Neural networks for financial forecasting

Neural networks demonstrate great potential for discovering non-linear relationships in time-series and extrapolating from them. Results of forecasting using financial data are particularly good [LapFar87, Schöne90, ChaMeh92]. In contrast, traditional statistical methods are restrictive as they try to express these non-linear relationships as linear models. This thesis investigates the use of the Backpropagation neural model for time-series forecasting. In general, neural forecasting research [Hinton87] can be approached in three ways: research into, the weight space, into the physical representation of inputs, and into the learning algorithms. A new method to enhance input representations to a neural network, referred to as model sNx, has been developed. It has been studied alongside a traditional method in model N. The two methods reduce the unprocessed network inputs to a value between 0 and 1. Unlike the method in model N, the variants of model sNx, sN1 and sN2, accentuate the contracted input value by different magnitudes. This different approach to data reduction exploits the characteristics of neural extrapolation to achieve better forecasts. The feasibility of the principle of model sNx has been shown in forecasting the direction of the FFSE-100 Index. The experimental strategy involved optimisation procedures using one data set and the application of the optimal network from each model to make forecasts on different data sets with similar and dissimilar patterns to the first. A Neural Forecasting System (NFS) has been developed as a vehicle for the research. The NFS offers historical and live simulations, and supports: a data alignment facility for standardising data files with non-uniform sampling times and volumes, and merging them into a spreadsheet; a parameter specification table for specifications of neural and system control parameter values; a pattern specification language for specification of input pattern formation using one or more time-series, and loading to a configured network; a snapshot facility for re-construction of a partially trained network to continue or extend a training session, or re-construction of a trained network to forecast for live tests; and a log facility for recording experimental results. Using the NFS, specific pattern features selected from major market trends have been investigated [Pring8O]: triple-top ('three peaks'), double-top ('two peaks'), narrow band ('modulating'), bull ('rising') and recovery ('U-turn'). Initially, the triple-top pattern was used in the N model to select between the logarithmic or linear data form for presenting raw input data. The selected linear method was then used in models sN1, sN2 and N for network optimisations. Experiments undertaken used networks of permutations of sizes of input nodes (I), hidden nodes (H), and tolerance value. Selections were made for: the best method, by value, direction, or value and direction, for measuring prediction accuracy; the best configuration function, H - I 4), with 4) equal to 0.9, 2 or 3; and the better of sN1 and sN2. The evaluation parameters were, among others, the prediction accuracy (%), the weighted return (%), the Relative Threshold Prediction Index (RTPI) indicator, the forecast error margins. The RTPI was developed to filter out networks forecasting above a minimum prediction accuracy with a credit in the weighted return (%). Two optimal networks, one representing model sNx and one N were selected and then tested on the double-top, narrow band, bull and recovery patterns. This thesis made the following research conthbutions. • A new method in model sNx capable of more consistent and accurate predictions. • The new RTPI neural forecasting indicator. • A method to forecast during the consolidation ('non-diversifying') trend which most traditional methods are not good at. • A set of improvements for more effective neural forecasting systems

Sustaining tropical timber trees in production forests of Asia - ensuring their genetic viability

Sustainable timber production in approximately 400 million hectares of production forests in the tropics would be enhanced by incorporating genetic conservation measures in their management. This factsheet, based on a scientific review, explains why tropical Asian timber species are particularly vulnerable to logging and habitat fragmentation and what policymakers and forest managers can do to maintain productivity and resilience of timber trees in Asian production forests

Sex dependent risk factors for mortality after myocardial infarction : individual patient data meta-analysis

Background. Although a number of risk factors are known to predict mortality within the first years after myocardial infarction, little is known about interactions between risk factors, whereas these could contribute to accurate differentiation of patients with higher and lower risk for mortality. This study explored the effect of interactions of risk factors on all-cause mortality in patients with myocardial infarction based on individual patient data meta-analysis. Methods. Prospective data for 10,512 patients hospitalized for myocardial infarction were derived from 16 observational studies (MINDMAPS). Baseline measures included a broad set of risk factors for mortality such as age, sex, heart failure, diabetes, depression, and smoking. All two-way and three-way interactions of these risk factors were included in Lasso regression analyses to predict time-to-event related all-cause mortality. The effect of selected interactions was investigated with multilevel Cox regression models. Results. Lasso regression selected five two-way interactions, of which four included sex. The addition of these interactions to multilevel Cox models suggested differential risk patterns for males and females. Younger women (ag

flepiMoP: The evolution of a flexible infectious disease modeling pipeline during the COVID-19 pandemic

