Genetic Algorithm Search for Predictive Patterns in Multidimensional Time Series
|
|
- Rosanna Goodwin
- 8 years ago
- Views:
Transcription
1 Geneic Algorihm Search for Predicive Paerns in Mulidimensional Time Series Arnold Polanski School of Managemen and Economics Queen s Universiy of Belfas 25 Universiy Square Belfas BT7 1NN, Unied Kingdom a.polanski@qub.ac.uk Based on an algorihm for paern maching in characer srings, a paern maching machine is implemened ha searches for occurrences of paerns in mulidimensional ime series. Before he search process akes place, ime series daa is encoded in user-designed alphabes. The paerns, on he oher hand, are formulaed as regular expressions ha are composed of leers from hese alphabes and operaors. Furhermore, a geneic algorihm is developed o breed paerns ha maximize a userdefined finess funcion. In an applicaion o financial daa, i is shown ha paerns bred o predic high exchange raes volailiy in raining samples reain saisically significan predicive power in validaion samples. 1. Inroducion This work is a conribuion o he rapidly developing research area of daa mining, a hos of mehods ha aim a revealing hidden relaionships and regulariies in large ses of daa. Of paricular imporance is he class of daa mining problems concerned wih discovering frequenly occurring paerns in sequenial daa. We propose a versaile nonparameric echnique for represening mulidimensional daa by encoding i in alphabes ha are defined by an analys user. The encoded daa is explored by means of paerns, which are composed of operaors and leers from hese alphabes. Since paerns are regular expressions, hey can be auomaically manipulaed, combined, and evaluaed. These operaions lie a he hear of our geneic algorihm (GA), which evolves paerns in order o breed ever beer descripors and predicors of he daa. A concise and flexible paern descripion language is, herefore, a powerful ool for daa mining ha serves wo purposes: on he one hand, as a language in which heories concerned wih he underlying daa generaing process are formulaed and esed and, on he oher, as a forecasing insrumen. The presen approach shows is special srengh when dealing wih mulidimensional daa ha can be analyzed under muliple crieria and/or characerized by several indicaors. Usually, each crierion (indicaor) forms he base of an alphabe. Preprocessing he daa by encoding i in alphabes ensures ha he search for paerns unfolds efficienly. This is manifesly Complex a Sysems, precondiion for Complex a viable Sysems GA Publicaions, applicaion when he algorihm evaluaes paerns based on heir maches. Inc. Furhermore, he possibiliy o design daa-specific alphabes makes
2 The presen approach shows is special srengh when dealing wih mulidimensional 196 daa ha can be analyzed under muliple A. crieria Polanski and/or characerized by several indicaors. Usually, each crierion (indicaor) forms he base of an alphabe. Preprocessing he daa by encoding i in alphabes ensures ha he search for paerns unfolds efficienly. This is manifesly a precondiion for a viable GA applicaion when he algorihm evaluaes paerns based on heir maches. Furhermore, he possibiliy o design daa-specific alphabes makes he mehod applicable no only o highly diverse record ses bu also allows each researcher o analyze he (same) daa wih an idiosyncraic language. We sress here an imporan deparure from he more radiional echniques of forecasing complex sysems. Many mehods, like kernel regression, neural neworks, or reinforcemen learning (see [1] for recen developmens), esimae he fuure oupu of a sysem as a funcion of a fixed number of pas observaions. In conras, he presen approach does no resric he relevan pas o ime windows of fixed lenghs. I is only imporan ha he pas sae of he sysem and he sysem s response o ha sae frequenly generae measurable oucomes wih some, ypically ex ane unknown, characerisics. These characerisics are encapsulaed as paerns in a suiable language and searched for in he encoded ime series. The analysis and forecasing of mulidimensional daa is a he cener of research in, for example, finance, elecrical engineering, heoreical physics, and he compuer sciences. Various mahemaical mehods have been proposed for he descripion and analysis of inerdependencies in mulivariae ime series. An ineresed reader can find a recen overview of hese mehods (including Granger causaliy, direced ransfer funcions, and parial direced coherence) in [2]. In his work we are ineresed in an ex ane unknown ype of mulidimensional relaionship wih possibly changing ime frames; as such, a less srucured mehodology is required. As a well esablished and versaile search heurisic, GAs seem o be a promising approach for generaing paern descripors wih predicive power. Alhough mahemaical foundaions and properies of GAs are far from being seled, here is some evidence ha GAs migh become a generic ool for universal compuaion. For example, he work by Sapin e al. [3, 4] suggess ha GAs have he poenial o idenify cellular auomaa ha suppor universal compuaion. This paper is organized as follows: in Secion 2, we describe he encoding process for mulidimensional ime series and define paerns. The GA for paern evoluion is presened in Secion 3. In Secion 4, some relaed approaches are discussed. Secion 5 conains an applicaion o financial ime series daa and Secion 6 concludes. 2. Time Series, Texs, and Paerns Based on an algorihm for paern maching in characer srings [5], we implemen a deerminisic paern maching machine ha searches for occurrences of paerns in mulidimensional ime series x Ix 1,, x N M, where x i Ix i 1,, x i T M is a vecor of T observaions. Before he search process akes place, he ime series daa is encoded as srings of leers from user-defined alphabes. Alphabes are ses composed of mahemaical expressions (condiions) ha yield he Boolean value rue or false when evaluaed wih respec o x. For ex-
3 Based on an algorihm for paern maching in characer srings [5], we Geneic implemen Algorihm Search a deerminisic for Predicive Paerns paern maching machine ha 197 searches for occurrences of paerns in mulidimensional ime series x Ix 1,, x N M, where x i Ix i 1,, x i T M is a vecor of T observaions. Before he search process akes place, he ime series daa is encoded as srings of leers from user-defined alphabes. Alphabes are ses composed of mahemaical expressions (condiions) ha yield he Boolean value rue or false when evaluaed wih respec o x. For example, he condiion x i > xi -1 reurns rue (false) a all daes a which he i h ime series increases (weakly decreases). A sequence of condiions is called an alphabe if exacly one of hem is rue in each period. Hence, 9x 3 > x 3-1, x 3 x 3-1 = is an example of an alphabe wih wo muually exclusive condiionsleers. Given a mulidimensional ime series x and a se of alphabes 9A 1,, A K =, he following algorihm generaes a T äk dimensional ex a Ia k M : for each dae 1,, T for each alphabe k 1,, K a k he ordinal of a condiion in A k ha evaluaes rue wih regard o x a. Each column a k in he ex a represens he informaion in x ha is encoded hrough A k. A generic elemen a k is an ineger beween one and he number of condiions-leers in he alphabe A k. We consider, herefore, he marix a as a mulidimensional ex recorded in naural numbers. Noe ha he number of ime series N in x and he number of alphabes K will usually differ. The diagram in Figure 1 illusraes he encoding of a fragmen of five observaions from a mulidimensional ime series x Ix 1,, x 4 M according o wo alphabes 9A 1, A 2 = wih he resuling bidimensional ex a Ia 1, a 2 M for 1,, 5. The choice of alphabes is enrused o he experise of he end user of he sysem. Generally, he leers in he alphabes will es condiions on cerain indicaors ha are deemed relevan for he subjec under sudy. The laer indicaors may be derived from economic variables in early warning sysems for he predicion of financial crises [6, 7], from specific proein informaion in cancer deecion sysems [8, 9], or from echnical rading rules [10 13]. The almos unresriced freedom in he specificaion of alphabes is a he same ime a srengh and a weakness of he presen approach. On he one hand, is inheren flexibiliy allows for immediae and fine-uned applicaion o many research areas bu, on he oher, i burdens he researcher wih a edious and ulimaely open quesion of finding opimal alphabes. In Secion 5, we illusrae he ypes of alphabes ha can be used for encoding financial daa.
