Deep Learning Models for Predicting Monthly TAIEX to Support Making Decisions in Index Futures Trading

Futures markets offer investors many attractive advantages, including high leverage, high liquidity, fair, and fast returns. Highly leveraged positions and big contract sizes, on the other hand, expose investors to the risk of massive losses from even minor market changes. Among the numerous stock market forecasting tools, deep learning has recently emerged as a favorite tool in the research community. This study presents an approach for applying deep learning models to predict the monthly average of the Taiwan Capitalization Weighted Stock Index (TAIEX) to support decision-making in trading Mini-TAIEX futures (MTX). We inspected many global financial and economic factors to find the most valuable predictor variables for the TAIEX, and we examined three different deep learning architectures for building prediction models. A simulation on trading MTX was then performed with a simple trading strategy and two different stop-loss strategies to show the effectiveness of the models. We found that the Temporal Convolutional Network (TCN) performed better than other models, including the two baselines, i.e., linear regression and extreme gradient boosting. Moreover, stop-loss strategies are necessary, and a simple one could be sufficient to reduce a severe loss effectively.

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Comparison of deep learning with traditional models to predict preventable acute care use and spending among heart failure patients

European Heart Journal ◽

10.1093/eurheartj/ehab724.3048 ◽

2021 ◽

Vol 42 (Supplement_1) ◽

Author(s):

M Lewis ◽

J Figueroa

Keyword(s):

Heart Failure ◽

Deep Learning ◽

Prediction Models ◽

Evaluation Metrics ◽

Gradient Boosting ◽

Learning Models ◽

Private Company ◽

Preventable Hospitalizations ◽

Targeted Interventions ◽

Ed Visits

Abstract Recent health reforms have created incentives for cardiologists and accountable care organizations to participate in value-based care models for heart failure (HF). Accurate risk stratification of HF patients is critical to efficiently deploy interventions aimed at reducing preventable utilization. The goal of this paper was to compare deep learning approaches with traditional logistic regression (LR) to predict preventable utilization among HF patients. We conducted a prognostic study using data on 93,260 HF patients continuously enrolled for 2-years in a large U.S. commercial insurer to develop and validate prediction models for three outcomes of interest: preventable hospitalizations, preventable emergency department (ED) visits, and preventable costs. Patients were split into training, validation, and testing samples. Outcomes were modeled using traditional and enhanced LR and compared to gradient boosting model and deep learning models using sequential and non-sequential inputs. Evaluation metrics included precision (positive predictive value) at k, cost capture, and Area Under the Receiver operating characteristic (AUROC). Deep learning models consistently outperformed LR for all three outcomes with respect to the chosen evaluation metrics. Precision at 1% for preventable hospitalizations was 43% for deep learning compared to 30% for enhanced LR. Precision at 1% for preventable ED visits was 39% for deep learning compared to 33% for enhanced LR. For preventable cost, cost capture at 1% was 30% for sequential deep learning, compared to 18% for enhanced LR. The highest AUROCs for deep learning were 0.778, 0.681 and 0.727, respectively. These results offer a promising approach to identify patients for targeted interventions. FUNDunding Acknowledgement Type of funding sources: Private company. Main funding source(s): internally funded by Diagnostic Robotics Inc.

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Sovereign Debt and Currency Crises Prediction Models Using Machine Learning Techniques

Symmetry ◽

10.3390/sym13040652 ◽

2021 ◽

Vol 13 (4) ◽

pp. 652

Author(s):

David Alaminos ◽

José Ignacio Peláez ◽

M. Belén Salas ◽

Manuel A. Fernández-Gámez

Keyword(s):

Deep Learning ◽

Decision Trees ◽

Financial Crises ◽

Sovereign Debt ◽

Currency Crises ◽

Prediction Models ◽

Debt Crisis ◽

Gradient Boosting ◽

Computational Techniques ◽

Extreme Gradient Boosting

Sovereign debt and currencies play an increasingly influential role in the development of any country, given the need to obtain financing and establish international relations. A recurring theme in the literature on financial crises has been the prediction of sovereign debt and currency crises due to their extreme importance in international economic activity. Nevertheless, the limitations of the existing models are related to accuracy and the literature calls for more investigation on the subject and lacks geographic diversity in the samples used. This article presents new models for the prediction of sovereign debt and currency crises, using various computational techniques, which increase their precision. Also, these models present experiences with a wide global sample of the main geographical world zones, such as Africa and the Middle East, Latin America, Asia, Europe, and globally. Our models demonstrate the superiority of computational techniques concerning statistics in terms of the level of precision, which are the best methods for the sovereign debt crisis: fuzzy decision trees, AdaBoost, extreme gradient boosting, and deep learning neural decision trees, and for forecasting the currency crisis: deep learning neural decision trees, extreme gradient boosting, random forests, and deep belief network. Our research has a large and potentially significant impact on the macroeconomic policy adequacy of the countries against the risks arising from financial crises and provides instruments that make it possible to improve the balance in the finance of the countries.

