scholarly journals Inferring multi-period optimal portfolios via detrending moving average cluster entropy (a)

2021 ◽  
Vol 133 (6) ◽  
pp. 60004
Author(s):  
P. Murialdo ◽  
L. Ponta ◽  
A. Carbone
Keyword(s):  
Moving Average ◽  
Optimal Portfolios ◽  
Average Cluster

scholarly journals Long-Range Dependence in Financial Markets: A Moving Average Cluster Entropy Approach

Entropy ◽  
2020 ◽  
Vol 22 (6) ◽  
pp. 634 ◽  
Author(s):  
Pietro Murialdo ◽  
Linda Ponta ◽  
Anna Carbone
Keyword(s):  
Time Series ◽  
Financial Markets ◽  
Long Range ◽  
Financial Time Series ◽  
Moving Average ◽  
Social Systems ◽  
Long Run ◽  
Characteristic Behaviour ◽  
Correlation Parameters ◽  
Average Cluster

A perspective is taken on the intangible complexity of economic and social systems by investigating the dynamical processes producing, storing and transmitting information in financial time series. An extensive analysis based on the moving average cluster entropy approach has evidenced market and horizon dependence in highest-frequency data of real world financial assets. The behavior is scrutinized by applying the moving average cluster entropy approach to long-range correlated stochastic processes as the Autoregressive Fractionally Integrated Moving Average (ARFIMA) and Fractional Brownian motion (FBM). An extensive set of series is generated with a broad range of values of the Hurst exponent H and of the autoregressive, differencing and moving average parameters p , d , q . A systematic relation between moving average cluster entropy and long-range correlation parameters H, d is observed. This study shows that the characteristic behaviour exhibited by the horizon dependence of the cluster entropy is related to long-range positive correlation in financial markets. Specifically, long range positively correlated ARFIMA processes with differencing parameter d ≃ 0.05 , d ≃ 0.15 and d ≃ 0.25 are consistent with moving average cluster entropy results obtained in time series of DJIA, S&P500 and NASDAQ. The findings clearly point to a variability of price returns, consistently with a price dynamics involving multiple temporal scales and, thus, short- and long-run volatility components. An important aspect of the proposed approach is the ability to capture detailed horizon dependence over relatively short horizons (one to twelve months) and thus its relevance to define risk analysis indices.

Automatic Identification of Autoregressive Integrated Moving Average Time Series

1982 ◽  
Vol 14 (3) ◽  
pp. 156-166 ◽  
Author(s):  
Chin-Sheng Alan Kang ◽  
David D. Bedworth ◽  
Dwayne A. Rollier
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Automatic Identification ◽  
Autoregressive Integrated Moving Average

Smoothing Facilitates the Detection of Coupled Responses in Psychophysiological Time Series

2000 ◽  
Vol 14 (1) ◽  
pp. 1-10 ◽  
Author(s):  
Joni Kettunen ◽  
Niklas Ravaja ◽  
Liisa Keltikangas-Järvinen
Keyword(s):  
Time Series ◽  
Type I Error ◽  
Electrodermal Activity ◽  
Moving Average ◽  
Type I ◽  
Facial Electromyography ◽  
Response Characteristics ◽  
Smoothing Methods ◽  
Response Systems ◽  
Different Response

Abstract We examined the use of smoothing to enhance the detection of response coupling from the activity of different response systems. Three different types of moving average smoothers were applied to both simulated interbeat interval (IBI) and electrodermal activity (EDA) time series and to empirical IBI, EDA, and facial electromyography time series. The results indicated that progressive smoothing increased the efficiency of the detection of response coupling but did not increase the probability of Type I error. The power of the smoothing methods depended on the response characteristics. The benefits and use of the smoothing methods to extract information from psychophysiological time series are discussed.

Some statistical and CI models to predict chaotic high-frequency financial data

2020 ◽  
Vol 39 (5) ◽  
pp. 6419-6430
Author(s):  
Dusan Marcek
Keyword(s):  
Time Series Data ◽  
Moving Average ◽  
Methodological Approach ◽  
Back Propagation ◽  
Large Data ◽  
Series Data ◽  
Data Set ◽  
Training Time ◽  
Optimal Population ◽  
Forecast Time

To forecast time series data, two methodological frameworks of statistical and computational intelligence modelling are considered. The statistical methodological approach is based on the theory of invertible ARIMA (Auto-Regressive Integrated Moving Average) models with Maximum Likelihood (ML) estimating method. As a competitive tool to statistical forecasting models, we use the popular classic neural network (NN) of perceptron type. To train NN, the Back-Propagation (BP) algorithm and heuristics like genetic and micro-genetic algorithm (GA and MGA) are implemented on the large data set. A comparative analysis of selected learning methods is performed and evaluated. From performed experiments we find that the optimal population size will likely be 20 with the lowest training time from all NN trained by the evolutionary algorithms, while the prediction accuracy level is lesser, but still acceptable by managers.