4 198 A. Polanski Figure 1. The encoding of a ime series ha includes daes. The ime series x 1 conains he daes hrough ha correspond o weekdays 1 hrough 5 (Monday hrough Friday). Given a se of alphabes, a succinc descripion of a relevan aspec of he underlying daa is expressed as a paern. The laer is defined as a regular expression ha is composed of leers, operaors, and parenheses. A leer is represened by a pair [condiion-leer number : alphabe] enclosed in square brackes. For : 1D sands for he second condiion-leer from he firs alphabe. We consider he hree fundamenal operaors concaenaion, or, and and. Concaenaion, as used, for insance, in he : : 2D where he second leer from he firs alphabe is followed by he hird leer from he second alphabe. Since he ex a consiss of naural numbers and a k i is inerpreed as he i h leer of he k h alphabe a posiion, his paern maches fragmens of a, saring a, such ha a 1 2 and a2 3. Or (+) beween wo subpaerns P 1 and P 2 implies ha here is a mach if and only if eiher P 1 or P 2 (or boh) occurs. For example, he : : 1D : : 2D describes fragmens of he ex a, where a 1 3 is followed by a1 5 or where a 2 a2 4.
5 Geneic Algorihm Search for Predicive Paerns 199 And (*) beween wo subpaerns P 1 and P 2 implies ha here is a mach if and only if boh P 1 and P 2 occur simulaneously. The : 1D : : 2D deecs, herefore, fragmens of a such ha a 1 3 and a 2 4, a2 6. Finally, parenheses induce he desired order of operaors in he usual way: H@3 : 1D : 1DL : 2D ª Ia 1 3 or a 1 4M and a 2 : 1D + H@4 : 1D : 2DL ª a 1 3 or Ia 1 4 and a 2 5M. A paern ha complies wih he synacic rules can be searched for in he encoded ex. The following algorihm searches for maches of he paern p in he ex a beween daes T 1 and T 2 (i.e., in all rows of a beween and including a T1 and a T2 ): se T 1 ; while T 2 repea 8 if a mach of lengh k sars a dae hen record H, + k - 1L in he se M p HT 1, T 2 L; se + 1; <. The oucome of he algorihm is exemplified in Figure 2, where he fragmens of he ex a ha are mached by he paern specificaion : 1D * H@2 : 2D : : 3DL are enclosed in recangles (he firs recangle : 1D : 2D while he second : 1D * H@4 : : 3DL). Figure 2. Fragmens of he ex a ha are mached by he paern p. The maching algorihm iself is based on he implemenaion of he deerminisic finie sae auomaon in [5] wih imporan modificaions o accoun for mulidimensional exs and operaors. Afer running he maching program, he se M p HT 1, T 2 L conains pairs H s, e L wih he sar and end daes of maches. If wo or more maches sar on he same dae, he mach wih he minimum lengh is recorded. If wo or more maches end a he same ime, only one of hem is kep in M p HT 1, T 2 L.
6 The maching algorihm iself is based on he implemenaion of 200he deerminisic finie sae auomaon in [5] wih imporan A. Polanski modificaions o accoun for mulidimensional exs and operaors. Afer running he maching program, he se M p HT 1, T 2 L conains pairs H s, e L wih he sar and end daes of maches. If wo or more maches sar on he same dae, he mach wih he minimum lengh is recorded. If wo or more maches end a he same ime, only one of hem is kep in M p HT 1, T 2 L. The elemens of M p HT 1, T 2 L will be ypically used as signals of somehing, say, a financial crisis, a share price increase, or a issue developing cancer. In order o evaluae he predicive power of paerns, he user mus define a finess funcion ha maps he se of maches ino real numbers. For example, if he vecor x 1 conains sock prices a consecuive decision imes (i.e., days or hours), hen he funcion x1 Hs, e LœM p HT 1,T 2 L ln e +1 x1 e compues he accumulaed profi ha is made when he sock is bough, whenever a mach ends in he decision period. This funcion aains high values for paerns ha consisenly signal rising sock prices afer mach occurrences. I can be inerpreed, herefore, as a measure of finess for paerns ha ac as buy signals. An ineresing poin o noe is ha he paerns are searched for in he encoded ex a, while he evaluaion of he paern finess involves he original ime series x. Besides he use as a forecasing insrumen, he presen approach may be applied as a language, in which quaniaive heories are formulaed. Suppose, for insance, ha a researcher conjecures ha a variable x 1 under sudy exceeds a desired level x 1 if eiher he variable x 2 assumes values below x 2 or he variable x 3 assumes values above x 3. Then, afer encoding x Ix 1, x 2, x 3 M in hree alphabes, A k 9x k x k, x k > x k =, k 1,.., 3, for some hresholds x k, he laer heory can be phrased in erms of he : 1D * H@1 : 2D : 3DL and mached wih he daa. In Secion 3 we develop a GA for paern evoluion. The aim of he GA is o creae a populaion of paerns ha are opimized wih respec o a finess funcion over a raining se. Obviously, paerns bred in raining samples will be reliable predicors only if hey reain heir predicive power in evaluaion samples.
7 Geneic Algorihm Search for Predicive Paerns Geneic Algorihm A GA is a search echnique for finding approximae soluions o opimizaion and search problems. GAs are ypically implemened as a compuer simulaion in which a populaion of absrac represenaions (chromosomes) of candidae soluions o an opimizaion problem evolves oward beer soluions. The presen GA evolves paerns, ha is, regular expressions ha use he building blocks of leers, parenheses, and operaors. By combining and modifying he bes performing paren paerns, new generaions of offspring wih increasing average finess are creaed. The presen GA uses he hree basic operaions of crossover, muaion, and selecion. Crossover (xover) exracs fragmens from wo paren paerns and combines hem by means of fundamenal operaors ino a valid offspring paern as illusraed in he following example: H@1 : 1D : 2DL@2 : 3D : : 2D : 1D Ø H@1 : 1D : 2DL : 1D. In his example, a combinaion of H@1 : 1D : 2DL : 1D is inheried by he offspring, : 3D : : 2D vanish. Muaion changes a par of he paern o a subpaern ha maches a fragmen randomly drawn from he encoded ex a. In he nex example, he expression in parenheses undergoes a muaion o he : 2D : 3D ha maches a 2 1, a 3 3, a randomly rerieved fragmen of : : 1D H@1 : 1D : 2DL Ø : : 1D H@1 : 2D : 3DL. Selecion picks ou he bes-performing paerns (wih respec o he user-defined finess funcion). Noe ha he resul of he breeding process is a regular expression ha complies wih he synacic rules for paerns. The srucure of he main loop of he GA is depiced in Figure 3.
