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1 – 10 of 149Xiaojie Xu and Yun Zhang
For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction…
Abstract
Purpose
For policymakers and participants of financial markets, predictions of trading volumes of financial indices are important issues. This study aims to address such a prediction problem based on the CSI300 nearby futures by using high-frequency data recorded each minute from the launch date of the futures to roughly two years after constituent stocks of the futures all becoming shortable, a time period witnessing significantly increased trading activities.
Design/methodology/approach
In order to answer questions as follows, this study adopts the neural network for modeling the irregular trading volume series of the CSI300 nearby futures: are the research able to utilize the lags of the trading volume series to make predictions; if this is the case, how far can the predictions go and how accurate can the predictions be; can this research use predictive information from trading volumes of the CSI300 spot and first distant futures for improving prediction accuracy and what is the corresponding magnitude; how sophisticated is the model; and how robust are its predictions?
Findings
The results of this study show that a simple neural network model could be constructed with 10 hidden neurons to robustly predict the trading volume of the CSI300 nearby futures using 1–20 min ahead trading volume data. The model leads to the root mean square error of about 955 contracts. Utilizing additional predictive information from trading volumes of the CSI300 spot and first distant futures could further benefit prediction accuracy and the magnitude of improvements is about 1–2%. This benefit is particularly significant when the trading volume of the CSI300 nearby futures is close to be zero. Another benefit, at the cost of the model becoming slightly more sophisticated with more hidden neurons, is that predictions could be generated through 1–30 min ahead trading volume data.
Originality/value
The results of this study could be used for multiple purposes, including designing financial index trading systems and platforms, monitoring systematic financial risks and building financial index price forecasting.
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Babitha Philip and Hamad AlJassmi
To proactively draw efficient maintenance plans, road agencies should be able to forecast main road distress parameters, such as cracking, rutting, deflection and International…
Abstract
Purpose
To proactively draw efficient maintenance plans, road agencies should be able to forecast main road distress parameters, such as cracking, rutting, deflection and International Roughness Index (IRI). Nonetheless, the behavior of those parameters throughout pavement life cycles is associated with high uncertainty, resulting from various interrelated factors that fluctuate over time. This study aims to propose the use of dynamic Bayesian belief networks for the development of time-series prediction models to probabilistically forecast road distress parameters.
Design/methodology/approach
While Bayesian belief network (BBN) has the merit of capturing uncertainty associated with variables in a domain, dynamic BBNs, in particular, are deemed ideal for forecasting road distress over time due to its Markovian and invariant transition probability properties. Four dynamic BBN models are developed to represent rutting, deflection, cracking and IRI, using pavement data collected from 32 major road sections in the United Arab Emirates between 2013 and 2019. Those models are based on several factors affecting pavement deterioration, which are classified into three categories traffic factors, environmental factors and road-specific factors.
Findings
The four developed performance prediction models achieved an overall precision and reliability rate of over 80%.
Originality/value
The proposed approach provides flexibility to illustrate road conditions under various scenarios, which is beneficial for pavement maintainers in obtaining a realistic representation of expected future road conditions, where maintenance efforts could be prioritized and optimized.
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Xiaojie Xu and Yun Zhang
Forecasts of commodity prices are vital issues to market participants and policy makers. Those of corn are of no exception, considering its strategic importance. In the present…
Abstract
Purpose
Forecasts of commodity prices are vital issues to market participants and policy makers. Those of corn are of no exception, considering its strategic importance. In the present study, the authors assess the forecast problem for the weekly wholesale price index of yellow corn in China during January 1, 2010–January 10, 2020 period.
Design/methodology/approach
The authors employ the nonlinear auto-regressive neural network as the forecast tool and evaluate forecast performance of different model settings over algorithms, delays, hidden neurons and data splitting ratios in arriving at the final model.
Findings
The final model is relatively simple and leads to accurate and stable results. Particularly, it generates relative root mean square errors of 1.05%, 1.08% and 1.03% for training, validation and testing, respectively.
Originality/value
Through the analysis, the study shows usefulness of the neural network technique for commodity price forecasts. The results might serve as technical forecasts on a standalone basis or be combined with other fundamental forecasts for perspectives of price trends and corresponding policy analysis.
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Loan default risk or credit risk evaluation is important to financial institutions which provide loans to businesses and individuals. Loans carry the risk of being defaulted. To…
Abstract
Purpose
Loan default risk or credit risk evaluation is important to financial institutions which provide loans to businesses and individuals. Loans carry the risk of being defaulted. To understand the risk levels of credit users (corporations and individuals), credit providers (bankers) normally collect vast amounts of information on borrowers. Statistical predictive analytic techniques can be used to analyse or to determine the risk levels involved in loans. This paper aims to address the question of default prediction of short-term loans for a Tunisian commercial bank.
Design/methodology/approach
The authors have used a database of 924 files of credits granted to industrial Tunisian companies by a commercial bank in the years 2003, 2004, 2005 and 2006. The naive Bayesian classifier algorithm was used, and the results show that the good classification rate is of the order of 63.85 per cent. The default probability is explained by the variables measuring working capital, leverage, solvency, profitability and cash flow indicators.
