Aplicaciones de las redes neuronales en las finanzas

Se estudian las Redes Neuronales Supervisadas como herramientas para la predicción de tendencias y como clasificadoras de conjuntos de datos en los analisis financieros

Análisis cualitativo en las calificaciones del crédito público: Propuesta de un enfoque complementario utilizando Mapas Auto-organizados (SOM)

The financial crisis that began in late 2007 has raised awareness on the need to properly measure credit risk, placing a significant focus on the accuracy of public credit ratings. The objective of this paper is to present an automated credit rating model that dispenses with the excessive qualitative input that, during the years leading to the 2007 crisis, may have yielded results inconsistent with true counterparty risk levels. Our model is based on a mix of relevant credit ratios, historical data on a corporate universe comprising the global pharmaceutical, chemicals and Oil & Gas industries and a powerful clustering mathematical algorithm, Self-Organising Maps, a type of neural network.La crisis financiera que comenzó a finales de 2007 ha incrementado la concienciación sobre la necesidad de medir adecuadamente el riesgo del crédito, haciendo mayor hincapié en la precisión de las calificaciones públicas. El objetivo de este trabajo es presentar un modelo automatizado de calificación crediticia que prescinda del exceso de lo cualitativo, habitual durante los años previos a la crisis de 2007, y que pudo haber provocado resultados inconsistentes con los niveles reales del riesgo de crédito. Nuestro modelo se basa en una combinación de las ratios crediticias relevantes, los datos históricos relativos a un universo empresarial que incluye a las industrias farmacéuticas, químicas y petrolíferas, y un potente algoritmo matemático de agrupación, SOM, que constituye un tipo de red neuronal

Estimating the environmental impacts of a brewery waste–based biorefinery: Bio-ethanol and xylooligosaccharides joint production case study

This is the accepted manuscript of the following article: González-García, S., Comendador Morales, P., Gullón, B., 2018. Estimating the environmental impacts of a brewery waste–based biorefinery: Bio-ethanol and xylooligosaccharides joint production case study. Industrial Crops and Products 123, 331-340In the food industry, the brewing sector holds a strategic economic position since beer is the most consumed alcoholic beverage in the world. Brewing process involves the production of a large amount of lignocellulosic residues such as barley straw from cereal cultivation and brewer’s spent grains. This study was aimed at developing a full-scale biorefinery system for generating bio-ethanol and xylooligosaccharides (XOS) considering the mentioned residues as feedstock. Life Cycle Asssessment (LCA) methodology was used to investigate the environmental consequences of the biorefinery system paying special attention into mass and energy balances in each production section to gather representative inventory data. Biorefinery system was divided in five areas: i) reconditioning and storage, ii) autohydrolysis pretreatment, iii) XOS purification, iv) fermentation and v) bioethanol purification. LCA results identified two environmental hotspots all over the whole biorefinery chain: the production of steam required to achieve the large autohydrolysis temperature (responsible for contributions higher than 50% in categories such as acidification and global warming potential) and the production of enzymes required in the simultaneous saccharification and fermentation (>95% of contributions to terrestrial and marine aquatic ecotoxicity potentials). Since enzymes production involves high energy intensive background processes, the most straightforward improvement challenge should be focused on the production of steam. An alternative biorefinery scenario using wood chips as fuel source to produce heating requirements instead of the conventional natural gas was environmentally evaluated reporting improvements ranging from 44% to 72% in the categories directly affected by this hotspot.This research has been financially supported by Xunta de Galicia (project ref. ED431F 2016/001), the Spanish Ministry of Economy and Competitiveness (CTQ2016-81848-REDT) and the STAR-ProBio project funded by the European Union’s Horizon 2020 Program (Grant agreement No. 727740). Dr. S. González-García and Dr. B. Gullón would like to express their gratitude to the Spanish Ministry of Economy and Competitiveness for financial support (Grant references RYC-201414984 and IJCI-2015-25305, respectively). The authors belong to the Galician Competitive Research Group GRC 2013-032 and to CRETUS Strategic Partnership (AGRUP2015/02). All these programmes are cofunded by Xunta de Galicia and FEDER (EU)S

Artificial Neural Network, Quantile and Semi-Log Regression Modelling of Mass Appraisal in Housing

We used a large sample of 188,652 properties, which represented 4.88% of the total housing stock in Catalonia from 1994 to 2013, to make a comparison between different real estate valuation methods based on artificial neural networks (ANNs), quantile regressions (QRs) and semi-log regressions (SLRs). A literature gap in regard to the comparison between ANN and QR modelling of hedonic prices in housing was identified, with this article being the first paper to include this comparison. Therefore, this study aimed to answer (1) whether QR valuation modelling of hedonic prices in the housing market is an alternative to ANNs, (2) whether it is confirmed that ANNs produce better results than SLRs when assessing housing in Catalonia, and (3) which of the three mass appraisal models should be used by Spanish banks to assess real estate. The results suggested that the ANNs and SLRs obtained similar and better performances than the QRs and that the SLRs performed better when the datasets were smaller. Therefore, (1) QRs were not found to be an alternative to ANNs, (2) it could not be confirmed whether ANNs performed better than SLRs when assessing properties in Catalonia and (3) whereas small and medium banks should use SLRs, large banks should use either SLRs or ANNs in real estate mass appraisal