8 202 A. Polanski Figure 3. The srucure of he main loop of he paern breeding GA. 4. Relaed Lieraure Faced wih abundan lieraure on daa mining, we focus on hree closely relaed papers in order o emphasize he main deparures of he presen work from he exising approaches. Szpiro [13] implemens a GA ha permis he discovery of equaions of he daa-generaing process in symbolic form. His GA uses pars of equaions, consans, and he basic arihmeic operaors o breed ever beer formulas. Apar from furnishing a deeper undersanding of he dynamics of a process, his mehod also permis global predicions and forecass. Unlike his search for a hidden relaionship, our GA does no work on raw daa bu on encoded informaion. This approach allows for including predicors (e.g., adapive moving averages) ha are very unlikely or impossible o be developed by Szpiro s algorihm. Furhermore, his algorihm is resriced o uncovering funcional relaionships whereas ours deecs relevan paerns in daa. Dempser [14] applies a GA o evolve rading rules ha are based on echnical indicaors. Poenial rules are consruced as binary rees in which he erminal nodes are indicaors (e.g., adapive moving averages, relaive srengh index, sochasics, or momenum oscillaors) yielding a Boolean signal a each ime sep, and he nonerminal nodes are he Boolean operaors AND, OR, and XOR. The resul of his procedure is a se of fies rading rules ha recommend a ransacion (buy or sell) in each period. Unlike rading rules, paerns are Complex no Sysems, consrained o Complex emi Sysems a buy/sell Publicaions, signal Inc. a each ime sep. They are more flexible in he sense ha hey can focus exclusively on informaive sequences of observaions. Furhermore, he algorihm in [14]
9 on echnical indicaors. Poenial rules are consruced as binary rees in which he erminal nodes are indicaors (e.g., adapive moving averages, relaive srengh index, sochasics, or momenum oscillaors) yielding Geneic Algorihm a Boolean Search signal for Predicive a each Paerns ime sep, and he nonerminal 203 nodes are he Boolean operaors AND, OR, and XOR. The resul of his procedure is a se of fies rading rules ha recommend a ransacion (buy or sell) in each period. Unlike rading rules, paerns are no consrained o emi a buy/sell signal a each ime sep. They are more flexible in he sense ha hey can focus exclusively on informaive sequences of observaions. Furhermore, he algorihm in [14] (and oher commonly used algorihms for informaion exracion) work wih daa windows of fixed lengh. The GA described in Secion 3 breeds paerns wihou knowing he number of observaions ha hey mach a he ime of he design. Hence, i is able o creae paerns ha are able o deec regulariies which emerge afer specific hisories. In his manner, qualiaively idenical phenomena ha unfold on differen ime scales (fracal paerns) or srech over ime windows of variable lengh can be capured. Finally, Packard [15] develops a GA ha evolves a populaion of condiions, defined on an unidimensional independen variable x, as in he following example: C H20.1 x L Ô H30 x 40.5L Ô Hx +2 30L. Packard s algorihm works on condiions, adjusing consans and operaors in order o obain good predicors for a dependen variable. This approach is similar in spiri o evolving expressions, composed of condiions-leers, as described in Secion 2. Neverheless, an aemp o include elaboraed indicaors ino Packard s condiions leads o inolerable runimes as hey mus be evaluaed during he maching phase for each dae. Furhermore, an obvious exension of Packard s GA o mulidimensional ime series suffers severely from he curse of dimensionaliy. 5. An Applicaion 5.1 Daa and Alphabes As an applicaion, we esed he predicive power of paerns on financial ime series daa. We used he daily exchange raes for several currency pairs. The daa was downloaded from hp:// For each pair and day, he vecor x Ix i M i 1,, 5 conained x 1 dae, x 2 open, x 3 close, x 4 min, x 5 max, ha is, he curren dae and he opening, closing, maximum, and minimum exchange raes during his day. We used 1201 weekday observaions from Augus 25, 2003 hrough April 12, 2008 (hence, x Ix i M had he dimensions 1201ä5). We encoded x according o six alphabes obaining a ex a ha is six-dimensional and 1200 characers long:
10 204 A. Polanski A 1 9x 1 Monday,, x 1 Friday=, A 2 x 3 x3-1 < 0.998, x 3 x3-1 < ,.., A 3 x 3 < , x 3 < 1.001,.., x 3 x4 x4 A 4 x 5 < , x 5 < 1.001,.., x 5 x3 x3 A 5 x 3 < 0.996, < x ,.., x 3 x2 x2 A 6 x 5 < , x 5 < 1.001,.., x 5 x4 x4 x 3 x , x , x , x , x All alphabes excep A 1 were composed of nine condiions-leers and all of hem used only pas and presen informaion in x. In paricular, each row a of he ex was generaed by accessing informaion in x -1 and x only. The requiremen of using only available informaion is, obviously, essenial when we es he predicive power of paerns. 5.2 Paern Evaluaion and he Finess Funcion In order o creae effecive paerns by means of a GA in-sample, and o assess heir predicive power ou-of-sample, a suiable definiion of he finess funcion is crucial. The finess funcion ha we employed was designed o measure he difference beween sample means for wo muually exclusive and collecively exhausive ses: he se of enddaes of maches and is complemen. Specifically, for each paern p ha was mached in he ime 1, T 2 D, we pariioned his window ino wo groups: he subse M of end-daes of p-maches and is complemen NM. In each subse, we compued he sample mean and he sample variance for he nex day log-reurns, x m œm ln x n m œnm ln x3 x2, n m x3 x2 n n m,
11 Geneic Algorihm Search for Predicive Paerns 205 s m 2 œm ln x 3 x2 s2 n m = œnm ln n m - 1 x3 x2 - x m 2 n n m - 1, - x nm 2 where n m M and n n m NM. For hese values, we calculaed he difference-of-means saisic,, reurn x m - x n m, s 2 m ë n m + s2 n m ë n n m and used i as boh he finess funcion for paern breeding in he raining se and as an esimae of predicive power in he validaion se. The finess funcion favored paerns indicaing relaively high expeced reurns for he nex day. Should he evolved paerns reain high finess ou-of-sample, our approach would be a (saisically) effecive forecasing insrumen. We applied he same procedure o define he performance measure range o evaluae paerns wih respec o he nex-day log difference in inraday exreme (min and max) values lnix5 ë x 4 M. Parkinson [16] proposed he difference in exreme values as a proxy for volailiy. We herefore considered paerns evolved wih range as indicaors of high volailiy. 5.3 Geneic Algorihm Afer encoding he daa and defining he finess funcion, we run a number of GA experimens. The main loop of each GA experimen (see Figure 3) evolved a populaion of N 100 paerns, ou of which he elie of K 15 fies survived each round and were seleced o reproduce. Each breeding loop was repeaed imes using a raining window of 800 observaions o compue he finess. Subsequenly, he single bes performing paern of he breeding sage was esed in an ou-of-sample (validaion) window of 400 observaions. We experimened wih differen parameer values for he GA operaors wihou, however, deecing a significan impac on he resuls. Furhermore, in order o avoid overfiing in he raining se, we allowed only paerns wih a leas 10 maches per 100 observaions o survive.
