scholarly journals A Novel Machine Learning Strategy Based on Two-Dimensional Numerical Models in Financial Engineering

2013 ◽  
Vol 2013 ◽  
pp. 1-6 ◽  
Author(s):  
Qingzhen Xu

Machine learning is the most commonly used technique to address larger and more complex tasks by analyzing the most relevant information already present in databases. In order to better predict the future trend of the index, this paper proposes a two-dimensional numerical model for machine learning to simulate major U.S. stock market index and uses a nonlinear implicit finite-difference method to find numerical solutions of the two-dimensional simulation model. The proposed machine learning method uses partial differential equations to predict the stock market and can be extensively used to accelerate large-scale data processing on the history database. The experimental results show that the proposed algorithm reduces the prediction error and improves forecasting precision.

2021 ◽  
Author(s):  
Sanjay Giri ◽  
Amin Shakya ◽  
Mohamed Nabi ◽  
Suleyman Naqshband ◽  
Toshiki Iwasaki ◽  
...  

<p>Evolution and transition of bedforms in lowland rivers are micro-scale morphological processes that influence river management decisions. This work builds upon our past efforts that include physics-based modelling, physical experiments and the machine learning (ML) approach to predict bedform features, states as well as associated flow resistance. We revisit our past works and efforts on developing and applying numerical models, from simple to sophisticated, starting with a multi-scale shallow-water model with a dual-grid technique. The model incorporates an adjustment of the local bed shear stress by a slope effect and an additional term that influences bedform feature. Furthermore, we review our work on a vertical two-dimensional model with a free surface flow condition. We explore the effects of different sediment transport approaches such as equilibrium transport with bed slope correction and a non-equilibrium transport with pick-up and deposition. We revisit a sophisticated three-dimensional Large Eddy Simulation (LES) model with an improved sediment transport approach that includes sliding, rolling, and jumping based on a Lagrangian framework. Finally, we discuss about bedform states and transition that are studied using laboratory experiments as well as a theory-guided data science approach that assures logical reasoning to analyze physical phenomena with large amounts of data. A theoretical evaluation of parameters that influence bedform development is carried out, followed by classification of bedform type by using a neural network model.</p><p>In second part, we focus on practical application, and discuss about large-scale numerical models that are being applied in river engineering and management practices. Such models are found to have noticeable inaccuracies and uncertainties associated with various physical and non-physical reasons. A key physical problem of these large-scale numerical models is related to the prediction of evolution and transition of micro-scale bedforms, and associated flow resistance. The evolution and transition of bedforms during rising and falling stages of a flood wave have a noticeable impact on morphology and flow levels in low-land alluvial rivers. The interaction between flow and micro-scale bedforms cannot be considered in a physics-based manner in large-scale numerical models due to the incompatibility between the resolution of the models and the scale of morphological changes. The dynamics of bedforms and the corresponding changes in flow resistance are not captured. As a way forward, we propse a hydrid approach that includes application of the CFD models, mentioned above, to generate a large amount of data in complement with field and laboratory observations, analysis of their reliability based on which developing a ML model. The CFD models can replicate bedform evolution and transition processes as well as associated flow resistance in physics-based manner under steady and varying flow conditions. The hybrid approach of using CFD and ML models can offer a better prediction of flow resistance that can be coupled with large-scale numerical models to improve their performance. The reseach is in progress.</p>


2020 ◽  
Author(s):  
Alexander V. Lebedev ◽  
Christoph Abe ◽  
Kasim Acar ◽  
Martin Ingvar ◽  
Predrag Petrovic

SummaryA number of previous studies have indicated that market and population well-being are related. Using UK-biobank data we first identified a significant association between a local stock market index (FTSE100) and mood of 479,791 subjects and demonstrated that FTSE100 exhibits significant associations with volumetric measures of the brain regions involved in affective processing in 39,755 subjects with more distant markets exhibiting a weaker relation to these regions. These effects were primarily observed in the low-frequency band and were magnified over larger time-scales. The main results survived adjustments for seasonal effects, demographic confounders and effects of non-UK markets. The magnitude of these associations was also related to the strength of UK’s social and economic ties to other countries. Finally, the main finding was replicated in an independent set of individuals from a different country. After identifying scale-free properties in the stock market time-series, we show that 1/f pink noise explains a large proportion of the market-brain variance. However, all results withstood the adjustment for the scale-free noise. Taken together, our results suggest how global dynamics in the society generalise to population mood and large-scale biological data.


