6,030 research outputs found

    Undergraduate Catalog of Studies, 2023-2024

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    Graduate Catalog of Studies, 2023-2024

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    Applications of Deep Learning Models in Financial Forecasting

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    In financial markets, deep learning techniques sparked a revolution, reshaping conventional approaches and amplifying predictive capabilities. This thesis explored the applications of deep learning models to unravel insights and methodologies aimed at advancing financial forecasting. The crux of the research problem lies in the applications of predictive models within financial domains, characterised by high volatility and uncertainty. This thesis investigated the application of advanced deep-learning methodologies in the context of financial forecasting, addressing the challenges posed by the dynamic nature of financial markets. These challenges were tackled by exploring a range of techniques, including convolutional neural networks (CNNs), long short-term memory networks (LSTMs), autoencoders (AEs), and variational autoencoders (VAEs), along with approaches such as encoding financial time series into images. Through analysis, methodologies such as transfer learning, convolutional neural networks, long short-term memory networks, generative modelling, and image encoding of time series data were examined. These methodologies collectively offered a comprehensive toolkit for extracting meaningful insights from financial data. The present work investigated the practicality of a deep learning CNN-LSTM model within the Directional Change framework to predict significant DC events—a task crucial for timely decisionmaking in financial markets. Furthermore, the potential of autoencoders and variational autoencoders to enhance financial forecasting accuracy and remove noise from financial time series data was explored. Leveraging their capacity within financial time series, these models offered promising avenues for improved data representation and subsequent forecasting. To further contribute to financial prediction capabilities, a deep multi-model was developed that harnessed the power of pre-trained computer vision models. This innovative approach aimed to predict the VVIX, utilising the cross-disciplinary synergy between computer vision and financial forecasting. By integrating knowledge from these domains, novel insights into the prediction of market volatility were provided

    Convolutional neural network ensemble learning for hyperspectral imaging-based blackberry fruit ripeness detection in uncontrolled farm environment

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    Fruit ripeness estimation models have for decades depended on spectral index features or colour-based features, such as mean, standard deviation, skewness, colour moments, and/or histograms for learning traits of fruit ripeness. Recently, few studies have explored the use of deep learning techniques to extract features from images of fruits with visible ripeness cues. However, the blackberry (Rubus fruticosus) fruit does not show obvious and reliable visible traits of ripeness when mature and therefore poses great difficulty to fruit pickers. The mature blackberry, to the human eye, is black before, during, and post-ripening. To address this engineering application challenge, this paper proposes a novel multi-input convolutional neural network (CNN) ensemble classifier for detecting subtle traits of ripeness in blackberry fruits. The multi-input CNN was created from a pre-trained visual geometry group 16-layer deep convolutional network (VGG16) model trained on the ImageNet dataset. The fully connected layers were optimized for learning traits of ripeness of mature blackberry fruits. The resulting model served as the base for building homogeneous ensemble learners that were ensemble using the stack generalization ensemble (SGE) framework. The input to the network is images acquired with a stereo sensor using visible and near-infrared (VIS-NIR) spectral filters at wavelengths of 700 nm and 770 nm. Through experiments, the proposed model achieved 95.1% accuracy on unseen sets and 90.2% accuracy with in-field conditions. Further experiments reveal that machine sensory is highly and positively correlated to human sensory over blackberry fruit skin texture

    On the Generation of Realistic and Robust Counterfactual Explanations for Algorithmic Recourse

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    This recent widespread deployment of machine learning algorithms presents many new challenges. Machine learning algorithms are usually opaque and can be particularly difficult to interpret. When humans are involved, algorithmic and automated decisions can negatively impact people’s lives. Therefore, end users would like to be insured against potential harm. One popular way to achieve this is to provide end users access to algorithmic recourse, which gives end users negatively affected by algorithmic decisions the opportunity to reverse unfavorable decisions, e.g., from a loan denial to a loan acceptance. In this thesis, we design recourse algorithms to meet various end user needs. First, we propose methods for the generation of realistic recourses. We use generative models to suggest recourses likely to occur under the data distribution. To this end, we shift the recourse action from the input space to the generative model’s latent space, allowing to generate counterfactuals that lie in regions with data support. Second, we observe that small changes applied to the recourses prescribed to end users likely invalidate the suggested recourse after being nosily implemented in practice. Motivated by this observation, we design methods for the generation of robust recourses and for assessing the robustness of recourse algorithms to data deletion requests. Third, the lack of a commonly used code-base for counterfactual explanation and algorithmic recourse algorithms and the vast array of evaluation measures in literature make it difficult to compare the per formance of different algorithms. To solve this problem, we provide an open source benchmarking library that streamlines the evaluation process and can be used for benchmarking, rapidly developing new methods, and setting up new experiments. In summary, our work contributes to a more reliable interaction of end users and machine learned models by covering fundamental aspects of the recourse process and suggests new solutions towards generating realistic and robust counterfactual explanations for algorithmic recourse