12 206 A. Polanski 5.4 Resuls Table 1 summarizes he resuls of he GA experimen, which were compued as averages over 10 runs. Broadly speaking, Table 1 confirms he well-known sylized facs ha he reurns are no predicable bu he volailiy is (see [17] for a survey). Specifically, given he high numbers of maches in validaion ses (Table 1), we could rely on he cenral limi heorem and assume ha he saisic reurn is sandard normal under he Null of equal means in he subses M and NM of he validaion se. As he hird column in Table 1 shows, he Null could no be rejeced a any reasonable significance level for any currency pair. In oher words, he bes performing paern in he raining se (wih he finess repored in he second column) failed o deec maches in he validaion se ha were followed by significanly higher log reurns for he nex day. On he oher hand, he Null was rejeced a leas a he 1% and, usually, much lower, significance level when esed for he log difference in exreme values wih he range saisic. Only for he pair GBP / USD in he validaion se did we obain he P-value H2.34L º 1%. This is probably due o he relaively small number of maches (45) in his se. The nex larges P-value in he validaion se is of order 10-6 ( range 4.36 for GBP / CHF). The winning paern in he raining se deeced effecively nexday high volailiy also ou-of-sample (he las column in Table 1). Our approach was, herefore, successful a creaing (saisically) reliable predicors of volailiy. Currencies reurn raining reurn validaion range raining range validaion GBP ê EUR 5.23 H220L H107L 7.14 H202L 5.04 H97L GBP ê USD 5.34 H212L 0.31 H132L 7.20 H172L 2.34 H45L GBP ê CHF 5.90 H163L H71L 7.02 H190L 4.36 H92L USD ê EUR 5.66 H188L 0.77 H163L 7.35 H200L 4.72 H89L Table 1. In-sample (raining) and ou-of-sample (validaion) -saisics for one-day-ahead predicion of reurns ln Ix3 ë x 2 M ( reurn ) and volailiy ln Ix5 ë x 4 M ( range ). In parenheses, he number of maches. To compare our procedure wih a sandard echnique of volailiy forecasing, we esed he forecass generaed by he exponenially weighed moving average (EWMA). EWMA is widely used in pracice due o is simpliciy and is repored superioriy over more sophisicaed models [18]. The EWMA specifies he nex period s volailiy v as a weighed average of he curren modeled volailiy v and he curren observed volailiy, here measured by he price range ln Ix 5 ë x 4 M:
13 weighed moving average (EWMA). EWMA is widely used in pracice due o is simpliciy and is repored superioriy over more sophisicaed models [18]. The EWMA specifies he nex period s volailiy vgeneic as Algorihm a weighed Search average for Predicive of he Paerns curren modeled volailiy v and 207 he curren observed volailiy, here measured by he price range ln Ix 5 ë x 4 M: v a v + H1 - al ln x 5 x 4. For he same daa as in he GA experimen, we esimaed he EWMA parameer a in he raining window of 800 observaions by he maximum likelihood mehod and specified he hreshold v of high volailiy. This hreshold was se equal o he hird quarile of he empirical disribuion of observed volailiies in order o creae a similar number of high volailiy days as in he GA experimen, ha is, roughly 1/4 of all observaions in he sample. Using he given specificaions, we pariioned he validaion se of 400 observaions ino wo groups: he subse M of high volailiy forecass, v > v, and is complemen NM. For each subse, we compued he sample mean and he sample variance of observed volailiies lnix5 ë x 4 M and calculaed he difference-of-means saisic. The resuls, repored in Table 2, indicae ha EWMA forecass of high volailiy are saisically significan, alhough (wih he excepion of he GBP / USD pair) he -saisics lie below he values from he GA experimen (Table 1). In his simple example, he parsimony of he EWMA approach may ouweigh is slighly worse performance as compared o he elaborae GA procedure. The laer procedure, however, is designed o deec complicaed mulidimensional relaionships where is full srengh can come o he fore. Currencies range raining range validaion GBP ê EUR 6.27 H202L 4.81 H97L GBP ê USD 5.80 H172L 3.73 H45L GBP ê CHF 5.22 H190L 3.76 H92L USD ê EUR 6.05 H200L 4.28 H89L Table 2. In-sample (raining) and ou-of-sample (validaion) -saisics for one-day-ahead EWMA forecass. The forecass were compued wih he ML esimae à In parenheses, he number of high volailiy days. 6. Conclusions Based on an algorihm for paern maching in characer srings, we implemen a paern-maching machine ha searches for occurrences of specified paerns in mulidimensional ime series. Before he search process akes place, he ime series are encoded as srings of leers from user-defined alphabes. The preprocessing of he raw daa has concepual advanages and also speeds up he maching phase decisively. Since he evaluaion of paerns is based on heir maches, an efficien maching algorihm is essenial for creaing opimal paerns by means of a geneic algorihm (GA). The GA combines paren paerns in order o breed offspring (randomly modified by muaions) ha are ever beer predicors. In an applicaion o financial ime series, we
14 implemen a paern-maching machine ha searches for occurrences of specified paerns in mulidimensional ime series. Before he search process akes place, he ime series are encoded as srings of leers from 208 user-defined alphabes. The preprocessing of he raw A. daa Polanski has concepual advanages and also speeds up he maching phase decisively. Since he evaluaion of paerns is based on heir maches, an efficien maching algorihm is essenial for creaing opimal paerns by means of a geneic algorihm (GA). The GA combines paren paerns in order o breed offspring (randomly modified by muaions) ha are ever beer predicors. In an applicaion o financial ime series, we show ha he presened GA has he poenial o produce paerns wih significan ou-of-sample predicive power. References [1] W. Wobcke and M. Zhang, eds., Advances in Arificial Inelligence: 21s Ausralasian Join Conference on Arificial Inelligence (AI 2008), Auckland, New Zealand, Berlin: Springer-Verlag, [2] R. Dahlhaus, J. Kurhs, P. Maass, and J. Timmer, eds., Mahemaical Mehods in Time Series Analysis and Digial Image Processing, Springer, [3] E. Sapin, O. Bailleux, and J. Chabrier, Research of Complexiy in Cellular Auomaa hrough Evoluionary Algorihms, Complex Sysems, 17(3), 2007 pp [4] E. Sapin and L. Bull, Evoluionary Search for Cellular Auomaa Logic Gaes wih Collision-Based Compuing, Complex Sysems, 17(4), 2008 pp [5] R. Sedgewick, Algorihms, Reading, MA: Addison-Wesley, [6] F. X. Diebold and G. D. Rudebusch, Scoring he Leading Indicaors, Journal of Business, 62(3), 1989 pp [7] G. Kaminsky, S. Lizondo, and C. Reinhar, Leading Indicaors of Currency Crises, IMF Saff Papers, 45(1), 1998 pp [8] B. L. Adam e al., Serum Proein Fingerprining Coupled wih a Paern-Maching Algorihm Disinguishes Prosae Cancer from Benign Prosae Hyperplasia and Healhy Men, Cancer Research, 62(13), 2002 pp [9] E. F. Pericoin e al., Serum Proeomic Paerns for Deecion of Prosae Cancer, Journal of he Naional Cancer Insiue, 94(20), 2002 pp [10] H. Iba and N. Nikolaev, Geneic Programming Polynomial Models of Financial Daa Series, in Proceedings of he 2000 Congress on Evoluionary Compuaion (CEC 00), La Jolla, CA, New York: IEEE Press, 2000 pp [11] R. Levich and L. Thomas, The Significance of Technical Trading-Rule Profis in he Foreign Exchange Marke: A Boosrap Approach, Journal of Inernaional Money and Finance, 12(5), 1993 pp [12] C. Neely, P. Weller, and R. Dimar, Is Technical Analysis in he Foreign Exchange Marke Profiable? A Geneic Programming Approach, Journal of Financial and Quaniaive Analysis, 32(4), 1997 pp
15 Geneic Algorihm Search for Predicive Paerns 209 [13] G. Szpiro, A Search for Hidden Relaionships: Daa Mining wih Geneic Algorihms, Compuaional Economics, 10(3), 1997 pp [14] M. A. H. Dempser, T. W. Payne, Y. Romahi, and G. W. P. Thompson, Compuaional Learning Techniques for Inraday FX Trading Using Popular Technical Indicaors, in IEEE Transacions on Neural Neworks, 12(4), 2001 pp [15] N. Packard, A Geneic Learning Algorihm for he Analysis of Complex Daa, Complex Sysems, 4(5), 1990 pp [16] M. Parkinson, The Exreme Value Mehod for Esimaing he Variance of he Rae of Reurn, Journal of Business, 53(1), 1980 pp [17] T. Bollerslev, R. Chou, and K. Kroner, ARCH Modeling in Finance: A Review of he Theory and Empirical Evidence, Journal of Economerics, 52(1 2), 1992 pp [18] C. Guerma and R. D. F. Harris, Forecasing Value a Risk Allowing for Time Variaion in he Variance and Kurosis of Porfolio Reurns, Inernaional Journal of Forecasing, 18(3), 2002 pp
TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS
TEMPORAL PATTERN IDENTIFICATION OF TIME SERIES DATA USING PATTERN WAVELETS AND GENETIC ALGORITHMS RICHARD J. POVINELLI AND XIN FENG Deparmen of Elecrical and Compuer Engineering Marquee Universiy, P.O.
