligence alike. One of the most debated topics in this context regards the notion of actual causation, which concerns itself with specific - as opposed...

    Provided By Cornell University

  • White Papers // Oct 2014

    Parameterizing the Semantics of Fuzzy Attribute Implications by Systems of Isotone Galois Connections

    The authors study the semantics of fuzzy if-then rules called fuzzy attribute implications parameterized by systems of isotone Galois connections. The rules express dependencies between fuzzy attributes in object-attribute incidence data. The proposed parameterizations are general and include as special cases the parameterizations by linguistic hedges used in earlier approaches....

    Provided By Cornell University

  • White Papers // Oct 2014

    Applying Agile Requirements Engineering Approach for Re-engineering & Changes in existing Brownfield Adaptive Systems

    Requirements Engineering (RE) is a key activity in the development of software systems and is concerned with the identification of the goals of stakeholders and their elaboration into precise statements of desired services and behavior. The paper describes an agile requirements engineering approach for re-engineering & changes in existing brownfield...

    Provided By Cornell University

  • White Papers // Oct 2014

    QoE Modelling, Measurement and Prediction: A Review

    In mobile computing systems, users can access network services anywhere and anytime using mobile devices such as tablets and Smartphone's. These devices connect to the Internet via network or telecommunications operators. Users usually have some expectations about the services provided to them by different operators. Users' expectations along with additional...

    Provided By Cornell University

  • White Papers // Oct 2014

    Lost in Space: Improving Inference of IPv4 Address Space Utilization

    One challenge in understanding the evolution of Internet infrastructure is the lack of systematic mechanisms for monitoring the extent to which allocated IP addresses are actually used. In this paper, the authors try to advance the science of inferring IPv4 address space utilization by analyzing and correlating results obtained through...

    Provided By Cornell University

  • White Papers // Oct 2014

    Locally Estimating Core Numbers

    Graphs are a powerful way to model interactions and relationships in data from a wide variety of application domains. In this setting, entities represented by vertices at the \"Center\" of the graph are often more important than those associated with vertices on the \"Fringes\". For example, central nodes tend to...

    Provided By Cornell University

  • White Papers // Oct 2014

    Matching Entities Across Online Social Networks

    Online Social Networks (OSNs), such as Facebook and Twitter, have become an integral part of the peoples' daily lives. There are hundreds of OSNs; each with its own focus in that each offers particular services and functionalities. Recent studies show that many OSN users create several accounts on multiple OSNs...

    Provided By Cornell University

  • White Papers // Sep 2002

    Black-White Differences in Tipping of Various Service Providers

    Data from a national telephone survey revealed four general patterns in the tipping behaviors of Blacks and Whites. This paper briefly discusses the theoretical and practical implications of these findings. First, Blacks appear more likely than Whites to stiff commonly encountered service providers, but not less commonly encountered ones. Second,...

    Provided By Cornell University

  • White Papers // Jun 2001

    A Picture Is Worth a Thousand Words: A Content Analysis of Consumer Complaints, Remedies, and Repatronage Intentions Regarding Dissatisfying Service Experiences

    Building on a research examining customers' complaints about service experiences, this study examined restaurant consumers' episode specific reactions to service failures. In the first stage of this work, restaurant patrons were asked to describe a recent service experience where they complained about some element of the service they received. From...

    Provided By Cornell University

  • White Papers // Feb 2000

    Questions You Should Answer Before Starting A New Dairy Processing Enterprise

    This set of questions provides a beginning point for an individual or group looking at starting up a new dairy business. These questions are not meant to include all of the factors needed to determine the economic feasibility of a prospective enterprise nor are they meant to comprise all of...

    Provided By Cornell University

  • White Papers // Sep 2009

    Combinatiorial Algorithms for Wireless Information Flow

    A long-standing open question in information theory is to characterize the unicast capacity of a wireless relay network. The difficulty arises due to the complex signal interactions induced in the network, since the wireless channel inherently broadcasts the signals and there is interference among transmissions. Recently, Avestimehr, Diggavi and Tse...

