Nature inspired computational intelligence for financial contagion modelling

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Financial contagion refers to a scenario in which small shocks, which initially affect only a few financial institutions or a particular region of the economy, spread to the rest of the financial sector and other countries whose economies were previously healthy. This resembles the “transmission” of a medical disease. Financial contagion happens both at domestic level and international level. At domestic level, usually the failure of a domestic bank or financial intermediary triggers transmission by defaulting on inter-bank liabilities, selling assets in a fire sale, and undermining confidence in similar banks. An example of this phenomenon is the failure of Lehman Brothers and the subsequent turmoil in the US financial markets. International financial contagion happens in both advanced economies and developing economies, and is the transmission of financial crises across financial markets. Within the current globalise financial system, with large volumes of cash flow and cross-regional operations of large banks and hedge funds, financial contagion usually happens simultaneously among both domestic institutions and across countries. There is no conclusive definition of financial contagion, most research papers study contagion by analyzing the change in the variance-covariance matrix during the period of market turmoil. King and Wadhwani (1990) first test the correlations between the US, UK and Japan, during the US stock market crash of 1987. Boyer (1997) finds significant increases in correlation during financial crises, and reinforces a definition of financial contagion as a correlation changing during the crash period. Forbes and Rigobon (2002) give a definition of financial contagion. In their work, the term interdependence is used as the alternative to contagion. They claim that for the period they study, there is no contagion but only interdependence. Interdependence leads to common price movements during periods both of stability and turmoil. In the past two decades, many studies (e.g. Kaminsky et at., 1998; Kaminsky 1999) have developed early warning systems focused on the origins of financial crises rather than on financial contagion. Further authors (e.g. Forbes and Rigobon, 2002; Caporale et al, 2005), on the other hand, have focused on studying contagion or interdependence. In this thesis, an overall mechanism is proposed that simulates characteristics of propagating crisis through contagion. Within that scope, a new co-evolutionary market model is developed, where some of the technical traders change their behaviour during crisis to transform into herd traders making their decisions based on market sentiment rather than underlying strategies or factors. The thesis focuses on the transformation of market interdependence into contagion and on the contagion effects. The author first build a multi-national platform to allow different type of players to trade implementing their own rules and considering information from the domestic and a foreign market. Traders’ strategies and the performance of the simulated domestic market are trained using historical prices on both markets, and optimizing artificial market’s parameters through immune - particle swarm optimization techniques (I-PSO). The author also introduces a mechanism contributing to the transformation of technical into herd traders. A generalized auto-regressive conditional heteroscedasticity - copula (GARCH-copula) is further applied to calculate the tail dependence between the affected market and the origin of the crisis, and that parameter is used in the fitness function for selecting the best solutions within the evolving population of possible model parameters, and therefore in the optimization criteria for contagion simulation. The overall model is also applied in predictive mode, where the author optimize in the pre-crisis period using data from the domestic market and the crisis-origin foreign market, and predict in the crisis period using data from the foreign market and predicting the affected domestic market

A Review of Harmful Algal Bloom Prediction Models for Lakes and Reservoirs

Anthropogenic activity has led to eutrophication in water bodies across the world. This eutrophication promotes blooms, cyanobacteria being among the most notorious bloom organisms. Cyanobacterial blooms (more commonly referred to as harmful algal blooms (HABs)) can devastate an ecosystem. Cyanobacteria are resilient microorganisms that have adapted to survive under a variety of conditions, often outcompeting other phytoplankton. Some species of cyanobacteria produce toxins that ward off predators. These toxins can negatively affect the health of the aquatic life, but also can impact animals and humans that drink or come in contact with these noxious waters. Although cyanotoxin’s effects on humans are not as well researched as the growth, behavior, and ecological niche of cyanobacteria, their health impacts are of large concern. It is important that research to mitigate and understand cyanobacterial blooms and cyanotoxin production continues. This project supports continued research by addressing an approach to collect and summarize published articles that focus on techniques and models to predict cyanobacterial blooms with the goal of understanding what research has been done to promote future work. The following report summarizes 34 articles from 2003 to 2020 that each describe a mechanistic or data driven model developed to predict the occurrence of cyanobacterial blooms or the presence of cyanotoxins in lakes or reservoirs with similar climates to Utah. These articles showed a shift from more mechanistic approaches to more data driven approaches with time. This resulted in a more individualistic approach to modeling, meaning that models are often produced for a single lake or reservoir and are not easily comparable to other models for different systems

Biological System Behaviours and Natural-inspired Methods and Their Applications to Supply Chain Management

People have learnt from biological system behaviours and structures to design and develop a number of different kinds of optimisation algorithms that have been widely used in both theoretical study and practical applications in engineering and business management. An efficient supply chain is very important for companies to survive in global competitive market. An effective SCM (supply chain management) is the key for implement an efficient supply chain. Though there have been considerable amount of study of SCM, there have been very limited publications of applying the findings from the biological system study into SCM. In this paper, through systematic literature review, various SCM issues and requirements are discussed and some typical biological system behaviours and natural-inspired algorithms are evaluated for the purpose of SCM. Then the principle and possibility are presented on how to learn the biological systems' behaviours and natural-inspired algorithms for SCM and a framework is proposed as a guide line for users to apply the knowledge learnt from the biological systems for SCM. In the framework, a number of the procedures have been presented for using XML to represent both SCM requirement and bio-inspiration data. To demonstrate the proposed framework, a case study has been presented for users to find the bio-inspirations for some particular SCM problems in automotive industry