Why do papers from international collaborations get more citations? A bibliometric analysis of Library and Information Science papers

Scientific activity has become increasingly complex in recent years. The need for international research collaboration has thus become a common pattern in science. In this current landscape, countries face the problem of maintaining their competitiveness while cooperating with other countries to achieve relevant research outputs. In this international context, publications from international collaborations tend to achieve greater scientific impact than those from domestic ones. To design policies that improve the competitiveness of countries and organizations, it thus becomes necessary to understand the factors and mechanisms that influence the benefits and impact of international research. In this regard, the aim of this study is to confirm whether the differences in impact between international and domestic collaborations are affected by their topics and structure. To perform this study, we examined the Library and Information Science category of the Web of Science database between 2015 and 2019. A science mapping analysis approach was used to extract the themes and their structure according to collaboration type and in the whole category (2015–2019). We also looked for differences in these thematic aspects in top countries and in communities of collaborating countries. The results showed that the thematic factor influences the impact of international research, as the themes in this type of collaboration lie at the forefront of the Library and Information Science category (e.g., technologies such as artificial intelligence and social media are found in the category), while domestic collaborations have focused on more well-consolidated themes (e.g., academic libraries and bibliometrics). Organizations, countries, and communities of countries must therefore consider this thematic factor when designing strategies to improve their competitiveness and collaborate.Spanish Government PID2019-105381GA-I00/AEI/10.13039/50110001103

Analysis of the impact of international collaboration in business studies area

Con el auge de las nuevas tecnologías y medios de colaboración, nos estamos adentrando en una nueva etapa en el ámbito científico en el que los académicos buscan aprovechar las ventajas que la colaboración internacional ofrece. Una de esas ventajas es el aumento del impacto, medido en forma del número de citas, de aquellos trabajos realizados en conjunto por más de un país. En este trabajo se pretende demostrar que también ocurre en el ámbito de los estudios empresariales realizado en España. Para ello, se ha medido el número medio de citas y el índice h de todos los artículos publicados en este campo por autores españoles en distintos niveles de colaboración: local (los autores pertenecen a la misma afiliación), nacional (los autores pertenecen a más de una afiliación, todas de España) e internacional (al menos uno de los autores es de un país extranjero). Los resultados demuestran que el mayor número medio de citas y el mayor índice h se obtiene en el nivel de colaboración internacional. Además, se ha realizado una comparación de las distintas universidades españolas, mostrando que existen diferencias entre ellas respecto al grado de colaboración internacional. Este estudio pretende ser la base para que los agentes interesados en mejorar las políticas científicas de este campo en España obtengan una visión global del estado de colaboración internacional y puedan profundizar en el futuro para mejorar sus políticas

How on Earth Did Spanish Banking Sell the Housing Stock?

The accumulation of properties by Spanish banks during the crisis of the first decade of the 21st century has definitely changed the housing market. An optimal house price valuation is useful to determine the bank’s actual financial situation. Furthermore, properties valued according to the market can be sold in a shorter span of time and at a better price. Using a sample of 24,781 properties and a simulation exercise, we aim to identify the decision criteria that Spanish banking used to decide which properties were going to be sold and at what price. The results of the comparison among four methods used to value real estate—artificial neural networks, semi log regressions, a combined model by means of weighted least squares regression, and quantile regressions—and the actual situation suggest that banking aimed to maximize the reversal of impairment losses, although this would mean capital losses, selling less properties, and decreasing their revenues. Therefore, the actual combined result was very detrimental to banking and, consequently, to the Spanish society because of its banking bailout

Why do papers from international collaborations get more citations? A bibliometric analysis of Library and Information Science papers

Scientific activity has become increasingly complex in recent years. The need for international research collaboration has thus become a common pattern in science. In this current landscape, countries face the problem of maintaining their competitiveness while cooperating with other countries to achieve relevant research outputs. In this international context, publications from international collaborations tend to achieve greater scientific impact than those from domestic ones. To design policies that improve the competitiveness of countries and organizations, it thus becomes necessary to understand the factors and mechanisms that influence the benefits and impact of international research. In this regard, the aim of this study is to confirm whether the differences in impact between international and domestic collaborations are affected by their topics and structure. To perform this study, we examined the Library and Information Science category of the Web of Science database between 2015 and 2019. A science mapping analysis approach was used to extract the themes and their structure according to collaboration type and in the whole category (2015-2019). We also looked for differences in these thematic aspects in top countries and in communities of collaborating countries. The results showed that the thematic factor influences the impact of international research, as the themes in this type of collaboration lie at the forefront of the Library and Information Science category (e.g., technologies such as artificial intelligence and social media are found in the category), while domestic collaborations have focused on more well-consolidated themes (e.g., academic libraries and bibliometrics). Organizations, countries, and communities of countries must therefore consider this thematic factor when designing strategies to improve their competitiveness and collaborate

