3,364 research outputs found
Advances in machine learning algorithms for financial risk management
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
Online semi-supervised learning in non-stationary environments
Existing Data Stream Mining (DSM) algorithms assume the availability of labelled and
balanced data, immediately or after some delay, to extract worthwhile knowledge from the
continuous and rapid data streams. However, in many real-world applications such as
Robotics, Weather Monitoring, Fraud Detection Systems, Cyber Security, and Computer
Network Traffic Flow, an enormous amount of high-speed data is generated by Internet of
Things sensors and real-time data on the Internet. Manual labelling of these data streams
is not practical due to time consumption and the need for domain expertise. Another
challenge is learning under Non-Stationary Environments (NSEs), which occurs due to
changes in the data distributions in a set of input variables and/or class labels. The problem
of Extreme Verification Latency (EVL) under NSEs is referred to as Initially Labelled Non-Stationary Environment (ILNSE). This is a challenging task because the learning algorithms
have no access to the true class labels directly when the concept evolves. Several approaches
exist that deal with NSE and EVL in isolation. However, few algorithms address both issues
simultaneously. This research directly responds to ILNSEâs challenge in proposing two
novel algorithms âPredictor for Streaming Data with Scarce Labelsâ (PSDSL) and
Heterogeneous Dynamic Weighted Majority (HDWM) classifier. PSDSL is an Online Semi-Supervised Learning (OSSL) method for real-time DSM and is closely related to label
scarcity issues in online machine learning.
The key capabilities of PSDSL include learning from a small amount of labelled data in an
incremental or online manner and being available to predict at any time. To achieve this,
PSDSL utilises both labelled and unlabelled data to train the prediction models, meaning it
continuously learns from incoming data and updates the model as new labelled or
unlabelled data becomes available over time. Furthermore, it can predict under NSE
conditions under the scarcity of class labels. PSDSL is built on top of the HDWM classifier,
which preserves the diversity of the classifiers. PSDSL and HDWM can intelligently switch
and adapt to the conditions. The PSDSL adapts to learning states between self-learning,
micro-clustering and CGC, whichever approach is beneficial, based on the characteristics of
the data stream. HDWM makes use of âseedâ learners of different types in an ensemble to
maintain its diversity. The ensembles are simply the combination of predictive models
grouped to improve the predictive performance of a single classifier.
PSDSL is empirically evaluated against COMPOSE, LEVELIW, SCARGC and MClassification
on benchmarks, NSE datasets as well as Massive Online Analysis (MOA) data streams and real-world datasets. The results showed that PSDSL performed significantly better than
existing approaches on most real-time data streams including randomised data instances.
PSDSL performed significantly better than âStaticâ i.e. the classifier is not updated after it is
trained with the first examples in the data streams. When applied to MOA-generated data
streams, PSDSL ranked highest (1.5) and thus performed significantly better than SCARGC,
while SCARGC performed the same as the Static. PSDSL achieved better average prediction
accuracies in a short time than SCARGC.
The HDWM algorithm is evaluated on artificial and real-world data streams against existing
well-known approaches such as the heterogeneous WMA and the homogeneous Dynamic
DWM algorithm. The results showed that HDWM performed significantly better than WMA
and DWM. Also, when recurring concept drifts were present, the predictive performance of
HDWM showed an improvement over DWM. In both drift and real-world streams,
significance tests and post hoc comparisons found significant differences between
algorithms, HDWM performed significantly better than DWM and WMA when applied to
MOA data streams and 4 real-world datasets Electric, Spam, Sensor and Forest cover. The
seeding mechanism and dynamic inclusion of new base learners in the HDWM algorithms
benefit from the use of both forgetting and retaining the models. The algorithm also
provides the independence of selecting the optimal base classifier in its ensemble depending
on the problem.
A new approach, Envelope-Clustering is introduced to resolve the cluster overlap conflicts
during the cluster labelling process. In this process, PSDSL transforms the centroidsâ
information of micro-clusters into micro-instances and generates new clusters called
Envelopes. The nearest envelope clusters assist the conflicted micro-clusters and
successfully guide the cluster labelling process after the concept drifts in the absence of true
class labels. PSDSL has been evaluated on real-world problem âkeystroke dynamicsâ, and
the results show that PSDSL achieved higher prediction accuracy (85.3%) and SCARGC
(81.6%), while the Static (49.0%) significantly degrades the performance due to changes in
the users typing pattern. Furthermore, the predictive accuracies of SCARGC are found
highly fluctuated between (41.1% to 81.6%) based on different values of parameter âkâ
(number of clusters), while PSDSL automatically determine the best values for this
parameter
Towards a General Complex Systems Model of Economic Sanctions with Some Results Outlining Consequences of Sanctions on the Russian Economy and the World
The main purpose of this paper is to present a complex nonlinear modelling approach to analyzing mixed capitalist economic systems. An application of a more elaborate version of this model is to explore the consequences of sanctions on the Russian economy and evaluate the modelâs predictive successes or failures. Furthermore, the formal expanded nonlinear model presented in the appendix may be seen as an initial step to put the analysis of economic sanctions within a formal complex socio-economic systems framework. The results obtained from this structural complex multisectoral model so far seem fairly accurate in terms of agreement with measured values of observable economic variables. The political consequences are uncertain and are to be explored separately in a companion paper and ultimately in a book length treatment.
