Showing papers by "University of Piraeus published in 2007"

Multivariate statistical process control charts: an overview

Abstract: In this paper we discuss the basic procedures for the implementation of multivariate statistical process control via control charting. Furthermore, we review multivariate extensions for all kinds of univariate control charts, such as multivariate Shewhart-type control charts, multivariate CUSUM control charts and multivariate EWMA control charts. In addition, we review unique procedures for the construction of multivariate control charts, based on multivariate statistical techniques such as principal components analysis (PCA) and partial lest squares (PLS). Finally, we describe the most significant methods for the interpretation of an out-of-control signal.

The container shipping network design problem with empty container repositioning

Abstract: This paper addresses the design of container liner shipping service networks by explicitly taking into account empty container repositioning. Two key and interrelated issues, those of deploying ships and containers are usually treated separately by most existing studies on shipping network design. In this paper, both issues are considered simultaneously. The problem is formulated as a two-stage problem. A genetic algorithm-based heuristic is developed for the problem. Through a number of numerical experiments that were conducted it was shown that the problem with the consideration of empty container repositioning provides a more insightful solution than the one without.

Financial Deepening and Economic Growth Linkages: A Panel Data Analysis

Abstract: The paper examines whether a long-run relationship between financial development and economic growth exists employing panel integration and cointegration techniques for a dynamic heterogeneous panel of 15 OECD and 50 non-OECD countries over the period 1975–2000. Three different measures of financial deepening are used to capture the variety of different channels through which financial development can affect growth. Our findings support the existence of a single long-run equilibrium relation between financial deepening, economic growth and a set of control variables. Further, the evidence points to a bi-directional causality between financial deepening and growth.

The effect of board size and composition on European bank performance

Abstract: Banks are “special” financial institutions generating distinct corporate governance challenges. The present paper examines the relationship between two of the most pertinent corporate governance factors—that is, the size of the Board of Directors and the proportion of non-executive directors—and firm performance on a sample of 58 large European banks over the period 2002–2004. The empirical analysis embraces a number of bank-specific variables. Our results reveal that bank profitability is negatively related to the size of the Board of Directors, while the impact of Board composition, although positive in all models, is, in most cases, insignificant. The results are robust after controlling for firm-specific variables.

Similarity Search in Trajectory Databases

Abstract: Trajectory database (TD) management is a relatively new topic of database research, which has emerged due to the explosion of mobile devices and positioning technologies. Trajectory similarity search forms an important class of queries in TD with applications in trajectory data analysis and spatiotemporal knowledge discovery. In contrast to related works which make use of generic similarity metrics that virtually ignore the temporal dimension, in this paper we introduce a framework consisting of a set of distance operators based on primitive (space and time) as well as derived parameters of trajectories (speed and direction). The novelty of the approach is not only to provide qualitatively different means to query for similar trajectories, but also to support trajectory clustering and classification mining tasks, which definitely imply a way to quantify the distance between two trajectories. For each of the proposed distance operators we devise highly parametric algorithms, the efficiency of which is evaluated through an extensive experimental study using synthetic and real trajectory datasets.

The Validity of the Economic Value Added Approach: an Empirical Application

Abstract: This study investigates the relative explanatory power of the Economic Value Added (EVA) model with respect to stock returns and firms' market value, compared to established accounting variables (e.g. net income, operating income), in the context of a small European developing market, namely the Athens Stock Exchange, in its first market-wide application of the EVA measure. Relative information content tests reveal that net and operating income appear to be more value relevant than EVA. Additionally, incremental information tests suggest that EVA unique components add only marginally to the information content of accounting profit. Moreover, EVA does not appear to have a stronger correlation with firms' Market Value Added than the other variables, suggesting that – for our Greek dataset – EVA, even though useful as a performance evaluation tool, need not necessarily be more correlated with shareholder's value than established accounting variables.

Statistical Process Control using Shewhart Control Charts with Supplementary Runs Rules

Abstract: The aim of this paper is to present the basic principles and recent advances in the area of statistical process control charting with the aid of runs rules. More specifically, we review the well known Shewhart type control charts supplemented with additional rules based on the theory of runs and scans. The motivation for this article stems from the fact that during the last decades, the performance improvement of the Shewhart charts by exploiting runs rules has attracted continuous research interest. Furthermore, we briefly discuss the Markov chain approach which is the most popular technique for studying the run length distribution of run based control charts.

