High performance Monte Carlo computation for finance risk data analysis

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Finance risk management has been playing an increasingly important role in the finance sector, to analyse finance data and to prevent any potential crisis. It has been widely recognised that Value at Risk (VaR) is an effective method for finance risk management and evaluation. This thesis conducts a comprehensive review on a number of VaR methods and discusses in depth their strengths and limitations. Among these VaR methods, Monte Carlo simulation and analysis has proven to be the most accurate VaR method in finance risk evaluation due to its strong modelling capabilities. However, one major challenge in Monte Carlo analysis is its high computing complexity of O(n²). To speed up the computation in Monte Carlo analysis, this thesis parallelises Monte Carlo using the MapReduce model, which has become a major software programming model in support of data intensive applications. MapReduce consists of two functions - Map and Reduce. The Map function segments a large data set into small data chunks and distribute these data chunks among a number of computers for processing in parallel with a Mapper processing a data chunk on a computing node. The Reduce function collects the results generated by these Map nodes (Mappers) and generates an output. The parallel Monte Carlo is evaluated initially in a small scale MapReduce experimental environment, and subsequently evaluated in a large scale simulation environment. Both experimental and simulation results show that the MapReduce based parallel Monte Carlo is greatly faster than the sequential Monte Carlo in computation, and the accuracy level is maintained as well. In data intensive applications, moving huge volumes of data among the computing nodes could incur high overhead in communication. To address this issue, this thesis further considers data locality in the MapReduce based parallel Monte Carlo, and evaluates the impacts of data locality on the performance in computation

High-Performance Modelling and Simulation for Big Data Applications

This open access book was prepared as a Final Publication of the COST Action IC1406 “High-Performance Modelling and Simulation for Big Data Applications (cHiPSet)“ project. Long considered important pillars of the scientific method, Modelling and Simulation have evolved from traditional discrete numerical methods to complex data-intensive continuous analytical optimisations. Resolution, scale, and accuracy have become essential to predict and analyse natural and complex systems in science and engineering. When their level of abstraction raises to have a better discernment of the domain at hand, their representation gets increasingly demanding for computational and data resources. On the other hand, High Performance Computing typically entails the effective use of parallel and distributed processing units coupled with efficient storage, communication and visualisation systems to underpin complex data-intensive applications in distinct scientific and technical domains. It is then arguably required to have a seamless interaction of High Performance Computing with Modelling and Simulation in order to store, compute, analyse, and visualise large data sets in science and engineering. Funded by the European Commission, cHiPSet has provided a dynamic trans-European forum for their members and distinguished guests to openly discuss novel perspectives and topics of interests for these two communities. This cHiPSet compendium presents a set of selected case studies related to healthcare, biological data, computational advertising, multimedia, finance, bioinformatics, and telecommunications

High-Performance Modelling and Simulation for Big Data Applications

This open access book was prepared as a Final Publication of the COST Action IC1406 “High-Performance Modelling and Simulation for Big Data Applications (cHiPSet)“ project. Long considered important pillars of the scientific method, Modelling and Simulation have evolved from traditional discrete numerical methods to complex data-intensive continuous analytical optimisations. Resolution, scale, and accuracy have become essential to predict and analyse natural and complex systems in science and engineering. When their level of abstraction raises to have a better discernment of the domain at hand, their representation gets increasingly demanding for computational and data resources. On the other hand, High Performance Computing typically entails the effective use of parallel and distributed processing units coupled with efficient storage, communication and visualisation systems to underpin complex data-intensive applications in distinct scientific and technical domains. It is then arguably required to have a seamless interaction of High Performance Computing with Modelling and Simulation in order to store, compute, analyse, and visualise large data sets in science and engineering. Funded by the European Commission, cHiPSet has provided a dynamic trans-European forum for their members and distinguished guests to openly discuss novel perspectives and topics of interests for these two communities. This cHiPSet compendium presents a set of selected case studies related to healthcare, biological data, computational advertising, multimedia, finance, bioinformatics, and telecommunications