The COVID-19 pandemic led to an unprecedented demand for projections of disease burden and healthcare utilization under scenarios ranging from unmitigated spread to strict social distancing policies. In response, members of the Johns Hopkins Infectious Disease Dynamics Group developed flepiMoP (formerly called the COVID Scenario Modeling Pipeline), a comprehensive open-source software pipeline designed for creating and simulating compartmental models of infectious disease transmission and inferring parameters through these models. The framework has been used extensively to produce short-term forecasts and longer-term scenario projections of COVID-19 at the state and county level in the US, for COVID-19 in other countries at various geographic scales, and more recently for seasonal influenza. In this paper, we highlight how the flepiMoP has evolved throughout the COVID-19 pandemic to address changing epidemiological dynamics, new interventions, and shifts in policy-relevant model outputs. As the framework has reached a mature state, we provide a detailed overview of flepiMoP's key features and remaining limitations, thereby distributing flepiMoP and its documentation as a flexible and powerful tool for researchers and public health professionals to rapidly build and deploy large-scale complex infectious disease models for any pathogen and demographic setup

Marginal agricultural land low-input systems for biomass production

This study deals with approaches for a social-ecological friendly European bioeconomy based on biomass from industrial crops cultivated on marginal agricultural land. The selected crops to be investigated are: Biomass sorghum, camelina, cardoon, castor, crambe, Ethiopian mustard, giant reed, hemp, lupin, miscanthus, pennycress, poplar, reed canary grass, safflower, Siberian elm, switchgrass, tall wheatgrass, wild sugarcane, and willow. The research question focused on the overall crop growth suitability under low-input management. The study assessed: (i) How the growth suitability of industrial crops can be defined under the given natural constraints of European marginal agricultural lands; and (ii) which agricultural practices are required for marginal agricultural land low-input systems (MALLIS). For the growth-suitability analysis, available thresholds and growth requirements of the selected industrial crops were defined. The marginal agricultural land was categorized according to the agro-ecological zone (AEZ) concept in combination with the marginality constraints, so-called 'marginal agro-ecological zones' (M-AEZ). It was found that both large marginal agricultural areas and numerous agricultural practices are available for industrial crop cultivation on European marginal agricultural lands. These results help to further describe the suitability of industrial crops for the development of social-ecologically friendly MALLIS in Europe

Distinct H3F3A and H3F3B driver mutations define chondroblastoma and giant cell tumor of bone

It is recognized that some mutated cancer genes contribute to the development of many cancer types, whereas others are cancer type specific. For genes that are mutated in multiple cancer classes, mutations are usually similar in the different affected cancer types. Here, however, we report exquisite tumor type specificity for different histone H3.3 driver alterations. In 73 of 77 cases of chondroblastoma (95%), we found p.Lys36Met alterations predominantly encoded in H3F3B, which is one of two genes for histone H3.3. In contrast, in 92% (49/53) of giant cell tumors of bone, we found histone H3.3 alterations exclusively in H3F3A, leading to p.Gly34Trp or, in one case, p.Gly34Leu alterations. The mutations were restricted to the stromal cell population and were not detected in osteoclasts or their precursors. In the context of previously reported H3F3A mutations encoding p.Lys27Met and p.Gly34Arg or p.Gly34Val alterations in childhood brain tumors, a remarkable picture of tumor type specificity for histone H3.3 driver alterations emerges, indicating that histone H3.3 residues, mutations and genes have distinct functions

Anisotropic flow of charged hadrons, pions and (anti-)protons measured at high transverse momentum in Pb-Pb collisions at sNN=2.76\sqrt{s_{\rm NN}}=2.76 TeV

