An academic review: applications of data mining techniques in finance industry

With the development of Internet techniques, data volumes are doubling every two years, faster than predicted by Moore’s Law. Big Data Analytics becomes particularly important for enterprise business. Modern computational technologies will provide effective tools to help understand hugely accumulated data and leverage this information to get insights into the finance industry. In order to get actionable insights into the business, data has become most valuable asset of financial organisations, as there are no physical products in finance industry to manufacture. This is where data mining techniques come to their rescue by allowing access to the right information at the right time. These techniques are used by the finance industry in various areas such as fraud detection, intelligent forecasting, credit rating, loan management, customer profiling, money laundering, marketing and prediction of price movements to name a few. This work aims to survey the research on data mining techniques applied to the finance industry from 2010 to 2015.The review finds that Stock prediction and Credit rating have received most attention of researchers, compared to Loan prediction, Money Laundering and Time Series prediction. Due to the dynamics, uncertainty and variety of data, nonlinear mapping techniques have been deeply studied than linear techniques. Also it has been proved that hybrid methods are more accurate in prediction, closely followed by Neural Network technique. This survey could provide a clue of applications of data mining techniques for finance industry, and a summary of methodologies for researchers in this area. Especially, it could provide a good vision of Data Mining Techniques in computational finance for beginners who want to work in the field of computational finance

Improving the profitability, availability and condition monitoring of FPSO terminals

The main focus of this study is to improve the profitability, availability and condition monitoring of Liquefied Natural Gas (LNG) Floating Production Storage and Offloading platforms (FPSOs). Propane pre-cooled, mixed refrigerant (C3MR) liquefaction is the key process in the production of LNG on FPSOs. LNG liquefaction system equipment has the highest failure rates among the other FPSO equipment, and thus the highest maintenance cost. Improvements in the profitability, availability and condition monitoring were made in two ways: firstly, by making recommendations for the use of redundancy in order to improve system reliability (and hence availability); and secondly, by developing an effective condition-monitoring algorithm that can be used as part of a condition-based maintenance system. C3MR liquefaction system reliability modelling was undertaken using the time-dependent Markov approach. Four different system options were studied, with varying degrees of redundancy. The results of the reliability analysis indicated that the introduction of a standby liquefaction system could be the best option for liquefaction plants in terms of reliability, availability and profitability; this is because the annual profits of medium-sized FPSOs (3MTPA) were estimated to increase by approximately US$296 million, rising from about US$1,190 million to US$1,485.98 million, if redundancy were implemented. The cost-benefit analysis results were based on the average LNG prices (US$500/ton) in 2013 and 2014. Typically, centrifugal turbines, compressors and blowers are the main items of equipment in LNG liquefaction plants. Because centrifugal equipment tops the FPSO equipment failure list, a Condition Monitoring (CM) system for such equipment was proposed and tested to reduce maintenance and shutdown costs, and also to reduce flaring. The proposed CM system was based on a novel FFT-based segmentation, feature selection and fault identification algorithm. A 20 HP industrial air compressor system with a rotational speed of 15,650 RPM was utilised to experimentally emulate five different typical centrifugal equipment machine conditions in the laboratory; this involved training and testing the proposed algorithm with a total of 105 datasets. The fault diagnosis performance of the algorithm was compared with other methods, namely standard FFT classifiers and Neural Network. A sensitivity analysis was performed in order to determine the effect of the time length and position of the signals on the diagnostic performance of the proposed fault identification algorithm. The algorithm was also checked for its ability to identify machine degradation using datasets for which the algorithm was not trained. Moreover, a characterisation table that prioritises the different fault detection techniques and signal features for the diagnosis of centrifugal equipment faults, was introduced to determine the best fault identification technique and signal feature. The results suggested that the proposed automated feature selection and fault identification algorithm is effective and competitive as it yielded a fault identification performance of 100% in 3.5 seconds only in comparison to 57.2 seconds for NN. The sensitivity analysis showed that the algorithm is robust as its fault identification performance was affected by neither the time length nor the position of signals. The characterisation study demonstrated the effectiveness of the AE spectral feature technique over the fault identification techniques and signal features tested in the course of diagnosing centrifugal equipment faults. Moreover, the algorithm performed well in the identification of machine degradation. In summary, the results of this study indicate that the proposed two-pronged approach has the potential to yield a highly reliable LNG liquefaction system with significantly improved availability and profitability profiles

