scholarly journals Improving CAT bond pricing models via machine learning

2020 ◽  
Vol 21 (5) ◽  
pp. 428-446
Author(s):  
Tobias Götze ◽  
Marc Gürtler ◽  
Eileen Witowski
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Linear Regression ◽  
Random Forests ◽  
Regression Models ◽  
Linear Regression Models ◽  
Learning Methods ◽  
Machine Learning Methods ◽  
Forecasting Performance ◽  
Asset Classes

Abstract Enhanced machine learning methods provide an encouraging alternative to forecast asset prices by extending or generalizing the possible model specifications compared to conventional linear regression methods. Even if enhanced methods of machine learning in the literature often lead to better forecasting quality, this is not clear for small asset classes, because in small asset classes enhanced machine learning methods may potentially over-fit the in-sample data. Against this background, we compare the forecasting performance of linear regression models and enhanced machine learning methods in the market for catastrophe (CAT) bonds. We use linear regression with variable selection, penalization methods, random forests and neural networks to forecast CAT bond premia. Among the considered models, random forests exhibit the highest forecasting performance, followed by linear regression models and neural networks.

scholarly journals FORECASTING PRICES IN THE RENTAL HOUSING MARKET WITH MACHINE LEARNING METHODS

2020 ◽  
Keyword(s):  
Machine Learning ◽  
Random Forest ◽  
Linear Regression ◽  
Regression Models ◽  
Data Science ◽  
Polynomial Regression ◽  
Short Term ◽  
Learning Methods ◽  
Machine Learning Methods ◽  
Pricing Factors

The study of pricing factors in the market of the short-term rental has been done. Airbnb was chosen as the object of the study; it is a platform for accommodation, search, and rental around the world. At the beginning of 2021, the company offers 7 million homes from more than 220 countries. The Data Science methods play a significant role in the company's success. One of the key algorithms of the company is the pricing algorithm. Using the "Price Recommendations" feature, the homeowner can analyze which dates are most likely to be booked at the current price and which are not, it helps form a favorable offer. The system calculates the recommended cost of housing based on hundreds of parameters, some of which are easy to recognize, but there are less obvious factors that can also affect demand. The paper proposes an algorithm for identifying implicit pricing factors in the short-term rental market using machine learning methods, which includes: 1) data mining and data preparation; 2) building and analysis of linear regression models; 3) building and analysis of nonlinear regression models. The study was based on ads from the Airbnb site in Washington and New York using scripts developed in Python. The following models are built and analyzed: simple linear regression, multiple linear regression, polynomial regression, decision trees, random forest, and boosting. The results of the study showed that the most important factors are accommodates, cleaning_fee, room_type, bedrooms. But based on the model evaluation criteria, they cannot be used for implementation: linear models are of low quality, while the random forest, boosting, and trees are overfitted. Still the results can be used in conducting business analysis.

scholarly journals Comparison of Machine Learning Methods in Electrical Tomography for Detecting Moisture in Building Walls

Energies ◽  
2021 ◽  
Vol 14 (10) ◽  
pp. 2777
Author(s):  
Tomasz Rymarczyk ◽  
Grzegorz Kłosowski ◽  
Anna Hoła ◽  
Jan Sikora ◽  
Tomasz Wołowiec ◽  
...  
Keyword(s):  
Machine Learning ◽  
Linear Regression ◽  
Machine Learning Algorithms ◽  
Support Vector ◽  
Linear Regression Models ◽  
Mathematical Methods ◽  
Electrical Tomography ◽  
Learning Methods ◽  
Historical Building ◽  
Machine Learning Methods

This paper presents the results of research on the use of machine learning algorithms and electrical tomography in detecting humidity inside the walls of old buildings and structures. The object of research was a historical building in Wrocław, Poland, built in the first decade of the 19th century. Using the prototype of an electric tomograph of our own design, a number of voltage measurements were made on selected parts of the building. Many algorithmic methods have been preliminarily analyzed. Ultimately, the three models based on machine learning were selected: linear regression with SVM (support vector machine) learner, linear regression with least squares learner, and a multilayer perceptron neural network. The classical Gauss–Newton model was also used in the comparison. Both the experiments based on real measurements and simulation data showed a higher efficiency of machine learning methods than the Gauss–Newton method. The tomographic methods surpassed the point methods in measuring the dampness in the walls because they show a spatial image of the interior and not separate points of the examined cross-section. Research has shown that the selection of a machine learning model has a large impact on the quality of the results. Machine learning has a greater potential to create correct tomographic reconstructions than traditional mathematical methods. In this research, linear regression models performed slightly worse than neural networks.

scholarly journals Acoustic feature-based sentiment analysis of call center data

2017 ◽  
Author(s):  
◽  
Zeshan Peng
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Emotion Recognition ◽  
Sentiment Analysis ◽  
Call Center ◽  
Machine Learning Algorithms ◽  
Language Recognition ◽  
Acoustic Features ◽  
Learning Methods ◽  
Machine Learning Methods

