4,020 research outputs found
Applications of Deep Learning Models in Financial Forecasting
In financial markets, deep learning techniques sparked a revolution, reshaping conventional approaches and amplifying predictive capabilities. This thesis explored the applications of deep learning models to unravel insights and methodologies aimed at advancing financial forecasting.
The crux of the research problem lies in the applications of predictive models within financial domains, characterised by high volatility and uncertainty. This thesis investigated the application of advanced deep-learning methodologies in the context of financial forecasting, addressing the challenges posed by the dynamic nature of financial markets. These challenges were tackled by exploring a range of techniques, including convolutional neural networks (CNNs), long short-term memory networks (LSTMs), autoencoders (AEs), and variational autoencoders (VAEs), along with
approaches such as encoding financial time series into images. Through analysis, methodologies such as transfer learning, convolutional neural networks, long short-term memory networks, generative modelling, and image encoding of time series data were examined. These methodologies collectively offered a comprehensive toolkit for extracting meaningful insights from financial data.
The present work investigated the practicality of a deep learning CNN-LSTM model within the Directional Change framework to predict significant DC events—a task crucial for timely decisionmaking in financial markets. Furthermore, the potential of autoencoders and variational autoencoders to enhance financial forecasting accuracy and remove noise from financial time series data was explored. Leveraging their capacity within financial time series, these models offered promising avenues for improved data representation and subsequent forecasting. To further contribute to
financial prediction capabilities, a deep multi-model was developed that harnessed the power of pre-trained computer vision models. This innovative approach aimed to predict the VVIX, utilising the cross-disciplinary synergy between computer vision and financial forecasting. By integrating knowledge from these domains, novel insights into the prediction of market volatility were provided
Organizing sustainable development
The role and meaning of sustainable development have been recognized in the scientific literature for decades. However, there has recently been a dynamic increase in interest in the subject, which results in numerous, in-depth scientific research and publications with an interdisciplinary dimension. This edited volume is a compendium of theoretical knowledge on sustainable development. The context analysed in the publication includes a multi-level and multi-aspect analysis starting from the historical and legal conditions, through elements of the macro level and the micro level, inside the organization. Organizing Sustainable Development offers a systematic and comprehensive theoretical analysis of sustainable development supplemented with practical examples, which will allow obtaining comprehensive knowledge about the meaning and its multi-context application in practice. It shows the latest state of knowledge on the topic and will be of interest to students at an advanced level, academics and reflective practitioners in the fields of sustainable development, management studies, organizational studies and corporate social responsibility
Information actors beyond modernity and coloniality in times of climate change:A comparative design ethnography on the making of monitors for sustainable futures in Curaçao and Amsterdam, between 2019-2022
In his dissertation, Mr. Goilo developed a cutting-edge theoretical framework for an Anthropology of Information. This study compares information in the context of modernity in Amsterdam and coloniality in Curaçao through the making process of monitors and develops five ways to understand how information can act towards sustainable futures. The research also discusses how the two contexts, that is modernity and coloniality, have been in informational symbiosis for centuries which is producing negative informational side effects within the age of the Anthropocene. By exploring the modernity-coloniality symbiosis of information, the author explains how scholars, policymakers, and data-analysts can act through historical and structural roots of contemporary global inequities related to the production and distribution of information. Ultimately, the five theses propose conditions towards the collective production of knowledge towards a more sustainable planet
UMSL Bulletin 2023-2024
The 2023-2024 Bulletin and Course Catalog for the University of Missouri St. Louis.https://irl.umsl.edu/bulletin/1088/thumbnail.jp
Quantifying Equity Risk Premia: Financial Economic Theory and High-Dimensional Statistical Methods
The overarching question of this dissertation is how to quantify the unobservable risk premium of a stock when its return distribution varies over time.
The first chapter, titled “Theory-based versus machine learning-implied stock risk premia”, starts with a comparison of two competing strands of the literature. The approach advocated by Martin and Wagner (2019) relies on financial economic theory to derive a closed-form approximation of conditional risk premia using information embedded in the prices of European options. The other approach, exemplified by the study of Gu et al. (2020), draws on the flexibility of machine learning methods and vast amounts of historical data to determine the unknown functional form. The goal of this study is to determine which of the two approaches produces more accurate measurements of stock risk premia. In addition, we present a novel hybrid approach that employs machine learning to overcome the approximation errors induced by the theory-based approach. We find that our hybrid approach is competitive especially at longer investment horizons.