More informationChapter 8: Regression with Lagged Explanatory Variables
Chaper 8: Regression wih Lagged Explanaory Variables Time series daa: Y for =1,..,T End goal: Regression model relaing a dependen variable o explanaory variables. Wih ime series new issues arise: 1. One
More informationJournal Of Business & Economics Research September 2005 Volume 3, Number 9
Opion Pricing And Mone Carlo Simulaions George M. Jabbour, (Email: jabbour@gwu.edu), George Washingon Universiy Yi-Kang Liu, (yikang@gwu.edu), George Washingon Universiy ABSTRACT The advanage of Mone Carlo
More informationEvolutionary building of stock trading experts in real-time systems
Evoluionary building of sock rading expers in real-ime sysems Jerzy J. Korczak Universié Louis Paseur Srasbourg, France Email: jjk@dp-info.u-srasbg.fr Absrac: This paper addresses he problem of consrucing
More informationSPEC model selection algorithm for ARCH models: an options pricing evaluation framework
Applied Financial Economics Leers, 2008, 4, 419 423 SEC model selecion algorihm for ARCH models: an opions pricing evaluaion framework Savros Degiannakis a, * and Evdokia Xekalaki a,b a Deparmen of Saisics,
More informationMeasuring macroeconomic volatility Applications to export revenue data, 1970-2005
FONDATION POUR LES ETUDES ET RERS LE DEVELOPPEMENT INTERNATIONAL Measuring macroeconomic volailiy Applicaions o expor revenue daa, 1970-005 by Joël Cariolle Policy brief no. 47 March 01 The FERDI is a
More informationMultiprocessor Systems-on-Chips
Par of: Muliprocessor Sysems-on-Chips Edied by: Ahmed Amine Jerraya and Wayne Wolf Morgan Kaufmann Publishers, 2005 2 Modeling Shared Resources Conex swiching implies overhead. On a processing elemen,
More informationINTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES
INTEREST RATE FUTURES AND THEIR OPTIONS: SOME PRICING APPROACHES OPENGAMMA QUANTITATIVE RESEARCH Absrac. Exchange-raded ineres rae fuures and heir opions are described. The fuure opions include hose paying
More informationPredicting Stock Market Index Trading Signals Using Neural Networks
Predicing Sock Marke Index Trading Using Neural Neworks C. D. Tilakarane, S. A. Morris, M. A. Mammadov, C. P. Hurs Cenre for Informaics and Applied Opimizaion School of Informaion Technology and Mahemaical
More informationCan Individual Investors Use Technical Trading Rules to Beat the Asian Markets?
Can Individual Invesors Use Technical Trading Rules o Bea he Asian Markes? INTRODUCTION In radiional ess of he weak-form of he Efficien Markes Hypohesis, price reurn differences are found o be insufficien
More informationDOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR
Invesmen Managemen and Financial Innovaions, Volume 4, Issue 3, 7 33 DOES TRADING VOLUME INFLUENCE GARCH EFFECTS? SOME EVIDENCE FROM THE GREEK MARKET WITH SPECIAL REFERENCE TO BANKING SECTOR Ahanasios
More informationMarket Liquidity and the Impacts of the Computerized Trading System: Evidence from the Stock Exchange of Thailand
36 Invesmen Managemen and Financial Innovaions, 4/4 Marke Liquidiy and he Impacs of he Compuerized Trading Sysem: Evidence from he Sock Exchange of Thailand Sorasar Sukcharoensin 1, Pariyada Srisopisawa,
More informationStock Price Prediction Using the ARIMA Model
2014 UKSim-AMSS 16h Inernaional Conference on Compuer Modelling and Simulaion Sock Price Predicion Using he ARIMA Model 1 Ayodele A. Adebiyi., 2 Aderemi O. Adewumi 1,2 School of Mahemaic, Saisics & Compuer
More informationPrincipal components of stock market dynamics. Methodology and applications in brief (to be updated ) Andrei Bouzaev, bouzaev@ya.
Principal componens of sock marke dynamics Mehodology and applicaions in brief o be updaed Andrei Bouzaev, bouzaev@ya.ru Why principal componens are needed Objecives undersand he evidence of more han one
More informationDistributing Human Resources among Software Development Projects 1
Disribuing Human Resources among Sofware Developmen Proecs Macario Polo, María Dolores Maeos, Mario Piaini and rancisco Ruiz Summary This paper presens a mehod for esimaing he disribuion of human resources
More informationDuration and Convexity ( ) 20 = Bond B has a maturity of 5 years and also has a required rate of return of 10%. Its price is $613.
Graduae School of Business Adminisraion Universiy of Virginia UVA-F-38 Duraion and Convexiy he price of a bond is a funcion of he promised paymens and he marke required rae of reurn. Since he promised
More informationMACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR
MACROECONOMIC FORECASTS AT THE MOF A LOOK INTO THE REAR VIEW MIRROR The firs experimenal publicaion, which summarised pas and expeced fuure developmen of basic economic indicaors, was published by he Minisry
More informationANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS
ANALYSIS AND COMPARISONS OF SOME SOLUTION CONCEPTS FOR STOCHASTIC PROGRAMMING PROBLEMS R. Caballero, E. Cerdá, M. M. Muñoz and L. Rey () Deparmen of Applied Economics (Mahemaics), Universiy of Málaga,
More informationGenetic Algorithm Based Optimal Testing Effort Allocation Problem for Modular Software
BIJIT - BVICAM s Inernaional Journal of Informaion Technology Bharai Vidyapeeh s Insiue of Compuer Applicaions and Managemen (BVICAM, ew Delhi Geneic Algorihm Based Opimal Tesing Effor Allocaion Problem
More informationHow Useful are the Various Volatility Estimators for Improving GARCH-based Volatility Forecasts? Evidence from the Nasdaq-100 Stock Index
Inernaional Journal of Economics and Financial Issues Vol. 4, No. 3, 04, pp.65-656 ISSN: 46-438 www.econjournals.com How Useful are he Various Volailiy Esimaors for Improving GARCH-based Volailiy Forecass?
More informationVector Autoregressions (VARs): Operational Perspectives
Vecor Auoregressions (VARs): Operaional Perspecives Primary Source: Sock, James H., and Mark W. Wason, Vecor Auoregressions, Journal of Economic Perspecives, Vol. 15 No. 4 (Fall 2001), 101-115. Macroeconomericians
More informationMaking a Faster Cryptanalytic Time-Memory Trade-Off
Making a Faser Crypanalyic Time-Memory Trade-Off Philippe Oechslin Laboraoire de Securié e de Crypographie (LASEC) Ecole Polyechnique Fédérale de Lausanne Faculé I&C, 1015 Lausanne, Swizerland philippe.oechslin@epfl.ch
More informationStock Trading with Recurrent Reinforcement Learning (RRL) CS229 Application Project Gabriel Molina, SUID 5055783
Sock raing wih Recurren Reinforcemen Learning (RRL) CS9 Applicaion Projec Gabriel Molina, SUID 555783 I. INRODUCION One relaively new approach o financial raing is o use machine learning algorihms o preic
More informationBALANCE OF PAYMENTS. First quarter 2008. Balance of payments
BALANCE OF PAYMENTS DATE: 2008-05-30 PUBLISHER: Balance of Paymens and Financial Markes (BFM) Lena Finn + 46 8 506 944 09, lena.finn@scb.se Camilla Bergeling +46 8 506 942 06, camilla.bergeling@scb.se
More informationThe Application of Multi Shifts and Break Windows in Employees Scheduling
The Applicaion of Muli Shifs and Brea Windows in Employees Scheduling Evy Herowai Indusrial Engineering Deparmen, Universiy of Surabaya, Indonesia Absrac. One mehod for increasing company s performance
More informationRisk Modelling of Collateralised Lending
Risk Modelling of Collaeralised Lending Dae: 4-11-2008 Number: 8/18 Inroducion This noe explains how i is possible o handle collaeralised lending wihin Risk Conroller. The approach draws on he faciliies
More informationTime Series Analysis Using SAS R Part I The Augmented Dickey-Fuller (ADF) Test
ABSTRACT Time Series Analysis Using SAS R Par I The Augmened Dickey-Fuller (ADF) Tes By Ismail E. Mohamed The purpose of his series of aricles is o discuss SAS programming echniques specifically designed
More information4. International Parity Conditions
4. Inernaional ariy ondiions 4.1 urchasing ower ariy he urchasing ower ariy ( heory is one of he early heories of exchange rae deerminaion. his heory is based on he concep ha he demand for a counry's currency
More informationOption Put-Call Parity Relations When the Underlying Security Pays Dividends
Inernaional Journal of Business and conomics, 26, Vol. 5, No. 3, 225-23 Opion Pu-all Pariy Relaions When he Underlying Securiy Pays Dividends Weiyu Guo Deparmen of Finance, Universiy of Nebraska Omaha,
More informationHedging with Forwards and Futures
Hedging wih orwards and uures Hedging in mos cases is sraighforward. You plan o buy 10,000 barrels of oil in six monhs and you wish o eliminae he price risk. If you ake he buy-side of a forward/fuures
