Do artificial neural networks provide improved volatility forecasts:Evidence from Asian markets

This paper enters the ongoing volatility forecasting debate by examining the ability of a wide range of Machine Learning methods (ML), and specifically Artificial Neural Network (ANN) models. The ANN models are compared against traditional econometric models for ten Asian markets using daily data for the time period from 12 September 1994 to 05 March 2018. The empirical results indicate that ML algorithms, across the range of countries, can better approximate dependencies compared to traditional benchmark models. Notably, the predictive performance of such deep learning models is superior perhaps due to its ability in capturing long-range dependencies. For example, the Neuro Fuzzy models of ANFIS and CANFIS, which outperform the EGARCH model, are more flexible in modelling both asymmetry and long memory properties. This offers new insights for Asian markets. In addition to standard statistics forecast metrics, we also consider risk management measures including the value-at-risk (VaR) average failure rate, the Kupiec LR test, the Christoffersen independence test, the expected shortfall (ES) and the dynamic quantile test. The study concludes that ML algorithms provide improving volatility forecasts in the stock markets of Asia and suggest that this may be a fruitful approach for risk management.</p

Do artificial neural networks provide improved volatility forecasts:Evidence from Asian markets

This paper enters the ongoing volatility forecasting debate by examining the ability of a wide range of Machine Learning methods (ML), and specifically Artificial Neural Network (ANN) models. The ANN models are compared against traditional econometric models for ten Asian markets using daily data for the time period from 12 September 1994 to 05 March 2018. The empirical results indicate that ML algorithms, across the range of countries, can better approximate dependencies compared to traditional benchmark models. Notably, the predictive performance of such deep learning models is superior perhaps due to its ability in capturing long-range dependencies. For example, the Neuro Fuzzy models of ANFIS and CANFIS, which outperform the EGARCH model, are more flexible in modelling both asymmetry and long memory properties. This offers new insights for Asian markets. In addition to standard statistics forecast metrics, we also consider risk management measures including the value-at-risk (VaR) average failure rate, the Kupiec LR test, the Christoffersen independence test, the expected shortfall (ES) and the dynamic quantile test. The study concludes that ML algorithms provide improving volatility forecasts in the stock markets of Asia and suggest that this may be a fruitful approach for risk management.</p

Do artificial neural networks provide improved volatility forecasts: evidence from Asian markets

This paper enters the ongoing volatility forecasting debate by examining the ability of a wide range of Machine Learning methods (ML), and specifically Artificial Neural Network (ANN) models. The ANN models are compared against traditional econometric models for ten Asian markets using daily data for the time period from 12 September 1994 to 05 March 2018. The empirical results indicate that ML algorithms, across the range of countries, can better approximate dependencies compared to traditional benchmark models. Notably, the predictive performance of such deep learning models is superior perhaps due to its ability in capturing long-range dependencies. For example, the Neuro Fuzzy models of ANFIS and CANFIS, which outperform the EGARCH model, are more flexible in modelling both asymmetry and long memory properties. This offers new insights for Asian markets. In addition to standard statistics forecast metrics, we also consider risk management measures including the value-at-risk (VaR) average failure rate, the Kupiec LR test, the Christoffersen independence test, the expected shortfall (ES) and the dynamic quantile test. The study concludes that ML algorithms provide improving volatility forecasts in the stock markets of Asia and suggest that this may be a fruitful approach for risk management

Establishment of a novel predictive reliability assessment strategy for ship machinery

There is no doubt that recent years, maritime industry is moving forward to novel and sophisticated inspection and maintenance practices. Nowadays maintenance is encountered as an operational method, which can be employed both as a profit generating process and a cost reduction budget centre through an enhanced Operation and Maintenance (O&M) strategy. In the first place, a flexible framework to be applicable on complex system level of machinery can be introduced towards ship maintenance scheduling of systems, subsystems and components.;This holistic inspection and maintenance notion should be implemented by integrating different strategies, methodologies, technologies and tools, suitably selected by fulfilling the requirements of the selected ship systems. In this thesis, an innovative maintenance strategy for ship machinery is proposed, namely the Probabilistic Machinery Reliability Assessment (PMRA) strategy focusing towards the reliability and safety enhancement of main systems, subsystems and maintainable units and components.;In this respect, the combination of a data mining method (k-means), the manufacturer safety aspects, the dynamic state modelling (Markov Chains), the probabilistic predictive reliability assessment (Bayesian Belief Networks) and the qualitative decision making (Failure Modes and Effects Analysis) is employed encompassing the benefits of qualitative and quantitative reliability assessment. PMRA has been clearly demonstrated in two case studies applied on offshore platform oil and gas and selected ship machinery.;The results are used to identify the most unreliability systems, subsystems and components, while advising suitable practical inspection and maintenance activities. The proposed PMRA strategy is also tested in a flexible sensitivity analysis scheme.There is no doubt that recent years, maritime industry is moving forward to novel and sophisticated inspection and maintenance practices. Nowadays maintenance is encountered as an operational method, which can be employed both as a profit generating process and a cost reduction budget centre through an enhanced Operation and Maintenance (O&M) strategy. In the first place, a flexible framework to be applicable on complex system level of machinery can be introduced towards ship maintenance scheduling of systems, subsystems and components.;This holistic inspection and maintenance notion should be implemented by integrating different strategies, methodologies, technologies and tools, suitably selected by fulfilling the requirements of the selected ship systems. In this thesis, an innovative maintenance strategy for ship machinery is proposed, namely the Probabilistic Machinery Reliability Assessment (PMRA) strategy focusing towards the reliability and safety enhancement of main systems, subsystems and maintainable units and components.;In this respect, the combination of a data mining method (k-means), the manufacturer safety aspects, the dynamic state modelling (Markov Chains), the probabilistic predictive reliability assessment (Bayesian Belief Networks) and the qualitative decision making (Failure Modes and Effects Analysis) is employed encompassing the benefits of qualitative and quantitative reliability assessment. PMRA has been clearly demonstrated in two case studies applied on offshore platform oil and gas and selected ship machinery.;The results are used to identify the most unreliability systems, subsystems and components, while advising suitable practical inspection and maintenance activities. The proposed PMRA strategy is also tested in a flexible sensitivity analysis scheme