Improved Program Planning Approaches Generates Large Benefits in High Risk Crop Farming

This paper examines whether there is room for the improvement of farm program decisions through the incorporation of mathematical optimization in the practical planning process. Probing the potential for improvement, we investigate the cases of four German cash crop farms over the last six years. The formal planning approach includes a systematic time series analysis of farmspecific single gross margins and a stochastic optimization model. In order to avoid solutions that simply exceed the farmer's risk tolerance, the apparently accepted variance of the observed program's total gross margin which represents an observable reflection of the individual farmer's risk attitude is used as an upper bound in the optimization. For each of the 24 planning occasions, the formal model is used in a quasi ex-ante approach that provides optimized alternative programs. The total gross margins that could have been realized if the formally optimized programs had been implemented are then ex-post compared to those that were actually realized. We find that the farmers could have increased their total gross margins significantly if - instead of using simple routines and rules of thumb - they had used the more sophisticated formal planning model. However, we also find that the superiority of formalized planning approaches depends on the quality of statistical analysis and the resulting forecasting model. Using our approach for practical decision support implies that farmers first specify their "own" production programs without the formal planning aid. Then, an alternative program can be provided which leads to superior expected total gross margins without exceeding the farmer's accepted total gross margin variance.production program planning, optimization, uncertainty, static distributions, stochastic processes, Crop Production/Industries, C1, C61, M11, Q12,

A Model for Stock Price Prediction Using the Soft Computing Approach

A number of research efforts had been devoted to forecasting stock price based on technical indicators which rely purely on historical stock price data. However, the performances of such technical indicators have not always satisfactory. The fact is, there are other influential factors that can affect the direction of stock market which form the basis of market experts’ opinion such as interest rate, inflation rate, foreign exchange rate, business sector, management caliber, investors’ confidence, government policy and political effects, among others. In this study, the effect of using hybrid market indicators such as technical and fundamental parameters as well as experts’ opinions for stock price prediction was examined. Values of variables representing these market hybrid indicators were fed into the artificial neural network (ANN) model for stock price prediction. The empirical results obtained with published stock data show that the proposed model is effective in improving the accuracy of stock price prediction. Also, the performance of the neural network predictive model developed in this study was compared with the conventional Box-Jenkins autoregressive integrated moving average (ARIMA) model which has been widely used for time series forecasting. Our findings revealed that ARIMA models cannot be effectively engaged profitably for stock price prediction. It was also observed that the pattern of ARIMA forecasting models were not satisfactory. The developed stock price predictive model with the ANN-based soft computing approach demonstrated superior performance over the ARIMA models; indeed, the actual and predicted value of the developed stock price predictive model were quite close

SPATIO-TEMPORAL DYNAMICS OF SHORT-TERM TRAFFIC

Short-term traffic forecasting and missing data imputation can benefit from the use of neighboring traffic information, in addition to temporal data alone. However, little attention has been given to quantifying the effect of upstream and downstream traffic on the traffic at current location. The knowledge about temporal and spatial propagation of traffic is still limited in the current literature. To fill this gap, this dissertation research focus on revealing the spatio-temporal correlations between neighboring traffic to develop reliable algorithms for short-term traffic forecasting and data imputation based on spatio-temporal dynamics of traffic. In the first part of this dissertation, spatio-temporal relationships of speed series from consecutive segments were studied for different traffic conditions. The analysis results show that traffic speeds of consecutive segments are highly correlated. While downstream traffic tends to replicate the upstream condition under light traffic conditions, it may also affect upstream condition during congestion and build up situations. These effects were statistically quantified and an algorithm for properly choosing the “best” or most correlated neighbor(s), for potential traffic prediction or imputation purposes was proposed. In the second part of the dissertation, a spatio-temporal kriging (ST-Kriging) model that determines the most desirable extent of spatial and temporal traffic data from neighboring locations was developed for short-term traffic forecasting. The new ST-Kriging model outperforms all benchmark models under various traffic conditions. In the final part of the dissertation, a spatio-temporal data imputation approach was proposed and its performance was evaluated under scenarios with different data missing rates. Compared against previous methods, better flexibility and stable imputation accuracy were reported for this new imputation technique

Analysis and modeling a distributed co-operative multi agent system for scaling-up business intelligence

Modeling A Distributed Co-Operative Multi Agent System in the area of Business Intelligence is the newer topic. During the work carried out a software Integrated Intelligent Advisory Model (IIAM) has been develop, which is a personal finance portfolio ma