Teoría carteras: aplicación con el oro y los activos numismáticos de oro

Los activos tangibles de colección, son aquellos activos que no están directamente relacionados con la evolución de los mercados financieros. Los activos numismáticos, son activos que pertenecen a los activos tangibles de colección. Estos se llevan estudiando en EEUU, de manera especial, desde la década de los ochenta (Salomon Jr. y Lennox, 1984; Berman y Schulman, 1986; Dickie, Delorme y Humphreys, 1994; Lombra, 2003; Brown 2005), aunque Sharpe ya hablaba de sus bondades en 1963. En España en la década de los noventa se realizaron importantes investigaciones (Coca, 1998; 2001). En este trabajo se realiza un trabajo de Teoría de Carteras con activos numismáticos de oro. El objetivo del trabajo es la construcción de diferentes carteras compuestas por activos numismáticos de oro y el propio metal precioso; con el fin de construir aquella cartera que mejor se adapte al inversor acorde a su perfil inversor y conocer cuál es la Cartera del Mercado. La muestra utilizada son los activos numismáticos de oro emitidos por España, EEUU, Gran Bretaña y Francia desde 1900 a 2008. El periodo de estudio es del 2003 al 2008. La metodología empleada es la Teoría de Carteras (Markowitz, 1952; 1959). Para ello construiremos la Frontera Eficiente y trazaremos la Línea del Mercado de Capitales o CML.Collectible Tangible Assets are those that directly they are not related to the evolution of the Financial Market. Numismatic Assets belongs to Collectible Tangible Assets. These assets have been studying in USA since the eighties (Salomon Jr. y Lennox, 1984; Berman y Schulman, 1986; Dickie, Delorme y Humphreys, 1994; Lombra, 2003; Brown 2005), although Sharpe had talked about his virtues in 1963. Important researches were made in Spain in the nineties (Coca 1998; 2001). In this paper we do a study of Portfolio Theory with Gold Numismatic Assets. Our objective is to build different Gold and Gold Numismatic Asset Portfolios. The purpose is being able to build the best portfolio for the different investors and to know The Market Portfolio. Research sample is composed by gold numismatic assets and the gold. Those assets have been issued by Spain, USA, Great Britain and France from 1900 to 2008. The research period is to 2003‐2008. We use Portfolio Theory methodology (Markowitz, 1952; 1959). For that we build the efficient frontier and we will trace the Capital Market Line, CML

Systems of feeding Muscovy ducks (cairina moschata) in mapuche farmers from Chile

Two extensive productive systems for Muscovy ducks was evaluated in alternative to intensive systems. This production constitutes an interesting strategy for the development of the local mapuche region. Ninety ducks with 4 weeks old were randomly distributed in two groups of six farmers located in Tromel Alto (Temuco. Chile). Group I used a commercial fed, while group II used a traditional fed based on products and sub-products obtained in their farms. Results shown that both extensive systems are viable; however the commercial fed increased the final weight (p<0.05). Also, ducks fed with commercial fed reached the slaughter weight at 8th week (3980 g), while the traditional fed extend the growing period to 13 weeks (2721 g). However, both extensive systems could be a complementary agrarian rent with great interest to the local mapuche economy. Also, these systems use marginal labor and sub-products of low valor. Therefore, Muscovy ducks production under extensive systems constitutes an interesting tool to fix rural population and to diminish the residual from agrarian activity.Se evalúa la viabilidad de dos sistemas extensivos de patos Muscovy como alternativa a la cría intensiva convencional. Esta producción constituye una estrategia de gran interés para el desarrollo endógeno de pequeños productores mapuches. El estudio partió de un diseño experimental con 90 patos de 4 semanas de edad, que se distribuyen aleatoriamente entre 6 productores del sector Tromel Alto de Temuco. Asimismo se diferenciaron dos sistemas de alimentación; donde a la mitad de los productores se les facilitó un concentrado comercial, en tanto que los restantes productores utilizaron alimentos de uso tradicional en la crianza de aves procedentes de las propias explotaciones. Los resultados muestran que se obtienen mayores valores productivos en los lotes alimentados con concentrado comercial (p<0,05). Así, estos lotes alcanzan el peso de faena en 8 semanas (3980 g), en tanto que los que utilizan la alimentación tradicional necesitan 13 semanas y alcanzan un peso ligeramente inferior (2721 g). Ambos sistemas extensivos podrían ser viables y constituyen una fuente complementaria de renta de gran interés para la economía mapuche de la zona. Además este tipo de producción alternativa aprovecha sinergias existentes en las explotaciones; potenciando recursos tales como la mano de obra de carácter marginal y subproductos agrícolas de escaso o nulo valor en la explotación. Por tanto, la producción extensiva del pato Muscovy se configura como una herramienta de gran utilidad en la fijación de población rural y una actividad que disminuye los residuos de la actividad hortícola