Hybrid fuzzy neural network to predict price direction in the German DAX-30 index

[EN] Intraday trading rules require accurate information about the future short term market evolution. For that reason, next-day market trend prediction has attracted the attention of both academics and practitioners. This interest has increased in recent years, as different methodologies have been applied to this end. Usually, machine learning techniques are used such as artificial neural networks, support vector machines and decision trees. The input variables of most of the studies are traditional technical indicators which are used by professional traders to implement investment strategies. We analyse if these indicators have predictive power on the German DAX-30 stock index by applying a hybrid fuzzy neural network to predict the one-day ahead direction of index. We implement different models depending on whether all the indicators and oscillators are used as inputs, or if a linear combination of them obtained through a factor analysis is used instead. In order to guarantee for the robustness of the results, we train and apply the HyFIS models on randomly selected subsamples 10,000 times. The results show that the reduction of the dimension through the factorial analysis generates more profitable and less risky strategies.García García, F.; Guijarro, F.; Oliver-Muncharaz, J.; Tamosiuniene, R. (2018). Hybrid fuzzy neural network to predict price direction in the German DAX-30 index. Technological and Economic Development of Economy. 24(6):2161-2178. https://doi.org/10.3846/tede.2018.6394S2161217824

An investigation into the use of neural networks for the prediction of the stock exchange of Thailand

Stock markets are affected by many interrelated factors such as economics and politics at both national and international levels. Predicting stock indices and determining the set of relevant factors for making accurate predictions are complicated tasks. Neural networks are one of the popular approaches used for research on stock market forecast. This study developed neural networks to predict the movement direction of the next trading day of the Stock Exchange of Thailand (SET) index. The SET has yet to be studied extensively and research focused on the SET will contribute to understanding its unique characteristics and will lead to identifying relevant information to assist investment in this stock market. Experiments were carried out to determine the best network architecture, training method, and input data to use for this task. With regards network architecture, feedforward networks with three layers were used - an input layer, a hidden layer and an output layer - and networks with different numbers of nodes in the hidden layers were tested and compared. With regards training method, neural networks were trained with back-propagation and with genetic algorithms. With regards input data, three set of inputs, namely internal indicators, external indicators and a combination of both were used. The internal indicators are based on calculations derived from the SET while the external indicators are deemed to be factors beyond the control of the Thailand such as the Down Jones Index

An electronic financial system adviser for investors: the case of Saudi Arabia

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University LondonFinancial markets, particularly capital and stock markets, play an important role in mobilizing and canalising the idle savings of individuals and institutions to the investment options where they are really required for productive purposes. The prediction of stock prices and returns is carried out in order to enhance the quality of investment decisions in stock markets, but it is considered to be tricky and complicates tasks as these prices behave in a random fashion and vary with time. Owing to the potential of returns and inherent risk factors in stock market returns. Various stock market prediction models and decision support systems such as Capital asset pricing model, the arbitrage pricing theory of Ross, the inter-temporal capital asset pricing model of Merton ,Fama and French five-factor model, and zero beta model to provide investors with an optimal forecast of stock prices and returns. In this research thesis, a stock market prediction model consisting of two parts is presented and discussed. The first is the three factors of the Fama and French model (FF) at the micro level to forecast the return of the portfolios on the Saudi Arabian Stock Exchange (SASE) and the second is a Value Based Management (VBM) model of decision-making. The latter is based on the expectations of shareholders and portfolio investors about taking investment decisions, and on the behaviour of stock prices using an accurate modern nonlinear technique in forecasting, known as Artificial Neural Networks (ANN). This study examined monthly data relating to common stocks from the listed companies of the Saudi Arabian Stock Exchange from January 2007 to December 2011. The stock returns were predicted using the linear form of asset pricing models (capital asset pricing model as well as Fama and French three factor model). In addition, non-linear models were also estimated by using various artificial neural network techniques, and adaptive neural fuzzy inference systems. Six portfolios of stock predictors are combined using: average, weighted average, and genetic algorithm optimized weighted average. Moreover, value-based management models were applied to the investment decision-making process in combination with stock prediction model results for both the shareholders’ perspective and the share prices’ perspective. The results from this study indicate that the ANN technique can be used to predict stock portfolio returns; the investment decisions and the behaviour of stock prices, optimized by the genetic algorithm weighted average, provided better results in terms of error and prediction accuracy compared to the simple linear form of stock price prediction models. The Fama and French model of stock prediction is better suited to Saudi Arabian Stock Exchange investment activities in comparison to the conventional capital assets pricing model. Moreover, the multi-stage type1 model, which is a combination of Fama and French predicted stock returns and a value-based management model, gives more accurate results for the stock market decision-making process for investment or divestment decisions, as well as for observing variation in and the behaviour of stock prices on the Saudi stock market. Furthermore, the study also designed a graphic user interface in order to simplify the decision-making process based upon Fama and French and value-based management, which might help Saudi investors to make investment decisions quickly and with greater precision. Finally, the study also gives some practical implications for investors and regulators, along with proposing future research in this area