A novel approach to white liquor control in a continuous digester using the Box-Jenkins methodology to predict chip bulk density

TAPPI Journal ◽  
2015 ◽  
Vol 14 (6) ◽  
pp. 395-402
Author(s):  
FLÁVIO MARCELO CORREIA ◽  
JOSÉ VICENTE HALLAK D’ANGELO ◽  
SUELI APARECIDA MINGOTI
Keyword(s):  
Bulk Density ◽  
Moving Average ◽  
Pulp Mill ◽  
Statistical Decision ◽  
White Liquor ◽  
Novel Approach ◽  
Cooking Process ◽  
Eucalyptus Kraft Pulp ◽  
Relevant Variables ◽  
Kraft Cooking

Alkali charge is one of the most relevant variables in the continuous kraft cooking process. The white liquor mass flow rate can be determined by analyzing the chip bulk density fed to the process. At the mills, the total time for this analysis usually is greater than the residence time in the digester. This can lead to an increasing error in the mass of white liquor added relative to the specified alkali charge. This paper proposes a new approach using the Box-Jenkins methodology to develop a dynamic model for predicting chip bulk density. Industrial data were gathered on 1948 observations over a period of 12 months from a Kamyr continuous digester at a bleached eucalyptus kraft pulp mill in Brazil. Autoregressive integrated moving average (ARIMA) models were evaluated according to different statistical decision criteria, leading to the choice of ARIMA (2,0,2) as the best forecasting model, which was validated against a new dataset gathered during 2 months of operations. A combination of predictors has shown more accurate results compared to those obtained by laboratory analysis, allowing a reduction of around 25% of the chip bulk density error to the alkali addition amount.

A COMPARATIVE STUDY BETWEEN UNIVARIATE AND BIVARIATE TIME SERIES MODELS FOR CRUDE PALM OIL INDUSTRY IN PENINSULAR MALAYSIA

2020 ◽  
Vol 5 (1) ◽  
pp. 374
Author(s):  
Pauline Jin Wee Mah ◽  
Nur Nadhirah Nanyan
Keyword(s):  
Time Series ◽  
Palm Oil ◽  
Moving Average ◽  
Forecast Accuracy ◽  
Peninsular Malaysia ◽  
Time Series Models ◽  
Crude Palm Oil ◽  
Univariate Time Series ◽  
Import And Export ◽  
Bivariate Time Series

The main purpose of this study is to compare the performances of univariate and bivariate models on four time series variables of the crude palm oil industry in Peninsular Malaysia. The monthly data for the four variables, which are the crude palm oil production, price, import and export, were obtained from Malaysian Palm Oil Board (MPOB) and Malaysian Palm Oil Council (MPOC). In the first part of this study, univariate time series models, namely, the autoregressive integrated moving average (ARIMA), fractionally integrated autoregressive moving average (ARFIMA) and autoregressive autoregressive (ARAR) algorithm were used for modelling and forecasting purposes. Subsequently, the dependence between any two of the four variables were checked using the residuals’ sample cross correlation functions before modelling the bivariate time series. In order to model the bivariate time series and make prediction, the transfer function models were used. The forecast accuracy criteria used to evaluate the performances of the models were the mean absolute error (MAE), root mean square error (RMSE) and mean absolute percentage error (MAPE). The results of the univariate time series showed that the best model for predicting the production was ARIMA  while the ARAR algorithm were the best forecast models for predicting both the import and export of crude palm oil. However, ARIMA  appeared to be the best forecast model for price based on the MAE and MAPE values while ARFIMA  emerged the best model based on the RMSE value.  When considering bivariate time series models, the production was dependent on import while the export was dependent on either price or import. The results showed that the bivariate models had better performance compared to the univariate models for production and export of crude palm oil based on the forecast accuracy criteria used.

Optimal Portfolios with Derivatives

CFA Digest ◽  
1998 ◽  
Vol 28 (3) ◽  
pp. 40-42
Author(s):  
John H. Earl
Keyword(s):  
Optimal Portfolios
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