Methodologically, the paper also presents the case for using Social Accounting Matrix (SAM)-based models for understanding problems of analyzing sanctions in an economywide context. Linear as well as Nonlinear models are presented in the appendix. The nonlinear modelling approach might prove to be especially relevant for studying the properties of multiple equilibria and complex dynamics
AI: Limits and Prospects of Artificial Intelligence
The emergence of artificial intelligence has triggered enthusiasm and promise of boundless opportunities as much as uncertainty about its limits. The contributions to this volume explore the limits of AI, describe the necessary conditions for its functionality, reveal its attendant technical and social problems, and present some existing and potential solutions. At the same time, the contributors highlight the societal and attending economic hopes and fears, utopias and dystopias that are associated with the current and future development of artificial intelligence
Subgroup discovery for structured target concepts
The main object of study in this thesis is subgroup discovery, a theoretical framework for finding subgroups in dataâi.e., named sub-populationsâ whose behaviour with respect to a specified target concept is exceptional when compared to the rest of the dataset. This is a powerful tool that conveys crucial information to a human audience, but despite past advances has been limited to simple target concepts. In this work we propose algorithms that bring this framework to novel application domains. We introduce the concept of representative subgroups, which we use not only to ensure the fairness of a sub-population with regard to a sensitive trait, such as race or gender, but also to go beyond known trends in the data. For entities with additional relational information that can be encoded as a graph, we introduce a novel measure of robust connectedness which improves on established alternative measures of density; we then provide a method that uses this measure to discover which named sub-populations are more well-connected. Our contributions within subgroup discovery crescent with the introduction of kernelised subgroup discovery: a novel framework that enables the discovery of subgroups on i.i.d. target concepts with virtually any kind of structure. Importantly, our framework additionally provides a concrete and efficient tool that works out-of-the-box without any modification, apart from specifying the Gramian of a positive definite kernel. To use within kernelised subgroup discovery, but also on any other kind of kernel method, we additionally introduce a novel random walk graph kernel. Our kernel allows the fine tuning of the alignment between the vertices of the two compared graphs, during the count of the random walks, while we also propose meaningful structure-aware vertex labels to utilise this new capability. With these contributions we thoroughly extend the applicability of subgroup discovery and ultimately re-define it as a kernel method.Der Hauptgegenstand dieser Arbeit ist die Subgruppenentdeckung (Subgroup Discovery), ein theoretischer Rahmen fĂŒr das Auffinden von Subgruppen in Datenâd. h. benannte Teilpopulationenâderen Verhalten in Bezug auf ein bestimmtes Targetkonzept im Vergleich zum Rest des Datensatzes auĂergewöhnlich ist. Es handelt sich hierbei um ein leistungsfĂ€higes Instrument, das einem menschlichen Publikum wichtige Informationen vermittelt. Allerdings ist es trotz bisherigen Fortschritte auf einfache Targetkonzepte beschrĂ€nkt. In dieser Arbeit schlagen wir Algorithmen vor, die diesen Rahmen auf neuartige Anwendungsbereiche ĂŒbertragen. Wir fĂŒhren das Konzept der reprĂ€sentativen Untergruppen ein, mit dem wir nicht nur die Fairness einer Teilpopulation in Bezug auf ein sensibles Merkmal wie Rasse oder Geschlecht sicherstellen, sondern auch ĂŒber bekannte Trends in den Daten hinausgehen können. FĂŒr EntitĂ€ten mit zusĂ€tzlicher relationalen Information, die als Graph kodiert werden kann, fĂŒhren wir ein neuartiges MaĂ fĂŒr robuste Verbundenheit ein, das die etablierten alternativen DichtemaĂe verbessert; anschlieĂend stellen wir eine Methode bereit, die dieses MaĂ verwendet, um herauszufinden, welche benannte Teilpopulationen besser verbunden sind. Unsere BeitrĂ€ge in diesem Rahmen gipfeln in der EinfĂŒhrung der kernelisierten Subgruppenentdeckung: ein neuartiger Rahmen, der die Entdeckung von Subgruppen fĂŒr u.i.v. Targetkonzepten mit praktisch jeder Art von Struktur ermöglicht. Wichtigerweise, unser Rahmen bereitstellt zusĂ€tzlich ein konkretes und effizientes Werkzeug, das ohne jegliche Modifikation funktioniert, abgesehen von der Angabe des Gramian eines positiv definitiven Kernels. FĂŒr den Einsatz innerhalb der kernelisierten Subgruppentdeckung, aber auch fĂŒr jede andere Art von Kernel-Methode, fĂŒhren wir zusĂ€tzlich einen neuartigen Random-Walk-Graph-Kernel ein. Unser Kernel ermöglicht die Feinabstimmung der Ausrichtung zwischen den Eckpunkten der beiden unter-Vergleich-gestelltenen Graphen wĂ€hrend der ZĂ€hlung der Random Walks, wĂ€hrend wir auch sinnvolle strukturbewusste Vertex-Labels vorschlagen, um diese neue FĂ€higkeit zu nutzen. Mit diesen BeitrĂ€gen erweitern wir die Anwendbarkeit der Subgruppentdeckung grĂŒndlich und definieren wir sie im Endeffekt als Kernel-Methode neu