Credit risk modeling for multilateral lenders

Financial crashes, bubbles, panic in the banking industry, currency crises and even sovereign defaults continue to occur periodically. Therefore, when international or multilateral lenders contemplate on lending credit to customers who are located in different countries, they require a meticulous method of analyzing every aspect to select the best customers, amongst numerous credit proposals from different countries. Moreover, while lending to selected customers, multilateral lenders need to take into account and consider the risk premium in their pricing methodology. Even after having selected sound customers, one should not neglect adequate loan loss provisions in order to safeguard themselves against unexpected changes in financial situations of customers. This may result in credit default. Although several credit scoring methodologies exist for calculating the risk of individuals and corporate customers, most of these methodologies are based on default history and there appears to be a lack of an appropriate methodology when faced with minimal credit default history. Usually, financial institutions and very large corporations are characterized by nil or a very low default history. Following this introduction, this dissertation aims to contribute towards these aspects in the form of three self-contained essays. The first chapter is concerned with determining the main factors, which affect the financial health of financial institutions. More specifically, this is undertaken by employing the two-way panel model and data from financial institutions in several Asian countries. The study attempts to determine bank specific and macro level factors affecting the financial soundness of these financial institutions. In the second chapter by following a similar approach of analysis, this study attempts to detect the main determinants of financial health for very large corporations. These corporations are another group of customers for multilateral lenders. In this case, data from very large corporations in Eastern European countries, which are characterized by their in-transition economies, are employed. Considering the dissertation's findings that are supportive of existing literature, the third chapter addresses the design of two credit scoring/rating models employing fuzzy logic methodology and based upon results from previous chapters. The scoring/rating results of the two models are then analyzed in comparison with the Capital Intelligence rating agency and stock exchange market performance results to assess robustness. This proves the relative robustness of our designed models. Overall, this thesis not only combines and investigates topical issues; moreover, it does so employing various techniques with the intention to contribute on the methodological level. The study is concluded by highlighting policy implications by providing direction for future research

Fuzzy Sets, Fuzzy Logic and Their Applications

The present book contains 20 articles collected from amongst the 53 total submitted manuscripts for the Special Issue “Fuzzy Sets, Fuzzy Loigic and Their Applications” of the MDPI journal Mathematics. The articles, which appear in the book in the series in which they were accepted, published in Volumes 7 (2019) and 8 (2020) of the journal, cover a wide range of topics connected to the theory and applications of fuzzy systems and their extensions and generalizations. This range includes, among others, management of the uncertainty in a fuzzy environment; fuzzy assessment methods of human-machine performance; fuzzy graphs; fuzzy topological and convergence spaces; bipolar fuzzy relations; type-2 fuzzy; and intuitionistic, interval-valued, complex, picture, and Pythagorean fuzzy sets, soft sets and algebras, etc. The applications presented are oriented to finance, fuzzy analytic hierarchy, green supply chain industries, smart health practice, and hotel selection. This wide range of topics makes the book interesting for all those working in the wider area of Fuzzy sets and systems and of fuzzy logic and for those who have the proper mathematical background who wish to become familiar with recent advances in fuzzy mathematics, which has entered to almost all sectors of human life and activity

INTERNAL AUDIT CHARACTERISTICS AND QUALITY OF ACCOUNTING INFORMATION IN NIGERIA

The basic goal of Accounting is to provide enabling accounting information for reliable decision-making. The quality level of this accounting information comes from the company's governance practices, thereby emphasizing the importance of corporate governance in companies. Recently, following the financial crises resulting in accounting scandals, attention has been moving towards Internal Audit Function as an important factor in the structure of Corporate Governance. This paper therefore examined the extent of the relationship between internal audit function and the quality of accounting information of companies. The study adopted the Survey research design. The research instrument employed was Questionnaire which was administered to internal auditors of the “Big Four”. Linear regression analysis was employed in the analysis of the data collected with the use of Statistical Packages for Social Sciences (SPSS). The results revealed that there is a significant relationship between the internal audit characteristics and the quality of accounting information. It was recommended that in order to provide credibility to the financial statement, there should be a law in place mandating attachment of internal auditors report to the financial statemen

Proceedings of the inaugural construction management and economics ‘Past, Present and Future’ conference CME25, 16-18 July 2007, University of Reading, UK