Findings
The results of the validation test show that the good classification rate is of the order of 58.66 per cent; nevertheless, the error types I and II remain relatively high at 42.42 and 40.47 per cent, respectively. A receiver operating characteristic curve is plotted to evaluate the performance of the model. The result shows that the area under the curve criterion is of the order of 69 per cent.
Originality/value
The paper highlights the fact that the Tunisian central bank obliged all commercial banks to conduct a survey study to collect qualitative data for better credit notation of the borrowers.
Propósito
El riesgo de incumplimiento de préstamos o la evaluación del riesgo de crédito es importante para las instituciones financieras que otorgan préstamos a empresas e individuos. Existe el riesgo de que el pago de préstamos no se cumpla. Para entender los niveles de riesgo de los usuarios de crédito (corporaciones e individuos), los proveedores de crédito (banqueros) normalmente recogen gran cantidad de información sobre los prestatarios. Las técnicas analíticas predictivas estadísticas pueden utilizarse para analizar o determinar los niveles de riesgo involucrados en los préstamos. En este artículo abordamos la cuestión de la predicción por defecto de los préstamos a corto plazo para un banco comercial tunecino.
Diseño/metodología/enfoque
Utilizamos una base de datos de 924 archivos de créditos concedidos a empresas industriales tunecinas por un banco comercial en 2003, 2004, 2005 y 2006. El algoritmo bayesiano de clasificadores se llevó a cabo y los resultados muestran que la tasa de clasificación buena es del orden del 63.85%. La probabilidad de incumplimiento se explica por las variables que miden el capital de trabajo, el apalancamiento, la solvencia, la rentabilidad y los indicadores de flujo de efectivo.
Hallazgos
Los resultados de la prueba de validación muestran que la buena tasa de clasificación es del orden de 58.66% ; sin embargo, los errores tipo I y II permanecen relativamente altos, siendo de 42.42% y 40.47%, respectivamente. Se traza una curva ROC para evaluar el rendimiento del modelo. El resultado muestra que el criterio de área bajo curva (AUC, por sus siglas en inglés) es del orden del 69%.
Originalidad/valor
El documento destaca el hecho de que el Banco Central tunecino obligó a todas las entidades del sector llevar a cabo un estudio de encuesta para recopilar datos cualitativos para un mejor registro de crédito de los prestatarios.
Palabras clave
Curva ROC, Evaluación de riesgos, Riesgo de incumplimiento, Sector bancario, Algoritmo clasificador bayesiano.
Tipo de artículo
Artículo de investigación
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Spam emails classification using data mining and machine learning approaches has enticed the researchers' attention duo to its obvious positive impact in protecting internet…
Abstract
Spam emails classification using data mining and machine learning approaches has enticed the researchers' attention duo to its obvious positive impact in protecting internet users. Several features can be used for creating data mining and machine learning based spam classification models. Yet, spammers know that the longer they will use the same set of features for tricking email users the more probably the anti-spam parties might develop tools for combating this kind of annoying email messages. Spammers, so, adapt by continuously reforming the group of features utilized for composing spam emails. For that reason, even though traditional classification methods possess sound classification results, they were ineffective for lifelong classification of spam emails duo to the fact that they might be prone to the so-called “Concept Drift”. In the current study, an enhanced model is proposed for ensuring lifelong spam classification model. For the evaluation purposes, the overall performance of the suggested model is contrasted against various other stream mining classification techniques. The results proved the success of the suggested model as a lifelong spam emails classification method.
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Financial health of a corporation is a great concern for every investor level and decision-makers. For many years, financial solvency prediction is a significant issue throughout…
Abstract
Purpose
Financial health of a corporation is a great concern for every investor level and decision-makers. For many years, financial solvency prediction is a significant issue throughout academia, precisely in finance. This requirement leads this study to check whether machine learning can be implemented in financial solvency prediction.
Design/methodology/approach
This study analyzed 244 Dhaka stock exchange public-listed companies over the 2015–2019 period, and two subsets of data are also developed as training and testing datasets. For machine learning model building, samples are classified as secure, healthy and insolvent by the Altman Z-score. R statistical software is used to make predictive models of five classifiers and all model performances are measured with different performance metrics such as logarithmic loss (logLoss), area under the curve (AUC), precision recall AUC (prAUC), accuracy, kappa, sensitivity and specificity.
Findings
This study found that the artificial neural network classifier has 88% accuracy and sensitivity rate; also, AUC for this model is 96%. However, the ensemble classifier outperforms all other models by considering logLoss and other metrics.
Research limitations/implications
The major result of this study can be implicated to the financial institution for credit scoring, credit rating and loan classification, etc. And other companies can implement machine learning models to their enterprise resource planning software to trace their financial solvency.
Practical implications
Finally, a predictive application is developed through training a model with 1,200 observations and making it available for all rational and novice investors (Abdullah, 2020).
Originality/value
This study found that, with the best of author expertise, the author did not find any studies regarding machine learning research of financial solvency that examines a comparable number of a dataset, with all these models in Bangladesh.
