3,660 research outputs found

    Analysing behavioural factors that impact financial stock returns. The case of COVID-19 pandemic in the financial markets.

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    This thesis represents a pivotal advancement in the realm of behavioural finance, seamlessly integrating both classical and state-of-the-art models. It navigates the performance and applicability of the Irrational Fractional Brownian Motion (IFBM) model, while also delving into the propagation of investor sentiment, emphasizing the indispensable role of hands-on experiences in understanding, applying, and refining complex financial models. Financial markets, characterized by ’fat tails’ in price change distributions, often challenge traditional models such as the Geometric Brownian Motion (GBM). Addressing this, the research pivots towards the Irrational Fractional Brownian Motion Model (IFBM), a groundbreaking model initially proposed by (Dhesi and Ausloos, 2016) and further enriched in (Dhesi et al., 2019). This model, tailored to encapsulate the ’fat tail’ behaviour in asset returns, serves as the linchpin for the first chapter of this thesis. Under the insightful guidance of Gurjeet Dhesi, a co-author of the IFBM model, we delved into its intricacies and practical applications. The first chapter aspires to evaluate the IFBM’s performance in real-world scenarios, enhancing its methodological robustness. To achieve this, a tailored algorithm was crafted for its rigorous testing, alongside the application of a modified Chi-square test for stability assessment. Furthermore, the deployment of Shannon’s entropy, from an information theory perspective, offers a nuanced understanding of the model. The S&P500 data is wielded as an empirical testing bed, reflecting real-world financial market dynamics. Upon confirming the model’s robustness, the IFBM is then applied to FTSE data during the tumultuous COVID-19 phase. This period, marked by extraordinary market oscillations, serves as an ideal backdrop to assess the IFBM’s capability in tracking extreme market shifts. Transitioning to the second chapter, the focus shifts to the potentially influential realm of investor sentiment, seen as one of the many factors contributing to fat tails’ presence in return distributions. Building on insights from (Baker and Wurgler, 2007), we examine the potential impact of political speeches and daily briefings from 10 Downing Street during the COVID-19 crisis on market sentiment. Recognizing the profound market impact of such communications, the chapter seeks correlations between these briefings and market fluctuations. Employing advanced Natural Language Processing (NLP) techniques, this chapter harnesses the power of the Bidirectional Encoder Representations from Transformers (BERT) algorithm (Devlin et al., 2018) to extract sentiment from governmental communications. By comparing the derived sentiment scores with stock market indices’ performance metrics, potential relationships between public communications and market trajectories are unveiled. This approach represents a melding of traditional finance theory with state-of-the-art machine learning techniques, offering a fresh lens through which the dynamics of market behaviour can be understood in the context of external communications. In conclusion, this thesis provides an intricate examination of the IFBM model’s performance and the influence of investor sentiment, especially under crisis conditions. This exploration not only advances the discourse in behavioural finance but also underscores the pivotal role of sophisticated models in understanding and predicting market trajectories

    Applications of Deep Learning Models in Financial Forecasting

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    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

    Predicting Paid Certification in Massive Open Online Courses

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    Massive open online courses (MOOCs) have been proliferating because of the free or low-cost offering of content for learners, attracting the attention of many stakeholders across the entire educational landscape. Since 2012, coined as “the Year of the MOOCs”, several platforms have gathered millions of learners in just a decade. Nevertheless, the certification rate of both free and paid courses has been low, and only about 4.5–13% and 1–3%, respectively, of the total number of enrolled learners obtain a certificate at the end of their courses. Still, most research concentrates on completion, ignoring the certification problem, and especially its financial aspects. Thus, the research described in the present thesis aimed to investigate paid certification in MOOCs, for the first time, in a comprehensive way, and as early as the first week of the course, by exploring its various levels. First, the latent correlation between learner activities and their paid certification decisions was examined by (1) statistically comparing the activities of non-paying learners with course purchasers and (2) predicting paid certification using different machine learning (ML) techniques. Our temporal (weekly) analysis showed statistical significance at various levels when comparing the activities of non-paying learners with those of the certificate purchasers across the five courses analysed. Furthermore, we used the learner’s activities (number of step accesses, attempts, correct and wrong answers, and time spent on learning steps) to build our paid certification predictor, which achieved promising balanced accuracies (BAs), ranging from 0.77 to 0.95. Having employed simple predictions based on a few clickstream variables, we then analysed more in-depth what other information can be extracted from MOOC interaction (namely discussion forums) for paid certification prediction. However, to better explore the learners’ discussion forums, we built, as an original contribution, MOOCSent, a cross- platform review-based sentiment classifier, using over 1.2 million MOOC sentiment-labelled reviews. MOOCSent addresses various limitations of the current sentiment classifiers including (1) using one single source of data (previous literature on sentiment classification in MOOCs was based on single platforms only, and hence less generalisable, with relatively low number of instances compared to our obtained dataset;) (2) lower model outputs, where most of the current models are based on 2-polar iii iv classifier (positive or negative only); (3) disregarding important sentiment indicators, such as emojis and emoticons, during text embedding; and (4) reporting average performance metrics only, preventing the evaluation of model performance at the level of class (sentiment). Finally, and with the help of MOOCSent, we used the learners’ discussion forums to predict paid certification after annotating learners’ comments and replies with the sentiment using MOOCSent. This multi-input model contains raw data (learner textual inputs), sentiment classification generated by MOOCSent, computed features (number of likes received for each textual input), and several features extracted from the texts (character counts, word counts, and part of speech (POS) tags for each textual instance). This experiment adopted various deep predictive approaches – specifically that allow multi-input architecture - to early (i.e., weekly) investigate if data obtained from MOOC learners’ interaction in discussion forums can predict learners’ purchase decisions (certification). Considering the staggeringly low rate of paid certification in MOOCs, this present thesis contributes to the knowledge and field of MOOC learner analytics with predicting paid certification, for the first time, at such a comprehensive (with data from over 200 thousand learners from 5 different discipline courses), actionable (analysing learners decision from the first week of the course) and longitudinal (with 23 runs from 2013 to 2017) scale. The present thesis contributes with (1) investigating various conventional and deep ML approaches for predicting paid certification in MOOCs using learner clickstreams (Chapter 5) and course discussion forums (Chapter 7), (2) building the largest MOOC sentiment classifier (MOOCSent) based on learners’ reviews of the courses from the leading MOOC platforms, namely Coursera, FutureLearn and Udemy, and handles emojis and emoticons using dedicated lexicons that contain over three thousand corresponding explanatory words/phrases, (3) proposing and developing, for the first time, multi-input model for predicting certification based on the data from discussion forums which synchronously processes the textual (comments and replies) and numerical (number of likes posted and received, sentiments) data from the forums, adapting the suitable classifier for each type of data as explained in detail in Chapter 7