With the advancement of machine learning methods, audio sentiment analysis has become an active research area in recent years. For example, business organizations are interested in persuasion tactics from vocal cues and acoustic measures in speech. A typical approach is to find a set of acoustic features from audio data that can indicate or predict a customer's attitude, opinion, or emotion state. For audio signals, acoustic features have been widely used in many machine learning applications, such as music classification, language recognition, emotion recognition, and so on. For emotion recognition, previous work shows that pitch and speech rate features are important features. This thesis work focuses on determining sentiment from call center audio records, each containing a conversation between a sales representative and a customer. The sentiment of an audio record is considered positive if the conversation ended with an appointment being made, and is negative otherwise. In this project, a data processing and machine learning pipeline for this problem has been developed. It consists of three major steps: 1) an audio record is split into segments by speaker turns; 2) acoustic features are extracted from each segment; and 3) classification models are trained on the acoustic features to predict sentiment. Different set of features have been used and different machine learning methods, including classical machine learning algorithms and deep neural networks, have been implemented in the pipeline. In our deep neural network method, the feature vectors of audio segments are stacked in temporal order into a feature matrix, which is fed into deep convolution neural networks as input. Experimental results based on real data shows that acoustic features, such as Mel frequency cepstral coefficients, timbre and Chroma features, are good indicators for sentiment. Temporal information in an audio record can be captured by deep convolutional neural networks for improved prediction accuracy.

scholarly journals Application of Machine Learning Techniques to Predict Mechanical Properties for Polyamide 2200 (PA12) in Additive Manufacturing

2019 ◽  
Author(s):  
Ivanna Baturynska
Keyword(s):  
Machine Learning ◽  
Mechanical Properties ◽  
Additive Manufacturing ◽  
Linear Regression ◽  
Prediction Accuracy ◽  
Regression Models ◽  
Tensile Modulus ◽  
Machine Learning Techniques ◽  
Linear Regression Models ◽  
Elongation At Break

Additive manufacturing (AM) is an attractive technology for manufacturing industry due to flexibility in design and functionality, but inconsistency in quality is one of the major limitations that does not allow utilizing this technology for production of end-use parts. Prediction of mechanical properties can be one of the possible ways to improve the repeatability of the results. The part placement, part orientation, and STL model properties (number of mesh triangles, surface, and volume) are used to predict tensile modulus, nominal stress and elongation at break for polyamide 2200 (also known as PA12). EOS P395 polymer powder bed fusion system was used to fabricate 217 specimens in two identical builds (434 specimens in total). Prediction is performed for XYZ, XZY, ZYX, and Angle orientations separately, and all orientations together. The different non-linear models based on machine learning methods have higher prediction accuracy compared with linear regression models. Linear regression models have prediction accuracy higher than 80% only for Tensile Modulus and Elongation at break in Angle orientation. Since orientation-based modeling has low prediction accuracy due to a small number of data points and lack of information about material properties, these models need to be improved in the future based on additional experimental work.

scholarly journals Machine Learning Methods Applied for Modeling the Process of Obtaining Bricks Using Silicon-Based Materials

Materials ◽  
2021 ◽  
Vol 14 (23) ◽  
pp. 7232
Author(s):  
Costel Anton ◽  
Silvia Curteanu ◽  
Cătălin Lisa ◽  
Florin Leon
Keyword(s):  
Machine Learning ◽  
Neural Networks ◽  
Raw Materials ◽  
Optimization Procedure ◽  
Exhaust Emission ◽  
Energy Potential ◽  
Learning Methods ◽  
Machine Learning Methods ◽  
Emission Changes ◽  
The Impact

Most of the time, industrial brick manufacture facilities are designed and commissioned for a particular type of manufacture mix and a particular type of burning process. Productivity and product quality maintenance and improvement is a challenge for process engineers. Our paper aims at using machine learning methods to evaluate the impact of adding new auxiliary materials on the amount of exhaust emissions. Experimental determinations made in similar conditions enabled us to build a database containing information about 121 brick batches. Various models (artificial neural networks and regression algorithms) were designed to make predictions about exhaust emission changes when auxiliary materials are introduced into the manufacture mix. The best models were feed-forward neural networks with two hidden layers, having MSE < 0.01 and r2 > 0.82 and, as regression model, kNN with error < 0.6. Also, an optimization procedure, including the best models, was developed in order to determine the optimal values for the parameters that assure the minimum quantities for the gas emission. The Pareto front obtained in the multi-objective optimization conducted with grid search method allows the user the chose the most convenient values for the dry product mass, clay, ash and organic raw materials which minimize gas emissions with energy potential.

scholarly journals Comparison of machine learning methods for crack localization

2019 ◽  
Vol 23 (1) ◽  
pp. 125-142
Author(s):  
Helle Hein ◽  
Ljubov Jaanuska
Keyword(s):  
Machine Learning ◽  
Random Forests ◽  
Crack Depth ◽  
Haar Wavelet ◽  
Extensive Investigation ◽  
Learning Methods ◽  
Data Set ◽  
Crack Location ◽  
Machine Learning Methods ◽  
Discrete Transform

In this paper, the Haar wavelet discrete transform, the artificial neural networks (ANNs), and the random forests (RFs) are applied to predict the location and severity of a crack in an Euler–Bernoulli cantilever subjected to the transverse free vibration. An extensive investigation into two data collection sets and machine learning methods showed that the depth of a crack is more difficult to predict than its location. The data set of eight natural frequency parameters produces more accurate predictions on the crack depth; meanwhile, the data set of eight Haar wavelet coefficients produces more precise predictions on the crack location. Furthermore, the analysis of the results showed that the ensemble of 50 ANN trained by Bayesian regularization and Levenberg–Marquardt algorithms slightly outperforms RF.

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