This paper shows how the prices of option contracts traded in financial marketscan be tracked sequentially by means of the Extended Kalman Filter algorithm. I consider call and put option pairs with identical strike price and time of maturity as a two output nonlinear system.The Black-Scholes approach popular in Finance literature andthe Radial Basis Functions neural network are used in modelling the nonlinear system generating these observations. I show how both these systems may be identified recursively using the EKF algorithm. I present results of simulations on some FTSE 100 Index options data and discuss the implications of viewing the pricing problem in this sequential manner. 1 INTRODUCTION Data from the financial markets has recently been of much interest to the neural computing community. The complexity of the underlying macroeconomic system and how traders react to the flow of information leads to highly nonlinear relationships betweenobservations.

Large dots indicate SVs .

We address statistical classifier design given a mixed training set consisting ofa small labelled feature set and a (generally larger) set of unlabelled features. This situation arises, e.g., for medical images, where although training features may be plentiful, expensive expertise is required toextract their class labels. We propose a classifier structure and learning algorithm that make effective use of unlabelled data to improve performance.The learning is based on maximization of the total data likelihood, i.e. over both the labelled and unlabelled data subsets. Twodistinct EM learning algorithms are proposed, differing in the EM formalism applied for unlabelled data. The classifier, based on a joint probability model for features and labels, is a "mixture of experts" structure that is equivalent to the radial basis function (RBF) classifier, but unlike RBFs, is amenable to likelihood-based training. The scope of application for the new method is greatly extended by the observation that test data, or any new data to classify, is in fact additional, unlabelled data - thus, a combined learning/classification operation - much akin to what is done in image segmentation - can be invoked whenever there is new data to classify. Experiments with data sets from the UC Irvine database demonstrate that the new learning algorithms and structure achieve substantial performance gains over alternative approaches.

The weakly electric fish, Eigenmannia, generates a quasi sinusoidal, dipole-like electric fieldat individually fixed frequencies (250 - 600 Hz) by discharging an electric organ located in its tail (see Bullock and Heilgenberg, 1986 for reviews).

Two dimensional image motion detection neural networks have been implemented using a general purpose analog neural computer. The neural circuits perform spatiotemporal feature extraction based on the cortical motion detection model of Adelson and Bergen. The neural computer provides the neurons, synapses and synaptic time-constants required to realize the model in VLSI hardware. Results show that visual motion estimation can be implemented with simple sum-andthreshold neuralhardware with temporal computational capabilities. The neural circuits compute general 20 visual motion in real-time.

In a communication network in which traffic sources can be dynamically added or removed, an access controller must decide when to accept or reject a new traffic source based on whether, if added, acceptable service would be given to all carried sources. Unlike best-effort services such as the internet, we consider the case where traffic sources are given quality of service (QoS) guarantees such as maximum delay, delay variation, or loss rate. The goal of the controller is to accept the maximal number of users while guaranteeing QoS.To accommodate diverse sources such as constant bit rate voice, variablerate video, and bursty computer data, packet-based protocols are used. We consider QOS in terms of lost packets (Le.

This paper presents a new approach to speech recognition with hybrid HMM/ANN technology. While the standard approach to hybrid HMMI ANN systems is based on the use of neural networks as posterior probability estimators, the new approach is based on the use of mutual information neural networks trained with a special learning algorithm in order to maximize the mutual information between the input classes of the network and its resulting sequence of firing output neurons during training. It is shown in this paper that such a neural network is an optimal neural vector quantizer for a discrete hidden Markov model system trained on Maximum Likelihood principles. One of the main advantages of this approach is the fact, that such neural networks can be easily combined with HMM's of any complexity with context-dependent capabilities. It is shown that the resulting hybrid system achieves very high recognition rates, which are now already on the same level as the best conventional HMM systems with continuous parameters, and the capabilities of the mutual information neural networks are not yet entirely exploited.

ABSTRACT The separation of generalization error into two types, bias and variance (Geman, Bienenstock, Doursat, 1992), leads to the notion of error reduction by averaging over a "committee" of classifiers (Perrone, 1993). Committee perfonnance decreases with both the average error of the constituent classifiers and increases with the degree to which the misclassifications are correlated across the committee. Here, a method for reducing correlations is introduced, that uses a winner-take-all procedure similar to competitive learning to drive the individual networks to different minima in weight space with respect to the training set, such that correlations in generalization perfonnance will be reduced, thereby reducing committee error. 1 INTRODUCTION The problem of constructing a predictor can generally be viewed as finding the right combination of bias and variance (Geman, Bienenstock, Doursat, 1992) to reduce the expected error. Since a neural network predictor inherently has an excessive number of parameters, reducing the prediction error is usually done by reducing variance. Methods for reducing neural network complexity can be viewed as a regularization technique to reduce this variance.

Images are ambiguous at each of many levels of a contextual hierarchy. Nevertheless,the high-level interpretation of most scenes is unambiguous, as evidenced by the superior performance of humans. Thisobservation argues for global vision models, such as deformable templates.Unfortunately, such models are computationally intractable for unconstrained problems. We propose a compositional modelin which primitives are recursively composed, subject to syntactic restrictions, to form tree-structured objects and object groupings. Ambiguity is propagated up the hierarchy in the form of multiple interpretations, which are later resolved by a Bayesian, equivalently minimum-description-Iength, cost functional.

We have combined an artificial neural network (ANN) character classifier with context-driven search over character segmentation, word segmentation, and word recognition hypotheses to provide robust recognition of hand-printed English text in new models of Apple Computer's Newton MessagePad. We present some innovations in the training and use of ANNs al; character classifiers for word recognition, including normalized output error, frequency balancing, error emphasis, negative training, and stroke warping. A recurring theme of reducing a priori biases emerges and is discussed.