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Modelling on Car-Sharing Serial Prediction Based on Machine Learning and Deep Learning

Complexity ◽

10.1155/2022/8843000 ◽

2022 ◽

Vol 2022 ◽

pp. 1-20

Author(s):

Nihad Brahimi ◽

Huaping Zhang ◽

Lin Dai ◽

Jianzi Zhang

Keyword(s):

Machine Learning ◽

Deep Learning ◽

Research Work ◽

Gradient Boosting ◽

Support Vector ◽

Learning Models ◽

Car Sharing ◽

K Nearest Neighbors ◽

Extreme Gradient Boosting ◽

On The Road

The car-sharing system is a popular rental model for cars in shared use. It has become particularly attractive due to its flexibility; that is, the car can be rented and returned anywhere within one of the authorized parking slots. The main objective of this research work is to predict the car usage in parking stations and to investigate the factors that help to improve the prediction. Thus, new strategies can be designed to make more cars on the road and fewer in the parking stations. To achieve that, various machine learning models, namely vector autoregression (VAR), support vector regression (SVR), eXtreme gradient boosting (XGBoost), k-nearest neighbors (kNN), and deep learning models specifically long short-time memory (LSTM), gated recurrent unit (GRU), convolutional neural network (CNN), CNN-LSTM, and multilayer perceptron (MLP), were performed on different kinds of features. These features include the past usage levels, Chongqing’s environmental conditions, and temporal information. After comparing the obtained results using different metrics, we found that CNN-LSTM outperformed other methods to predict the future car usage. Meanwhile, the model using all the different feature categories results in the most precise prediction than any of the models using one feature category at a time

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Short and Very Short Term Firm-level Load Forecasting for Warehouses: A Comparison of Machine Learning and Deep Learning Models

10.20944/preprints202201.0107.v1 ◽

2022 ◽

Author(s):

Andrea Maria N. C. Ribeiro ◽

Pedro Rafael X. do Carmo ◽

Patricia Takako Endo ◽

Pierangelo Rosati ◽

Theo Lynn

Keyword(s):

Machine Learning ◽

Deep Learning ◽

Energy Consumption ◽

Load Forecasting ◽

Energy Performance ◽

Gradient Boosting ◽

Support Vector ◽

Learning Models ◽

Short Term ◽

Extreme Gradient Boosting

Commercial buildings are a significant consumer of energy worldwide. Logistics facilities, and specifically warehouses, are a common building type yet under-researched in the demand-side energy forecasting literature. Warehouses have an idiosyncratic profile when compared to other commercial and industrial buildings with a significant reliance on a small number of energy systems. As such, warehouse owners and operators are increasingly entering in to energy performance contracts with energy service companies (ESCOs) to minimise environmental impact, reduce costs, and improve competitiveness. ESCOs and warehouse owners and operators require accurate forecasts of their energy consumption so that precautionary and mitigation measures can be taken. This paper explores the performance of three machine learning models (Support Vector Regression (SVR), Random Forest, and Extreme Gradient Boosting (XGBoost)), three deep learning models (Recurrent Neural Networks (RNN), Long Short-Term Memory (LSTM), and Gated Recurrent Unit (GRU)), and a classical time series model, Autoregressive Integrated Moving Average (ARIMA) for predicting daily energy consumption. The dataset comprises 8,040 records generated over an 11-month period from January to November 2020 from a non-refrigerated logistics facility located in Ireland. The grid search method was used to identify the best configurations for each model. The proposed XGBoost models outperform other models for both very short load forecasting (VSTLF) and short term load forecasting (STLF); the ARIMA model performed the worst.

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Comparison of deep learning with traditional models to predict preventable acute care use and spending among heart failure patients

Scientific Reports ◽

10.1038/s41598-020-80856-3 ◽

2021 ◽

Vol 11 (1) ◽

Author(s):

Maor Lewis ◽

Guy Elad ◽

Moran Beladev ◽

Gal Maor ◽

Kira Radinsky ◽

...

