Detection and Forecasting of Extreme event in Stock Price Triggered by Fundamental, Technical, and External Factors

The sporadic large fluctuations are seen in the stock market due to changes in fundamental parameters, technical setups, and external factors. These large fluctuations are termed as Extreme Events (EE). The EEs may be positive or negative depending on the impact of these factors. During such events, the stock price time series is found to be nonstationary. Hence, the Hilbert-Huang transformation (HHT) is used to identify EEs based on their high instantaneous energy ($IE$) concentration. The analysis shows that the $IE$ concentration in the stock price is very high during both positive and negative EE with $IE>E_{\mu}+4\sigma,$ where $E_{\mu}$ and $\sigma$ are the mean energy and standard deviation of energy, respectively. Further, support vector regression is used to predict the stock price during an EE, with the close price being the most helpful input than the open-high-low-close (OHLC) inputs. The maximum prediction accuracy for one step using close price and OHLC prices are 95.98\% and 95.64\% respectively. Whereas, for the two steps prediction, the accuracies are 94.09\% and 93.58\% respectively. The EEs found from the predicted time series shows similar statistical characteristics that were obtained from the original data. The analysis emphasizes the importance of monitoring factors that lead to EEs for a compelling entry or exit strategy as investors can gain or lose significant amounts of capital due to these events.Comment: 13 page

A novel resource aware scheduling with multi-criteria for heterogeneous computing systems

Multi-criteria scheduling for heterogeneous computing systems (HCSs) is one of the prime concerns of modern computing world. It is an NP-complete problem. In this paper, we have proposed two resource aware multi-criteria scheduling, where scheduling is done by considering real-time resources such as, clock frequency, memory capacity and residual energy. The proposed algorithms are designed using four conflicting objectives, viz., minimization of makespan, energy-consumption, load-balancing, and maximization of resource utilization. The proposed work is analyzed and validated by extensive simulations with synthetic as well as benchmark data sets. Through the simulation results, it is observed that the proposed work has considerable improvements over Min–Min, MCT, Genetic algorithm (GA) and priority based performance improved algorithm (PPIA). A statistical hypothesis test Analysis of Variance (ANOVA) and post hoc test are performed to demonstrate the effectiveness of the proposed work. Keywords: Scheduling cost, Makespan, Energy-consumption, Load-balancing, Heterogeneous computing system