    Computational and experimental studies on the reaction mechanism of bio-oil components with additives for increased stability and fuel quality

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    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

    Natural and Technological Hazards in Urban Areas

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    Natural hazard events and technological accidents are separate causes of environmental impacts. Natural hazards are physical phenomena active in geological times, whereas technological hazards result from actions or facilities created by humans. In our time, combined natural and man-made hazards have been induced. Overpopulation and urban development in areas prone to natural hazards increase the impact of natural disasters worldwide. Additionally, urban areas are frequently characterized by intense industrial activity and rapid, poorly planned growth that threatens the environment and degrades the quality of life. Therefore, proper urban planning is crucial to minimize fatalities and reduce the environmental and economic impacts that accompany both natural and technological hazardous events

    LIPIcs, Volume 251, ITCS 2023, Complete Volume

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    LIPIcs, Volume 251, ITCS 2023, Complete Volum

    Machine learning applications in search algorithms for gravitational waves from compact binary mergers

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    Gravitational waves from compact binary mergers are now routinely observed by Earth-bound detectors. These observations enable exciting new science, as they have opened a new window to the Universe. However, extracting gravitational-wave signals from the noisy detector data is a challenging problem. The most sensitive search algorithms for compact binary mergers use matched filtering, an algorithm that compares the data with a set of expected template signals. As detectors are upgraded and more sophisticated signal models become available, the number of required templates will increase, which can make some sources computationally prohibitive to search for. The computational cost is of particular concern when low-latency alerts should be issued to maximize the time for electromagnetic follow-up observations. One potential solution to reduce computational requirements that has started to be explored in the last decade is machine learning. However, different proposed deep learning searches target varying parameter spaces and use metrics that are not always comparable to existing literature. Consequently, a clear picture of the capabilities of machine learning searches has been sorely missing. In this thesis, we closely examine the sensitivity of various deep learning gravitational-wave search algorithms and introduce new methods to detect signals from binary black hole and binary neutron star mergers at previously untested statistical confidence levels. By using the sensitive distance as our core metric, we allow for a direct comparison of our algorithms to state-of-the-art search pipelines. As part of this thesis, we organized a global mock data challenge to create a benchmark for machine learning search algorithms targeting compact binaries. This way, the tools developed in this thesis are made available to the greater community by publishing them as open source software. Our studies show that, depending on the parameter space, deep learning gravitational-wave search algorithms are already competitive with current production search pipelines. We also find that strategies developed for traditional searches can be effectively adapted to their machine learning counterparts. In regions where matched filtering becomes computationally expensive, available deep learning algorithms are also limited in their capability. We find reduced sensitivity to long duration signals compared to the excellent results for short-duration binary black hole signals