    Provided By Cornell University

  • White Papers // Jun 2009

    Using the Keystrokes Dynamic for Systems of Personal Security

    This paper presents a boarding on biometric authentication through the Keystrokes Dynamics that it intends to identify a person from its habitual rhythm to type in conventional keyboard. Seven done experiments: Verifying amount of prototypes, threshold, features and the variation of the choice of the times of the features vector....

    Provided By Cornell University

  • White Papers // Jan 2011

    A Dirty-Slate Approach to Routing Scalability

    This paper presents Virtual Aggregation, an architecture that attempts to tackle the Internet routing scalability problem. The approach does not require any changes to router software and routing protocols and can be deployed by any ISP without the cooperation of other ISPs. Hence, Virtual Aggregation is a configuration-only solution. The...

    Provided By Cornell University

  • White Papers // Aug 2009

    Multi-Verifier Signatures

    Multi-verifier signatures generalize traditional digital signatures to a secret-key setting. Just like digital signatures, these signatures are both transferable and secure under arbitrary (unbounded) adaptive chosen-message attacks. In contrast to digital signature schemes, however, the authors exhibit practical constructions of multi-verifier signature schemes that are provably secure and are based...

    Provided By Cornell University

  • White Papers // Apr 2010

    Optimal Network Design for the Spread of Cascades

    The authors introduce a new optimization framework to maximize the expected spread of cascades in networks. The model allows a rich set of actions that directly manipulate cascade dynamics by adding nodes or edges to the network. The motivating application is one in spatial conservation planning, where a cascade models...

    Provided By Cornell University

  • White Papers // May 2011

    On the Feasibility of Completely Wireless Data Centers

    The authors introduce a novel data center design based on emerging 60 GHz RF technology that uses wires only to deliver power to its server nodes. Fundamental limitation of wireless data centers is that the maximum number of live connections in the network is directly proportional to the full volume...

    Provided By Cornell University

  • White Papers // Apr 2011

    Doctrine for Cybersecurity

    Successions of doctrines have been advocated in the past for enhancing cybersecurity: Prevention, risk management, and deterrence through accountability. None has proved effective, and their failings are discussed. Most recently, proposals are being made to view cyber-security as a public good or to adopt mechanisms inspired by those used for...

    Provided By Cornell University

  • White Papers // Nov 2009

    PAKE-Based Mutual HTTP Authentication for Preventing Phishing Attacks

    This paper describes a new password-based mutual authentication protocol for Web systems which prevents various kinds of phishing attacks. This protocol provides a protection of user's passwords against any phishers even if dictionary attack is employed, and prevents phishers from imitating a false sense of successful authentication to users. The...

    Provided By Cornell University

  • White Papers // Dec 2009

    Detection and Prevention of New and Unknown Malware Using Honeypots

    Security has become ubiquitous in every domain today as newly emerging malware pose an ever-increasing perilous threat to systems. Consequently, honeypots are fast emerging as an indispensible forensic tool for the analysis of malicious network traffic. Honeypots can be considered to be traps for hackers and intruders and are generally...

    Provided By Cornell University

  • White Papers // Nov 2009

    Steganography an Art of Hiding Data

    In today's world the art of sending & displaying the hidden information especially in public places, has received more attention and faced many challenges. Therefore, different methods have been proposed so far for hiding information in different cover media. In this paper a method for hiding of information on the...

    Provided By Cornell University

  • White Papers // Dec 2010

    SNEED: Enhancing Network Security Services Using Network Coding and Joint Capacity

    Traditional network security protocols depend mainly on developing cryptographic schemes and on using biometric methods. These have led to several network security protocols that are unbreakable based on difficulty of solving un-tractable mathematical problems such as factoring large integers. In this paper, Security of Networks Employing Encoding and Decoding (SNEED)...