This conference was an unusual and interesting event. Celebrating 25 years of Construction Management and Economics provides us with an opportunity to reflect on the research that has been reported over the years, to consider where we are now, and to think about the future of academic research in this area. Hence the sub-title of this conference: “past, present and future”. Looking through these papers, some things are clear. First, the range of topics considered interesting has expanded hugely since the journal was first published. Second, the research methods are also more diverse. Third, the involvement of wider groups of stakeholder is evident. There is a danger that this might lead to dilution of the field. But my instinct has always been to argue against the notion that Construction Management and Economics represents a discipline, as such. Granted, there are plenty of university departments around the world that would justify the idea of a discipline. But the vast majority of academic departments who contribute to the life of this journal carry different names to this. Indeed, the range and breadth of methodological approaches to the research reported in Construction Management and Economics indicates that there are several different academic disciplines being brought to bear on the construction sector. Some papers are based on economics, some on psychology and others on operational research, sociology, law, statistics, information technology, and so on. This is why I maintain that construction management is not an academic discipline, but a field of study to which a range of academic disciplines are applied. This may be why it is so interesting to be involved in this journal. The problems to which the papers are applied develop and grow. But the broad topics of the earliest papers in the journal are still relevant today. What has changed a lot is our interpretation of the problems that confront the construction sector all over the world, and the methodological approaches to resolving them. There is a constant difficulty in dealing with topics as inherently practical as these. While the demands of the academic world are driven by the need for the rigorous application of sound methods, the demands of the practical world are quite different. It can be difficult to meet the needs of both sets of stakeholders at the same time. However, increasing numbers of postgraduate courses in our area result in larger numbers of practitioners with a deeper appreciation of what research is all about, and how to interpret and apply the lessons from research. It also seems that there are contributions coming not just from construction-related university departments, but also from departments with identifiable methodological traditions of their own. I like to think that our authors can publish in journals beyond the construction-related areas, to disseminate their theoretical insights into other disciplines, and to contribute to the strength of this journal by citing our articles in more mono-disciplinary journals. This would contribute to the future of the journal in a very strong and developmental way. The greatest danger we face is in excessive self-citation, i.e. referring only to sources within the CM&E literature or, worse, referring only to other articles in the same journal. The only way to ensure a strong and influential position for journals and university departments like ours is to be sure that our work is informing other academic disciplines. This is what I would see as the future, our logical next step. If, as a community of researchers, we are not producing papers that challenge and inform the fundamentals of research methods and analytical processes, then no matter how practically relevant our output is to the industry, it will remain derivative and secondary, based on the methodological insights of others. The balancing act between methodological rigour and practical relevance is a difficult one, but not, of course, a balance that has to be struck in every single paper

Pushing for Joint Audit in Nigeria

This study examines whether the decision to engage two audit firms to conduct a joint audit would be associated with audit quality and earnings quality. The data on the perception of accounting academics and professionals was gathered through the use of a structured questionnaire. Analyses were carried out using Mean and ANOVA methods tested at 5% significance level. The Findings revealed that the engagement of joint auditors would not contribute positively to audit quality, higher earnings quality and would increase the cost of audit. It was therefore recommended that a voluntary joint audit would be a strategy to promote compliance with the regulations, build capacity of small and medium-sized practitioners, raise the quality of financial reporting and increase the confidence of investors and the general public

Implementation of Legal Protection for Journalists in Safeguarding Local Democracy

One of the reasons for the decline in Indonesia’s ranking in the freedom of the press and expression was due to the many cases of violence against journalists and the criminalization of those who expressed their opinions. Legal protection for journalists is a guarantee given by the government and the public to journalists in carrying out their journalistic duties. The study used an empirical legal approach or non- doctrinal research. This research was conducted in several media from 2011-2018 in Pekanbaru, Riau, Indonesia. The main findings of this study indicate that the phrase of ”protection” in the formulation of Law Number 40 of 1999 concerning the press has given rise to multiple interpretations which resulted in journalists experiencing pressure in carrying out their duties. In conclusion, it is highly recommended that the law should be revise

ICTERI 2020: ІКТ в освіті, дослідженнях та промислових застосуваннях. Інтеграція, гармонізація та передача знань 2020: Матеріали 16-ї Міжнародної конференції. Том II: Семінари. Харків, Україна, 06-10 жовтня 2020 р.

This volume represents the proceedings of the Workshops co-located with the 16th International Conference on ICT in Education, Research, and Industrial Applications, held in Kharkiv, Ukraine, in October 2020. It comprises 101 contributed papers that were carefully peer-reviewed and selected from 233 submissions for the five workshops: RMSEBT, TheRMIT, ITER, 3L-Person, CoSinE, MROL. The volume is structured in six parts, each presenting the contributions for a particular workshop. The topical scope of the volume is aligned with the thematic tracks of ICTERI 2020: (I) Advances in ICT Research; (II) Information Systems: Technology and Applications; (III) Academia/Industry ICT Cooperation; and (IV) ICT in Education.Цей збірник представляє матеріали семінарів, які були проведені в рамках 16-ї Міжнародної конференції з ІКТ в освіті, наукових дослідженнях та промислових застосуваннях, що відбулася в Харкові, Україна, у жовтні 2020 року. Він містить 101 доповідь, які були ретельно рецензовані та відібрані з 233 заявок на участь у п'яти воркшопах: RMSEBT, TheRMIT, ITER, 3L-Person, CoSinE, MROL. Збірник складається з шести частин, кожна з яких представляє матеріали для певного семінару. Тематична спрямованість збірника узгоджена з тематичними напрямками ICTERI 2020: (I) Досягнення в галузі досліджень ІКТ; (II) Інформаційні системи: Технології і застосування; (ІІІ) Співпраця в галузі ІКТ між академічними і промисловими колами; і (IV) ІКТ в освіті