A test of the Modigliani-Miller theorem, dividend policy and algorithmic arbitrage in experimental asset markets

in Journal of Banking and Finance (in press)

Modigliani and Miller showed the market value of the company is independent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally ... [more ▼]

Modigliani and Miller showed the market value of the company is independent of its capital structure, and suggested that dividend policy makes no difference to this law of one price. We experimentally test the Modigliani-Miller theorem in a complete market with two simultaneously traded assets, employing two experimental treatment variations. The first variation involves the dividend stream. According to this variation the dividend payment order is either identical or independent. The second variation involves the market participation, or not, of an algorithmic arbitrageur. We find that Modigliani-Miller’s law of one price can be supported on average with or without an arbitrageur when dividends are identical. The law of one price breaks down when dividend payment order is independent unless there is arbitrageur participation. [less ▲]

Clinical relevance of attentional biases in pediatric chronic pain: an eye-tracking study

in Pain (in press)

Attentional biases have been posited as one of the key mechanisms underlying the development and maintenance of chronic pain and co-occurring internalizing mental health symptoms. Despite this theoretical ... [more ▼]

Attentional biases have been posited as one of the key mechanisms underlying the development and maintenance of chronic pain and co-occurring internalizing mental health symptoms. Despite this theoretical prominence, a comprehensive understanding of the nature of biased attentional processing in chronic pain and its relationship to theorized antecedents and clinical outcomes is lacking, particularly in youth. This study used eye-tracking to assess attentional bias for painful facial expressions and its relationship to theorized antecedents of chronic pain and clinical outcomes. Youth with chronic pain (n = 125) and without chronic pain (n = 52) viewed face images of varying levels of pain expressiveness while their eye gaze was tracked and recorded. At baseline, youth completed questionnaires to assess pain characteristics, theorized antecedents (pain catastrophizing, fear of pain, and anxiety sensitivity), and clinical outcomes (pain intensity, interference, anxiety, depression, and posttraumatic stress). For youth with chronic pain, clinical outcomes were reassessed at 3 months to assess for relationships with attentional bias while controlling for baseline symptoms. In both groups, youth exhibited an attentional bias for painful facial expressions. For youth with chronic pain, attentional bias was not significantly associated with theorized antecedents or clinical outcomes at baseline or 3-month follow-up. These findings call into question the posited relationships between attentional bias and clinical outcomes. Additional studies using more comprehensive and contextual paradigms for the assessment of attentional bias are required to clarify the ways in which such biases may manifest and relate to clinical outcomes. [less ▲]

Economic insecurity and political preferences

in Oxford Economic Papers (in press)

Economic insecurity has attracted growing attention, but there is no consensus as to its definition. We characterize a class of individual economic-insecurity measures based on the time profile of ... [more ▼]

Economic insecurity has attracted growing attention, but there is no consensus as to its definition. We characterize a class of individual economic-insecurity measures based on the time profile of economic resources. We apply this economic-insecurity measure to political-preference data in the USA, UK, and Germany. Conditional on current economic resources, economic insecurity is associated with both greater political participation (support for a party or the intention to vote) and more support for conservative parties. In particular, economic insecurity predicts greater support for both Donald Trump before the 2016 US Presidential election and the UK leaving the European Union in the 2016 Brexit referendum. [less ▲]

Black-Box Testing of Deep Neural Networks through Test Case Diversity

in IEEE Transactions on Software Engineering (in press)

Deep Neural Networks (DNNs) have been extensively used in many areas including image processing, medical diagnostics and autonomous driving. However, DNNs can exhibit erroneous behaviours that may lead to ... [more ▼]

Deep Neural Networks (DNNs) have been extensively used in many areas including image processing, medical diagnostics and autonomous driving. However, DNNs can exhibit erroneous behaviours that may lead to critical errors, especially when used in safety-critical systems. Inspired by testing techniques for traditional software systems, researchers have proposed neuron coverage criteria, as an analogy to source code coverage, to guide the testing of DNNs. Despite very active research on DNN coverage, several recent studies have questioned the usefulness of such criteria in guiding DNN testing. Further, from a practical standpoint, these criteria are white-box as they require access to the internals or training data of DNNs, which is often not feasible or convenient. Measuring such coverage requires executing DNNs with candidate inputs to guide testing, which is not an option in many practical contexts. In this paper, we investigate diversity metrics as an alternative to white-box coverage criteria. For the previously mentioned reasons, we require such metrics to be black-box and not rely on the execution and outputs of DNNs under test. To this end, we first select and adapt three diversity metrics and study, in a controlled manner, their capacity to measure actual diversity in input sets. We then analyze their statistical association with fault detection using four datasets and five DNNs. We further compare diversity with state-of-the-art white-box coverage criteria. As a mechanism to enable such analysis, we also propose a novel way to estimate fault detection in DNNs. Our experiments show that relying on the diversity of image features embedded in test input sets is a more reliable indicator than coverage criteria to effectively guide DNN testing. Indeed, we found that one of our selected black-box diversity metrics far outperforms existing coverage criteria in terms of fault-revealing capability and computational time. Results also confirm the suspicions that state-of-the-art coverage criteria are not adequate to guide the construction of test input sets to detect as many faults as possible using natural inputs. [less ▲]

Wie passt sich die Schreibberaterin an den mehrsprachigen Kontext an? Eine konversationsanalytische und sprachlich-funktionale Analyse von Textfeedbackgesprächen mit DaF/DaZ-Studierenden

in Wetschanow, Karin; Kuntschner, Eva; Unterpertinger, Erika (Eds.) et al Neue Perspektiven auf die Schreibberatung (in press)

Trace Diagnostics for Signal-based Temporal Properties

in IEEE Transactions on Software Engineering (in press)

