Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields,including stock market investment.However,few studies have focused on f...Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields,including stock market investment.However,few studies have focused on forecasting daily stock market returns,especially when using powerful machine learning techniques,such as deep neural networks(DNNs),to perform the analyses.DNNs employ various deep learning algorithms based on the combination of network structure,activation function,and model parameters,with their performance depending on the format of the data representation.This paper presents a comprehensive big data analytics process to predict the daily return direction of the SPDR S&P 500 ETF(ticker symbol:SPY)based on 60 financial and economic features.DNNs and traditional artificial neural networks(ANNs)are then deployed over the entire preprocessed but untransformed dataset,along with two datasets transformed via principal component analysis(PCA),to predict the daily direction of future stock market index returns.While controlling for overfitting,a pattern for the classification accuracy of the DNNs is detected and demonstrated as the number of the hidden layers increases gradually from 12 to 1000.Moreover,a set of hypothesis testing procedures are implemented on the classification,and the simulation results show that the DNNs using two PCA-represented datasets give significantly higher classification accuracy than those using the entire untransformed dataset,as well as several other hybrid machine learning algorithms.In addition,the trading strategies guided by the DNN classification process based on PCA-represented data perform slightly better than the others tested,including in a comparison against two standard benchmarks.展开更多
Stocks in the Chinese stock market can be divided into ST stocks and normal stocks, so to prevent investors from buying potential ST stocks, this paper first performs SMOTEENN oversampling data preprocessing for the S...Stocks in the Chinese stock market can be divided into ST stocks and normal stocks, so to prevent investors from buying potential ST stocks, this paper first performs SMOTEENN oversampling data preprocessing for the ST stock category, and selects 139 financial indicators and technical factor as predictive features. Then, it combines the Boruta algorithm and Copula entropy method for feature selection, effectively improving the machine learning model’s performance in ST stock classification, with the AUC values of the two models reaching 98% on the test set. In the model selection and optimization, this paper uses six major models, including logistic regression, XGBoost, AdaBoost, LightGBM, Catboost, and MLP, for modeling and optimizes them using the Optuna framework. Ultimately, XGBoost model is selected as the best model because its AUC value exceeds 95% and its running time is less. Finally, the XGBoost model is explained using the SHAP theory and the interaction between features is discovered, further improving the model’s accuracy and AUC value by about 0.6%, verifying the effectiveness of the model.展开更多
The Norway lobster,Nephrops norvegicus,is one of the main commercial crustacean fisheries in Europe.The abundance of Nephrops norvegicus stocks is assessed based on identifying and counting the burrows where they live...The Norway lobster,Nephrops norvegicus,is one of the main commercial crustacean fisheries in Europe.The abundance of Nephrops norvegicus stocks is assessed based on identifying and counting the burrows where they live from underwater videos collected by camera systems mounted on sledges.The Spanish Oceanographic Institute(IEO)andMarine Institute Ireland(MIIreland)conducts annual underwater television surveys(UWTV)to estimate the total abundance of Nephrops within the specified area,with a coefficient of variation(CV)or relative standard error of less than 20%.Currently,the identification and counting of the Nephrops burrows are carried out manually by the marine experts.This is quite a time-consuming job.As a solution,we propose an automated system based on deep neural networks that automatically detects and counts the Nephrops burrows in video footage with high precision.The proposed system introduces a deep-learning-based automated way to identify and classify the Nephrops burrows.This research work uses the current state-of-the-art Faster RCNN models Inceptionv2 and MobileNetv2 for object detection and classification.We conduct experiments on two data sets,namely,the Smalls Nephrops survey(FU 22)and Cadiz Nephrops survey(FU 30),collected by Marine Institute Ireland and Spanish Oceanographic Institute,respectively.From the results,we observe that the Inception model achieved a higher precision and recall rate than theMobileNetmodel.The best mean Average Precision(mAP)recorded by the Inception model is 81.61%compared to MobileNet,which achieves the best mAP of 75.12%.展开更多
The primary intent of the current research is to provide insights regarding the management of spare parts within the supply chain,in conjunction with offering some methods for enhancing forecasting and inventory manag...The primary intent of the current research is to provide insights regarding the management of spare parts within the supply chain,in conjunction with offering some methods for enhancing forecasting and inventory management.In particular,to use classical forecasting methods,the use of weak and unstable demand is not recommended.Furthermore,statistical performance measures are not involved in this particular context.Furthermore,it is expected that maintenance contracts will be aligned with different levels.In addition to the examination of some literature reviews,some tools will guide us through this process.The article proposes new performance analysis methods that will help integrate inventory management and statistical performance while considering decision maker priorities through the use of different methodologies and parts age segmentation.The study will also identify critical level policies by comparing different types of spenders according to the inventory management model,also with separate and common inventory policies.Each process of the study is combined with a comparative analysis of different forecasting methods and inventory management models based on N.A.C.C.parts supply chain data,allowing us to identify a set of methodologies and parameter recommendations based on parts segmentation and supply chain prioritization.展开更多