More informationMorningstar Investor Return
Morningsar Invesor Reurn Morningsar Mehodology Paper Augus 31, 2010 2010 Morningsar, Inc. All righs reserved. The informaion in his documen is he propery of Morningsar, Inc. Reproducion or ranscripion
More informationInformation Theoretic Evaluation of Change Prediction Models for Large-Scale Software
Informaion Theoreic Evaluaion of Change Predicion Models for Large-Scale Sofware Mina Askari School of Compuer Science Universiy of Waerloo Waerloo, Canada maskari@uwaerloo.ca Ric Hol School of Compuer
More informationThe naive method discussed in Lecture 1 uses the most recent observations to forecast future values. That is, Y ˆ t + 1
Business Condiions & Forecasing Exponenial Smoohing LECTURE 2 MOVING AVERAGES AND EXPONENTIAL SMOOTHING OVERVIEW This lecure inroduces ime-series smoohing forecasing mehods. Various models are discussed,
More informationUSE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES
USE OF EDUCATION TECHNOLOGY IN ENGLISH CLASSES Mehme Nuri GÖMLEKSİZ Absrac Using educaion echnology in classes helps eachers realize a beer and more effecive learning. In his sudy 150 English eachers were
More informationTerm Structure of Prices of Asian Options
Term Srucure of Prices of Asian Opions Jirô Akahori, Tsuomu Mikami, Kenji Yasuomi and Teruo Yokoa Dep. of Mahemaical Sciences, Risumeikan Universiy 1-1-1 Nojihigashi, Kusasu, Shiga 525-8577, Japan E-mail:
More informationIndividual Health Insurance April 30, 2008 Pages 167-170
Individual Healh Insurance April 30, 2008 Pages 167-170 We have received feedback ha his secion of he e is confusing because some of he defined noaion is inconsisen wih comparable life insurance reserve
More informationGene Regulatory Network Discovery from Time-Series Gene Expression Data A Computational Intelligence Approach
Gene Regulaory Nework Discovery from Time-Series Gene Expression Daa A Compuaional Inelligence Approach Nikola K. Kasabov 1, Zeke S. H. Chan 1, Vishal Jain 1, Igor Sidorov 2 and Dimier S. Dimirov 2 1 Knowledge
More informationDYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus University Toruń 2006. Ryszard Doman Adam Mickiewicz University in Poznań
DYNAMIC ECONOMETRIC MODELS Vol. 7 Nicolaus Copernicus Universiy Toruń 26 1. Inroducion Adam Mickiewicz Universiy in Poznań Measuring Condiional Dependence of Polish Financial Reurns Idenificaion of condiional
More informationSingle-machine Scheduling with Periodic Maintenance and both Preemptive and. Non-preemptive jobs in Remanufacturing System 1
Absrac number: 05-0407 Single-machine Scheduling wih Periodic Mainenance and boh Preempive and Non-preempive jobs in Remanufacuring Sysem Liu Biyu hen Weida (School of Economics and Managemen Souheas Universiy
More informationImproving Technical Trading Systems By Using A New MATLAB based Genetic Algorithm Procedure
4h WSEAS In. Conf. on NON-LINEAR ANALYSIS, NON-LINEAR SYSTEMS and CHAOS, Sofia, Bulgaria, Ocober 27-29, 2005 (pp29-34) Improving Technical Trading Sysems By Using A New MATLAB based Geneic Algorihm Procedure
More informationINTRODUCTION TO FORECASTING
INTRODUCTION TO FORECASTING INTRODUCTION: Wha is a forecas? Why do managers need o forecas? A forecas is an esimae of uncerain fuure evens (lierally, o "cas forward" by exrapolaing from pas and curren
More informationPROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE
Profi Tes Modelling in Life Assurance Using Spreadshees PROFIT TEST MODELLING IN LIFE ASSURANCE USING SPREADSHEETS PART ONE Erik Alm Peer Millingon 2004 Profi Tes Modelling in Life Assurance Using Spreadshees
More informationSupplementary Appendix for Depression Babies: Do Macroeconomic Experiences Affect Risk-Taking?
Supplemenary Appendix for Depression Babies: Do Macroeconomic Experiences Affec Risk-Taking? Ulrike Malmendier UC Berkeley and NBER Sefan Nagel Sanford Universiy and NBER Sepember 2009 A. Deails on SCF
More informationLIFE INSURANCE WITH STOCHASTIC INTEREST RATE. L. Noviyanti a, M. Syamsuddin b
LIFE ISURACE WITH STOCHASTIC ITEREST RATE L. oviyani a, M. Syamsuddin b a Deparmen of Saisics, Universias Padjadjaran, Bandung, Indonesia b Deparmen of Mahemaics, Insiu Teknologi Bandung, Indonesia Absrac.
More informationDay Trading Index Research - He Ingeria and Sock Marke
Influence of he Dow reurns on he inraday Spanish sock marke behavior José Luis Miralles Marcelo, José Luis Miralles Quirós, María del Mar Miralles Quirós Deparmen of Financial Economics, Universiy of Exremadura
More informationA New Type of Combination Forecasting Method Based on PLS
American Journal of Operaions Research, 2012, 2, 408-416 hp://dx.doi.org/10.4236/ajor.2012.23049 Published Online Sepember 2012 (hp://www.scirp.org/journal/ajor) A New Type of Combinaion Forecasing Mehod
More informationPerformance Center Overview. Performance Center Overview 1
Performance Cener Overview Performance Cener Overview 1 ODJFS Performance Cener ce Cener New Performance Cener Model Performance Cener Projec Meeings Performance Cener Execuive Meeings Performance Cener
More informationRisk-Adjusted, Ex Ante, Optimal, Technical Trading Rules in Equity Markets. Christopher J. Neely
WORKING PAPER SERIES Risk-Adjused, Ex Ane, Opimal, Technical Trading Rules in Equiy Markes Chrisopher J. Neely Working Paper 999-05D hp://research.slouisfed.org/wp/999/999-05.pdf Revised Augus 200 FEDERAL
More informationAppendix D Flexibility Factor/Margin of Choice Desktop Research
Appendix D Flexibiliy Facor/Margin of Choice Deskop Research Cheshire Eas Council Cheshire Eas Employmen Land Review Conens D1 Flexibiliy Facor/Margin of Choice Deskop Research 2 Final Ocober 2012 \\GLOBAL.ARUP.COM\EUROPE\MANCHESTER\JOBS\200000\223489-00\4
More informationChapter 7. Response of First-Order RL and RC Circuits
Chaper 7. esponse of Firs-Order L and C Circuis 7.1. The Naural esponse of an L Circui 7.2. The Naural esponse of an C Circui 7.3. The ep esponse of L and C Circuis 7.4. A General oluion for ep and Naural
More informationHotel Room Demand Forecasting via Observed Reservation Information
Proceedings of he Asia Pacific Indusrial Engineering & Managemen Sysems Conference 0 V. Kachivichyanuul, H.T. Luong, and R. Piaaso Eds. Hoel Room Demand Forecasing via Observed Reservaion Informaion aragain
More informationIdealistic characteristics of Islamic Azad University masters - Islamshahr Branch from Students Perspective
Available online a www.pelagiaresearchlibrary.com European Journal Experimenal Biology, 202, 2 (5):88789 ISSN: 2248 925 CODEN (USA): EJEBAU Idealisic characerisics Islamic Azad Universiy masers Islamshahr
More informationTrends in TCP/IP Retransmissions and Resets
Trends in TCP/IP Reransmissions and Reses Absrac Concordia Chen, Mrunal Mangrulkar, Naomi Ramos, and Mahaswea Sarkar {cychen, mkulkarn, msarkar,naramos}@cs.ucsd.edu As he Inerne grows larger, measuring
More informationpolicies are investigated through the entire product life cycle of a remanufacturable product. Benefiting from the MDP analysis, the optimal or
ABSTRACT AHISKA, SEMRA SEBNEM. Invenory Opimizaion in a One Produc Recoverable Manufacuring Sysem. (Under he direcion of Dr. Russell E. King and Dr. Thom J. Hodgson.) Environmenal regulaions or he necessiy
More informationThe Kinetics of the Stock Markets
Asia Pacific Managemen Review (00) 7(1), 1-4 The Kineics of he Sock Markes Hsinan Hsu * and Bin-Juin Lin ** (received July 001; revision received Ocober 001;acceped November 001) This paper applies he
More informationMTH6121 Introduction to Mathematical Finance Lesson 5
26 MTH6121 Inroducion o Mahemaical Finance Lesson 5 Conens 2.3 Brownian moion wih drif........................... 27 2.4 Geomeric Brownian moion........................... 28 2.5 Convergence of random
More informationNikkei Stock Average Volatility Index Real-time Version Index Guidebook
Nikkei Sock Average Volailiy Index Real-ime Version Index Guidebook Nikkei Inc. Wih he modificaion of he mehodology of he Nikkei Sock Average Volailiy Index as Nikkei Inc. (Nikkei) sars calculaing and
More informationSELF-EVALUATION FOR VIDEO TRACKING SYSTEMS
SELF-EVALUATION FOR VIDEO TRACKING SYSTEMS Hao Wu and Qinfen Zheng Cenre for Auomaion Research Dep. of Elecrical and Compuer Engineering Universiy of Maryland, College Park, MD-20742 {wh2003, qinfen}@cfar.umd.edu
More informationSmall and Large Trades Around Earnings Announcements: Does Trading Behavior Explain Post-Earnings-Announcement Drift?