    Advances in machine learning algorithms for financial risk management

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    In this thesis, three novel machine learning techniques are introduced to address distinct yet interrelated challenges involved in financial risk management tasks. These approaches collectively offer a comprehensive strategy, beginning with the precise classification of credit risks, advancing through the nuanced forecasting of financial asset volatility, and ending with the strategic optimisation of financial asset portfolios. Firstly, a Hybrid Dual-Resampling and Cost-Sensitive technique has been proposed to combat the prevalent issue of class imbalance in financial datasets, particularly in credit risk assessment. The key process involves the creation of heuristically balanced datasets to effectively address the problem. It uses a resampling technique based on Gaussian mixture modelling to generate a synthetic minority class from the minority class data and concurrently uses k-means clustering on the majority class. Feature selection is then performed using the Extra Tree Ensemble technique. Subsequently, a cost-sensitive logistic regression model is then applied to predict the probability of default using the heuristically balanced datasets. The results underscore the effectiveness of our proposed technique, with superior performance observed in comparison to other imbalanced preprocessing approaches. This advancement in credit risk classification lays a solid foundation for understanding individual financial behaviours, a crucial first step in the broader context of financial risk management. Building on this foundation, the thesis then explores the forecasting of financial asset volatility, a critical aspect of understanding market dynamics. A novel model that combines a Triple Discriminator Generative Adversarial Network with a continuous wavelet transform is proposed. The proposed model has the ability to decompose volatility time series into signal-like and noise-like frequency components, to allow the separate detection and monitoring of non-stationary volatility data. The network comprises of a wavelet transform component consisting of continuous wavelet transforms and inverse wavelet transform components, an auto-encoder component made up of encoder and decoder networks, and a Generative Adversarial Network consisting of triple Discriminator and Generator networks. The proposed Generative Adversarial Network employs an ensemble of unsupervised loss derived from the Generative Adversarial Network component during training, supervised loss and reconstruction loss as part of its framework. Data from nine financial assets are employed to demonstrate the effectiveness of the proposed model. This approach not only enhances our understanding of market fluctuations but also bridges the gap between individual credit risk assessment and macro-level market analysis. Finally the thesis ends with a novel proposal of a novel technique or Portfolio optimisation. This involves the use of a model-free reinforcement learning strategy for portfolio optimisation using historical Low, High, and Close prices of assets as input with weights of assets as output. A deep Capsules Network is employed to simulate the investment strategy, which involves the reallocation of the different assets to maximise the expected return on investment based on deep reinforcement learning. To provide more learning stability in an online training process, a Markov Differential Sharpe Ratio reward function has been proposed as the reinforcement learning objective function. Additionally, a Multi-Memory Weight Reservoir has also been introduced to facilitate the learning process and optimisation of computed asset weights, helping to sequentially re-balance the portfolio throughout a specified trading period. The use of the insights gained from volatility forecasting into this strategy shows the interconnected nature of the financial markets. Comparative experiments with other models demonstrated that our proposed technique is capable of achieving superior results based on risk-adjusted reward performance measures. In a nut-shell, this thesis not only addresses individual challenges in financial risk management but it also incorporates them into a comprehensive framework; from enhancing the accuracy of credit risk classification, through the improvement and understanding of market volatility, to optimisation of investment strategies. These methodologies collectively show the potential of the use of machine learning to improve financial risk management

    Graduate Catalog of Studies, 2023-2024

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    Multidisciplinary perspectives on Artificial Intelligence and the law

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    This open access book presents an interdisciplinary, multi-authored, edited collection of chapters on Artificial Intelligence (‘AI’) and the Law. AI technology has come to play a central role in the modern data economy. Through a combination of increased computing power, the growing availability of data and the advancement of algorithms, AI has now become an umbrella term for some of the most transformational technological breakthroughs of this age. The importance of AI stems from both the opportunities that it offers and the challenges that it entails. While AI applications hold the promise of economic growth and efficiency gains, they also create significant risks and uncertainty. The potential and perils of AI have thus come to dominate modern discussions of technology and ethics – and although AI was initially allowed to largely develop without guidelines or rules, few would deny that the law is set to play a fundamental role in shaping the future of AI. As the debate over AI is far from over, the need for rigorous analysis has never been greater. This book thus brings together contributors from different fields and backgrounds to explore how the law might provide answers to some of the most pressing questions raised by AI. An outcome of the Católica Research Centre for the Future of Law and its interdisciplinary working group on Law and Artificial Intelligence, it includes contributions by leading scholars in the fields of technology, ethics and the law.info:eu-repo/semantics/publishedVersio