An empirical comparison of continuous-time models of implied volatility indices

Abstract: We explore the ability of alternative popular continuous-time diffusion and jump-diffusion processes to capture the dynamics of implied volatility indices over time. The performance of the various models is assessed under both econometric and financial metrics. To this end, data are employed from major European and American implied volatility indices and the rapidly growing CBOE volatility futures market. We find that the addition of jumps is necessary to capture the evolution of implied volatility indices under both metrics. Mean reversion is of second-order importance though. The results are consistent across the various metrics, markets, and construction methodologies.

Algorithms for Nearest Neighbor Search on Moving Object Trajectories

Abstract: Nearest Neighbor (NN) search has been in the core of spatial and spatiotemporal database research during the last decade. The literature on NN query processing algorithms so far deals with either stationary or moving query points over static datasets or future (predicted) locations over a set of continuously moving points. With the increasing number of Mobile Location Services (MLS), the need for effective k-NN query processing over historical trajectory data has become the vehicle for data analysis, thus improving existing or even proposing new services. In this paper, we investigate mechanisms to perform NN search on R-tree-like structures storing historical information about moving object trajectories. The proposed (depth-first and best-first) algorithms vary with respect to the type of the query object (stationary or moving point) as well as the type of the query result (historical continuous or not), thus resulting in four types of NN queries. We also propose novel metrics to support our search ordering and pruning strategies. Using the implementation of the proposed algorithms on two members of the R-tree family for trajectory data (namely, the TB-tree and the 3D-R-tree), we demonstrate their scalability and efficiency through an extensive experimental study using large synthetic and real datasets.

Discounting the distant future: How much does model selection affect the certainty equivalent rate?

Abstract: Evaluating investment with long-term consequences using discount rates that decline with the time horizon. (Declining Discount Rates of DDRs) means that future welfare changes are of greater consequence in present value terms. Recent work in this area has turned towards operationalising the theory and establishing a schedule of DDRs for use in cost benefit analysis. Using US data we make the following points concerning this transition: i) model selectionhas important implications for operationalising a theory of DDRs that depends upon uncertainty; ii) misspecification testing naturally leads to employing models that account for changes in the interest reat generating medanism. Lastly, we provide an analysis of the policy implications of DDRs in the context of climate change for the US and show that the use of a state space model can increase valuations by 150% compared to conventional constant discounting.

SecMR – a secure multipath routing protocol for ad hoc networks

Abstract: Multipath routing in ad hoc networks increases the resiliency against security attacks of collaborating malicious nodes, by maximizing the number of nodes that an adversary must compromise in order to take control of the communication. In this paper, we identify several attacks that render multipath routing protocols vulnerable to collaborating malicious nodes. We propose an on-demand multipath routing protocol, the secure multipath routing protocol (SecMR), and we analyze its security properties. Finally, through simulations, we evaluate the performance of the SecMR protocol in comparison with existing secure multipath routing protocols.

Detecting unauthorized and compromised nodes in mobile ad hoc networks

Abstract: Security of mobile ad hoc networks (MANET) has become a more sophisticated problem than security in other networks, due to the open nature and the lack of infrastructure of such networks. In this paper, the security challenges in intrusion detection and authentication are identified and the different types of attacks are discussed. We propose a two-phase detection procedure of nodes that are not authorized for specific services and nodes that have been compromised during their operation in MANET. The detection framework is enabled with the main operations of ad hoc networking, which are found at the link and network layers. The proposed framework is based on zero knowledge techniques, which are presented through proofs.

Quantile Regression Analysis of Hedge Fund Strategies

Abstract: Extending previous work on hedge fund pricing, this paper introduces the idea of modelling the conditional quantiles of hedge fund returns using a set of risk factors. Quantile regression analysis provides a way of understanding how the relationship between hedge fund returns and risk factors changes across the distribution of conditional returns. We propose a Bayesian approach to model comparison which provides posterior probabilities for different risk factor models. The most relevant risk factors are identified for different quantiles and compared with those obtained for the conditional expectation model. We find evidence of model uncertainty in quantile regression models and evidence that different risk factors affect differently the tails of the distribution of hedge fund returns. We explore potential economic impacts of our approach by analysing hedge fund strategies return series and by constructing style portfolios.

