Accurate prediction of financial market volatility is critical for risk management, derivatives pricing, and investment strategy. In this study, we propose a multitude of regime-switching methods to improve the prediction of S&P 500 volatility by capturing structural changes in the market across time. We use eleven years of SPX data, from May 1st, 2014 to May 27th, 2025, to compute daily realized volatility (RV) from 5-minute intraday log returns, adjusted for irregular trading days. To enhance forecast accuracy, we engineered features to capture both historical dynamics and forward-looking market sentiment across regimes. The regime-switching methods include a soft Markov switching algorithm to estimate soft-regime probabilities, a distributional spectral clustering method that uses XGBoost to assign clusters at prediction time, and a coefficient-based soft regime algorithm that extracts HAR coefficients from time segments segmented through the Mood test and clusters through Bayesian GMM for soft regime weights, using XGBoost to predict regime probabilities. Models were evaluated across three time periods--before, during, and after the COVID-19 pandemic. The coefficient-based clustering algorithm outperformed all other models, including the baseline autoregressive model, during all time periods. Additionally, each model was evaluated on its recursive forecasting performance for 5- and 10-day horizons during each time period. The findings of this study demonstrate the value of regime-aware modeling frameworks and soft clustering approaches in improving volatility forecasting, especially during periods of heightened uncertainty and structural change.

We developed a ResNet-based human activity recognition (HAR) model with minimal overhead to detect gait versus non-gait activities and everyday activities (walking, running, stairs, standing, sitting, lying, sit-to-stand transitions). The model was trained and evaluated using smartphone sensor data from adult healthy controls (HC) and people with multiple sclerosis (PwMS) with Expanded Disability Status Scale (EDSS) scores between 0.0-6.5. Datasets included the GaitLab study (ISRCTN15993728), an internal Roche dataset, and publicly available data sources (training only). Data from 34 HC and 68 PwMS (mean [SD] EDSS: 4.7 [1.5]) were included in the evaluation. The HAR model showed 98.4% and 99.6% accuracy in detecting gait versus non-gait activities in the GaitLab and Roche datasets, respectively, similar to a comparative state-of-the-art ResNet model (99.3% and 99.4%). For everyday activities, the proposed model not only demonstrated higher accuracy than the state-of-the-art model (96.2% vs 91.9%; internal Roche dataset) but also maintained high performance across 9 smartphone wear locations (handbag, shopping bag, crossbody bag, backpack, hoodie pocket, coat/jacket pocket, hand, neck, belt), outperforming the state-of-the-art model by 2.8% - 9.0%. In conclusion, the proposed HAR model accurately detects everyday activities and shows high robustness to various smartphone wear locations, demonstrating its practical applicability.

A long memory and non-linear realized volatility model class is proposed for direct Value at Risk (VaR) forecasting. This model, referred to as RNN-HAR, extends the heterogeneous autoregressive (HAR) model, a framework known for efficiently capturing long memory in realized measures, by integrating a Recurrent Neural Network (RNN) to handle non-linear dynamics. Loss-based generalized Bayesian inference with Sequential Monte Carlo is employed for model estimation and sequential prediction in RNN HAR. The empirical analysis is conducted using daily closing prices and realized measures from 2000 to 2022 across 31 market indices. The proposed models one step ahead VaR forecasting performance is compared against a basic HAR model and its extensions. The results demonstrate that the proposed RNN-HAR model consistently outperforms all other models considered in the study.

In the realm of human activity recognition (HAR), the integration of explainable Artificial Intelligence (XAI) emerges as a critical necessity to elucidate the decision-making processes of complex models, fostering transparency and trust. Traditional explanatory methods like Class Activation Mapping (CAM) and attention mechanisms, although effective in highlighting regions vital for decisions in various contexts, prove inadequate for HAR. This inadequacy stems from the inherently abstract nature of HAR data, rendering these explanations obscure. In contrast, state-of-th-art post-hoc interpretation techniques for time series can explain the model from other perspectives. However, this requires extra effort. It usually takes 10 to 20 seconds to generate an explanation. To overcome these challenges, we proposes a novel, model-agnostic framework that enhances both the interpretability and efficacy of HAR models through the strategic use of competitive data augmentation. This innovative approach does not rely on any particular model architecture, thereby broadening its applicability across various HAR models. By implementing competitive data augmentation, our framework provides intuitive and accessible explanations of model decisions, thereby significantly advancing the interpretability of HAR systems without compromising on performance.

Mobile service robots are proving to be increasingly effective in a range of applications, such as healthcare, monitoring Activities of Daily Living (ADL), and facilitating Ambient Assisted Living (AAL). These robots heavily rely on Human Action Recognition (HAR) to interpret human actions and intentions. However, for HAR to function effectively on service robots, it requires prior knowledge of human presence (human detection) and identification of individuals to monitor (human tracking). In this work, we propose an end-to-end pipeline that encompasses the entire process, starting from human detection and tracking, leading to action recognition. The pipeline is designed to operate in near real-time while ensuring all stages of processing are performed on the edge, reducing the need for centralised computation. To identify the most suitable models for our mobile robot, we conducted a series of experiments comparing state-of-the-art solutions based on both their detection performance and efficiency. To evaluate the effectiveness of our proposed pipeline, we proposed a dataset comprising daily household activities. By presenting our findings and analysing the results, we demonstrate the efficacy of our approach in enabling mobile robots to understand and respond to human behaviour in real-world scenarios relying mainly on the data from their RGB cameras.