Coastal management and adaptation: an integrated data-driven approach

Coastal regions are some of the most exposed to environmental hazards, yet the coast is the preferred settlement site for a high percentage of the global population, and most major global cities are located on or near the coast. This research adopts a predominantly anthropocentric approach to the analysis of coastal risk and resilience. This centres on the pervasive hazards of coastal flooding and erosion. Coastal management decision-making practices are shown to be reliant on access to current and accurate information. However, constraints have been imposed on information flows between scientists, policy makers and practitioners, due to a lack of awareness and utilisation of available data sources. This research seeks to tackle this issue in evaluating how innovations in the use of data and analytics can be applied to further the application of science within decision-making processes related to coastal risk adaptation. In achieving this aim a range of research methodologies have been employed and the progression of topics covered mark a shift from themes of risk to resilience. The work focuses on a case study region of East Anglia, UK, benefiting from the input of a partner organisation, responsible for the region’s coasts: Coastal Partnership East. An initial review revealed how data can be utilised effectively within coastal decision-making practices, highlighting scope for application of advanced Big Data techniques to the analysis of coastal datasets. The process of risk evaluation has been examined in detail, and the range of possibilities afforded by open source coastal datasets were revealed. Subsequently, open source coastal terrain and bathymetric, point cloud datasets were identified for 14 sites within the case study area. These were then utilised within a practical application of a geomorphological change detection (GCD) method. This revealed how analysis of high spatial and temporal resolution point cloud data can accurately reveal and quantify physical coastal impacts. Additionally, the research reveals how data innovations can facilitate adaptation through insurance; more specifically how the use of empirical evidence in pricing of coastal flood insurance can result in both communication and distribution of risk. The various strands of knowledge generated throughout this study reveal how an extensive range of data types, sources, and advanced forms of analysis, can together allow coastal resilience assessments to be founded on empirical evidence. This research serves to demonstrate how the application of advanced data-driven analytical processes can reduce levels of uncertainty and subjectivity inherent within current coastal environmental management practices. Adoption of methods presented within this research could further the possibilities for sustainable and resilient management of the incredibly valuable environmental resource which is the coast

Computational Methods for Medical and Cyber Security

Over the past decade, computational methods, including machine learning (ML) and deep learning (DL), have been exponentially growing in their development of solutions in various domains, especially medicine, cybersecurity, finance, and education. While these applications of machine learning algorithms have been proven beneficial in various fields, many shortcomings have also been highlighted, such as the lack of benchmark datasets, the inability to learn from small datasets, the cost of architecture, adversarial attacks, and imbalanced datasets. On the other hand, new and emerging algorithms, such as deep learning, one-shot learning, continuous learning, and generative adversarial networks, have successfully solved various tasks in these fields. Therefore, applying these new methods to life-critical missions is crucial, as is measuring these less-traditional algorithms' success when used in these fields

Forecasting: theory and practice

Forecasting has always been in the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The lack of a free-lunch theorem implies the need for a diverse set of forecasting methods to tackle an array of applications. This unique article provides a non-systematic review of the theory and the practice of forecasting. We offer a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts, including operations, economics, finance, energy, environment, and social good. We do not claim that this review is an exhaustive list of methods and applications. The list was compiled based on the expertise and interests of the authors. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of the forecasting theory and practice