文摘Big data analytic techniques associated with machine learning algorithms are playing an increasingly important role in various application fields,including stock market investment.However,few studies have focused on forecasting daily stock market returns,especially when using powerful machine learning techniques,such as deep neural networks(DNNs),to perform the analyses.DNNs employ various deep learning algorithms based on the combination of network structure,activation function,and model parameters,with their performance depending on the format of the data representation.This paper presents a comprehensive big data analytics process to predict the daily return direction of the SPDR S&P 500 ETF(ticker symbol:SPY)based on 60 financial and economic features.DNNs and traditional artificial neural networks(ANNs)are then deployed over the entire preprocessed but untransformed dataset,along with two datasets transformed via principal component analysis(PCA),to predict the daily direction of future stock market index returns.While controlling for overfitting,a pattern for the classification accuracy of the DNNs is detected and demonstrated as the number of the hidden layers increases gradually from 12 to 1000.Moreover,a set of hypothesis testing procedures are implemented on the classification,and the simulation results show that the DNNs using two PCA-represented datasets give significantly higher classification accuracy than those using the entire untransformed dataset,as well as several other hybrid machine learning algorithms.In addition,the trading strategies guided by the DNN classification process based on PCA-represented data perform slightly better than the others tested,including in a comparison against two standard benchmarks.
文摘Stocks in the Chinese stock market can be divided into ST stocks and normal stocks, so to prevent investors from buying potential ST stocks, this paper first performs SMOTEENN oversampling data preprocessing for the ST stock category, and selects 139 financial indicators and technical factor as predictive features. Then, it combines the Boruta algorithm and Copula entropy method for feature selection, effectively improving the machine learning model’s performance in ST stock classification, with the AUC values of the two models reaching 98% on the test set. In the model selection and optimization, this paper uses six major models, including logistic regression, XGBoost, AdaBoost, LightGBM, Catboost, and MLP, for modeling and optimizes them using the Optuna framework. Ultimately, XGBoost model is selected as the best model because its AUC value exceeds 95% and its running time is less. Finally, the XGBoost model is explained using the SHAP theory and the interaction between features is discovered, further improving the model’s accuracy and AUC value by about 0.6%, verifying the effectiveness of the model.
基金Open Access Article Processing Charges has been funded by University of Malaga.
文摘The Norway lobster,Nephrops norvegicus,is one of the main commercial crustacean fisheries in Europe.The abundance of Nephrops norvegicus stocks is assessed based on identifying and counting the burrows where they live from underwater videos collected by camera systems mounted on sledges.The Spanish Oceanographic Institute(IEO)andMarine Institute Ireland(MIIreland)conducts annual underwater television surveys(UWTV)to estimate the total abundance of Nephrops within the specified area,with a coefficient of variation(CV)or relative standard error of less than 20%.Currently,the identification and counting of the Nephrops burrows are carried out manually by the marine experts.This is quite a time-consuming job.As a solution,we propose an automated system based on deep neural networks that automatically detects and counts the Nephrops burrows in video footage with high precision.The proposed system introduces a deep-learning-based automated way to identify and classify the Nephrops burrows.This research work uses the current state-of-the-art Faster RCNN models Inceptionv2 and MobileNetv2 for object detection and classification.We conduct experiments on two data sets,namely,the Smalls Nephrops survey(FU 22)and Cadiz Nephrops survey(FU 30),collected by Marine Institute Ireland and Spanish Oceanographic Institute,respectively.From the results,we observe that the Inception model achieved a higher precision and recall rate than theMobileNetmodel.The best mean Average Precision(mAP)recorded by the Inception model is 81.61%compared to MobileNet,which achieves the best mAP of 75.12%.
文摘The primary intent of the current research is to provide insights regarding the management of spare parts within the supply chain,in conjunction with offering some methods for enhancing forecasting and inventory management.In particular,to use classical forecasting methods,the use of weak and unstable demand is not recommended.Furthermore,statistical performance measures are not involved in this particular context.Furthermore,it is expected that maintenance contracts will be aligned with different levels.In addition to the examination of some literature reviews,some tools will guide us through this process.The article proposes new performance analysis methods that will help integrate inventory management and statistical performance while considering decision maker priorities through the use of different methodologies and parts age segmentation.The study will also identify critical level policies by comparing different types of spenders according to the inventory management model,also with separate and common inventory policies.Each process of the study is combined with a comparative analysis of different forecasting methods and inventory management models based on N.A.C.C.parts supply chain data,allowing us to identify a set of methodologies and parameter recommendations based on parts segmentation and supply chain prioritization.