A contribution to exchange rate forecasting based on machine learning techniques

El propòsit d'aquesta tesi és examinar les aportacions a l'estudi de la predicció de la taxa de canvi basada en l'ús de tècniques d'aprenentatge automàtic. Aquestes aportacions es veuen facilitades i millorades per l'ús de variables econòmiques, indicadors tècnics i variables de tipus ‘business and consumer survey’. Aquesta investigació s’organitza entorn d’una recopilació de quatre articles. L'objectiu de cadascun dels quatre treballs de recerca d'aquesta tesi és el de contribuir a l'avanç del coneixement sobre els efectes i mecanismes mitjançant els quals l'ús de variables econòmiques, indicadors tècnics, variables de tipus ‘business and consumer survey’, i la selecció dels paràmetres de models predictius són capaços de millorar les prediccions de la taxa de canvi. Fent ús d'una tècnica de predicció no lineal, el primer article d'aquesta tesi es centra majoritàriament en l'impacte que tenen l'ús de variables econòmiques i la selecció dels paràmetres dels models en les prediccions de la taxa de canvi per a dos països. L'últim experiment d'aquest primer article fa ús de la taxa de canvi del període anterior i d'indicadors econòmics com a variables d'entrada en els models predictius. El segon article d'aquesta tesi analitza com la combinació de mitjanes mòbils, variables de tipus ‘business and consumer survey’ i la selecció dels paràmetres dels models milloren les prediccions del canvi per a dos països. A diferència del primer article, aquest segon treball de recerca afegeix mitjanes mòbils i variables de tipus ‘business and consumer survey’ com a variables d'entrada en els models predictius, i descarta l'ús de variables econòmiques. Un dels objectius d'aquest segon article és determinar el possible impacte de les variables de tipus ‘business and consumer survey’ en les taxes de canvi. El tercer article d'aquesta tesi té els mateixos objectius que el segon, però amb l'excepció que l'anàlisi abasta les taxes de canvi de set països. El quart article de la tesi compta amb els mateixos objectius que l'article anterior, però amb la diferència que fa ús d'un sol indicador tècnic. En general, l'enfocament d'aquesta tesi pretén examinar diferents alternatives per a millorar les prediccions del tipus de canvi a través de l'ús de màquines de suport vectorial. Una combinació de variables i la selecció dels paràmetres dels models predictius ajudaran a aconseguir aquest propòsit.El propósito de esta tesis es examinar las aportaciones al estudio de la predicción de la tasa de cambio basada en el uso de técnicas de aprendizaje automático. Dichas aportaciones se ven facilitadas y mejoradas por el uso de variables económicas, indicadores técnicos y variables de tipo ‘business and consumer survey’. Esta investigación está organizada en un compendio de cuatro artículos. El objetivo de cada uno de los cuatro trabajos de investigación de esta tesis es el de contribuir al avance del conocimiento sobre los efectos y mecanismos mediante los cuales el uso de variables económicas, indicadores técnicos, variables de tipo ‘business and consumer survey’, y la selección de los parámetros de modelos predictivos son capaces de mejorar las predicciones de la tasa de cambio. Haciendo uso de una técnica de predicción no lineal, el primer artículo de esta tesis se centra mayoritariamente en el impacto que tienen el uso de variables económicas y la selección de los parámetros de los modelos en las predicciones de la tasa de cambio para dos países. El último experimento de este primer artículo hace uso de la tasa de cambio del periodo anterior y de indicadores económicos como variables de entrada en los modelos predictivos. El segundo artículo de esta tesis analiza cómo la combinación de medias móviles, variables de tipo ‘business and consumer survey’ y la selección de los parámetros de los modelos mejoran las predicciones del cambio para dos países. A diferencia del primer artículo, este segundo trabajo de investigación añade medias móviles y variables de tipo ‘business and consumer survey’ como variables de entrada en los modelos predictivos, y descarta el uso de variables económicas. Uno de los objetivos de este segundo artículo es determinar el posible impacto de las variables de tipo ‘business and consumer survey’ en las tasas de cambio. El tercer artículo de esta tesis tiene los mismos objetivos que el segundo, pero con la salvedad de que el análisis abarca las tasas de cambio de siete países. El cuarto artículo de esta tesis cuenta con los mismos objetivos que el artículo anterior, pero con la diferencia de que hace uso de un solo indicador técnico. En general, el enfoque de esta tesis pretende examinar diferentes alternativas para mejorar las predicciones del tipo de cambio a través del uso de máquinas de soporte vectorial. Una combinación de variables y la selección de los parámetros de los modelos predictivos ayudarán a conseguir este propósito.The purpose of this thesis is to examine the contribution made by machine learning techniques on exchange rate forecasting. Such contributions are facilitated and enhanced by the use of fundamental economic variables, technical indicators and business and consumer survey variables as inputs in the forecasting models selected. This research has been organized in a compendium of four articles. The aim of each of these four articles is to contribute to advance our knowledge on the effects and means by which the use of fundamental economic variables, technical indicators, business and consumer surveys, and a model’s free-parameters selection is capable of improving exchange rate predictions. Through the use of a non-linear forecasting technique, one research paper examines the effect of fundamental economic variables and a model’s parameters selection on exchange rate forecasts, whereas the other three articles concentrate on the effect of technical indicators, a model’s parameters selection and business and consumer surveys variables on exchange rate forecasting. The first paper of this thesis has the objective of examining fundamental economic variables and a forecasting model’s parameters in an effort to understand the possible advantages or disadvantages these variables may bring to the exchange rate predictions in terms of forecasting performance and accuracy. The second paper of this thesis analyses how the combination of moving averages, business and consumer surveys and a forecasting model’s parameters improves exchange rate predictions. Compared to the first paper, this second paper adds moving averages and business and consumer surveys variables as inputs to the forecasting model, and disregards the use of fundamental economic variables. One of the goals of this paper is to determine the possible effects of business and consumer surveys on exchange rates. The third paper of this thesis has the same objectives as the second paper, but its analysis is expanded by taking into account the exchange rates of 7 countries. The fourth paper in this thesis takes a similar approach as the second and third papers, but makes use of a single technical indicator. In general, this thesis focuses on the improvement of exchange rate predictions through the use of support vector machines. A combination of variables and a model’s parameters selection enhances the way to achieve this purpose

