scholarly journals A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities

Energies ◽  
2021 ◽  
Vol 14 (19) ◽  
pp. 6099
Author(s):  
James Ming Chen ◽  
Mobeen Ur Rehman

The identification of critical periods and business cycles contributes significantly to the analysis of financial markets and the macroeconomy. Financialization and cointegration place a premium on the accurate recognition of time-varying volatility in commodity markets, especially those for crude oil and refined fuels. This article seeks to identify critical periods in the trading of energy-related commodities as a step toward understanding the temporal dynamics of those markets. This article proposes a novel application of unsupervised machine learning. A suite of clustering methods, applied to conditional volatility forecasts by trading days and individual assets or asset classes, can identify critical periods in energy-related commodity markets. Unsupervised machine learning achieves this task without rules-based or subjective definitions of crises. Five clustering methods—affinity propagation, mean-shift, spectral, k-means, and hierarchical agglomerative clustering—can identify anomalous periods in commodities trading. These methods identified the financial crisis of 2008–2009 and the initial stages of the COVID-19 pandemic. Applied to four energy-related markets—Brent, West Texas intermediate, gasoil, and gasoline—the same methods identified additional periods connected to events such as the September 11 terrorist attacks and the 2003 Persian Gulf war. t-distributed stochastic neighbor embedding facilitates the visualization of trading regimes. Temporal clustering of conditional volatility forecasts reveals unusual financial properties that distinguish the trading of energy-related commodities during critical periods from trading during normal periods and from trade in other commodities in all periods. Whereas critical periods for all commodities appear to coincide with broader disruptions in demand for energy, critical periods unique to crude oil and refined fuels appear to arise from acute disruptions in supply. Extensions of these methods include the definition of bull and bear markets and the identification of recessions and recoveries in the real economy.

Author(s):  
Francesca Pontin ◽  
Nik Lomax ◽  
Graham Clarke ◽  
Michelle A. Morris

The increasing ubiquity of smartphone data, with greater spatial and temporal coverage than achieved by traditional study designs, have the potential to provide insight into habitual physical activity patterns. This study implements and evaluates the utility of both K-means clustering and agglomerative hierarchical clustering methods in identifying weekly and yearlong physical activity behaviour trends. Characterising the demographics and choice of activity type within the identified clusters of behaviour. Across all seven clusters of seasonal activity behaviour identified, daylight saving was shown to play a key role in influencing behaviour, with increased activity in summer months. Investigation into weekly behaviours identified six clusters with varied roles, of weekday versus weekend, on the likelihood of meeting physical activity guidelines. Preferred type of physical activity likewise varied between clusters, with gender and age strongly associated with cluster membership. Key relationships are identified between weekly clusters and seasonal activity behaviour clusters, demonstrating how short-term behaviours contribute to longer-term activity patterns. Utilising unsupervised machine learning, this study demonstrates how the volume and richness of secondary app data can allow us to move away from aggregate measures of physical activity to better understand temporal variations in habitual physical activity behaviour.


2020 ◽  
Author(s):  
Roberto Silva ◽  
Fernando Xavier ◽  
Antonio Saraiva ◽  
Carlos Cugnasca

Epidemics have severe impacts on people's health. The COVID-19 has infected more than 3 million people in 3 months. In this work, we explore the use of unsupervised machine learning to evaluate and monitor the disease spread worldwide in three points in time: January, February, and March of 2020. Besides the features related to the disease spread, we consider HDI, population density, and age structure. We define the number of clusters using the elbow and agglomerative clustering methods, then implement and evaluate the k-means algorithm with 3, 4, and 5 clusters. We conclude that four clusters better represent the data, analyze the clusters over time, and discuss the impacts on each depending on the measures adopted.


2017 ◽  
Author(s):  
Sabrina Jaeger ◽  
Simone Fulle ◽  
Samo Turk

Inspired by natural language processing techniques we here introduce Mol2vec which is an unsupervised machine learning approach to learn vector representations of molecular substructures. Similarly, to the Word2vec models where vectors of closely related words are in close proximity in the vector space, Mol2vec learns vector representations of molecular substructures that are pointing in similar directions for chemically related substructures. Compounds can finally be encoded as vectors by summing up vectors of the individual substructures and, for instance, feed into supervised machine learning approaches to predict compound properties. The underlying substructure vector embeddings are obtained by training an unsupervised machine learning approach on a so-called corpus of compounds that consists of all available chemical matter. The resulting Mol2vec model is pre-trained once, yields dense vector representations and overcomes drawbacks of common compound feature representations such as sparseness and bit collisions. The prediction capabilities are demonstrated on several compound property and bioactivity data sets and compared with results obtained for Morgan fingerprints as reference compound representation. Mol2vec can be easily combined with ProtVec, which employs the same Word2vec concept on protein sequences, resulting in a proteochemometric approach that is alignment independent and can be thus also easily used for proteins with low sequence similarities.


2020 ◽  
Author(s):  
Jiawei Peng ◽  
Yu Xie ◽  
Deping Hu ◽  
Zhenggang Lan

The system-plus-bath model is an important tool to understand nonadiabatic dynamics for large molecular systems. The understanding of the collective motion of a huge number of bath modes is essential to reveal their key roles in the overall dynamics. We apply the principal component analysis (PCA) to investigate the bath motion based on the massive data generated from the MM-SQC (symmetrical quasi-classical dynamics method based on the Meyer-Miller mapping Hamiltonian) nonadiabatic dynamics of the excited-state energy transfer dynamics of Frenkel-exciton model. The PCA method clearly clarifies that two types of bath modes, which either display the strong vibronic couplings or have the frequencies close to electronic transition, are very important to the nonadiabatic dynamics. These observations are fully consistent with the physical insights. This conclusion is obtained purely based on the PCA understanding of the trajectory data, without the large involvement of pre-defined physical knowledge. The results show that the PCA approach, one of the simplest unsupervised machine learning methods, is very powerful to analyze the complicated nonadiabatic dynamics in condensed phase involving many degrees of freedom.


2021 ◽  
Vol 8 (1) ◽  
Author(s):  
Sungmin O. ◽  
Rene Orth

AbstractWhile soil moisture information is essential for a wide range of hydrologic and climate applications, spatially-continuous soil moisture data is only available from satellite observations or model simulations. Here we present a global, long-term dataset of soil moisture derived through machine learning trained with in-situ measurements, SoMo.ml. We train a Long Short-Term Memory (LSTM) model to extrapolate daily soil moisture dynamics in space and in time, based on in-situ data collected from more than 1,000 stations across the globe. SoMo.ml provides multi-layer soil moisture data (0–10 cm, 10–30 cm, and 30–50 cm) at 0.25° spatial and daily temporal resolution over the period 2000–2019. The performance of the resulting dataset is evaluated through cross validation and inter-comparison with existing soil moisture datasets. SoMo.ml performs especially well in terms of temporal dynamics, making it particularly useful for applications requiring time-varying soil moisture, such as anomaly detection and memory analyses. SoMo.ml complements the existing suite of modelled and satellite-based datasets given its distinct derivation, to support large-scale hydrological, meteorological, and ecological analyses.


2021 ◽  
Vol 7 ◽  
pp. 3497-3505
Author(s):  
Chukwudi Paul Obite ◽  
Angela Chukwu ◽  
Desmond Chekwube Bartholomew ◽  
Ugochinyere Ihuoma Nwosu ◽  
Gladys Ezenwanyi Esiaba

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