The Berth Allocation Problem with Service Time and Delay Time Objectives

Abstract: This study addresses a two-objective berth allocation problem: ship service quality expressed by the minimisation of delay in ships' departure and berth utilisation expressed by the minimisation of the total service time. In this problem, noninferior solutions are expected to be identified. Two heuristics, which are implemented based on two existing procedures of the subgradient optimisation and genetic algorithm, are proposed for solving this problem. Through numerical experiments, it was found that in most cases the genetic algorithm outperformed the subgradient optimisation. Also the tight time window yielded noninferior solutions.

Intelligent modeling of e-business maturity

Abstract: E-business has a significant impact on managers and academics. Despite the rhetoric surrounding e-business strategy formulation mechanisms, which support reasoning of the effect of strategic change activities to the maturity of the e-business models, are still emerging. This paper describes an attempt to build and operate such a reasoning mechanism as a novel supplement to e-business strategy formulation exercises. This new approach proposes the utilization of the fuzzy causal characteristics of Fuzzy Cognitive Maps (FCMs) as the underlying methodology in order to generate a hierarchical and dynamic network of interconnected maturity indicators. By using FCMs, this research aims at simulating complex strategic models with imprecise relationships while quantifying the impact of strategic changes to the overall e-business efficiency. This research establishes generic adaptive domains – maps in order to implement the integration of hierarchical FCMs into e-business strategy formulation activities. Finally, this paper discusses experiments with the proposed mechanism and comments on its usability.

Multivariate Statistical Process Control Charts: An Overview

Abstract: In this paper we discuss the basic procedures for the implementation of multivariate statistical process control via control charting. Furthermore, we review multivariate extensions for all kinds of univariate control charts, such as multivariate Shewhart-type control charts, multivariate CUSUM control charts and multivariate EWMA control charts. In addition, we review unique procedures for the construction of multivariate control charts, based on multivariate statistical techniques such as principal components analysis (PCA) and partial lest squares (PLS). Finally, we describe the most significant methods for the interpretation of an out-of-control signal.