Multi-layer feed forward neural networks for foreign exchange time series forecasting

This dissertation examines the forecasting performance of multi-layer feed forward neural networks in modeling five weekly foreign exchange rates: Australian Dollars/U.S. Dollars (AUS/USD), Euro/U.S. Dollar (EUR/USD), Swiss Franc/U.S. Dollar (CHF/USD), British Pound sterling/U.S. Dollars (GBP/USD), and Japanese Yen/U.S. Dollars (JPY/USD). There are five objectives to accomplish. The first is to determine the key modeling factors that should be considered in topology determination. The second is to compare the performances of Genetic Algorithm (GA) and Modified Tabu Search (TS) in choosing the topology for Neural Networks (NN) implementation. The third is to investigate the suitable learning algorithm for NNs for time series forecasting by comparing Back Propagation (BP) with GAs and TS. The fourth is to conduct computational studies for multi-step ahead forecasting for GBP/USD and EUR/USD, as well as to study other accuracy forecasting issues. The last is to study the implementation of multivariate time series forecasting using NNs.;The results of the experiments performed indicate that one should examine the correct topology, especially the three most important factors (number of input nodes, hidden nodes, learning rate) prior to using NNs for time series forecasting.;The comparison performance of topology suggested using GA, TS, and benchmark led to the conclusion that neither GA nor TS is guaranteed to provide better results, especially in terms of percentage of true directional changes (DIR). However, if there is no prior knowledge of the problem, GA searches for topology determination are favored and provide reasonably good performances. GA is also preferred for NN training. Compared to BP, GA guarantees better performance in terms of Mean of Absolute Percentage Error (MAPE) and, most of the time, performs better in terms of Mean of Square Error (MSE).;Caution should be taken in adopting the results, since the study of time periods indicated that the best topology for forecasting a specific foreign exchange is data specific ; hence the best for a certain period is not always the best to forecast other periods. However, the chosen topology is reasonably useful for up to three steps ahead forecasting.;The trivariate time series, which incorporate interest rates of the two countries involved, did improve the results. Multivariate time series forecasts for monthly JPY/USD, as well as for monthly EUR/USD, produced a higher level of success than the one achieved in the previous experiment. The NNs were programmed using MATLABRTM

Time series forecasting methodologies for electricity supply systems

Forecasting is an essential function in the electricity supply industry. Electricity demand forecasting is performed on number of different time-scales depending on the function for which they are required. In the short term (hourly) forecasts of electricity demand are required for the safe and efficient operation of the power system. Medium term forecasts (weekly) are needed for economic planning and long term (yearly) forecasts are required for deciding on system generation and transmission expansion plans. In recent years the electricity supply industry in some countries has undergone significant changes mainly due to a levelling off in the growth of electricity demand and also due to technological advances. There has been a move toward the existence of a number of smaller generating companies and the emergence of a competitors market has resulted. These changes in the structure of the industry have led to new requirements in the area of forecasting, where forecasts are now required on a small time-scale over a longer forecasting horizon, for example, the production of hourly forecasts over a period of a month. The thesis presents a novel approach to the solution of the production of short term forecasts over a relatively long term forecast horizon. The mathematical formulation of the technique is presented and an application procedure is developed. Two applications of the technique are given and the issues involved in the implementation investigated. In addition, the production of weekly electricity demand forecasts using the optimal form of the available weather variables is investigated. The value of using such a variable in cases where it is not a dominant influencing factor in the system is assessed. The application of neural networks to the problem of weekly electricity demand forecasting is examined. Neural networks are also applied to the problem of the production of both aggregate and disaggregate electricity sales forecasts for up to five years in advance. Conclusions regarding the methodologies presented in the thesis are drawn and directions for future works are considered