Small and Large Trades Around Earnings Announcemens: Does Trading Behavior Explain Pos-Earnings-Announcemen Drif? Devin Shanhikumar * Firs Draf: Ocober, 2002 This Version: Augus 19, 2004 Absrac This paper
More informationWATER MIST FIRE PROTECTION RELIABILITY ANALYSIS
WATER MIST FIRE PROTECTION RELIABILITY ANALYSIS Shuzhen Xu Research Risk and Reliabiliy Area FM Global Norwood, Massachuses 262, USA David Fuller Engineering Sandards FM Global Norwood, Massachuses 262,
More informationA Note on Using the Svensson procedure to estimate the risk free rate in corporate valuation
A Noe on Using he Svensson procedure o esimae he risk free rae in corporae valuaion By Sven Arnold, Alexander Lahmann and Bernhard Schwezler Ocober 2011 1. The risk free ineres rae in corporae valuaion
More informationUsefulness of the Forward Curve in Forecasting Oil Prices
Usefulness of he Forward Curve in Forecasing Oil Prices Akira Yanagisawa Leader Energy Demand, Supply and Forecas Analysis Group The Energy Daa and Modelling Cener Summary When people analyse oil prices,
More informationGOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA
Journal of Applied Economics, Vol. IV, No. (Nov 001), 313-37 GOOD NEWS, BAD NEWS AND GARCH EFFECTS 313 GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA CRAIG A. DEPKEN II * The Universiy of Texas
More informationARCH 2013.1 Proceedings
Aricle from: ARCH 213.1 Proceedings Augus 1-4, 212 Ghislain Leveille, Emmanuel Hamel A renewal model for medical malpracice Ghislain Léveillé École d acuaria Universié Laval, Québec, Canada 47h ARC Conference
More informationStatistical Analysis with Little s Law. Supplementary Material: More on the Call Center Data. by Song-Hee Kim and Ward Whitt
Saisical Analysis wih Lile s Law Supplemenary Maerial: More on he Call Cener Daa by Song-Hee Kim and Ward Whi Deparmen of Indusrial Engineering and Operaions Research Columbia Universiy, New York, NY 17-99
More informationReal-time Particle Filters
Real-ime Paricle Filers Cody Kwok Dieer Fox Marina Meilă Dep. of Compuer Science & Engineering, Dep. of Saisics Universiy of Washingon Seale, WA 9895 ckwok,fox @cs.washingon.edu, mmp@sa.washingon.edu Absrac
More informationThe Grantor Retained Annuity Trust (GRAT)
WEALTH ADVISORY Esae Planning Sraegies for closely-held, family businesses The Granor Reained Annuiy Trus (GRAT) An efficien wealh ransfer sraegy, paricularly in a low ineres rae environmen Family business
More informationTSG-RAN Working Group 1 (Radio Layer 1) meeting #3 Nynashamn, Sweden 22 nd 26 th March 1999
TSG-RAN Working Group 1 (Radio Layer 1) meeing #3 Nynashamn, Sweden 22 nd 26 h March 1999 RAN TSGW1#3(99)196 Agenda Iem: 9.1 Source: Tile: Documen for: Moorola Macro-diversiy for he PRACH Discussion/Decision
More informationSURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES
Inernaional Journal of Accouning Research Vol., No. 7, 4 SURVEYING THE RELATIONSHIP BETWEEN STOCK MARKET MAKER AND LIQUIDITY IN TEHRAN STOCK EXCHANGE COMPANIES Mohammad Ebrahimi Erdi, Dr. Azim Aslani,
More informationRelationships between Stock Prices and Accounting Information: A Review of the Residual Income and Ohlson Models. Scott Pirie* and Malcolm Smith**
Relaionships beween Sock Prices and Accouning Informaion: A Review of he Residual Income and Ohlson Models Sco Pirie* and Malcolm Smih** * Inernaional Graduae School of Managemen, Universiy of Souh Ausralia
More informationAnalysis of Calendar Effects: Day-of-the-Week Effect on the Stock Exchange of Thailand (SET)
200-023X Analysis of Calendar Effecs: Day-of-he-Week Effec on he Sock Echange of Thailand () Phaisarn Suheebanjard and Wichian Premchaiswadi Absrac According o he Efficien Marke Hypohesis (EMH), a sock
More informationModelling the dependence of the UK stock market on the US stock market: A need for multiple regimes
Modelling he dependence of he UK sock marke on he US sock marke: A need for muliple regimes A J Khadaroo Deparmen of Economics and Saisics Universiy of Mauriius Redui Mauriius Email: j.khadaroo@uom.ac.mu
More informationForecasting and Forecast Combination in Airline Revenue Management Applications
Forecasing and Forecas Combinaion in Airline Revenue Managemen Applicaions Chrisiane Lemke 1, Bogdan Gabrys 1 1 School of Design, Engineering & Compuing, Bournemouh Universiy, Unied Kingdom. E-mail: {clemke,
More informationFeasibility of Quantum Genetic Algorithm in Optimizing Construction Scheduling
Feasibiliy of Quanum Geneic Algorihm in Opimizing Consrucion Scheduling Maser Thesis Baihui Song JUNE 2013 Commiee members: Prof.dr.ir. M.J.C.M. Herogh Dr. M. Blaauboer Dr. ir. H.K.M. van de Ruienbeek
More informationWhy Did the Demand for Cash Decrease Recently in Korea?
