European exchange trading funds trading with locally weighted support vector regression

In this paper, two different Locally Weighted Support Vector Regression (wSVR) algorithms are generated and applied to the task of forecasting and trading five European Exchange Traded Funds. The trading application covers the recent European Monetary Union debt crisis. The performance of the proposed models is benchmarked against traditional Support Vector Regression (SVR) models. The Radial Basis Function, the Wavelet and the Mahalanobis kernel are explored and tested as SVR kernels. Finally, a novel statistical SVR input selection procedure is introduced based on a principal component analysis and the Hansen, Lunde, and Nason (2011) model confidence test. The results demonstrate the superiority of the wSVR models over the traditional SVRs and of the v-SVR over the ε-SVR algorithms. We note that the performance of all models varies and considerably deteriorates in the peak of the debt crisis. In terms of the kernels, our results do not confirm the belief that the Radial Basis Function is the optimum choice for financial series

Effect of Industry 4.0 on Education Systems: An Outlook

Congreso Universitario de Innovación Educativa En las Enseñanzas Técnicas, CUIEET (26º. 2018. Gijón

A Reply to Mueller (2018) Supply Chain Collaboration: Further Insights into Incentive Alignment in the Beer Game Scenario

Purpose: We expand a previous discussion in this journal by proposing a new solution concept, based on game theory, for profit allocation with the aim of aligning incentives in collaborative supply chains. Design/methodology/approach: Through the Gately’s notion of propensity to disrupt, we minimize the desire of the nodes to leave the grand coalition in the search of a self-enforcing allocation mechanism. Findings: We discuss the benefits and limitations of this solution in comparison with more established alternatives (e.g. nucleolus and Shapley value). We show that it considers the bargaining power of the nodes, but it may not belong to the core. Originality/value: Finding a fair and self-enforcing scheme for incentive alignment, and specifically profit allocation, is essential to ensure the long-term sustainability of collaborative supply chains.Peer Reviewe

Neural networks in financial trading

In this study, we generate 50 Multi-layer Perceptons, 50 Radial Basis Functions, 50 Higher Order Neural Networks and 50 Recurrent Neural Network and we explore their utility in forecasting and trading the DJIA, NASDAQ 100 and the NIKKEI 225 stock indices. The statistical significance of the forecasts is examined through the False Discovery Ratio of Bajgrowicz and Scaillet (J Financ Econ 106(3):473–491, 2012). Two financial everages, based on the levels of financial stress and the financial volatility respectively, are also applied. In terms of the results, we note that RNN have the higher percentage of significant models and present the stronger profitability compared to their Neural Network counterparts. The financial leverages doubles the trading performance of our models

Applying machine learning to the dynamic selection of replenishment policies in fast-changing supply chain environments

Firms currently operate in highly competitive scenarios, where the environmental conditions evolve over time. Many factors intervene simultaneously and their hard-to-interpret interactions throughout the supply chain greatly complicate decision-making. The complexity clearly manifests itself in the field of inventory management, in which determining the optimal replenishment rule often becomes an intractable problem. This paper applies machine learning to help managers understand these complex scenarios and better manage the inventory flow. Building on a dynamic framework, we employ an inductive learning algorithm for setting the most appropriate replenishment policy over time by reacting to the environmental changes. This approach proves to be effective in a three-echelon supply chain where the scenario is defined by seven variables (cost structure, demand variability, three lead times, and two partners’ inventory policy). Considering four alternatives, the algorithm determines the best replenishment rule around 88% of the time. This leads to a noticeable reduction of operating costs against static alternatives. Interestingly, we observe that the nodes are much more sensitive to inventory decisions in the lower echelons than in the upper echelons of the supply chain

Real-Time Water Demand Forecasting System through an Agent-Based Architecture

Water policies have evolved enormously since the Rio Earth Summit (1992). These changes have led to the strategic importance of Water Demand Management. The aim is to provide wa-ter where and when it is required using the fewest resources. A key variable in this process is the demand forecasting. It is not sufficient to have long term forecasts, as the current context requires the continuous availability of reliable hourly predictions. This paper incorporates arti-ficial intelligence to the subject, through an agent-based system, whose basis are complex fore-casting methods (Box-Jenkins, Holt-Winters, Multi-Layer Perceptron Networks and Radial Ba-sis Function Networks). The prediction system also includes data mining, oriented to the pre and post processing of data and to the knowledge discovery, and other agents. Thereby, the system is capable of choosing at every moment the most appropriate forecast, reaching very low errors. It significantly improves the results of the different methods separatelyAyuda predoctoral Severo Ochoa. Ref BP13011

Non-Uniform Spline Quasi-Interpolation to Extract the Series Resistance in Resistive Switching Memristors for Compact Modeling Purposes

This research was funded by the Consejeria de Conocimiento, Investigacion y Universidad, Junta de Andalucia (Spain) and the FEDER programme under projects A.TIC.117.UGR18 and IE2017-5414.An advanced new methodology is presented to improve parameter extraction in resistive memories. The series resistance and some other parameters in resistive memories are obtained, making use of a two-stage algorithm, where the second one is based on quasi-interpolation on nonuniform partitions. The use of this latter advanced mathematical technique provides a numerically robust procedure, and in this manuscript, we focus on it. The series resistance, an essential parameter to characterize the circuit operation of resistive memories, is extracted from experimental curves measured in devices based on hafnium oxide as their dielectric layer. The experimental curves are highly non-linear, due to the underlying physics controlling the device operation, so that a stable numerical procedure is needed. The results also allow promising expectations in the massive extraction of new parameters that can help in the characterization of the electrical device behavior.Junta de AndaluciaEuropean Commission A.TIC.117.UGR18 IE2017-541