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1 – 10 of 24
Open Access
Article
Publication date: 28 April 2023

Himanshu Goel and Bhupender Kumar Som

This study aims to predict the Indian stock market (Nifty 50) by employing macroeconomic variables as input variables identified from the literature for two sub periods, i.e. the…

2716

Abstract

Purpose

This study aims to predict the Indian stock market (Nifty 50) by employing macroeconomic variables as input variables identified from the literature for two sub periods, i.e. the pre-coronavirus disease 2019 (COVID-19) (June 2011–February 2020) and during the COVID-19 (March 2020–June 2021).

Design/methodology/approach

Secondary data on macroeconomic variables and Nifty 50 index spanning a period of last ten years starting from 2011 to 2021 have been from various government and regulatory websites. Also, an artificial neural network (ANN) model was trained with the scaled conjugate gradient algorithm for predicting the National Stock exchange's (NSE) flagship index Nifty 50.

Findings

The findings of the study reveal that Scaled Conjugate Gradient (SCG) algorithm achieved 96.99% accuracy in predicting the Indian stock market in the pre-COVID-19 scenario. On the contrary, the proposed ANN model achieved 99.85% accuracy in during the COVID-19 period. The findings of this study have implications for investors, portfolio managers, domestic and foreign institution investors, etc.

Originality/value

The novelty of this study lies in the fact that are hardly any studies that forecasts the Indian stock market using artificial neural networks in the pre and during COVID-19 periods.

Details

EconomiA, vol. 24 no. 1
Type: Research Article
ISSN: 1517-7580

Keywords

Open Access
Article
Publication date: 31 May 2023

Xiaojie 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.

Details

Asian Journal of Economics and Banking, vol. 8 no. 1
Type: Research Article
ISSN: 2615-9821

Keywords

Open Access
Article
Publication date: 4 April 2023

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…

1038

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.

Details

EconomiA, vol. 24 no. 1
Type: Research Article
ISSN: 1517-7580

Keywords

Open Access
Article
Publication date: 22 October 2021

Syed Farid Uddin, Ayan Alam Khan, Mohd Wajid, Mahima Singh and Faisal Alam

The purpose of this paper is to show a comparative study of different direction-of-arrival (DOA) estimation techniques, namely, multiple signal classification (MUSIC) algorithm

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Abstract

Purpose

The purpose of this paper is to show a comparative study of different direction-of-arrival (DOA) estimation techniques, namely, multiple signal classification (MUSIC) algorithm, delay-and-sum (DAS) beamforming, support vector regression (SVR), multivariate linear regression (MLR) and multivariate curvilinear regression (MCR).

Design/methodology/approach

The relative delay between the microphone signals is the key attribute for the implementation of any of these techniques. The machine-learning models SVR, MLR and MCR have been trained using correlation coefficient as the feature set. However, MUSIC uses noise subspace of the covariance-matrix of the signals recorded with the microphone, whereas DAS uses the constructive and destructive interference of the microphone signals.

Findings

Variations in root mean square angular error (RMSAE) values are plotted using different DOA estimation techniques at different signal-to-noise-ratio (SNR) values as 10, 14, 18, 22 and 26dB. The RMSAE curve for DAS seems to be smooth as compared to PR1, PR2 and RR but it shows a relatively higher RMSAE at higher SNR. As compared to (DAS, PR1, PR2 and RR), SVR has the lowest RMSAE such that the graph is more suppressed towards the bottom.

Originality/value

DAS has a smooth curve but has higher RMSAE at higher SNR values. All the techniques show a higher RMSAE at the end-fire, i.e. angles near 90°, but comparatively, MUSIC has the lowest RMSAE near the end-fire, supporting the claim that MUSIC outperforms all other algorithms considered.

Open Access
Article
Publication date: 19 November 2021

Łukasz Knypiński

The purpose of this paper is to execute the efficiency analysis of the selected metaheuristic algorithms (MAs) based on the investigation of analytical functions and investigation…

1220

Abstract

Purpose

The purpose of this paper is to execute the efficiency analysis of the selected metaheuristic algorithms (MAs) based on the investigation of analytical functions and investigation optimization processes for permanent magnet motor.

