European exchange trading funds trading with locally weighted support vector regression

In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series

Fruit production forecasting by neuro-fuzzy techniques

Neuro-fuzzy techniques are finding a practical application in many fields such as in model identification and forecasting of linear and non-linear systems. This paper presents a neuro-fuzzy model for forecasting the fruit production of some agriculture products (olives, lemons, oranges, cherries and pistachios). The model utilizes a time series of yearly data. The fruit forecasting is based on Adaptive Neural Fuzzy Inference System (ANFIS). ANFIS uses a combination of the least-squares method and the backprobagation gradient descent method to estimate the optimal food forecast parameters for each year. The results are compared to those of an Autoregressive (AR) model and an Autoregressive Moving Average model (ARMA).Fruit forecasting, neuro-fuzzy, ANFIS, AR, ARMA, forecasting, fruit production, Agricultural Finance, Crop Production/Industries,

Intelligent Financial Fraud Detection Practices: An Investigation

Financial fraud is an issue with far reaching consequences in the finance industry, government, corporate sectors, and for ordinary consumers. Increasing dependence on new technologies such as cloud and mobile computing in recent years has compounded the problem. Traditional methods of detection involve extensive use of auditing, where a trained individual manually observes reports or transactions in an attempt to discover fraudulent behaviour. This method is not only time consuming, expensive and inaccurate, but in the age of big data it is also impractical. Not surprisingly, financial institutions have turned to automated processes using statistical and computational methods. This paper presents a comprehensive investigation on financial fraud detection practices using such data mining methods, with a particular focus on computational intelligence-based techniques. Classification of the practices based on key aspects such as detection algorithm used, fraud type investigated, and success rate have been covered. Issues and challenges associated with the current practices and potential future direction of research have also been identified.Comment: Proceedings of the 10th International Conference on Security and Privacy in Communication Networks (SecureComm 2014