COMPUTATIONAL ANALYSIS OF KNOWLEDGE SHARING IN COLLABORATIVE DISTANCE LEARNING

The rapid advance of distance learning and networking technology has enabled universities and corporations to reach out and educate students across time and space barriers. This technology supports structured, on-line learning activities, and provides facilities for assessment and collaboration. Structured collaboration, in the classroom, has proven itself a successful and uniquely powerful learning method. Online collaborative learners, however, do not enjoy the same benefits as face-to-face learners because the technology provides no guidance or direction during online discussion sessions. Integrating intelligent facilitation agents into collaborative distance learning environments may help bring the benefits of the supportive classroom closer to distance learners.In this dissertation, I describe a new approach to analyzing and supporting online peer interaction. The approach applies Hidden Markov Models, and Multidimensional Scaling with a threshold-based clustering method, to analyze and assess sequences of coded on-line student interaction. These analysis techniques were used to train a system to dynamically recognize when and why students may be experiencing breakdowns while sharing knowledge and learning from each other. I focus on knowledge sharing interaction because students bring a great deal of specialized knowledge and experiences to the group, and how they share and assimilate this knowledge shapes the collaboration and learning processes. The results of this research could be used to dynamically inform and assist an intelligent instructional agent in facilitating knowledge sharing interaction, and helping to improve the quality of online learning interaction

A Framework for Discovery and Diagnosis of Behavioral Transitions in Event-streams

Date stream mining techniques can be used in tracking user behaviors as they attempt to achieve their goals. Quality metrics over stream-mined models identify potential changes in user goal attainment. When the quality of some data mined models varies significantly from nearby models—as defined by quality metrics—then the user’s behavior is automatically flagged as a potentially significant behavioral change. Decision tree, sequence pattern and Hidden Markov modeling being used in this study. These three types of modeling can expose different aspect of user’s behavior. In case of decision tree modeling, the specific changes in user behavior can automatically characterized by differencing the data-mined decision-tree models. The sequence pattern modeling can shed light on how the user changes his sequence of actions and Hidden Markov modeling can identifies the learning transition points. This research describes how model-quality monitoring and these three types of modeling as a generic framework can aid recognition and diagnoses of behavioral changes in a case study of cognitive rehabilitation via emailing. The date stream mining techniques mentioned are used to monitor patient goals as part of a clinical plan to aid cognitive rehabilitation. In this context, real time data mining aids clinicians in tracking user behaviors as they attempt to achieve their goals. This generic framework can be widely applicable to other real-time data-intensive analysis problems. In order to illustrate this fact, the similar Hidden Markov modeling is being used for analyzing the transactional behavior of a telecommunication company for fraud detection. Fraud similarly can be considered as a potentially significant transaction behavioral change

A Dashboard-based Predictive Process Monitoring Engine

Protsesside jälgimine moodustab keskse osa äriprotsesside juhtimisest. See sisaldab tegevusi, milles kogutakse ja analüüsitakse protsessi täideviimise andmeid, et mõõta protsesside tulemuslikkust, võttes arvesse soorituse eesmärke. Tavaliselt on protsesside jälgimist sooritatud käitluse ajal, võimaldades reaalajalist ülevaadet protsessi sooritusest ja tuvastades protsessi vaidlusküsimused nende tekkimise hetkel. Viimasel ajal logimisvõimetega töövoo juhtimise süsteemide laialdane omaksvõtt on loonud aktiivse andmetest ajendatud ennustava protsesside jälgimise, mis kasutab varasemat protsesside jooksutamise andmestikku, et ennustada käimasolevate äriprotsesside tulevikusuunda. Seega potentsiaalselt hälbiva protsessi kulgu saab ette ennustada ja lahendada. Tüüpiliste protsesside jälgimise probleemidega tegelemiseks on välja pakutud erinevaid lähenemisi, nagu kas parasjagu käiva protsessi instants vastab selle soorituse eesmärkidele või millal instantsiga lõpule jõutakse. Need lähenemised on siiski seni jäänud akadeemilisse valdkonda ning neid pole rakendatud tööstuse sätetesse. Selles lõputöös me disainisime ja teostasime ennustava protsessi jälgimise mootori prototüübi. Arendatud lahendus on konfigureeritav täispinu veebiraamistik, mis võimaldab mitme soorituse indikaatori ennustamist ja mida saab kerge vaevaga laiendada teiste indikaatorite jaoks uute ennustavate mudelitega. Lisaks võimaldab see mitmest äriprotsessist pärinevate sündmusvoogude käsitlemist. Nii ennustuste tulemused kui protsesside täitmise reaalaja statistika kokkuvõtted kuvatakse esipaneelil, mis võimaldab mitut erinevat alternatiivset visualiseerimise valikut. Lahendus on kahte tõsielu äriprotsessi kasutades edukalt valideeritud, arvestades defineeritud funktsionaalseid ja mittefunktsionaalseid nõudeid.Process monitoring forms an integral part of business process management. It involves activities in which process execution data are collected and analyzed to measure the process performance with respect to the performance objectives. Traditionally, process monitoring has been performed at runtime, providing a real-time overview of the process performance and identifying performance issues as they arise. Recently, the rapid adop- tion of workflow management systems with logging capabilities has spawned the active development of data-driven, predictive process monitoring that exploits the historical process execution data to predict the future course of ongoing instances of a business process. Thus, potentially deviant process behavior can be anticipated and proactively addressed.To this end, various approaches have been proposed to tackle typical predictive monitoring problems, such as whether an ongoing process instance will fulfill its per- formance objectives, or when will an instance be completed. However, so far these approaches have largely remained in the academic domain and have not been widely applied in industry settings, mostly due to the lack of software support. In this the- sis, we have designed and implemented a prototype of a predictive process monitor- ing engine. The developed solution, named Nirdizati, is a configurable full-stack web framework that enables the prediction of several performance indicators and is easily extensible with new predictive models for other indicators. In addition, it allows han- dling event streams that originate from multiple business processes. The results of the predictions, as well as the real-time summary statistics about the process execution, are presented in a dashboard that offers multiple alternative visualization options. The dashboard updates periodically based on the arriving stream of events. The solution has been successfully validated with respect to the established functional and non-functional requirements using event streams corresponding to two real-life business processes