Computational Approaches to Drug Profiling and Drug-Protein Interactions
Despite substantial increases in R&D spending within the pharmaceutical industry, denovo drug design has become a time-consuming endeavour. High attrition rates led to a
long period of stagnation in drug approvals. Due to the extreme costs associated with
introducing a drug to the market, locating and understanding the reasons for clinical failure
is key to future productivity. As part of this PhD, three main contributions were made in
this respect. First, the web platform, LigNFam enables users to interactively explore
similarity relationships between âdrug likeâ molecules and the proteins they bind. Secondly,
two deep-learning-based binding site comparison tools were developed, competing with
the state-of-the-art over benchmark datasets. The models have the ability to predict offtarget interactions and potential candidates for target-based drug repurposing. Finally, the
open-source ScaffoldGraph software was presented for the analysis of hierarchical scaffold
relationships and has already been used in multiple projects, including integration into a
virtual screening pipeline to increase the tractability of ultra-large screening experiments.
Together, and with existing tools, the contributions made will aid in the understanding of
drug-protein relationships, particularly in the fields of off-target prediction and drug
repurposing, helping to design better drugs faster
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The impact of employees' working relations in creating and retaining trust: the case of the Bahrain Olympic Committee
Introduction: This thesis investigates the impact of employeesâ working relations in creating, maintaining and retaining trust in the Bahrain Olympic Committee (BOC).
Aim: The main aim of this thesis is to determine how the three groups of Organisational Trust variables, namely Social System Elements (SSE), Factors of Trustworthiness (FoT) and Third-Party Gossip (TPG), affect employeesâ Organisational Trust (OTR) in the BOC and promote Organisational Citizenship Behaviour (OCB). To answer this main aim, a conceptual framework was created that focused on exploring the following research aims: (1) the interrelationship between SSE and FoT, (2) the effect of SSE on OTR, (3) the impact of TPG on OTR and (4) the effect of OTR on overall OCB.
Methodology: The study uses a mixed-method case study research style that included in-depth semi-structured interviews with 17 managers, an online questionnaire survey with 320 employees of the BOC and an analysis of the BOCâs Annual Reports from 2015 to 2018.
Results: The qualitative and quantitative findings indicate, firstly, that there is a significant interrelationship between SSE and FoT, establishing that SSEâs perception of organisational justice (OJ), including that FoTs benevolence and integrity as the most important factors in yielding employeesâ trust in the BOC. Secondly, it has been established that SSEs have significant direct and indirect effects on OTR. Thirdly, negative and positive TPG concurrently occurred in the BOC and the prevalence of negative TPG poses more impact on OTR. Finally, this studyâs findings demonstrated OTRâs effect in generating OCB, including that Civic Virtue was rated as the most preferred of the five OCB themes; this indicates the managersâ and the employeesâ strong emotional attachment and support of the activities taking place at the BOC.
Contributions: Overall, this thesis substantially contributes to OTR literature, particularly in the context of the Middle East. It also proposes several insightful recommendations for future research and practical implications for practitioners in the field of Organisational Trust
Tradition and Innovation in Construction Project Management
This book is a reprint of the Special Issue 'Tradition and Innovation in Construction Project Management' that was published in the journal Buildings
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