We report that, in the estimation of univariate GARCH or multivariate generalized orthogonal GARCH (GO-GARCH) models, maximizing the likelihood is equivalent to making the standardized residuals as independent as possible. Based on this, we propose three factor GARCH models in the framework of GO-GARCH: independent-factor GARCH exploits factors that are statistically as independent as possible; factors in best-factor GARCH have the largest autocorrelation in their squared values such that their volatilities could be forecast well by univariate GARCH; and factors in conditional-decorrelation GARCH are conditionally as uncorrelated as possible. A convenient two-step method for estimating these models is introduced. Since the extracted factors may still have weak conditional correlations, we further propose factor-DCC models as an extension to the above factor GARCH models with dynamic conditional correlation (DCC) modelling the remaining conditional correlations between factors. Experimental results for the Hong Kong stock market show that conditional-decorrelation GARCH and independent-factor GARCH have better generalization performance than the original GO-GARCH, and that conditional-decorrelation GARCH (among factor GARCH models) and its extension with DCC embedded (among factor-DCC models) behave best.Statistical learning theory, Statistical methods, Computational finance, Behavioural finance,

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Due to the fact that the fluctuation of network traffic is affected by various factors, accurate prediction of network traffic is regarded as a challenging task of the time series prediction process. For this purpose, a novel prediction method of network traffic based on QPSO algorithm and fuzzy wavelet neural network is proposed in this paper. Firstly, quantum-behaved particle swarm optimization (QPSO) was introduced. Then, the structure and operation algorithms of WFNN are presented. The parameters of fuzzy wavelet neural network were optimized by QPSO algorithm. Finally, the QPSO-FWNN could be used in prediction of network traffic simulation successfully and evaluate the performance of different prediction models such as BP neural network, RBF neural network, fuzzy neural network, and FWNN-GA neural network. Simulation results show that QPSO-FWNN has a better precision and stability in calculation. At the same time, the QPSO-FWNN also has better generalization ability, and it has a broad prospect on application.

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Up to now, more and more people use Internet storage services as a new way of sharing. File sharing by a distributed storage system is quite different from a specific sharing application like BitTorrent. And as large file sharing becomes popular, the data transmission rate takes the place of the response delay to be the major factor influencing user experience. This paper introduces strategies used to accelerate file sharing with low bandwidth consumptions in a deployed wide-area networked storage system -Granary. We use a popularity and locality sensitive replication strategy to put files closer to users that request it frequently. The Hybrid server selection scheme and the Remote Boosting replication mechanism are also presented. Experimental results show these methods offer better sharing speed and cost less network bandwidth than conventional caching schemes.