Quantitative Methods for Economics and Finance

This book is a collection of papers for the Special Issue “Quantitative Methods for Economics and Finance” of the journal Mathematics. This Special Issue reflects on the latest developments in different fields of economics and finance where mathematics plays a significant role. The book gathers 19 papers on topics such as volatility clusters and volatility dynamic, forecasting, stocks, indexes, cryptocurrencies and commodities, trade agreements, the relationship between volume and price, trading strategies, efficiency, regression, utility models, fraud prediction, or intertemporal choice

WiFi-Based Human Activity Recognition Using Attention-Based BiLSTM

Recently, significant efforts have been made to explore human activity recognition (HAR) techniques that use information gathered by existing indoor wireless infrastructures through WiFi signals without demanding the monitored subject to carry a dedicated device. The key intuition is that different activities introduce different multi-paths in WiFi signals and generate different patterns in the time series of channel state information (CSI). In this paper, we propose and evaluate a full pipeline for a CSI-based human activity recognition framework for 12 activities in three different spatial environments using two deep learning models: ABiLSTM and CNN-ABiLSTM. Evaluation experiments have demonstrated that the proposed models outperform state-of-the-art models. Also, the experiments show that the proposed models can be applied to other environments with different configurations, albeit with some caveats. The proposed ABiLSTM model achieves an overall accuracy of 94.03%, 91.96%, and 92.59% across the 3 target environments. While the proposed CNN-ABiLSTM model reaches an accuracy of 98.54%, 94.25% and 95.09% across those same environments

Estimating UK House Prices using Machine Learning

House price estimation is an important subject for property owners, property developers, investors and buyers. It has featured in many academic research papers and some government and commercial reports. The price of a house may vary depending on several features including geographic location, tenure, age, type, size, market, etc. Existing studies have largely focused on applying single or multiple machine learning techniques to single or groups of datasets to identify the best performing algorithms, models and/or most important predictors, but this paper proposes a cumulative layering approach to what it describes as a Multi-feature House Price Estimation (MfHPE) framework. The MfHPE is a process-oriented, data-driven and machine learning based framework that does not just identify the best performing algorithms or features that drive the accuracy of models but also exploits a cumulative multi-feature layering approach to creating machine learning models, optimising and evaluating them so as to produce tangible insights that enable the decision-making process for stakeholders within the housing ecosystem for a more realistic estimation of house prices. Fundamentally, the MfHPE framework development leverages the Design Science Research Methodology (DSRM) and HM Land Registry’s Price Paid Data is ingested as the base transactions data. 1.1 million London-based transaction records between January 2011 and December 2020 have been exploited for model design, optimisation and evaluation, while 84,051 2021 transactions have been used for model validation. With the capacity for updates to existing datasets and the introduction of new datasets and algorithms, the proposed framework has also leveraged a range of neighbourhood and macroeconomic features including the location of rail stations, supermarkets, bus stops, inflation rate, GDP, employment rate, Consumer Price Index (CPIH) and unemployment rate to explore their impact on the estimation of house prices and their influence on the behaviours of machine learning algorithms. Five machine learning algorithms have been exploited and three evaluation metrics have been used. Results show that the layered introduction of new variety of features in multiple tiers led to improved performance in 50% of models, a change in the best performing models as new variety of features are introduced, and that the choice of evaluation metrics should not just be based on technical problem types but on three components: (i) critical business objectives or project goals; (ii) variety of features; and (iii) machine learning algorithms

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

A Statistical Approach to the Alignment of fMRI Data

Multi-subject functional Magnetic Resonance Image studies are critical. The anatomical and functional structure varies across subjects, so the image alignment is necessary. We define a probabilistic model to describe functional alignment. Imposing a prior distribution, as the matrix Fisher Von Mises distribution, of the orthogonal transformation parameter, the anatomical information is embedded in the estimation of the parameters, i.e., penalizing the combination of spatially distant voxels. Real applications show an improvement in the classification and interpretability of the results compared to various functional alignment methods

A comparison of the CAR and DAGAR spatial random effects models with an application to diabetics rate estimation in Belgium

When hierarchically modelling an epidemiological phenomenon on a finite collection of sites in space, one must always take a latent spatial effect into account in order to capture the correlation structure that links the phenomenon to the territory. In this work, we compare two autoregressive spatial models that can be used for this purpose: the classical CAR model and the more recent DAGAR model. Differently from the former, the latter has a desirable property: its ρ parameter can be naturally interpreted as the average neighbor pair correlation and, in addition, this parameter can be directly estimated when the effect is modelled using a DAGAR rather than a CAR structure. As an application, we model the diabetics rate in Belgium in 2014 and show the adequacy of these models in predicting the response variable when no covariates are available

Semantic discovery and reuse of business process patterns

Patterns currently play an important role in modern information systems (IS) development and their use has mainly been restricted to the design and implementation phases of the development lifecycle. Given the increasing significance of business modelling in IS development, patterns have the potential of providing a viable solution for promoting reusability of recurrent generalized models in the very early stages of development. As a statement of research-in-progress this paper focuses on business process patterns and proposes an initial methodological framework for the discovery and reuse of business process patterns within the IS development lifecycle. The framework borrows ideas from the domain engineering literature and proposes the use of semantics to drive both the discovery of patterns as well as their reuse