Keyword(s):

Heart Failure ◽

Deep Learning ◽

Prediction Models ◽

Evaluation Metrics ◽

Gradient Boosting ◽

Learning Approaches ◽

Learning Models ◽

Preventable Hospitalizations ◽

Targeted Interventions ◽

Ed Visits

AbstractRecent health reforms have created incentives for cardiologists and accountable care organizations to participate in value-based care models for heart failure (HF). Accurate risk stratification of HF patients is critical to efficiently deploy interventions aimed at reducing preventable utilization. The goal of this paper was to compare deep learning approaches with traditional logistic regression (LR) to predict preventable utilization among HF patients. We conducted a prognostic study using data on 93,260 HF patients continuously enrolled for 2-years in a large U.S. commercial insurer to develop and validate prediction models for three outcomes of interest: preventable hospitalizations, preventable emergency department (ED) visits, and preventable costs. Patients were split into training, validation, and testing samples. Outcomes were modeled using traditional and enhanced LR and compared to gradient boosting model and deep learning models using sequential and non-sequential inputs. Evaluation metrics included precision (positive predictive value) at k, cost capture, and Area Under the Receiver operating characteristic (AUROC). Deep learning models consistently outperformed LR for all three outcomes with respect to the chosen evaluation metrics. Precision at 1% for preventable hospitalizations was 43% for deep learning compared to 30% for enhanced LR. Precision at 1% for preventable ED visits was 39% for deep learning compared to 33% for enhanced LR. For preventable cost, cost capture at 1% was 30% for sequential deep learning, compared to 18% for enhanced LR. The highest AUROCs for deep learning were 0.778, 0.681 and 0.727, respectively. These results offer a promising approach to identify patients for targeted interventions.

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Machine learning models to identify low adherence to influenza vaccination among Korean adults with cardiovascular disease

BMC Cardiovascular Disorders ◽

10.1186/s12872-021-01925-7 ◽

2021 ◽

Vol 21 (1) ◽

Author(s):

Moojung Kim ◽

Young Jae Kim ◽

Sung Jin Park ◽

Kwang Gi Kim ◽

Pyung Chun Oh ◽

...

Keyword(s):

Machine Learning ◽

Cardiovascular Disease ◽

Influenza Vaccination ◽

Machine Learning Techniques ◽

Gradient Boosting ◽

Support Vector ◽

Age Group ◽

Learning Models ◽

Extreme Gradient Boosting ◽

Machine Learning Models

Abstract Background Annual influenza vaccination is an important public health measure to prevent influenza infections and is strongly recommended for cardiovascular disease (CVD) patients, especially in the current coronavirus disease 2019 (COVID-19) pandemic. The aim of this study is to develop a machine learning model to identify Korean adult CVD patients with low adherence to influenza vaccination Methods Adults with CVD (n = 815) from a nationally representative dataset of the Fifth Korea National Health and Nutrition Examination Survey (KNHANES V) were analyzed. Among these adults, 500 (61.4%) had answered "yes" to whether they had received seasonal influenza vaccinations in the past 12 months. The classification process was performed using the logistic regression (LR), random forest (RF), support vector machine (SVM), and extreme gradient boosting (XGB) machine learning techniques. Because the Ministry of Health and Welfare in Korea offers free influenza immunization for the elderly, separate models were developed for the < 65 and ≥ 65 age groups. Results The accuracy of machine learning models using 16 variables as predictors of low influenza vaccination adherence was compared; for the ≥ 65 age group, XGB (84.7%) and RF (84.7%) have the best accuracies, followed by LR (82.7%) and SVM (77.6%). For the < 65 age group, SVM has the best accuracy (68.4%), followed by RF (64.9%), LR (63.2%), and XGB (61.4%). Conclusions The machine leaning models show comparable performance in classifying adult CVD patients with low adherence to influenza vaccination.

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Deep Learning Based HPV Status Prediction for Oropharyngeal Cancer Patients

Cancers ◽

10.3390/cancers13040786 ◽

2021 ◽

Vol 13 (4) ◽

pp. 786

Author(s):

Daniel M. Lang ◽

Jan C. Peeken ◽

Stephanie E. Combs ◽

Jan J. Wilkens ◽

Stefan Bartzsch

Keyword(s):

Deep Learning ◽

Cancer Patients ◽

Oropharyngeal Cancer ◽

Characteristic Curve ◽

Learning Models ◽

Convolutional Network ◽

Hpv Status ◽

3D Information ◽

External Test

Infection with the human papillomavirus (HPV) has been identified as a major risk factor for oropharyngeal cancer (OPC). HPV-related OPCs have been shown to be more radiosensitive and to have a reduced risk for cancer related death. Hence, the histological determination of HPV status of cancer patients depicts an essential diagnostic factor. We investigated the ability of deep learning models for imaging based HPV status detection. To overcome the problem of small medical datasets, we used a transfer learning approach. A 3D convolutional network pre-trained on sports video clips was fine-tuned, such that full 3D information in the CT images could be exploited. The video pre-trained model was able to differentiate HPV-positive from HPV-negative cases, with an area under the receiver operating characteristic curve (AUC) of 0.81 for an external test set. In comparison to a 3D convolutional neural network (CNN) trained from scratch and a 2D architecture pre-trained on ImageNet, the video pre-trained model performed best. Deep learning models are capable of CT image-based HPV status determination. Video based pre-training has the ability to improve training for 3D medical data, but further studies are needed for verification.

