Prediction of River Discharge by Using Gaussian Basis Function

For design of water resources engineering related project such as hydraulic structures like dam, barrage and weirs river discharge data is vital. However, prediction of river discharge is complicated by variations in geometry and boundary roughness. The conventional method of estimation of river discharge tends to be inaccurate because river discharge is nonlinear but the method is linear. Therefore, an alternative method to overcome problem to predict river discharge is required. Soft computing technique such as artificial neural network (ANN) was able to predict nonlinear parameter such as river discharge. In this study, prediction of river discharge in Pari River is predicted using soft computing technique, specifically gaussian basis function. Water level raw data from year 2011 to 2012 is used as input. The data divided into two section, training dataset and testing dataset. From 314 data, 200 are allocated as training data and the remaining 100 are used as testing data. After that, the data will be run by using Matlab software. Three input variables used in this study were current water level, 1-antecendent water level, and 2-antecendent water level. 19 numbers of hidden neurons with spread value of 0.69106 was the best choice which creates the best result for model architecture after numbers of trial. The output variable was river discharge. Performance evaluation measures such as root mean square error, mean absolute error, correlation of efficiency (CE) and coefficient of determination (R2) was used to indicate the overall performance of the selected network. R2 for training dataset was 0.983 which showed predicted discharge is highly correlated with observed discharge value. However, testing stage performance is decline from training stage as R2 obtained was 0.775 consequently presence of outliers have affect scattering of whole data of testing and resulted in less accuracy as the R2 obtained much lower compared to training dataset. This happened because less number of input loaded into testing than training. RMSE and MSE recorded for training much lower than testing indicated that the better the performance of the model since the error is lesser. The comparison of with other types of neural network showed that Gaussian basis function is recommended to be used for river discharge prediction in Pari river

Improving adaptation and interpretability of a short-term traffic forecasting system

Traffic management is being more important than ever, especially in overcrowded big cities with over-pollution problems and with new unprecedented mobility changes. In this scenario, road-traffic prediction plays a key role within Intelligent Transportation Systems, allowing traffic managers to be able to anticipate and take the proper decisions. This paper aims to analyse the situation in a commercial real-time prediction system with its current problems and limitations. The analysis unveils the trade-off between simple parsimonious models and more complex models. Finally, we propose an enriched machine learning framework, Adarules, for the traffic prediction in real-time facing the problem as continuously incoming data streams with all the commonly occurring problems in such volatile scenario, namely changes in the network infrastructure and demand, new detection stations or failure ones, among others. The framework is also able to infer automatically the most relevant features to our end-task, including the relationships within the road network. Although the intention with the proposed framework is to evolve and grow with new incoming big data, however there is no limitation in starting to use it without any prior knowledge as it can starts learning the structure and parameters automatically from data. We test this predictive system in different real-work scenarios, and evaluate its performance integrating a multi-task learning paradigm for the sake of the traffic prediction task.Peer ReviewedPostprint (published version

Market price of risk implied by Asian-style electricity options

In this paper we propose a jump diffusion type model which recovers the main characteristics of electricity spot price dynamics, including seasonality, mean reversion, and spiky behavior. Calibration of the market price of risk allows for pricing of Asian-type options written on the spot electricity price traded at Nord Pool. The usefulness of the approach is confirmed by out-of-sample tests.Power market, Electricity price modeling, Asian option, Market price of risk, Derivatives pricing

Automated model selection in finance: General-to-specic modelling of the mean and volatility specications

General-to-Specific (GETS) modelling has witnessed major advances over the last decade thanks to the automation of multi-path GETS specification search. However, several scholars have argued that the estimation complexity associated with financial models constitutes an obstacle to multi-path GETS modelling in finance. Making use of a recent result on log-GARCH Models, we provide and study simple but general and flexible methods that automate financial multi-path GETS modelling. Starting from a general model where the mean specification can contain autoregressive (AR) terms and explanatory variables, and where the exponential volatility specification can include log-ARCH terms, asymmetry terms, volatility proxies and other explanatory variables, the algorithm we propose returns parsimonious mean and volatility specifications. The finite sample properties of the methods are studied by means of extensive Monte Carlo simulations, and two empirical applications suggest the methods are very useful in practice.general-to-specific; specification search; model selection; finance; volatility

Volatility forecasting

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1

Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes

The aim of this paper is to identify the fundamental factors that drive the allowances market and to built an APT-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas, oil, coal and equity indexes as major factors driving the carbon allowances prices. There is strong evidence that model residuals are heavily tailed and asymmetric, thereby generalized hyperbolic distribution provides with the best fit results. Introducing dynamics inside the parameters of the APT model via a Hidden Markov Chain Model outperforms the results obtained with a static approach. Empirical results clearly indicate that this model could be used for price forecasting, that it is effective in and out of sample producing consisten results in allowances futures price prediction.Carbon, EUA, energy, Abritrage Pricing Theory, switching regimes, hidden Markov Chain Model, forecast.

Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models

This empirical paper compares the accuracy of 12 time series methods for short-term (day-ahead) spot price forecasting in auction-type electricity markets. The methods considered include standard autoregression (AR) models, their extensions – spike preprocessed, threshold and semiparametric autoregressions (i.e. AR models with nonparametric innovations), as well as, mean-reverting jump diffusions. The methods are compared using a time series of hourly spot prices and system-wide loads for California and a series of hourly spot prices and air temperatures for the Nordic market. We find evidence that (i) models with system load as the exogenous variable generally perform better than pure price models, while this is not necessarily the case when air temperature is considered as the exogenous variable, and that (ii) semiparametric models generally lead to better point and interval forecasts than their competitors, more importantly, they have the potential to perform well under diverse market conditions.Electricity market, Price forecast, Autoregressive model, Nonparametric maximum likelihood, Interval forecast, Conditional coverage