Surveillance systems, autonomous vehicles, human monitoring systems, and video retrieval are just few of the many applications in which 3D Convolutional Neural Networks are exploited. However, their extensive use is restricted by their high computational and memory requirements, especially when integrated into systems with limited resources. This study proposes a toolflow that optimises the mapping of 3D CNN models for Human Action Recognition onto FPGA devices, taking into account FPGA resources and off-chip memory characteristics. The proposed system employs Synchronous Dataflow (SDF) graphs to model the designs and introduces transformations to expand and explore the design space, resulting in high-throughput designs. A variety of 3D CNN models were evaluated using the proposed toolflow on multiple FPGA devices, demonstrating its potential to deliver competitive performance compared to earlier hand-tuned and model-specific designs.

Automated and accurate human activity recognition (HAR) using body-worn sensors enables practical and cost efficient remote monitoring of Activity of DailyLiving (ADL), which are shown to provide clinical insights across multiple therapeutic areas. Development of accurate algorithms for human activity recognition(HAR) is hindered by the lack of large real-world labeled datasets. Furthermore, algorithms seldom work beyond the specific sensor on which they are prototyped, prompting debate about whether accelerometer-based HAR is even possible [Tong et al., 2020]. Here we develop a 6-class HAR model with strong performance when evaluated on real-world datasets not seen during training. Our model is based on a frozen self-supervised representation learned on a large unlabeled dataset, combined with a shallow multi-layer perceptron with temporal smoothing. The model obtains in-dataset state-of-the art performance on the Capture24 dataset ($\kappa= 0.86$). Out-of-distribution (OOD) performance is $\kappa = 0.7$, with both the representation and the perceptron models being trained on data from a different sensor. This work represents a key step towards device-agnostic HAR models, which can help contribute to increased standardization of model evaluation in the HAR field.

Deep neural networks have empowered accurate device-free human activity recognition, which has wide applications. Deep models can extract robust features from various sensors and generalize well even in challenging situations such as data-insufficient cases. However, these systems could be vulnerable to input perturbations, i.e. adversarial attacks. We empirically demonstrate that both black-box Gaussian attacks and modern adversarial white-box attacks can render their accuracies to plummet. In this paper, we firstly point out that such phenomenon can bring severe safety hazards to device-free sensing systems, and then propose a novel learning framework, SecureSense, to defend common attacks. SecureSense aims to achieve consistent predictions regardless of whether there exists an attack on its input or not, alleviating the negative effect of distribution perturbation caused by adversarial attacks. Extensive experiments demonstrate that our proposed method can significantly enhance the model robustness of existing deep models, overcoming possible attacks. The results validate that our method works well on wireless human activity recognition and person identification systems. To the best of our knowledge, this is the first work to investigate adversarial attacks and further develop a novel defense framework for wireless human activity recognition in mobile computing research.

Despite the impressive success of deep neural networks in many application areas, neural network models have so far not been widely adopted in the context of volatility forecasting. In this work, we aim to bridge the conceptual gap between established time series approaches, such as the Heterogeneous Autoregressive (HAR) model, and state-of-the-art deep neural network models. The newly introduced HARNet is based on a hierarchy of dilated convolutional layers, which facilitates an exponential growth of the receptive field of the model in the number of model parameters. HARNets allow for an explicit initialization scheme such that before optimization, a HARNet yields identical predictions as the respective baseline HAR model. Particularly when considering the QLIKE error as a loss function, we find that this approach significantly stabilizes the optimization of HARNets. We evaluate the performance of HARNets with respect to three different stock market indexes. Based on this evaluation, we formulate clear guidelines for the optimization of HARNets and show that HARNets can substantially improve upon the forecasting accuracy of their respective HAR baseline models. In a qualitative analysis of the filter weights learnt by a HARNet, we report clear patterns regarding the predictive power of past information. Among information from the previous week, yesterday and the day before, yesterday's volatility makes by far the most contribution to today's realized volatility forecast. Moroever, within the previous month, the importance of single weeks diminishes almost linearly when moving further into the past.

Forecasting volatility has a fundamental scope for financial economics with applications in asset pricing, risk management as well as systemic risk monitoring due to the fact that forecasts of asset return volatilities are essential inputs for pricing models (Bollerslev et al. (2020)). A vast body of literature has been devoted to model design capable of accurately capturing volatility dynamics and producing reliable volatility forecasts. Furthermore, the increasing availability of high frequency data pushed the development of methods such as latent variable models such as the GARCH specifications as well as models for Stochastic Volatility (as in Bollerslev (1986) and Hansen and Lunde (2005)). Moreover, the inclusion of high frequency filters via the use of estimators for the true latent integrated volatilities has been examined in various studies such as in Andersen and Bollerslev (1998), Barndorff-Nielsen and Shephard (2002), Andersen et al. (2001), Andersen et al. (2003), Andersen et al. (2007) and Aït-Sahalia and Jacod (2014). In practise, time series observations for realized volatility measures at a given frequency (such as daily) are typically obtained by summing higher frequency squared returns (e.g.