Trace checking is a verification technique widely used in Cyber-physical system (CPS) development, to verify whether execution traces satisfy or violate properties expressing system requirements. Often ... [more ▼]

Trace checking is a verification technique widely used in Cyber-physical system (CPS) development, to verify whether execution traces satisfy or violate properties expressing system requirements. Often these properties characterize complex signal behaviors and are defined using domain-specific languages, such as SB-TemPsy-DSL, a pattern-based specification language for signal-based temporal properties. Most of the trace-checking tools only yield a Boolean verdict. However, when a property is violated by a trace, engineers usually inspect the trace to understand the cause of the violation; such manual diagnostic is time-consuming and error-prone. Existing approaches that complement trace-checking tools with diagnostic capabilities either produce low-level explanations that are hardly comprehensible by engineers or do not support complex signal-based temporal properties. In this paper, we propose TD-SB-TemPsy, a trace-diagnostic approach for properties expressed using SB-TemPsy-DSL. Given a property and a trace that violates the property, TD-SB-TemPsy determines the root cause of the property violation. TD-SB-TemPsy relies on the concepts of violation cause, which characterizes one of the behaviors of the system that may lead to a property violation, and diagnoses, which are associated with violation causes and provide additional information to help engineers understand the violation cause. As part of TD-SB-TemPsy, we propose a language-agnostic methodology to define violation causes and diagnoses. In our context, its application resulted in a catalog of 34 violation causes, each associated with one diagnosis, tailored to properties expressed in SB-TemPsy-DSL. We assessed the applicability of TD-SB-TemPsy on two datasets, including one based on a complex industrial case study. The results show that TD-SB-TemPsy could finish within a timeout of 1 min for ≈ 83.66% of the trace-property combinations in the industrial dataset, yielding a diagnosis in ≈ 99.84% of these cases; moreover, it also yielded a diagnosis for all the trace-property combinations in the other dataset. These results suggest that our tool is applicable and efficient in most cases. [less ▲]

Metamorphic Testing for Web System Security

in IEEE Transactions on Software Engineering (in press)

Security testing aims at verifying that the software meets its security properties. In modern Web systems, however, this often entails the verification of the outputs generated when exercising the system ... [more ▼]

Security testing aims at verifying that the software meets its security properties. In modern Web systems, however, this often entails the verification of the outputs generated when exercising the system with a very large set of inputs. Full automation is thus required to lower costs and increase the effectiveness of security testing. Unfortunately, to achieve such automation, in addition to strategies for automatically deriving test inputs, we need to address the oracle problem, which refers to the challenge, given an input for a system, of distinguishing correct from incorrect behavior (e.g., the response to be received after a specific HTTP GET request). In this paper, we propose Metamorphic Security Testing for Web-interactions (MST-wi), a metamorphic testing approach that integrates test input generation strategies inspired by mutational fuzzing and alleviates the oracle problem in security testing. It enables engineers to specify metamorphic relations (MRs) that capture many security properties of Web systems. To facilitate the specification of such MRs, we provide a domain-specific language accompanied by an Eclipse editor. MST-wi automatically collects the input data and transforms the MRs into executable Java code to automatically perform security testing. It automatically tests Web systems to detect vulnerabilities based on the relations and collected data. We provide a catalog of 76 system-agnostic MRs to automate security testing in Web systems. It covers 39% of the OWASP security testing activities not automated by state-of-the-art techniques; further, our MRs can automatically discover 102 different types of vulnerabilities, which correspond to 45% of the vulnerabilities due to violations of security design principles according to the MITRE CWE database. We also define guidelines that enable test engineers to improve the testability of the system under test with respect to our approach. We evaluated MST-wi effectiveness and scalability with two well-known Web systems (i.e., Jenkins and Joomla). It automatically detected 85% of their vulnerabilities and showed a high specificity (99.81% of the generated inputs do not lead to a false positive); our findings include a new security vulnerability detected in Jenkins. Finally, our results demonstrate that the approach scale, thus enabling automated security testing overnight. [less ▲]

Simulator-based explanation and debugging of hazard-triggering events in DNN-based safety-critical systems

in ACM Transactions on Software Engineering and Methodology (in press)

When Deep Neural Networks (DNNs) are used in safety-critical systems, engineers should determine the safety risks associated with failures (i.e., erroneous outputs) observed during testing. For DNNs ... [more ▼]

When Deep Neural Networks (DNNs) are used in safety-critical systems, engineers should determine the safety risks associated with failures (i.e., erroneous outputs) observed during testing. For DNNs processing images, engineers visually inspect all failure-inducing images to determine common characteristics among them. Such characteristics correspond to hazard-triggering events (e.g., low illumination) that are essential inputs for safety analysis. Though informative, such activity is expensive and error-prone. To support such safety analysis practices, we propose SEDE, a technique that generates readable descriptions for commonalities in failure-inducing, real-world images and improves the DNN through effective retraining. SEDE leverages the availability of simulators, which are commonly used for cyber-physical systems. It relies on genetic algorithms to drive simulators towards the generation of images that are similar to failure-inducing, real-world images in the test set; it then employs rule learning algorithms to derive expressions that capture commonalities in terms of simulator parameter values. The derived expressions are then used to generate additional images to retrain and improve the DNN. With DNNs performing in-car sensing tasks, SEDE successfully characterized hazard-triggering events leading to a DNN accuracy drop. Also, SEDE enabled retraining leading to significant improvements in DNN accuracy, up to 18 percentage points. [less ▲]

»Comic«

in Bay, Hansjörg; Hamann, Christof; Osthues, Julian (Eds.) et al Handbuch Literatur und Reise (in press)

Cultural Border Studies

in Nesselhauf, Jonas; Weber, Florian (Eds.) Handbuch Kulturwissenschaftliche Studies (in press)