Author(s):  
Michał Hanasz ◽  
Andrew W. Strong ◽  
Philipp Girichidis

AbstractWe review numerical methods for simulations of cosmic ray (CR) propagation on galactic and larger scales. We present the development of algorithms designed for phenomenological and self-consistent models of CR propagation in kinetic description based on numerical solutions of the Fokker–Planck equation. The phenomenological models assume a stationary structure of the galactic interstellar medium and incorporate diffusion of particles in physical and momentum space together with advection, spallation, production of secondaries and various radiation mechanisms. The self-consistent propagation models of CRs include the dynamical coupling of the CR population to the thermal plasma. The CR transport equation is discretized and solved numerically together with the set of MHD equations in various approaches treating the CR population as a separate relativistic fluid within the two-fluid approach or as a spectrally resolved population of particles evolving in physical and momentum space. The relevant processes incorporated in self-consistent models include advection, diffusion and streaming propagation as well as adiabatic compression and several radiative loss mechanisms. We discuss, applications of the numerical models for the interpretation of CR data collected by various instruments. We present example models of astrophysical processes influencing galactic evolution such as galactic winds, the amplification of large-scale magnetic fields and instabilities of the interstellar medium.


1986 ◽  
Vol 1 (20) ◽  
pp. 75
Author(s):  
G.J. Bosselaar ◽  
R.A.H. Thabet ◽  
A.J.G.M. Van Roermund ◽  
L. Bijlsma

The paper describes the application of two dimensional vertically integrated models (WAQUA system) , the results being used for the calculation of sandlosses during sandfill closure operations. Investigations with test models, physical scale models as well as numerical models, are presented to prove that the WAQUA system is not only suitable for large scale applications, but also for the simulation of detailed flow patterns.


Author(s):  
Prof. Kanchan Mahajan

In Stock Market Prediction, the point is to estimate the future worth of the monetary loads of an organization. The new pattern in securities exchange forecast advances is the utilization of AI which makes expectations dependent on the upsides of current financial exchange lists via preparing on their past qualities. AI itself utilizes various models to make expectation simpler and credible. The thought centers on the utilization of dissimilar Machine learning algorithms to anticipate stock qualities. Variables considered are open, close, low, high and volume. The principal thing we have considered is the dataset of the securities exchange costs from earlier year. The dataset was pre-handled and adjusted for genuine examination. What's more, the proposed thought inspects the utilization of the forecast framework in verifiable settings and issues related with the accuracy of the general qualities given. The thought additionally portrays AI model to foresee the life span of the stock in a serious market. The effective forecast of the stock will be an extraordinary resource for the securities exchange establishments and will give genuine answers for the issues that stock financial backers face.


Complexity ◽  
2019 ◽  
Vol 2019 ◽  
pp. 1-12 ◽  
Author(s):  
Hongduo Cao ◽  
Tiantian Lin ◽  
Ying Li ◽  
Hanyu Zhang

Complex networks in stock market and stock price volatility pattern prediction are the important issues in stock price research. Previous studies have used historical information regarding a single stock to predict the future trend of the stock’s price, seldom considering comovement among stocks in the same market. In this study, in order to extract the information about relation stocks for prediction, we try to combine the complex network method with machine learning to predict stock price patterns. Firstly, we propose a new pattern network construction method for multivariate stock time series. The price volatility combination patterns of the Standard & Poor’s 500 Index (S&P 500), the NASDAQ Composite Index (NASDAQ), and the Dow Jones Industrial Average (DJIA) are transformed into directed weighted networks. It is found that network topology characteristics, such as average degree centrality, average strength, average shortest path length, and closeness centrality, can identify periods of sharp fluctuations in the stock market. Next, the topology characteristic variables for each combination symbolic pattern are used as the input variables for K-nearest neighbors (KNN) and support vector machine (SVM) algorithms to predict the next-day volatility patterns of a single stock. The results show that the optimal models corresponding to the two algorithms can be found through cross-validation and search methods, respectively. The prediction accuracy rates for the three indexes in relation to the testing data set are greater than 70%. In general, the prediction ability of SVM algorithms is better than that of KNN algorithms.


2013 ◽  
Vol 43 (7) ◽  
pp. 1380-1397 ◽  
Author(s):  
Jody M. Klymak ◽  
Maarten Buijsman ◽  
Sonya Legg ◽  
Robert Pinkel

Abstract A parameterization is presented for turbulence dissipation due to internal tides generated at and impinging upon topography steep enough to be “supercritical” with respect to the tide. The parameterization requires knowledge of the topography, stratification, and the remote forcing—either barotropic or baroclinic. Internal modes that are arrested at the crest of the topography are assumed to dissipate, and faster modes assumed to propagate away. The energy flux into each mode is predicted using a knife-edge topography that allows linear numerical solutions. The parameterization is tested using high-resolution two-dimensional numerical models of barotropic and internal tides impinging on an isolated ridge, and for the generation problem on a two-ridge system. The recipe is seen to work well compared to numerical simulations of isolated ridges, so long as the ridge has a slope steeper than twice the critical steepness. For less steeply sloped ridges, near-critical generation becomes more dominant. For the two-ridge case, the recipe works well when compared to numerical model runs with very thin ridges. However, as the ridges are widened, even by a small amount, the recipe does poorly in an unspecified manner because the linear response at high modes becomes compromised as it interacts with the slopes.


Sign in / Sign up

Export Citation Format

Share Document