The second chapter, titled “The uncertainty principle in asset pricing”, introduces a representation of the conditional capital asset pricing model (CAPM) in which the betas and the equity premium are jointly characterized by the information embedded in option prices. A unique feature of our model is that its implied components represent valid measurements of their physical counterparts without the need for any further risk adjustment. Moreover, because the model’s time-varying parameters are directly observable, the model can be tested without any of the complications that typically arise from statistical estimation. One of the main empirical findings is that the well-known flat relationship between average predicted and realized excess returns of beta-sorted portfolios can be explained by the uncertainty governing market excess returns.
In the third chapter, titled “Multi-task learning in cross-sectional regressions”, we challenge the way in which cross-sectional regressions are used to test factor models with time-varying loadings. More specifically, we extend the procedure by Fama and MacBeth (1973) by systematically selecting stock characteristics using a combination of l1- and l2-regularization, known as the multi-task Lasso, and addressing the bias that is induced by selection via repeated sample splitting. In the empirical part of this chapter, we apply our testing procedure to the option-implied CAPM from chapter two, and find that, while variants of the momentum effect lead to a rejection of the model, the implied beta is by far the most important predictor of cross-sectional return variation
An in-depth investigation of five machine learning algorithms for optimizing mixed-asset portfolios including REITs
Real estate is a favored investment option as it allows investors to diversify their portfolios and minimize risk. Investors can invest in real estate directly by purchasing a property, or through real estate investment funds (REITs) where they can purchase shares in companies that own and manage real estate. Investing in REITs has become increasingly popular because it eliminates some of the disadvantages associated with direct real estate investment, such as the need for a large upfront payment. When investing in mixed asset portfolios, it is crucial to predict future prices accurately to ensure profitable and less risky asset allocation. However, literature on price prediction often focuses on only one or two algorithms, and there is no research that explores REITs’ price prediction in the context of portfolio optimization. To address this gap, we conducted a thorough evaluation of 5 machine learning algorithms (ML), including Ordinary Least Squares Linear Regression (LR), Support Vector Regression (SVR), k-Nearest Neighbors Regression (KNN), Extreme Gradient Boosting (XGBoost), and Long/Short-Term Memory Neural Networks (LSTM), as well as other financial benchmarks like Holt’s Exponential Smoothing (HES), Trigonometric Seasonality, Box–Cox Transformation, ARMA Errors, Trend, and Seasonal Components (TBATS), and Auto-Regression Integrated Moving Average (ARIMA). We applied these algorithms to predict future prices for 30 REITs from the US, UK, and Australia, as well as 30 stocks and 30 bonds. The assets were then used as part of a portfolio, which we optimized using a genetic algorithm. Our results showed that using ML algorithms for price prediction provided at least three times the return over benchmark models and reduced risk by almost two-fold. For REITs, we observed that the use of ML algorithms led to a higher allocation to REITs diversified by country. In particular, our results showed that SVR was the best-performing algorithm in terms of risk-adjusted returns across different time horizons, as confirmed by our Friedman test results (Sharpe ratio). Overall, our study highlights the effectiveness of ML algorithms in predicting asset prices and optimizing portfolio allocation
Explainable text-based features in predictive models of crowdfunding campaigns
Reward-Based Crowdfunding offers an opportunity for innovative ventures that would not be supported through traditional financing. A key problem for those seeking funding is understanding which features of a crowdfunding campaign will sway the decisions of a sufficient number of funders. Predictive models of fund-raising campaigns used in combination with Explainable AI methods promise to provide such insights. However, previous work on Explainable AI has largely focused on quantitative structured data. In this study, our aim is to construct explainable models of human decisions based on analysis of natural language text, thus contributing to a fast-growing body of research on the use of Explainable AI for text analytics. We propose a novel method to construct predictions based on text via semantic clustering of sentences, which, compared with traditional methods using individual words and phrases, allows complex meaning contained in the text to be operationalised. Using experimental evaluation, we compare our proposed method to keyword extraction and topic modelling, which have traditionally been used in similar applications. Our results demonstrate that the sentence clustering method produces features with significant predictive power, compared to keyword-based methods and topic models, but which are much easier to interpret for human raters. We furthermore conduct a SHAP analysis of the models incorporating sentence clusters, demonstrating concrete insights into the types of natural language content that influence the outcome of crowdfunding campaigns
Essays on Corporate Disclosure of Value Creation