Network Security: Current Status and Future Directions

Abstract: Preface. Contributors. 1. Computer Network Security: Basic Background and Current Issues (Panayiotis Kotzanikolaou and Christos Douligeris). 1.1 Some Terminology on Network Security. 1.2 ISO/OSI Reference Model for Networks. 1.3 Network Security Attacks. 1.4 Mechanisms and Controls for Network Security: Book Overview and Structure. References. Part One Internet Security. 2. Secure Routing (Ioannis Avramopoulos, Hisashi Kobayashi, Arvind Krishnamurthy, and Randy Wang). 2.1 Introduction. 2.2 Networking Technologies. 2.3 Attacks in Networks. 2.4 State of the Art. 2.5 Conclusion and Research Issues. References. 3. Designing Firewalls: A Survey (Angelos D. Keromytis and Vassilis Prevelakis). 3.1 Introduction. 3.2 Firewall Classifi cation. 3.3 Firewall Deployment: Management. 3.4 Conclusions. References. 4. Security in Virtual Private Networks (Srinivas Sampalli). 4.1 Introduction. 4.2 VPN Overview. 4.3 VPN Benefi ts. 4.4 VPN Terminology. 4.5 VPN Taxonomy. 4.6 IPSec. 4.7 Current Research on VPNs. 4.8 Conclusions. References. 5. IP Security (IPSec) (Anirban Chakrabarti and Manimaran Govindarasu). 5.1 Introduction. 5.2 IPSec Architecture and Components. 5.3 Benefi ts and Applications of IPSec. 5.4 Conclusions. References. 6. IDS for Networks (John C. McEachen and John M. Zachary). 6.1 Introduction. 6.2 Background. 6.3 Modern NIDSs. 6.4 Research and Trends. 6.5 Conclusions. References. 7. Intrusion Detection Versus Intrusion Protection (Luis Sousa Cardoso). 7.1 Introduction. 7.2 Detection Versus Prevention. 7.3 Intrusion Prevention Systems: The Next Step in Evolution of IDS. 7.4 Architecture Matters. 7.5 IPS Deployment. 7.6 IPS Advantages. 7.7 IPS Requirements: What to Look For. 7.8 Conclusions. References. 8. Denial-of-Service Attacks (Aikaterini Mitrokotsa and Christos Douligeris). 8.1 Introduction. 8.2 DoS Attacks. 8.3 DDoS Attacks. 8.4 DDoS Defense Mechanisms. 8.5 Conclusions. References. 9. Secure Architectures with Active Networks (Srinivas Sampalli, Yaser Haggag, and Christian Labonte). 9.1 Introduction. 9.2 Active Networks. 9.3 SAVE Test bed. 9.4 Adaptive VPN Architecture with Active Networks. 9.5 (SAM) Architecture. 9.6 Conclusions. References. Part Two Secure Services. 10. Security in E-Services and Applications (Manish Mehta, Sachin Singh, and Yugyung Lee). 10.1 Introduction. 10.2 What Is an E-Service? 10.3 Security Requirements for EServices and Applications. 10.4 Security for Future EServices. References. 11. Security in Web Services (Christos Douligeris and George P. Ninios). 11.1 Introduction. 11.2 Web Services Technologies and Standards. 11.3 Web Services Security Standard. 11.4 Conclusions. References. 12. Secure Multicasting (Constantinos Boukouvalas and Anthony G. Petropoulos). 12.1 Introduction 205 12.2 IP Multicast. 12.3 Application Security Requirements. 12.4 Multicast Security Issues. 12.5 Data Authentication. 12.6 Source Authentication Schemes. 12.7 Group Key Management. 12.8 Group Management and Secure Multicast Routing. 12.9 Secure IP Multicast Architectures. 12.10 Secure IP Multicast Standardization Efforts. 12.11 Conclusions. References. 13. Voice Over IP Security (Son Vuong and Kapil Kumar Singh). 13.1 Introduction. 13.2 Security Issues in VoIP. 13.3 Vulnerability Testing. 13.4 Intrusion Detection Systems. 13.5 Conclusions. References. 14. Grid Security (Kyriakos Stefanidis, Artemios G. Voyiatzis, and Dimitrios N. Serpanos). 14.1 Introduction. 14.2 Security Challenges for Grids. 14.3 Grid Security Infrastructure. 14.4 Grid Computing Environments. 14.5 Grid Network Security. 14.6 Conclusions and Future Directions. References. 15. Mobile Agent Security (Panayiotis Kotzanikolaou, Christos Douligeris, Rosa Mavropodi, and Vassilios Chrissikopoulos). 15.1 Introduction. 15.2 Taxonomy of Solutions. 15.3 Security Mechanisms for Mobile Agent Systems. References Part Three Mobile and Security. 16. Mobile Terminal Security (Olivier Benoit, Nora Dabbous, Laurent Gauteron, Pierre Girard, Helena Handschuh, David Naccache, Stephane Socie, and Claire Whelan). 16.1 Introduction. 16.2 WLAN and WPAN Security. 16.3 GSM and 3GPP Security. 16.4 Mobile Platform Layer Security. 16.5 Hardware Attacks on Mobile Equipment. 16.6 Conclusion. References. 17. IEEE 802.11 Security (Daniel L. Lough, David J. Robinson, and Ian G. Schneller). 17.1 Introduction. 17.2 Introduction to IEEE 802.11. 17.3 Wired Equivalent Privacy. 17.4 Additional IEEE 802.11 Security Techniques. 17.5 Wireless Intrusion Detection Systems. 17.6 Practical IEEE 802.11 Security Measures. 17.7 Conclusions. References. 18. Bluetooth Security (Christian Gehrmann). 18.1 Introduction. 18.2 Bluetooth Wireless Technology. 18.3 Security Architecture. 18.4 Security Weaknesses and Countermeasures. 18.5 Bluetooth Security: What Comes Next? References. 19. Mobile Telecom Networks (Christos Xenakis and Lazaros Merakos). 19.1 Introduction. 19.2 Architectures Network. 19.3 Security Architectures. 19.4 Research Issues. 19.5 Conclusions. References. 20. Security in Mobile Ad HocNetworks (Mike Burmester, Panayiotis Kotznanikolaou, and Christos Douligeris). 20.1 Introduction. 20.2 Routing Protocols. 20.3 Security Vulnerabilities. 20.4 Preventing Attacks in MANETs. 20.5 Trust in MANETs. 20.6 Establishing Secure Routes in a MANET. 20.7 Cryptographic Tools for MANETs. References. 21. Wireless Sensor Networks (Artemios G. Voyiatzis and Dimitrios N. Serpanos). 21.1 Introduction. 21.2 Sensor Devices. 21.3 Sensor Network Security. 21.4 Future Directions. 21.5 Conclusions. References. 22. Trust (Lidong Chen). 22.1 Introduction. 22.2 What Is a trust Model? 22.3 How Trust Models Work? 22.4 Where Trust Can Go Wrong? 22.5 Why Is It Diffi cult to Defi ne Trust? 22.6 Which Lessons Have We Learned? References. Part Four Trust, Anonymity, and Privacy. 23. PKI Systems (Nikos Komninos). 23.1 Introduction. 23.2 Origins of Cryptography. 23.3 Overview of PKI Systems. 23.4 Components of PKI Systems. 23.5 Procedures of PKI Systems. 23.6 Current and Future Aspects of PKI Systems. 23.7 Conclusions. References. 24. Privacy in Electronic Communications (Alf Zugenmaier and Joris Claessens). 24.1 Introduction. 24.2 Protection from Third Party: Confidentiality. 24.3 Protection from Communication Partner. 24.4 Invasions of Electronic Private Sphere. 24.5 Balancing Privacy with Other Needs. 24.6 Structure of Privacy. 24.7 Conclusion and Future Trends. References. 25. Securing Digital Content (Magda M. Mourad and Ahmed N. Tantawy). 25.1 Introduction. 25.2 Securing Digital Content: Need and Challenges. 25.3 Content Protection Techniques. 25.4 Illustrative Application: EPublishing of E-Learning Content. 25.5 Concluding Remarks. References. Appendix A. Cryptography Primer: Introduction to Cryptographic Principles and Algorithms (Panayiotis Kotzanikolaou and Christos Douligeris). A.1 Introduction. A.2 Cryptographic Primitives. A.3 Symmetric-Key Cryptography. A.4 Asymmetric-Key Cryptography. A.5 Key Management. A.6. Conclusions and Other Fields of Cryptography. References. Appendix B. Network Security: Overview of Current Legal and Policy Issues (Andreas Mitrakas). B.1 Introduction. B.2 Network Security as a Legal Requirement. B.3 Network Security Policy Overview. B.4 Legal Aspects of Network Security. B.5 Self-Regulatory Security Frameworks. B.6 Conclusions. References. Appendix C. Standards in Network Security (Despina Polemi and Panagiotis Sklavos). C.1 Introduction. C.2 Virtual Private Networks: Internet Protocol Security (IPSec). C.3 Multicast Security (MSEC). C.4 Transport Layer Security (TLS). C.5 Routing Security. C.6 ATM Networks Security. C.7 Third-Generation (3G) Mobile Networks. C.8 Wireless LAN (802.11) Security. C.9 E-Mail Security. C.10 Public-Key Infrastructure (X.509). Index. About the Editors and Authors.