    Enhancing credit card fraud detection: an ensemble machine learning approach

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    In the era of digital advancements, the escalation of credit card fraud necessitates the development of robust and efficient fraud detection systems. This paper delves into the application of machine learning models, specifically focusing on ensemble methods, to enhance credit card fraud detection. Through an extensive review of existing literature, we identified limitations in current fraud detection technologies, including issues like data imbalance, concept drift, false positives/negatives, limited generalisability, and challenges in real-time processing. To address some of these shortcomings, we propose a novel ensemble model that integrates a Support Vector Machine (SVM), K-Nearest Neighbor (KNN), Random Forest (RF), Bagging, and Boosting classifiers. This ensemble model tackles the dataset imbalance problem associated with most credit card datasets by implementing under-sampling and the Synthetic Over-sampling Technique (SMOTE) on some machine learning algorithms. The evaluation of the model utilises a dataset comprising transaction records from European credit card holders, providing a realistic scenario for assessment. The methodology of the proposed model encompasses data pre-processing, feature engineering, model selection, and evaluation, with Google Colab computational capabilities facilitating efficient model training and testing. Comparative analysis between the proposed ensemble model, traditional machine learning methods, and individual classifiers reveals the superior performance of the ensemble in mitigating challenges associated with credit card fraud detection. Across accuracy, precision, recall, and F1-score metrics, the ensemble outperforms existing models. This paper underscores the efficacy of ensemble methods as a valuable tool in the battle against fraudulent transactions. The findings presented lay the groundwork for future advancements in the development of more resilient and adaptive fraud detection systems, which will become crucial as credit card fraud techniques continue to evolve

    The development of bioinformatics workflows to explore single-cell multi-omics data from T and B lymphocytes

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    The adaptive immune response is responsible for recognising, containing and eliminating viral infection, and protecting from further reinfection. This antigen-specific response is driven by T and B cells, which recognise antigenic epitopes via highly specific heterodimeric surface receptors, termed T-cell receptors (TCRs) and B cell receptors (BCRs). The theoretical diversity of the receptor repertoire that can be generated via homologous recombination of V, D and J genes is large enough (>1015 unique sequences) that virtually any antigen can be recognised. However, only a subset of these are generated within the human body, and how they succeed in specifically recognising any pathogen(s) and distinguishing these from self-proteins remains largely unresolved. The recent advances in applying single-cell genomics technologies to simultaneously measure the clonality, surface phenotype and transcriptomic signature of pathogen- specific immune cells have significantly improved understanding of these questions. Single-cell multi-omics permits the accurate identification of clonally expanded populations, their differentiation trajectories, the level of immune receptor repertoire diversity involved in the response and the phenotypic and molecular heterogeneity. This thesis aims to develop a bioinformatic workflow utilising single-cell multi-omics data to explore, quantify and predict the clonal and transcriptomic signatures of the human T-cell response during and following viral infection. In the first aim, a web application, VDJView, was developed to facilitate the simultaneous analysis and visualisation of clonal, transcriptomic and clinical metadata of T and B cell multi-omics data. The application permits non-bioinformaticians to perform quality control and common analyses of single-cell genomics data integrated with other metadata, thus permitting the identification of biologically and clinically relevant parameters. The second aim pertains to analysing the functional, molecular and immune receptor profiles of CD8+ T cells in the acute phase of primary hepatitis C virus (HCV) infection. This analysis identified a novel population of progenitors of exhausted T cells, and lineage tracing revealed distinct trajectories with multiple fates and evolutionary plasticity. Furthermore, it was observed that high-magnitude IFN-γ CD8+ T-cell response is associated with the increased probability of viral escape and chronic infection. Finally, in the third aim, a novel analysis is presented based on the topological characteristics of a network generated on pathogen-specific, paired-chain, CD8+ TCRs. This analysis revealed how some cross-reactivity between TCRs can be explained via the sequence similarity between TCRs and that this property is not uniformly distributed across all pathogen-specific TCR repertoires. Strong correlations between the topological properties of the network and the biological properties of the TCR sequences were identified and highlighted. The suite of workflows and methods presented in this thesis are designed to be adaptable to various T and B cell multi-omic datasets. The associated analyses contribute to understanding the role of T and B cells in the adaptive immune response to viral-infection and cancer
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