Hidden Markov Models

Hidden Markov Models (HMMs), although known for decades, have made a big career nowadays and are still in state of development. This book presents theoretical issues and a variety of HMMs applications in speech recognition and synthesis, medicine, neurosciences, computational biology, bioinformatics, seismology, environment protection and engineering. I hope that the reader will find this book useful and helpful for their own research

A Decade of Neural Networks: Practical Applications and Prospects

The Jet Propulsion Laboratory Neural Network Workshop, sponsored by NASA and DOD, brings together sponsoring agencies, active researchers, and the user community to formulate a vision for the next decade of neural network research and application prospects. While the speed and computing power of microprocessors continue to grow at an ever-increasing pace, the demand to intelligently and adaptively deal with the complex, fuzzy, and often ill-defined world around us remains to a large extent unaddressed. Powerful, highly parallel computing paradigms such as neural networks promise to have a major impact in addressing these needs. Papers in the workshop proceedings highlight benefits of neural networks in real-world applications compared to conventional computing techniques. Topics include fault diagnosis, pattern recognition, and multiparameter optimization

Recognising high-level agent behaviour through observations in data scarce domains

This thesis presents a novel method for performing multi-agent behaviour recognition without requiring large training corpora. The reduced need for data means that robust probabilistic recognition can be performed within domains where annotated datasets are traditionally unavailable (e.g. surveillance, defence). Human behaviours are composed from sequences of underlying activities that can be used as salient features. We do not assume that the exact temporal ordering of such features is necessary, so can represent behaviours using an unordered “bag-of-features”. A weak temporal ordering is imposed during inference to match behaviours to observations and replaces the learnt model parameters used by competing methods. Our three-tier architecture comprises low-level video tracking, event analysis and high-level inference. High-level inference is performed using a new, cascading extension of the Rao-Blackwellised Particle Filter. Behaviours are recognised at multiple levels of abstraction and can contain a mixture of solo and multiagent behaviour. We validate our framework using the PETS 2006 video surveillance dataset and our own video sequences, in addition to a large corpus of simulated data. We achieve a mean recognition precision of 96.4% on the simulated data and 89.3% on the combined video data. Our “bag-of-features” framework is able to detect when behaviours terminate and accurately explains agent behaviour despite significant quantities of low-level classification errors in the input, and can even detect agents who change their behaviour

A Data Mining Toolbox for Collaborative Writing Processes

Collaborative writing (CW) is an essential skill in academia and industry. Providing support during the process of CW can be useful not only for achieving better quality documents, but also for improving the CW skills of the writers. In order to properly support collaborative writing, it is essential to understand how ideas and concepts are developed during the writing process, which consists of a series of steps of writing activities. These steps can be considered as sequence patterns comprising both time events and the semantics of the changes made during those steps. Two techniques can be combined to examine those patterns: process mining, which focuses on extracting process-related knowledge from event logs recorded by an information system; and semantic analysis, which focuses on extracting knowledge about what the student wrote or edited. This thesis contributes (i) techniques to automatically extract process models of collaborative writing processes and (ii) visualisations to describe aspects of collaborative writing. These two techniques form a data mining toolbox for collaborative writing by using process mining, probabilistic graphical models, and text mining. First, I created a framework, WriteProc, for investigating collaborative writing processes, integrated with the existing cloud computing writing tools in Google Docs. Secondly, I created new heuristic to extract the semantic nature of text edits that occur in the document revisions and automatically identify the corresponding writing activities. Thirdly, based on sequences of writing activities, I propose methods to discover the writing process models and transitional state diagrams using a process mining algorithm, Heuristics Miner, and Hidden Markov Models, respectively. Finally, I designed three types of visualisations and made contributions to their underlying techniques for analysing writing processes. All components of the toolbox are validated against annotated writing activities of real documents and a synthetic dataset. I also illustrate how the automatically discovered process models and visualisations are used in the process analysis with real documents written by groups of graduate students. I discuss how the analyses can be used to gain further insight into how students work and create their collaborative documents