Information on a firm’s business model helps investors understand an entity’s resource requirements, priorities for action, and prospects (FASB, 2001, pp. 14-15; IASB, 2010, p. 12). Disclosures of strategy and business model (SBM) are therefore considered a central element of effective annual report commentary (Guillaume, 2018; IIRC, 2011). By applying natural language processing techniques, I explore what SBM disclosures look like when management are pressed to say something, analyse determinants of cross-sectional variation in SBM reporting properties, and assess whether and how managers respond to regulatory interventions seeking to promote SBM annual report commentary. This dissertation contains three main chapters. Chapter 2 presents a systematic review of the academic literature on non-financial reporting and the emerging literature on SBM reporting. Here, I also introduce my institutional setting. Chapter 3 and Chapter 4 form the empirical sections of this thesis. In Chapter 3, I construct the first large sample corpus of SBM annual report commentary and provide the first systematic analysis of the properties of such disclosures. My topic modelling analysis rejects the hypothesis that such disclosure is merely padding; instead finding themes align with popular strategy frameworks and management tailor the mix of SBM topics to reflect their unique approach to value creation. However, SBM commentary is less specific, less precise about time horizon (short- and long-term), and less balanced (more positive) in tone relative to general management commentary. My findings suggest symbolic compliance and legitimisation characterize the typical annual report discussion of SBM. Further analysis identifies proprietary cost considerations and obfuscation incentives as key determinants of symbolic reporting. In Chapter 4, I seek evidence on how managers respond to regulatory mandates by adapting the properties of disclosure and investigate whether the form of the mandate matters. Using a differences-in-differences research design, my results suggest a modest incremental response by treatment firms to the introduction of a comply or explain provision to provide disclosure on strategy and business model. In contrast, I find a substantial response to enacting the same requirements in law. My analysis provides clear and consistent evidence that treatment firms incrementally increase the volume of SBM disclosure, improve coverage across a broad range of topics as well as providing commentary with greater focus on the long term. My results point to substantial changes in SBM reporting properties following regulatory mandates, but the form of the mandate does matter. Overall, this dissertation contributes to the accounting literature by examining how firms discuss a central topic to economic decision making in annual reports and how firms respond to different forms of disclosure mandate. Furthermore, the results of my analysis are likely to be of value for regulators and policymakers currently reviewing or considering mandating disclosure requirements. By examining how companies adapt their reporting to different types of regulations, this study provides an empirical basis for recalibrating SBM disclosure mandates, thereby enhancing the information set of capital market participants and promoting stakeholder engagement in a landscape increasingly shaped by non-financial information
Computational and experimental studies on the reaction mechanism of bio-oil components with additives for increased stability and fuel quality
As one of the world’s largest palm oil producers, Malaysia encountered a major disposal problem as vast amount of oil palm biomass wastes are produced. To overcome this problem, these biomass wastes can be liquefied into biofuel with fast pyrolysis technology. However, further upgradation of fast pyrolysis bio-oil via direct solvent addition was required to overcome it’s undesirable attributes. In addition, the high production cost of biofuels often hinders its commercialisation. Thus, the designed solvent-oil blend needs to achieve both fuel functionality and economic targets to be competitive with the conventional diesel fuel.
In this thesis, a multi-stage computer-aided molecular design (CAMD) framework was employed for bio-oil solvent design. In the design problem, molecular signature descriptors were applied to accommodate different classes of property prediction models. However, the complexity of the CAMD problem increases as the height of signature increases due to the combinatorial nature of higher order signature. Thus, a consistency rule was developed reduce the size of the CAMD problem. The CAMD problem was then further extended to address the economic aspects via fuzzy multi-objective optimisation approach.
Next, a rough-set based machine learning (RSML) model has been proposed to correlate the feedstock characterisation and pyrolysis condition with the pyrolysis bio-oil properties by generating decision rules. The generated decision rules were analysed from a scientific standpoint to identify the underlying patterns, while ensuring the rules were logical. The decision rules generated can be used to select optimal feedstock composition and pyrolysis condition to produce pyrolysis bio-oil of targeted fuel properties.
Next, the results obtained from the computational approaches were verified through experimental study. The generated pyrolysis bio-oils were blended with the identified solvents at various mixing ratio. In addition, emulsification of the solvent-oil blend in diesel was also conducted with the help of surfactants. Lastly, potential extensions and prospective work for this study have been discuss in the later part of this thesis. To conclude, this thesis presented the combination of computational and experimental approaches in upgrading the fuel properties of pyrolysis bio-oil. As a result, high quality biofuel can be generated as a cleaner burning replacement for conventional diesel fuel
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