Novel Methodologies for Providing In Situ Data to HAB Early Warning Systems in the European Atlantic Area: The PRIMROSE Experience

Harmful algal blooms (HABs) cause harm to human health or hinder sustainable use of the marine environment in Blue Economy sectors. HABs are temporally and spatially variable and hence their mitigation is closely linked to effective early warning. The European Union (EU) Interreg Atlantic Area project “PRIMROSE”, Predicting Risk and Impact of Harmful Events on the Aquaculture Sector, was focused on the joint development of HAB early warning systems in different regions along the European Atlantic Area. Advancement of the existing HAB forecasting systems requires development of forecasting tools, improvements in data flow and processing, but also additional data inputs to assess the distribution of HAB species, especially in areas away from national monitoring stations, usually located near aquaculture sites. In this contribution, we review different novel technologies for acquiring HAB data and report on the experience gained in several novel local data collection exercises performed during the project. Demonstrations include the deployment of autonomous imaging flow cytometry (IFC) sensors near two aquaculture areas: a mooring in the Daoulas estuary in the Bay of Brest and pumping from a bay in the Shetland Islands to an inland IFC; and several drone deployments, both of Unmanned Aerial Vehicles (UAV) and of Autonomous Surface vehicles (ASVs). Additionally, we have reviewed sampling approaches potentially relevant for HAB early warning including protocols for opportunistic water sampling by coastguard agencies. Experiences in the determination of marine biotoxins in non-traditional vectors and how they could complement standard routine HAB monitoring are also considered.En prens

GUARDIANS final report

Emergencies in industrial warehouses are a major concern for firefghters. The large dimensions together with the development of dense smoke that drastically reduces visibility, represent major challenges. The Guardians robot swarm is designed to assist fire fighters in searching a large warehouse. In this report we discuss the technology developed for a swarm of robots searching and assisting fire fighters. We explain the swarming algorithms which provide the functionality by which the robots react to and follow humans while no communication is required. Next we discuss the wireless communication system, which is a so-called mobile ad-hoc network. The communication network provides also one of the means to locate the robots and humans. Thus the robot swarm is able to locate itself and provide guidance information to the humans. Together with the re ghters we explored how the robot swarm should feed information back to the human fire fighter. We have designed and experimented with interfaces for presenting swarm based information to human beings

Detecting and predicting the topic change of Knowledge-based Systems: A topic-based bibliometric analysis from 1991 to 2016

© 2017 The journal Knowledge-based Systems (KnoSys) has been published for over 25 years, during which time its main foci have been extended to a broad range of studies in computer science and artificial intelligence. Answering the questions: “What is the KnoSys community interested in?” and “How does such interest change over time?” are important to both the editorial board and audience of KnoSys. This paper conducts a topic-based bibliometric study to detect and predict the topic changes of KnoSys from 1991 to 2016. A Latent Dirichlet Allocation model is used to profile the hotspots of KnoSys and predict possible future trends from a probabilistic perspective. A model of scientific evolutionary pathways applies a learning-based process to detect the topic changes of KnoSys in sequential time slices. Six main research areas of KnoSys are identified, i.e., expert systems, machine learning, data mining, decision making, optimization, and fuzzy, and the results also indicate that the interest of KnoSys communities in the area of computational intelligence is raised, and the ability to construct practical systems through knowledge use and accurate prediction models is highly emphasized. Such empirical insights can be used as a guide for KnoSys submissions

Water filtration by using apple and banana peels as activated carbon

Water filter is an important devices for reducing the contaminants in raw water. Activated from charcoal is used to absorb the contaminants. Fruit peels are some of the suitable alternative carbon to substitute the charcoal. Determining the role of fruit peels which were apple and banana peels powder as activated carbon in water filter is the main goal. Drying and blending the peels till they become powder is the way to allow them to absorb the contaminants. Comparing the results for raw water before and after filtering is the observation. After filtering the raw water, the reading for pH was 6.8 which is in normal pH and turbidity reading recorded was 658 NTU. As for the colour, the water becomes more clear compared to the raw water. This study has found that fruit peels such as banana and apple are an effective substitute to charcoal as natural absorbent

Sustainable marine ecosystems: deep learning for water quality assessment and forecasting

An appropriate management of the available resources within oceans and coastal regions is vital to guarantee their sustainable development and preservation, where water quality is a key element. Leveraging on a combination of cross-disciplinary technologies including Remote Sensing (RS), Internet of Things (IoT), Big Data, cloud computing, and Artificial Intelligence (AI) is essential to attain this aim. In this paper, we review methodologies and technologies for water quality assessment that contribute to a sustainable management of marine environments. Specifically, we focus on Deep Leaning (DL) strategies for water quality estimation and forecasting. The analyzed literature is classified depending on the type of task, scenario and architecture. Moreover, several applications including coastal management and aquaculture are surveyed. Finally, we discuss open issues still to be addressed and potential research lines where transfer learning, knowledge fusion, reinforcement learning, edge computing and decision-making policies are expected to be the main involved agents.Postprint (published version