Relationship between degree of efficiency and prediction in stock price changes

This study investigates empirically whether the degree of stock market efficiency is related to the prediction power of future price change using the indices of twenty seven stock markets. Efficiency refers to weak-form efficient market hypothesis (EMH) in terms of the information of past price changes. The prediction power corresponds to the hit-rate, which is the rate of the consistency between the direction of actual price change and that of predicted one, calculated by the nearest neighbor prediction method (NN method) using the out-of-sample. In this manuscript, the Hurst exponent and the approximate entropy (ApEn) are used as the quantitative measurements of the degree of efficiency. The relationship between the Hurst exponent, reflecting the various time correlation property, and the ApEn value, reflecting the randomness in the time series, shows negative correlation. However, the average prediction power on the direction of future price change has the strongly positive correlation with the Hurst exponent, and the negative correlation with the ApEn. Therefore, the market index with less market efficiency has higher prediction power for future price change than one with higher market efficiency when we analyze the market using the past price change pattern. Furthermore, we show that the Hurst exponent, a measurement of the long-term memory property, provides more significant information in terms of prediction of future price changes than the ApEn and the NN method.Comment: 10 page

Behavioural pattern identification and prediction in intelligent environments

In this paper, the application of soft computing techniques in prediction of an occupant's behaviour in an inhabited intelligent environment is addressed. In this research, daily activities of elderly people who live in their own homes suffering from dementia are studied. Occupancy sensors are used to extract the movement patterns of the occupant. The occupancy data is then converted into temporal sequences of activities which are eventually used to predict the occupant behaviour. To build the prediction model, different dynamic recurrent neural networks are investigated. Recurrent neural networks have shown a great ability in finding the temporal relationships of input patterns. The experimental results show that non-linear autoregressive network with exogenous inputs model correctly extracts the long term prediction patterns of the occupant and outperformed the Elman network. The results presented here are validated using data generated from a simulator and real environments

Time series kernel similarities for predicting Paroxysmal Atrial Fibrillation from ECGs

We tackle the problem of classifying Electrocardiography (ECG) signals with the aim of predicting the onset of Paroxysmal Atrial Fibrillation (PAF). Atrial fibrillation is the most common type of arrhythmia, but in many cases PAF episodes are asymptomatic. Therefore, in order to help diagnosing PAF, it is important to design procedures for detecting and, more importantly, predicting PAF episodes. We propose a method for predicting PAF events whose first step consists of a feature extraction procedure that represents each ECG as a multi-variate time series. Successively, we design a classification framework based on kernel similarities for multi-variate time series, capable of handling missing data. We consider different approaches to perform classification in the original space of the multi-variate time series and in an embedding space, defined by the kernel similarity measure. We achieve a classification accuracy comparable with state of the art methods, with the additional advantage of detecting the PAF onset up to 15 minutes in advance

Transferable knowledge for Low-cost Decision Making in Cloud Environments

Users of Infrastructure as a Service (IaaS) are increasingly overwhelmed with the wide range of providers and services offered by each provider. As such, many users select services based on description alone. An emerging alternative is to use a decision support system (DSS), which typically relies on gaining insights from observational data in order to assist a customer in making decisions regarding optimal deployment of cloud applications. The primary activity of such systems is the generation of a prediction model (e.g. using machine learning), which requires a significantly large amount of training data. However, considering the varying architectures of applications, cloud providers, and cloud offerings, this activity is not sustainable as it incurs additional time and cost to collect data to train the models. We overcome this through developing a Transfer Learning (TL) approach where knowledge (in the form of a prediction model and associated data set) gained from running an application on a particular IaaS is transferred in order to substantially reduce the overhead of building new models for the performance of new applications and/or cloud infrastructures. In this paper, we present our approach and evaluate it through extensive experimentation involving three real world applications over two major public cloud providers, namely Amazon and Google. Our evaluation shows that our novel two-mode TL scheme increases overall efficiency with a factor of 60% reduction in the time and cost of generating a new prediction model. We test this under a number of cross-application and cross-cloud scenario