Design/methodology/approach

A comparative performance analysis was conducted for selected MAs. Optimization calculations were performed for as follows: genetic algorithm (GA), particle swarm optimization algorithm (PSO), bat algorithm, cuckoo search algorithm (CS) and only best individual algorithm (OBI). All of the optimization algorithms were developed as computer scripts. Next, all optimization procedures were applied to search the optimal of the line-start permanent magnet synchronous by the use of the multi-objective objective function.

Findings

The research results show, that the best statistical efficiency (mean objective function and standard deviation [SD]) is obtained for PSO and CS algorithms. While the best results for several runs are obtained for PSO and GA. The type of the optimization algorithm should be selected taking into account the duration of the single optimization process. In the case of time-consuming processes, algorithms with low SD should be used.

Originality/value

The new proposed simple nondeterministic algorithm can be also applied for simple optimization calculations. On the basis of the presented simulation results, it is possible to determine the quality of the compared MAs.

Details

COMPEL - The international journal for computation and mathematics in electrical and electronic engineering , vol. 41 no. 5
Type: Research Article
ISSN: 0332-1649

Keywords

Open Access
Article
Publication date: 6 May 2022

Mohammed Ayoub Ledhem

The purpose of this paper is to predict the daily accuracy improvement for the Jakarta Islamic Index (JKII) prices using deep learning (DL) with small and big data of symmetric…

1378

Abstract

Purpose

The purpose of this paper is to predict the daily accuracy improvement for the Jakarta Islamic Index (JKII) prices using deep learning (DL) with small and big data of symmetric volatility information.

Design/methodology/approach

This paper uses the nonlinear autoregressive exogenous (NARX) neural network as the optimal DL approach for predicting daily accuracy improvement through small and big data of symmetric volatility information of the JKII based on the criteria of the highest accuracy score of testing and training. To train the neural network, this paper employs the three DL techniques, namely Levenberg–Marquardt (LM), Bayesian regularization (BR) and scaled conjugate gradient (SCG).

Findings

The experimental results show that the optimal DL technique for predicting daily accuracy improvement of the JKII prices is the LM training algorithm based on using small data which provide superior prediction accuracy to big data of symmetric volatility information. The LM technique develops the optimal network solution for the prediction process with 24 neurons in the hidden layer across a delay parameter equal to 20, which affords the best predicting accuracy based on the criteria of mean squared error (MSE) and correlation coefficient.

Practical implications

This research would fill a literature gap by offering new operative techniques of DL to predict daily accuracy improvement and reduce the trading risk for the JKII prices based on symmetric volatility information.

Originality/value

This research is the first that predicts the daily accuracy improvement for JKII prices using DL with symmetric volatility information.

Details

Journal of Capital Markets Studies, vol. 6 no. 2
Type: Research Article
ISSN: 2514-4774

Keywords

Open Access
Article
Publication date: 19 March 2021

Dandan Qiu, Lei Luo, Zhiqi Zhao, Songtao Wang, Zhongqi Wang and Bengt Ake Sunden

The purpose of this study is to investigate the effects of film holes’ arrangements and jet Reynolds number on flow structure and heat transfer characteristics of jet impingement…

1087

Abstract

Purpose

The purpose of this study is to investigate the effects of film holes’ arrangements and jet Reynolds number on flow structure and heat transfer characteristics of jet impingement conjugated with film cooling in a semicylinder double wall channel.

Design/methodology/approach

Numerical simulations are used in this research. Streamlines on different sections, skin-friction lines, velocity, wall shear stress and turbulent kinetic energy contours near the concave target wall and vortices in the double channel are presented. Local Nusselt number contours and surface averaged Nusselt numbers are also obtained. Topology analysis is applied to further understand the fluid flow and is used in analyzing the heat transfer characteristics.

Findings

It is found that the arrangement of side films positioned far from the center jets helps to enhance the flow disturbance and heat transfer behind the film holes. The heat transfer uniformity for the case of 55° films arrangement angle is most improved and the thermal performance is the highest in this study.

Originality/value

The film holes’ arrangements effects on fluid flow and heat transfer in an impingement cooled concave channel are conducted. The flow structures in the channel and flow characteristics near target by topology pictures are first obtained for the confined film cooled impingement cases. The heat transfer distributions are analyzed with the flow characteristics. The highest heat transfer uniformity and thermal performance situation is obtained in present work.