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Bastian Burger, Dominik K. Kanbach, Sascha Kraus, Matthias Breier and Vincenzo Corvello
The article discusses the current relevance of artificial intelligence (AI) in research and how AI improves various research methods. This article focuses on the practical case…
Abstract
Purpose
The article discusses the current relevance of artificial intelligence (AI) in research and how AI improves various research methods. This article focuses on the practical case study of systematic literature reviews (SLRs) to provide a guideline for employing AI in the process.
Design/methodology/approach
Researchers no longer require technical skills to use AI in their research. The recent discussion about using Chat Generative Pre-trained Transformer (GPT), a chatbot by OpenAI, has reached the academic world and fueled heated debates about the future of academic research. Nevertheless, as the saying goes, AI will not replace our job; a human being using AI will. This editorial aims to provide an overview of the current state of using AI in research, highlighting recent trends and developments in the field.
Findings
The main result is guidelines for the use of AI in the scientific research process. The guidelines were developed for the literature review case but the authors believe the instructions provided can be adjusted to many fields of research, including but not limited to quantitative research, data qualification, research on unstructured data, qualitative data and even on many support functions and repetitive tasks.
Originality/value
AI already has the potential to make researchers’ work faster, more reliable and more convenient. The authors highlight the advantages and limitations of AI in the current time, which should be present in any research utilizing AI. Advantages include objectivity and repeatability in research processes that currently are subject to human error. The most substantial disadvantages lie in the architecture of current general-purpose models, which understanding is essential for using them in research. The authors will describe the most critical shortcomings without going into technical detail and suggest how to work with the shortcomings daily.
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Gayatri Panda, Manoj Kumar Dash, Ashutosh Samadhiya, Anil Kumar and Eyob Mulat-weldemeskel
Artificial intelligence (AI) can enhance human resource resiliency (HRR) by providing the insights and resources needed to adapt to unexpected changes and disruptions. Therefore…
Abstract
Purpose
Artificial intelligence (AI) can enhance human resource resiliency (HRR) by providing the insights and resources needed to adapt to unexpected changes and disruptions. Therefore, the present research attempts to develop a framework for future researchers to gain insights into the actions of AI to enable HRR.
Design/methodology/approach
The present study used a systematic literature review, bibliometric analysis, and network analysis followed by content analysis. In doing so, we reviewed the literature to explore the present state of research in AI and HRR. A total of 98 articles were included, extracted from the Scopus database in the selected field of research.
Findings
The authors found that AI or AI-associated techniques help deliver various HRR-oriented outcomes, such as enhancing employee competency, performance management and risk management; enhancing leadership competencies and employee well-being measures; and developing effective compensation and reward management.
Research limitations/implications
The present research has certain implications, such as increasing the HR team's proficiency, addressing the problem of job loss and how to fix it, improving working conditions and improving decision-making in HR.
Originality/value
The present research explores the role of AI in HRR following the COVID-19 pandemic, which has not been explored extensively.
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Han Wu, Tao Wang, Tuo Dai, Xiaoyu Wang, Yuanzhen Lin and Yizhou Wang
This paper aims to design a vision-based non-contact real-time accurate heart rate (HR) measurement framework for home nursing assistant.
Abstract
Purpose
This paper aims to design a vision-based non-contact real-time accurate heart rate (HR) measurement framework for home nursing assistant.
Design/methodology/approach
The study applied Second-Order Blind Signal Identification (SOBI) algorithm to extract remote HR signal and analyzed it with Fast Fourier Transform (FFT). Multiple regions of interest are chosen and analyzed to obtain a more accurate result.
Findings
An accurate non-contact hear rate (HR) measurement framework is proposed and proved to be efficient.
Originality/value
The contributions of this HR measurement framework are as follows: accurate measurement of HR, real-time performance, robust under various scenes such as conversation, lightweight computation which is suitable and necessary for home nursing assistance. This framework is designed to be flexibly used in various real-life scenes such as domestic health assistance and affectively intelligent agents and is proved to be robust under such scenes.
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To advance marketing research and practice, this study aims to examine the application of the innovative, mobile-applicable neuroimaging method – mobile functional near-infrared…
Abstract
Purpose
To advance marketing research and practice, this study aims to examine the application of the innovative, mobile-applicable neuroimaging method – mobile functional near-infrared spectroscopy (mfNIRS) – in the field of marketing research, providing comprehensive guidelines and practical recommendations.
Design/methodology/approach
A general review and investigation of when and how to use mfNIRS in business-to-consumer and business-to-business marketing settings is used to illustrate the utility of mfNIRS.
Findings
The research findings help prospective marketing and consumer neuroscience researchers to structure mfNIRS experiments, perform the analysis and interpret the obtained mfNIRS data.
Research implications
The application of mfNIRS offers opportunities for marketing research that allow the exploration of neural processes and associated behaviour of customers in naturalistic settings.
Practical implications
The application of mfNIRS as a neuroimaging method enables the investigation of unconscious neural processes that control customer behaviour and can act as process variables for companies.
Originality/value
This is one of the first studies to provide comprehensive guidelines and applied practical recommendations concerning when and how to apply mfNIRS in marketing research.
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