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Estimation of Chlorophyll-a Concentrations in Small Water Bodies: Comparison of Fused Gaofen-6 and Sentinel-2 Sensors

Remote Sensing ◽

10.3390/rs14010229 ◽

2022 ◽

Vol 14 (1) ◽

pp. 229

Author(s):

Jiarui Shi ◽

Qian Shen ◽

Yue Yao ◽

Junsheng Li ◽

Fu Chen ◽

...

Keyword(s):

Machine Learning ◽

Chlorophyll A ◽

Water Bodies ◽

Gradient Boosting ◽

Learning Models ◽

Small Water ◽

Extreme Gradient Boosting ◽

Machine Learning Models ◽

Sentinel 2 ◽

Small Water Bodies

Chlorophyll-a concentrations in water bodies are one of the most important environmental evaluation indicators in monitoring the water environment. Small water bodies include headwater streams, springs, ditches, flushes, small lakes, and ponds, which represent important freshwater resources. However, the relatively narrow and fragmented nature of small water bodies makes it difficult to monitor chlorophyll-a via medium-resolution remote sensing. In the present study, we first fused Gaofen-6 (a new Chinese satellite) images to obtain 2 m resolution images with 8 bands, which was approved as a good data source for Chlorophyll-a monitoring in small water bodies as Sentinel-2. Further, we compared five semi-empirical and four machine learning models to estimate chlorophyll-a concentrations via simulated reflectance using fused Gaofen-6 and Sentinel-2 spectral response function. The results showed that the extreme gradient boosting tree model (one of the machine learning models) is the most accurate. The mean relative error (MRE) was 9.03%, and the root-mean-square error (RMSE) was 4.5 mg/m3 for the Sentinel-2 sensor, while for the fused Gaofen-6 image, MRE was 6.73%, and RMSE was 3.26 mg/m3. Thus, both fused Gaofen-6 and Sentinel-2 could estimate the chlorophyll-a concentrations in small water bodies. Since the fused Gaofen-6 exhibited a higher spatial resolution and Sentinel-2 exhibited a higher temporal resolution.

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EmoNLP at IEST 2018: An Ensemble of Deep Learning Models and Gradient Boosting Regression Tree for Implicit Emotion Prediction in Tweets

10.18653/v1/w18-6228 ◽

2018 ◽

Author(s):

Man Liu

Keyword(s):

Deep Learning ◽

Regression Tree ◽

Gradient Boosting ◽

Learning Models

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Evaluating Modeling and Validation Strategies for Tooth Loss

Journal of Dental Research ◽

10.1177/0022034519864889 ◽

2019 ◽

Vol 98 (10) ◽

pp. 1088-1095 ◽

Cited By ~ 2

Author(s):

J. Krois ◽

C. Graetz ◽

B. Holtfreter ◽

P. Brinkmann ◽

T. Kocher ◽

...

Keyword(s):

Tooth Loss ◽

Predictive Power ◽

Prediction Models ◽

Recursive Partitioning ◽

External Validation ◽

Model Development ◽

Gradient Boosting ◽

Extreme Gradient Boosting ◽

Complex Models ◽

Development And Validation

Prediction models learn patterns from available data (training) and are then validated on new data (testing). Prediction modeling is increasingly common in dental research. We aimed to evaluate how different model development and validation steps affect the predictive performance of tooth loss prediction models of patients with periodontitis. Two independent cohorts (627 patients, 11,651 teeth) were followed over a mean ± SD 18.2 ± 5.6 y (Kiel cohort) and 6.6 ± 2.9 y (Greifswald cohort). Tooth loss and 10 patient- and tooth-level predictors were recorded. The impact of different model development and validation steps was evaluated: 1) model complexity (logistic regression, recursive partitioning, random forest, extreme gradient boosting), 2) sample size (full data set or 10%, 25%, or 75% of cases dropped at random), 3) prediction periods (maximum 10, 15, or 20 y or uncensored), and 4) validation schemes (internal or external by centers/time). Tooth loss was generally a rare event (880 teeth were lost). All models showed limited sensitivity but high specificity. Patients’ age and tooth loss at baseline as well as probing pocket depths showed high variable importance. More complex models (random forest, extreme gradient boosting) had no consistent advantages over simpler ones (logistic regression, recursive partitioning). Internal validation (in sample) overestimated the predictive power (area under the curve up to 0.90), while external validation (out of sample) found lower areas under the curve (range 0.62 to 0.82). Reducing the sample size decreased the predictive power, particularly for more complex models. Censoring the prediction period had only limited impact. When the model was trained in one period and tested in another, model outcomes were similar to the base case, indicating temporal validation as a valid option. No model showed higher accuracy than the no-information rate. In conclusion, none of the developed models would be useful in a clinical setting, despite high accuracy. During modeling, rigorous development and external validation should be applied and reported accordingly.

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