    Provided By Cornell University

  • White Papers // Dec 2010

    Throughput and Latency in Finite-Buffer Line Networks

    This paper investigates the effect of finite buffer sizes on the throughput capacity and packet delay of line networks with packet erasure links that have perfect feedback. These performance measures are shown to be linked to the stationary distribution of an underlying irreducible Markov chain that models the system exactly....

    Provided By Cornell University

  • White Papers // Dec 2010

    A Self-Organising Neural Network for Processing Data From Multiple Sensors

    This paper shows how a folded Markov chain network can be applied to the problem of processing data from multiple sensors, with an emphasis on the special case of 2 sensors. It is necessary to design the network so that it can transform a high dimensional input vector into a...

    Provided By Cornell University

  • White Papers // Apr 2011

    Dynamic Portfolio Optimization With A Defaultable Security And Regime Switching

    The authors consider a portfolio optimization problem in a defaultable market with finitely-many economical regimes, where the investor can dynamically allocate her wealth among a defaultable bond, a stock, and a money market account. The market coefficients are assumed to depend on the market regime in place, which is modeled...

    Provided By Cornell University

  • White Papers // Apr 2011

    Density Approximations For Multivariate Affine Jump-diffusion Processes

    The authors introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which they develop in weighted Hilbert spaces for random variables which possess all polynomial moments. They establish parametric conditions which guarantee existence and differentiability of transition densities of affine models...

    Provided By Cornell University

  • White Papers // Jun 2011

    Credit Contagion And Risk Management With Multiple Non-ordered Defaults

    The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are derived, revealing how information-driven default contagion arises in these models. The authors then analyze the impact of...

    Provided By Cornell University

  • White Papers // Apr 2011

    Semi-static Hedging Based On A Generalized Reflection Principle On A Multi Dimensional Brownian Motion

    On a multi-assets Black-Scholes economy, the authors introduce a class of barrier options. In this model, they apply a generalized reflection principle in a context of the finite reflection group acting on a Euclidean space to give a valuation formula and the semi-static hedge. In this paper, they introduce a...

    Provided By Cornell University

  • White Papers // May 2011

    Stability Of The World Trade Web Over Time - An Extinction Analysis

    The World Trade Web (WTW) is a weighted network whose nodes correspond to countries with edge weights reflecting the value of imports and/or exports between countries. In this paper, the authors introduce to this macroeconomic system the notion of extinction analysis, a technique often used in the analysis of ecosystems,...

    Provided By Cornell University

  • White Papers // Apr 2011

    A Sharp Analysis On The Asymptotic Behavior Of The Durbin-watson Statistic For The First-order Autoregressive Process

    The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. The authors focus the attention on the first-order autoregressive process where the driven noise is also given by a first-order autoregressive process. They establish the almost sure convergence and the asymptotic...

    Provided By Cornell University

  • White Papers // Apr 2011

    Collateralized CDS And Default Dependence

    In this paper, the authors have studied the pricing of a continuously collateralized CDS. They have made use of the "Survival measure" to derive the pricing formula in a straightforward way. As a result, they have found that there exists irremovable trace of the counter party as well as the...

    Provided By Cornell University

  • White Papers // Apr 2011

    Default Clustering In Large Portfolios: Typical And Atypical Events

    The authors develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical and atypical default profiles in the limit as the size of the pool grows. In the model, a name defaults at a stochastic intensity that is influenced by an idiosyncratic...

    Provided By Cornell University

  • White Papers // Apr 2011

    If Entry Strategy And Money Go Together, What Is The Right Side Of The Coin?

    The goal of this paper is to determine which strategic model, either IO or RBV, allows firms to generate the highest performance on a competitive market. Contrasting with classical studies that mobilize analyses as VARCOMP, the authors deploy a multi-agent system simulating the behavior of firms adopting RBV or IO...

    Provided By Cornell University

  • White Papers // Apr 2011

    Utility Maximization, Risk Aversion, And Stochastic Dominance

    Consider an investor trading dynamically to maximize expected utility from terminal wealth. The aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that high risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in...