The elliptic, $v_2$, triangular, $v_3$, and quadrangular, $v_4$, azimuthal anisotropic flow coefficients are measured for unidentified charged particles, pions and (anti-)protons in Pb-Pb collisions at $\sqrt{s_{\rm NN}} = 2.76$ TeV with the ALICE detector at the Large Hadron Collider. Results obtained with the event plane and four-particle cumulant methods are reported for the pseudo-rapidity range $|\eta|<0.8$ at different collision centralities and as a function of transverse momentum, $p_{\rm T}$, out to $p_{\rm T}=20$ GeV/$c$. The observed non-zero elliptic and triangular flow depends only weakly on transverse momentum for $p_{\rm T}>8$ GeV/$c$. The small $p_{\rm T}$ dependence of the difference between elliptic flow results obtained from the event plane and four-particle cumulant methods suggests a common origin of flow fluctuations up to $p_{\rm T}=8$ GeV/$c$. The magnitude of the (anti-)proton elliptic and triangular flow is larger than that of pions out to at least $p_{\rm T}=8$ GeV/$c$ indicating that the particle type dependence persists out to high $p_{\rm T}$.Comment: 16 pages, 5 captioned figures, authors from page 11, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/186

Centrality dependence of charged particle production at large transverse momentum in Pb-Pb collisions at sNN=2.76\sqrt{s_{\rm{NN}}} = 2.76 TeV

The inclusive transverse momentum ($p_{\rm T}$) distributions of primary charged particles are measured in the pseudo-rapidity range $|\eta|<0.8$ as a function of event centrality in Pb-Pb collisions at $\sqrt{s_{\rm{NN}}}=2.76$ TeV with ALICE at the LHC. The data are presented in the $p_{\rm T}$ range $0.15<p_{\rm T}<50$ GeV/$c$ for nine centrality intervals from 70-80% to 0-5%. The Pb-Pb spectra are presented in terms of the nuclear modification factor $R_{\rm{AA}}$ using a pp reference spectrum measured at the same collision energy. We observe that the suppression of high-$p_{\rm T}$ particles strongly depends on event centrality. In central collisions (0-5%) the yield is most suppressed with $R_{\rm{AA}}\approx0.13$ at $p_{\rm T}=6$-7 GeV/$c$. Above $p_{\rm T}=7$ GeV/$c$, there is a significant rise in the nuclear modification factor, which reaches $R_{\rm{AA}} \approx0.4$ for $p_{\rm T}>30$ GeV/$c$. In peripheral collisions (70-80%), the suppression is weaker with $R_{\rm{AA}} \approx 0.7$ almost independently of $p_{\rm T}$. The measured nuclear modification factors are compared to other measurements and model calculations.Comment: 17 pages, 4 captioned figures, 2 tables, authors from page 12, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/284

Measurement of charm production at central rapidity in proton-proton collisions at s=2.76\sqrt{s} = 2.76 TeV

The $p_{\rm T}$-differential production cross sections of the prompt (B feed-down subtracted) charmed mesons D$^0$, D$^+$, and D$^{*+}$ in the rapidity range $|y|<0.5$, and for transverse momentum $1< p_{\rm T} <12$ GeV/$c$, were measured in proton-proton collisions at $\sqrt{s} = 2.76$ TeV with the ALICE detector at the Large Hadron Collider. The analysis exploited the hadronic decays D$^0 \rightarrow$K$\pi$, D$^+ \rightarrow$K$\pi\pi$, D$^{*+} \rightarrow$D$^0\pi$, and their charge conjugates, and was performed on a $L_{\rm int} = 1.1$ nb$^{-1}$ event sample collected in 2011 with a minimum-bias trigger. The total charm production cross section at $\sqrt{s} = 2.76$ TeV and at 7 TeV was evaluated by extrapolating to the full phase space the $p_{\rm T}$-differential production cross sections at $\sqrt{s} = 2.76$ TeV and our previous measurements at $\sqrt{s} = 7$ TeV. The results were compared to existing measurements and to perturbative-QCD calculations. The fraction of cdbar D mesons produced in a vector state was also determined.Comment: 20 pages, 5 captioned figures, 4 tables, authors from page 15, published version, figures at http://aliceinfo.cern.ch/ArtSubmission/node/307