Intrusion Detection with Neural Networks and Watermarking Techniques for MANET

Abstract: In mobile ad hoc networks (MANET) specific Intrusion Detection Systems (IDSs) are needed to safeguard them since traditional intrusion prevention techniques are not sufficient in the protection of MANET. In this paper we present an intrusion detection engine based on neural networks combined with a protection method, which is based on watermarking techniques. We exploit the advantages of information visualization and machine learning techniques in order to achieve intrusion detection. Then, we authenticate the maps produced by the application of the intelligent techniques using a novel combined watermarking embedded method. The performance of the proposed model is evaluated under different traffic conditions, mobility patterns and visualization metrics, showing its high efficiency.

Efficient algorithms for distortion and blocking techniques in association rule hiding

Abstract: Data mining provides the opportunity to extract useful information from large databases. Various techniques have been proposed in this context in order to extract this information in the most efficient way. However, efficiency is not our only concern in this study. The security and privacy issues over the extracted knowledge must be seriously considered as well. By taking this into consideration, we study the procedure of hiding sensitive association rules in binary data sets by blocking some data values and we present an algorithm for solving this problem. We also provide a fuzzification of the support and the confidence of an association rule in order to accommodate for the existence of blocked/unknown values. In addition, we quantitatively compare the proposed algorithm with other already published algorithms by running experiments on binary data sets, and we also qualitatively compare the efficiency of the proposed algorithm in hiding association rules. We utilize the notion of border rules, by putting weights in each rule, and we use effective data structures for the representation of the rules so as (a) to minimize the side effects created by the hiding process and (b) to speed up the selection of the victim transactions. Finally, we study the overall security of the modified database, using the C4.5 decision tree algorithm of the WEKA data mining tool, and we discuss the advantages and the limitations of blocking.