    DynED: Dynamic Ensemble Diversification in Data Stream Classification

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    Ensemble methods are commonly used in classification due to their remarkable performance. Achieving high accuracy in a data stream environment is a challenging task considering disruptive changes in the data distribution, also known as concept drift. A greater diversity of ensemble components is known to enhance prediction accuracy in such settings. Despite the diversity of components within an ensemble, not all contribute as expected to its overall performance. This necessitates a method for selecting components that exhibit high performance and diversity. We present a novel ensemble construction and maintenance approach based on MMR (Maximal Marginal Relevance) that dynamically combines the diversity and prediction accuracy of components during the process of structuring an ensemble. The experimental results on both four real and 11 synthetic datasets demonstrate that the proposed approach (DynED) provides a higher average mean accuracy compared to the five state-of-the-art baselines.Comment: Proceedings of the 32nd ACM International Conference on Information and Knowledge Management (CIKM '23), October 21--25, 2023, Birmingham, United Kingdo

    Classifier Calibration: A survey on how to assess and improve predicted class probabilities

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    This paper provides both an introduction to and a detailed overview of the principles and practice of classifier calibration. A well-calibrated classifier correctly quantifies the level of uncertainty or confidence associated with its instance-wise predictions. This is essential for critical applications, optimal decision making, cost-sensitive classification, and for some types of context change. Calibration research has a rich history which predates the birth of machine learning as an academic field by decades. However, a recent increase in the interest on calibration has led to new methods and the extension from binary to the multiclass setting. The space of options and issues to consider is large, and navigating it requires the right set of concepts and tools. We provide both introductory material and up-to-date technical details of the main concepts and methods, including proper scoring rules and other evaluation metrics, visualisation approaches, a comprehensive account of post-hoc calibration methods for binary and multiclass classification, and several advanced topics

    Immune contexture monitoring in solid tumors focusing on Head and Neck Cancer

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    Forti evidenze dimostrano una stretta interazione tra il sistema immunitario e lo sviluppo biologico e la progressione clinica dei tumori solidi. L'effetto che il microambiente immunitario del tumore può avere sul comportamento clinico della malattia è indicato come "immunecontexture". Nonostante ciò, l'attuale gestione clinica dei pazienti affetti da cancro non tiene conto di alcuna caratteristica immunologica né per la stadiazione né per le scelte terapeutiche. Il tumore della testa e del collo (HNSCC) rappresenta il 7° tumore più comune al mondo ed è caratterizzato da una prognosi relativamente sfavorevole e dall'effetto negativo dei trattamenti sulla qualità della vita dei pazienti. Oltre alla chirurgia e alla radioterapia, sono disponibili pochi trattamenti sistemici, rappresentati principalmente dalla chemioterapia a base di platino-derivati o dal cetuximab. L'immunoterapia è una nuova strategia terapeutica ancora limitata al setting palliativo (malattia ricorrente non resecabile o metastatica). La ricerca di nuovi biomarcatori o possibili nuovi meccanismi target è molto rilevante quindi nel contesto clinico dell'HNSCC. In questa tesi ci si concentrerà sullo studio di tre possibili popolazioni immunitarie pro-tumorali studiate nell'HNSCC: i neutrofili tumore-associati (TAN), le cellule B intratumorali con fenotipo immunosoppressivo e i T-reg CD8+. Particolare attenzione è data all'applicazione di moderne tecniche biostatistiche e bioinformatiche per riassumere informazioni complesse derivate da variabili cliniche e immunologiche multiparametriche e per validare risultati derivati ​​in situ, attraverso dati di espressione genica derivati da dataset pubblici. Infine, la seconda parte della tesi prenderà in considerazione progetti di ricerca clinica rilevanti, volti a migliorare l'oncologia di precisione nell'HNSCC, sviluppando modelli predittivi di sopravvivenza, confrontando procedure oncologiche alternative, validando nuovi classificatori o testando l'uso di nuovi protocolli clinici come l'uso dell'immunonutrizione.Strong evidences demonstrate a close interplay between the immune system and the biological development and clinical progression of solid tumors. The effect that the tumor immune microenvironment can have on the clinical behavior of the disease is referred as the immuno contexture. Nevertheless, the current clinical management of patients affected by cancer does not take into account any immunological features either for the staging or for the treatment choices. Head and Neck Cancer (HNSCC) represents the 7th most common cancer worldwide and it is characterized by a relatively poor prognosis and detrimental effect of treatments on the quality of life of patients. Beyond surgery and radiotherapy, few systemic treatments are available, mainly represented by platinum-based chemotherapy or cetuximab. Immunotherapy is a new therapeutical strategy still limited to the palliative setting (recurrent not resectable or metastatic disease). The search for new biomarkers or possible new targetable mechanisms is meaningful especially in the clinical setting of HNSCC. In this thesis a focus will be given on the study of three possible pro-tumoral immune populations studied in HNSCC: the tumor associated neutrophils (TAN), intratumoral B-cells with a immunosuppressive phenotype and the CD8+ T-regs. Biostatistical and bioinformatical techniques are applied to summarize complex information derived from multiparametric clinical and immunological variables and to validate in-situ derived findings through gene expression data of public available datasets. Lastly, the second part of the thesis will take into account relevant clinical research projects, aimed at improving the precision oncology in HNSCC developing survival prediction models, comparing alternative oncological procedures, validating new classifiers or testing the use of novel clinical protocols as the use of immunnutrition
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