A hybrid model-based and memory-based short-term traffic prediction system

Short-term traffic forecasting capabilities on freeways and major arterials have received special attention in the past decade due primarily to their vital role in supporting various travelers\u27 trip decisions and traffic management functions. This research presents a hybrid model-based and memory-based methodology to improve freeway traffic prediction performance. The proposed methodology integrates both approaches to strengthen predictions under both recurrent and non-recurrent conditions. The model-based approach relies on a combination of static and dynamic neural network architectures to achieve optimal prediction performance under various input and traffic condition settings. Concurrently, the memory-based component is derived from the data archival system that encodes the commuters\u27 travel experience in the past. The outcomes of the two approaches are two prediction values for each query case. The two values are subsequently processed by a prediction query manager, which ultimately produces one final prediction value using an error-based decision algorithm. It was found that the hybrid approach produces speed estimates with smaller errors than if the two approaches employed separately. The proposed prediction approach could be used in deriving travel times more reliable as the Traffic Management Centers move towards implementing Advanced Traveler Information Systems (ATIS) applications

A framework for smart traffic management using heterogeneous data sources

A thesis submitted in partial fulfilment of the requirements of the University of Wolverhampton for the degree of Doctor of Philosophy.Traffic congestion constitutes a social, economic and environmental issue to modern cities as it can negatively impact travel times, fuel consumption and carbon emissions. Traffic forecasting and incident detection systems are fundamental areas of Intelligent Transportation Systems (ITS) that have been widely researched in the last decade. These systems provide real time information about traffic congestion and other unexpected incidents that can support traffic management agencies to activate strategies and notify users accordingly. However, existing techniques suffer from high false alarm rate and incorrect traffic measurements. In recent years, there has been an increasing interest in integrating different types of data sources to achieve higher precision in traffic forecasting and incident detection techniques. In fact, a considerable amount of literature has grown around the influence of integrating data from heterogeneous data sources into existing traffic management systems. This thesis presents a Smart Traffic Management framework for future cities. The proposed framework fusions different data sources and technologies to improve traffic prediction and incident detection systems. It is composed of two components: social media and simulator component. The social media component consists of a text classification algorithm to identify traffic related tweets. These traffic messages are then geolocated using Natural Language Processing (NLP) techniques. Finally, with the purpose of further analysing user emotions within the tweet, stress and relaxation strength detection is performed. The proposed text classification algorithm outperformed similar studies in the literature and demonstrated to be more accurate than other machine learning algorithms in the same dataset. Results from the stress and relaxation analysis detected a significant amount of stress in 40% of the tweets, while the other portion did not show any emotions associated with them. This information can potentially be used for policy making in transportation, to understand the users��� perception of the transportation network. The simulator component proposes an optimisation procedure for determining missing roundabouts and urban roads flow distribution using constrained optimisation. Existing imputation methodologies have been developed on straight section of highways and their applicability for more complex networks have not been validated. This task presented a solution for the unavailability of roadway sensors in specific parts of the network and was able to successfully predict the missing values with very low percentage error. The proposed imputation methodology can serve as an aid for existing traffic forecasting and incident detection methodologies, as well as for the development of more realistic simulation networks

Travel time estimation in congested urban networks using point detectors data

A model for estimating travel time on short arterial links of congested urban networks, using currently available technology, is introduced in this thesis. The objective is to estimate travel time, with an acceptable level of accuracy for real-life traffic problems, such as congestion management and emergency evacuation. To achieve this research objective, various travel time estimation methods, including highway trajectories, multiple linear regression (MLR), artificial neural networks (ANN) and K –nearest neighbor (K-NN) were applied and tested on the same dataset. The results demonstrate that ANN and K-NN methods outperform linear methods by a significant margin, also, show particularly good performance in detecting congested intervals. To ensure the quality of the analysis results, set of procedures and algorithms based on traffic flow theory and test field information, were introduced to validate and clean the data used to build, train and test the different models