    Provided By Cornell University

  • White Papers // Apr 2011

    Nonanalytic Behaviour In A Log-normal Markov Functional Model

    In a previous paper it was shown that a Markov-functional model with log-normally distributed rates in the terminal measure displays nonanalytic behaviour as a function of the volatility, which is similar to a phase transition in condensed matter physics. More precisely, certain expectation values have discontinuous derivatives with respect to...

    Provided By Cornell University

  • White Papers // Apr 2011

    A Semi-Markov Model For Price Returns

    The authors study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely they assume that the intraday returns are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on this...

    Provided By Cornell University

  • White Papers // Mar 2011

    Multidimensional Quasi-monte Carlo Malliavin Greeks

    The authors investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, they extend the formulas employed by Montero and Kohatsu-Higa to the multidimensional case. The multidimensional setting shows the convenience of the Malliavin Calculus approach over different...

    Provided By Cornell University

  • White Papers // Oct 2010

    The Dual Optimizer For The Growth-optimal Portfolio Under Transaction Costs

    The authors consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Kallsen and Muhle-Karbe [Ann. Appl. Probab., 20, 2010] for optimal consumption over an infinite horizon, they tackle this...

    Provided By Cornell University

  • White Papers // Dec 2010

    Robust Maximization Of Asymptotic Growth

    This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The optimal investment strategy is identified using a generalized version of the principal eigenfunction for an elliptic second-order differential operator which depends...

    Provided By Cornell University

  • White Papers // Aug 2009

    Electric Routing and Concurrent Flow Cutting

    The authors address a vision of the Internet where every participant exchanges messages with their direct friends and no one else. Yet such an Internet should be able to support reliable and efficient routing to remote locations identified by unchanging names in the presence of an ever changing graph of...

    Provided By Cornell University

  • White Papers // Dec 2009

    NP-Completeness of Certain Sub-Classes of the Syndrome Decoding Problem

    The problem of Syndrome Decoding was proven to be NP-complete in 1978 and, since then, quite a few cryptographic applications have had their security rely on the (provable) difficulty of solving some instances of it. However, in most cases, the instances to be solved follow some specific constraint: the target...

    Provided By Cornell University

  • White Papers // Jan 2011

    Perseus Technology: New Trends in Information and Communication Security

    Using cryptography to protect information and communication has basically two major drawbacks. First, the specific entropy profile of encrypted data makes their detection very easy. Second, the use of cryptography can be more or less regulated, not to say forbidden, according to the countries. If the right to freely protect...

    Provided By Cornell University

  • White Papers // May 2011

    Why Money Trickles Up - Wealth & Income Distributions

    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 distributions. Using a simple and realistic economic formulation, the distributions of both wealth and income are fully explained. Both the power tail and...

    Provided By Cornell University

  • White Papers // May 2011

    On The Dynamics Of Bargaining

    The authors study a bargaining scheme under which two agents update their beliefs about the future states of the world in order to reach an agreement on the price of a given contingent claim. They first formulate the problem as an optimization problem and prove the existence of a solution...

    Provided By Cornell University

  • White Papers // May 2011

    Anomalous Price Impact And The Critical Nature Of Liquidity In Financial Markets

    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 relies on mild assumptions about the order flow and on the fact that prices are (to a first approximation) diffusive....

    Provided By Cornell University

  • White Papers // May 2011

    Liquidation In Limit Order Books With Controlled Intensity

    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 liquidation price. They set up a stochastic control problem in which the goal is to maximize the expected revenue from liquidating...

    Provided By Cornell University

  • White Papers // May 2011

    Default Swap Games Driven By Spectrally Negative Levy Processes

    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 the study of a stochastic game with optimal stopping subject to early termination resulting from a default. Under...

    Provided By Cornell University

  • White Papers // Apr 2011

    Power Series Representations For European Option Prices Under Stochastic Volatility Models

    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 Antonelli and Scarlatti the expansion is done w.r.t. the correlation between the noises driving the underlying asset price process and the volatility...

    Provided By Cornell University