Why Did he Demand for Cash Decrease Recenly in Korea? Byoung Hark Yoo Bank of Korea 26. 5 Absrac We explores why cash demand have decreased recenly in Korea. The raio of cash o consumpion fell o 4.7% in
More informationStochastic Optimal Control Problem for Life Insurance
Sochasic Opimal Conrol Problem for Life Insurance s. Basukh 1, D. Nyamsuren 2 1 Deparmen of Economics and Economerics, Insiue of Finance and Economics, Ulaanbaaar, Mongolia 2 School of Mahemaics, Mongolian
More informationGoRA. For more information on genetics and on Rheumatoid Arthritis: Genetics of Rheumatoid Arthritis. Published work referred to in the results:
For more informaion on geneics and on Rheumaoid Arhriis: Published work referred o in he resuls: The geneics revoluion and he assaul on rheumaoid arhriis. A review by Michael Seldin, Crisopher Amos, Ryk
More informationChapter 1.6 Financial Management
Chaper 1.6 Financial Managemen Par I: Objecive ype quesions and answers 1. Simple pay back period is equal o: a) Raio of Firs cos/ne yearly savings b) Raio of Annual gross cash flow/capial cos n c) = (1
More informationThe Transport Equation
The Transpor Equaion Consider a fluid, flowing wih velociy, V, in a hin sraigh ube whose cross secion will be denoed by A. Suppose he fluid conains a conaminan whose concenraion a posiion a ime will be
More informationThe Economic Value of Volatility Timing Using a Range-based Volatility Model
The Economic Value of Volailiy Timing Using a Range-based Volailiy Model Ray Yeuien Chou * Insiue of Economics, Academia Sinica & Insiue of Business Managemen, Naional Chiao Tung Universiy Nahan Liu Deparmen
More informationMarket Timing & Trading Strategies using Asset Rotation
Marke Timing & Trading Sraegies using Asse Roaion Panagiois Schizas * and Dimirios D. Thomakos Deparmen of Economics Universiy of Peloponnese 22 00 Greece 2/6/200 Absrac We presen empirical resuls on he
More informationTIME SERIES DATA MINING: IDENTIFYING TEMPORAL PATTERNS FOR CHARACTERIZATION AND PREDICTION OF TIME SERIES EVENTS
TIE SERIES DATA INING: IDENTIFYING TEPORAL PATTERNS FOR CHARACTERIZATION AND PREDICTION OF TIE SERIES EVENTS by Richard J. Povinelli, B.A., B.S.,.S. A Disseraion submied o he Faculy of he Graduae School,
More informationAn Empirical Comparison of Asset Pricing Models for the Tokyo Stock Exchange
An Empirical Comparison of Asse Pricing Models for he Tokyo Sock Exchange Absrac In his sudy we compare he performance of he hree kinds of asse pricing models proposed by Fama and French (1993), Carhar
More informationInventory Planning with Forecast Updates: Approximate Solutions and Cost Error Bounds
OPERATIONS RESEARCH Vol. 54, No. 6, November December 2006, pp. 1079 1097 issn 0030-364X eissn 1526-5463 06 5406 1079 informs doi 10.1287/opre.1060.0338 2006 INFORMS Invenory Planning wih Forecas Updaes:
More informationA PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES *
CUADERNOS DE ECONOMÍA, VOL. 43 (NOVIEMBRE), PP. 285-299, 2006 A PROPOSAL TO OBTAIN A LONG QUARTERLY CHILEAN GDP SERIES * JUAN DE DIOS TENA Universidad de Concepción y Universidad Carlos III, España MIGUEL
More informationPRACTICES AND ISSUES IN OPERATIONAL RISK MODELING UNDER BASEL II
Lihuanian Mahemaical Journal, Vol. 51, No. 2, April, 2011, pp. 180 193 PRACTICES AND ISSUES IN OPERATIONAL RISK MODELING UNDER BASEL II Paul Embrechs and Marius Hofer 1 RiskLab, Deparmen of Mahemaics,
More informationContrarian insider trading and earnings management around seasoned equity offerings; SEOs
Journal of Finance and Accounancy Conrarian insider rading and earnings managemen around seasoned equiy offerings; SEOs ABSTRACT Lorea Baryeh Towson Universiy This sudy aemps o resolve he differences in
More informationPrice Controls and Banking in Emissions Trading: An Experimental Evaluation
This version: March 2014 Price Conrols and Banking in Emissions Trading: An Experimenal Evaluaion John K. Sranlund Deparmen of Resource Economics Universiy of Massachuses-Amhers James J. Murphy Deparmen
More informationThe Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees.
The Impac of Surplus Disribuion on he Risk Exposure of Wih Profi Life Insurance Policies Including Ineres Rae Guaranees Alexander Kling 1 Insiu für Finanz- und Akuarwissenschafen, Helmholzsraße 22, 89081
More informationSkewness and Kurtosis Adjusted Black-Scholes Model: A Note on Hedging Performance
Finance Leers, 003, (5), 6- Skewness and Kurosis Adjused Black-Scholes Model: A Noe on Hedging Performance Sami Vähämaa * Universiy of Vaasa, Finland Absrac his aricle invesigaes he dela hedging performance
More informationHow To Calculate Price Elasiciy Per Capia Per Capi
Price elasiciy of demand for crude oil: esimaes for 23 counries John C.B. Cooper Absrac This paper uses a muliple regression model derived from an adapaion of Nerlove s parial adjusmen model o esimae boh
More informationOptimal Stock Selling/Buying Strategy with reference to the Ultimate Average
Opimal Sock Selling/Buying Sraegy wih reference o he Ulimae Average Min Dai Dep of Mah, Naional Universiy of Singapore, Singapore Yifei Zhong Dep of Mah, Naional Universiy of Singapore, Singapore July
More informationDETERMINISTIC INVENTORY MODEL FOR ITEMS WITH TIME VARYING DEMAND, WEIBULL DISTRIBUTION DETERIORATION AND SHORTAGES KUN-SHAN WU
Yugoslav Journal of Operaions Research 2 (22), Number, 6-7 DEERMINISIC INVENORY MODEL FOR IEMS WIH IME VARYING DEMAND, WEIBULL DISRIBUION DEERIORAION AND SHORAGES KUN-SHAN WU Deparmen of Bussines Adminisraion
More informationII.1. Debt reduction and fiscal multipliers. dbt da dpbal da dg. bal
Quarerly Repor on he Euro Area 3/202 II.. Deb reducion and fiscal mulipliers The deerioraion of public finances in he firs years of he crisis has led mos Member Saes o adop sizeable consolidaion packages.
More informationImpact of scripless trading on business practices of Sub-brokers.
Impac of scripless rading on business pracices of Sub-brokers. For furher deails, please conac: Mr. T. Koshy Vice Presiden Naional Securiies Deposiory Ld. Tradeworld, 5 h Floor, Kamala Mills Compound,
More informationCointegration: The Engle and Granger approach
Coinegraion: The Engle and Granger approach Inroducion Generally one would find mos of he economic variables o be non-saionary I(1) variables. Hence, any equilibrium heories ha involve hese variables require
More informationAutomatic measurement and detection of GSM interferences
Auomaic measuremen and deecion of GSM inerferences Poor speech qualiy and dropped calls in GSM neworks may be caused by inerferences as a resul of high raffic load. The radio nework analyzers from Rohde
More informationThe Impact of Surplus Distribution on the Risk Exposure of With Profit Life Insurance Policies Including Interest Rate Guarantees
1 The Impac of Surplus Disribuion on he Risk Exposure of Wih Profi Life Insurance Policies Including Ineres Rae Guaranees Alexander Kling Insiu für Finanz- und Akuarwissenschafen, Helmholzsraße 22, 89081
More informationRandom Walk in 1-D. 3 possible paths x vs n. -5 For our random walk, we assume the probabilities p,q do not depend on time (n) - stationary
Random Walk in -D Random walks appear in many cones: diffusion is a random walk process undersanding buffering, waiing imes, queuing more generally he heory of sochasic processes gambling choosing he bes
More informationSegment and combine approach for non-parametric time-series classification
Segmen and combine approach for non-parameric ime-series classificaion Pierre Geurs and Louis Wehenkel Universiy of Liège, Deparmen of Elecrical Engineering and Compuer Science, Sar-Tilman B28, B4000 Liège,
More information