Details

International Journal of Numerical Methods for Heat & Fluid Flow, vol. 31 no. 12
Type: Research Article
ISSN: 0961-5539

Keywords

Open Access
Article
Publication date: 17 August 2020

Slavcho Shtrakov

In this paper we study a class of complexity measures, induced by a new data structure for representing k-valued functions (operations), called minor decision diagram. When…

Abstract

In this paper we study a class of complexity measures, induced by a new data structure for representing k-valued functions (operations), called minor decision diagram. When assigning values to some variables in a function the resulting functions are called subfunctions, and when identifying some variables the resulting functions are called minors. The sets of essential variables in subfunctions of f are called separable in f.

We examine the maximal separable subsets of variables and their conjugates, introduced in the paper, proving that each such set has at least one conjugate. The essential arity gap gap(f) of the function f is the minimal number of essential variables in f which become fictive when identifying distinct essential variables in f. We also investigate separable sets of variables in functions with non-trivial arity gap. This allows us to solve several important algebraic, computational and combinatorial problems about the finite-valued functions.

Details

Applied Computing and Informatics, vol. 17 no. 1
Type: Research Article
ISSN: 2634-1964

Keywords

Open Access
Article
Publication date: 17 December 2021

Annelise Nairne Schamne, André Nagalli and Alfredo Augusto Vieira Soeiro

The construction sector is increasingly engaged to explore the potential application of building information modelling (BIM) for the sustainability of the buildings. BIM can be…

2426

Abstract

Purpose

The construction sector is increasingly engaged to explore the potential application of building information modelling (BIM) for the sustainability of the buildings. BIM can be applied conjugated to certification methods to evaluate the sustainability of the buildings, and it is known as building sustainability assessment (BSA). This article aims to explore applications of BIM in the sustainability analysis of buildings, including five types of BSA.

Design/methodology/approach

A literature review from 2009 to 2020 considering a combination of search terms related to BIM and BSA complemented the analysis. The bibliometric analysis indicates an increase in the number of publications on this topic of study in the last five years. A peak occurred in 2015 and 2020, with 51 and 66 publications, respectively.

Findings

The results showed that BIM contributes to achieving part of the sustainability requirements from BSA, especially quantitative requirements that are related to material and resources. However, a complete analysis between BIM and BSA is still a challenge since part of BSA's have a lack information in their requirements and BIM softwares present interoperability problems that difficult an integrated analysis to extract information directly from the software to attend BSA's requirements.

Originality/value

The results contribute to analysing the evolution of studies about BIM and to understand the limitation in the applicability with sustainability rating systems. Future directions of research indicate the necessity to improve the use of BIM in the sustainability analysis of the buildings, but with a good perspective regarding the application of BIM in material and resources requirements, and waste management in construction sites.

Details

Frontiers in Engineering and Built Environment, vol. 2 no. 1
Type: Research Article
ISSN: 2634-2499

Keywords

Open Access
Article
Publication date: 29 July 2019

Ren Yang, Qi Song and Pu Chen

The purpose of this paper is to establish and implement a direct topological reanalysis algorithm for general successive structural modifications, based on the updating matrix…

Abstract

Purpose

The purpose of this paper is to establish and implement a direct topological reanalysis algorithm for general successive structural modifications, based on the updating matrix triangular factorization (UMTF) method for non-topological modification proposed by Song et al. [Computers and Structures, 143(2014):60-72].

Design/methodology/approach

In this method, topological modifications are viewed as a union of symbolic and numerical change of structural matrices. The numerical part is dealt with UMTF by directly updating the matrix triangular factors. For symbolic change, an integral structure which consists of all potential nodes/elements is introduced to avoid side effects on the efficiency during successive modifications. Necessary pre- and post processing are also developed for memory-economic matrix manipulation.

Findings

The new reanalysis algorithm is applicable to successive general structural modifications for arbitrary modification amplitudes and locations. It explicitly updates the factor matrices of the modified structure and thus guarantees the accuracy as full direct analysis while greatly enhancing the efficiency.

Practical implications

Examples including evolutionary structural optimization and sequential construction analysis show the capability and efficiency of the algorithm.

Originality/value

This innovative paper makes direct topological reanalysis be applicable for successive structural modifications in many different areas.

Details

Engineering Computations, vol. 36 no. 8
Type: Research Article
ISSN: 0264-4401

Keywords

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