DATA ANALYTICS FOR CRISIS MANAGEMENT: A CASE STUDY OF SHARING ECONOMY SERVICES IN THE COVID-19 PANDEMIC

This dissertation study aims to analyze the role of data-driven decision-making in sharing economy during the COVID-19 pandemic as a crisis management tool. In the twenty-first century, when applying analytical tools has become an essential component of business decision-making, including operations on crisis management, data analytics is an emerging field. To carry out corporate strategies, data-driven decision-making is seen as a crucial component of business operations. Data analytics can be applied to benefit-cost evaluations, strategy planning, client engagement, and service quality. Data forecasting can also be used to keep an eye on business operations and foresee potential risks. Risk Management and planning are essential for allocating the necessary resources with minimal cost and time and to be ready for a crisis. Hidden market trends and customer preferences can help companies make knowledgeable business decisions during crises and recessions. Each company should manage operations and response during emergencies, a path to recovery, and prepare for future similar events with appropriate data management tools. Sharing economy is part of social commerce, that brings together individuals who have underused assets and who want to rent those assets short-term. COVID-19 has emphasized the need for digital transformation. Since the pandemic began, the sharing economy has been facing challenges, while market demand dropped significantly. Shelter-in-Place and Stay-at-Home orders changed the way of offering such sharing services. Stricter safety procedures and the need for a strong balance sheet are the key take points to surviving during this difficult health crisis. Predictive analytics and peer-reviewed articles are used to assess the pandemic\u27s effects. The approaches chosen to assess the research objectives and the research questions are the predictive financial performance of Uber & Airbnb, bibliographic coupling, and keyword occurrence analyses of peer-reviewed works about the influence of data analytics on the sharing economy. The VOSViewer Bibliometric software program is utilized for computing bibliometric analysis, RapidMiner Predictive Data Analytics for computing data analytics, and LucidChart for visualizing data

Data Analytics for Crisis Management: A Case Study of Sharing Economy Services in the COVID-19 Pandemic

This dissertation study aims to analyze the role of data-driven decision-making in sharing economy during the COVID-19 pandemic as a crisis management tool. In the twenty-first century, when applying analytical tools has become an essential component of business decision-making, including operations on crisis management, data analytics is an emerging field. To carry out corporate strategies, data-driven decision-making is seen as a crucial component of business operations. Data analytics can be applied to benefit-cost evaluations, strategy planning, client engagement, and service quality. Data forecasting can also be used to keep an eye on business operations and foresee potential risks. Risk Management and planning are essential for allocating the necessary resources with minimal cost and time and to be ready for a crisis. Hidden market trends and customer preferences can help companies make knowledgeable business decisions during crises and recessions. Each company should manage operations and response during emergencies, a path to recovery, and prepare for future similar events with appropriate data management tools. Sharing economy is part of social commerce, that brings together individuals who have underused assets and who want to rent those assets short-term. COVID-19 has emphasized the need for digital transformation. Since the pandemic began, the sharing economy has been facing challenges, while market demand dropped significantly. Shelter-in-Place and Stay-at-Home orders changed the way of offering such sharing services. Stricter safety procedures and the need for a strong balance sheet are the key take points to surviving during this difficult health crisis. Predictive analytics and peer-reviewed articles are used to assess the pandemic\u27s effects. The approaches chosen to assess the research objectives and the research questions are the predictive financial performance of Uber & Airbnb, bibliographic coupling, and keyword occurrence analyses of peer-reviewed works about the influence of data analytics on the sharing economy. The VOSViewer Bibliometric software program is utilized for computing bibliometric analysis, RapidMiner Predictive Data Analytics for computing data analytics, and LucidChart for visualizing data

Big Data and Artificial Intelligence in Digital Finance

This open access book presents how cutting-edge digital technologies like Big Data, Machine Learning, Artificial Intelligence (AI), and Blockchain are set to disrupt the financial sector. The book illustrates how recent advances in these technologies facilitate banks, FinTech, and financial institutions to collect, process, analyze, and fully leverage the very large amounts of data that are nowadays produced and exchanged in the sector. To this end, the book also describes some more the most popular Big Data, AI and Blockchain applications in the sector, including novel applications in the areas of Know Your Customer (KYC), Personalized Wealth Management and Asset Management, Portfolio Risk Assessment, as well as variety of novel Usage-based Insurance applications based on Internet-of-Things data. Most of the presented applications have been developed, deployed and validated in real-life digital finance settings in the context of the European Commission funded INFINITECH project, which is a flagship innovation initiative for Big Data and AI in digital finance. This book is ideal for researchers and practitioners in Big Data, AI, banking and digital finance

Forecasting: theory and practice

Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life challenges. This article provides a non-systematic review of the theory and the practice of forecasting. We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts. We do not claim that this review is an exhaustive list of methods and applications. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of forecasting theory and practice. Given its encyclopedic nature, the intended mode of reading is non-linear. We offer cross-references to allow the readers to navigate through the various topics. We complement the theoretical concepts and applications covered by large lists of free or open-source software implementations and publicly-available databases.info:eu-repo/semantics/publishedVersio