scholarly journals Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework

Risks ◽  
2020 ◽  
Vol 8 (2) ◽  
pp. 50
Author(s):  
Sandrine Gümbel ◽  
Thorsten Schmidt
Keyword(s):  
Machine Learning ◽  
Gaussian Process ◽  
Term Structure ◽  
Kalman Filtering ◽  
Yield Curve ◽  
Gaussian Process Regression ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Extended Kalman Filtering ◽  
Learning Techniques

Calibration is a highly challenging task, in particular in multiple yield curve markets. This paper is a first attempt to study the chances and challenges of the application of machine learning techniques for this. We employ Gaussian process regression, a machine learning methodology having many similarities with extended Kálmán filtering, which has been applied many times to interest rate markets and term structure models. We find very good results for the single-curve markets and many challenges for the multi-curve markets in a Vasiček framework. The Gaussian process regression is implemented with the Adam optimizer and the non-linear conjugate gradient method, where the latter performs best. We also point towards future research.

Machine Learning in Fine Wine Price Prediction

2015 ◽  
Vol 10 (2) ◽  
pp. 151-172 ◽  
Author(s):  
Michelle Yeo ◽  
Tristan Fletcher ◽  
John Shawe-Taylor
Keyword(s):  
Machine Learning ◽  
Gaussian Process ◽  
Predictive Accuracy ◽  
Time Series Prediction ◽  
Feature Learning ◽  
Gaussian Process Regression ◽  
Machine Learning Techniques ◽  
Linear Regression Models ◽  
Price Prediction ◽  
Learning Techniques

AbstractAdvanced machine learning techniques like Gaussian process regression and multi-task learning are novel in the area of wine price prediction; previous research in this area being restricted to parametric linear regression models when predicting wine prices. Using historical price data of the 100 wines in the Liv-Ex 100 index, the main contributions of this paper to the field are, firstly, a clustering of the wines into two distinct clusters based on autocorrelation. Secondly, an implementation of Gaussian process regression on these wines with predictive accuracy surpassing both the trivial and simple ARMA and GARCH time series prediction benchmarks. Lastly, an implementation of an algorithm which performs multi-task feature learning with kernels on the wine returns as an extension to our optimal Gaussian process regression model. Using the optimal covariance kernel from Gaussian process regression, we achieve predictive results which are comparable to that of Gaussian process regression. Altogether, our research suggests that there is potential in using advanced machine learning techniques in wine price prediction. (JEL Classifications: C6, G12)

Machine Learning

2012 ◽  
pp. 13-22 ◽  
Author(s):  
João Gama ◽  
André C.P.L.F. de Carvalho
Keyword(s):  
Machine Learning ◽  
Language Processing ◽  
Text Processing ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Background Information ◽  
Future Research ◽  
Personal View ◽  
Learning Techniques ◽  
Future Research Directions

Machine learning techniques have been successfully applied to several real world problems in areas as diverse as image analysis, Semantic Web, bioinformatics, text processing, natural language processing,telecommunications, finance, medical diagnosis, and so forth. A particular application where machine learning plays a key role is data mining, where machine learning techniques have been extensively used for the extraction of association, clustering, prediction, diagnosis, and regression models. This text presents our personal view of the main aspects, major tasks, frequently used algorithms, current research, and future directions of machine learning research. For such, it is organized as follows: Background information concerning machine learning is presented in the second section. The third section discusses different definitions for Machine Learning. Common tasks faced by Machine Learning Systems are described in the fourth section. Popular Machine Learning algorithms and the importance of the loss function are commented on in the fifth section. The sixth and seventh sections present the current trends and future research directions, respectively.

Machine Learning

2011 ◽  
pp. 2462-2468 ◽  
Author(s):  
João Gama ◽  
André C.P.L.F. de Carvalho
Keyword(s):  
Machine Learning ◽  
Language Processing ◽  
Text Processing ◽  
Machine Learning Algorithms ◽  
Machine Learning Techniques ◽  
Background Information ◽  
Future Research ◽  
Personal View ◽  
Learning Techniques ◽  
Future Research Directions

Machine learning techniques have been successfully applied to several real world problems in areas as diverse as image analysis, Semantic Web, bioinformatics, text processing, natural language processing,telecommunications, finance, medical diagnosis, and so forth. A particular application where machine learning plays a key role is data mining, where machine learning techniques have been extensively used for the extraction of association, clustering, prediction, diagnosis, and regression models. This text presents our personal view of the main aspects, major tasks, frequently used algorithms, current research, and future directions of machine learning research. For such, it is organized as follows: Background information concerning machine learning is presented in the second section. The third section discusses different definitions for Machine Learning. Common tasks faced by Machine Learning Systems are described in the fourth section. Popular Machine Learning algorithms and the importance of the loss function are commented on in the fifth section. The sixth and seventh sections present the current trends and future research directions, respectively.

Machine Learning Techniques to Identify and Characterize Sleep Disorders Using Biosignals

2021 ◽  
pp. 136-160
Author(s):  
Mercedes Barrachina ◽  
Laura Valenzuela López
Keyword(s):  
Machine Learning ◽  
Sleep Disorders ◽  
Adult Population ◽  
The United States ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Research Directions ◽  
Learning Techniques ◽  
Control And Prevention ◽  
Future Research Directions

Sleep disorders are related to many different diseases, and they could have a significant impact in patients' health, causing an economic impact to the society and to the national health systems. In the United States, according to information from the Center for Disease Control and Prevention, those disorders are affecting 50-70 million in the adult population. Sleep disorders are causing annually around 40,000 deaths due to cardiovascular problems, and they cost the health system more than 16 billion. In other countries, such as in Spain, those disorders affect up to 48% of the adult population. The main objective of this chapter is to review and evaluate the different machine learning techniques utilized by researchers and medical professionals to identify, assess, and characterize sleep disorders. Moreover, some future research directions are proposed considering the evaluated area.

scholarly journals Machine learning for energy-water nexus: challenges and opportunities

2018 ◽  
Vol 2 (3) ◽  
pp. 228-267 ◽  
Author(s):  
Zaidi ◽  
Chandola ◽  
Allen ◽  
Sanyal ◽  
Stewart ◽  
...  
Keyword(s):  
Machine Learning ◽  
Energy Systems ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Technological Advancement ◽  
Research Directions ◽  
Learning Techniques ◽  
Challenges And Opportunities ◽  
Future Research Directions ◽  
System Sustainability

Modeling the interactions of water and energy systems is important to the enforcement of infrastructure security and system sustainability. To this end, recent technological advancement has allowed the production of large volumes of data associated with functioning of these sectors. We are beginning to see that statistical and machine learning techniques can help elucidate characteristic patterns across these systems from water availability, transport, and use to energy generation, fuel supply, and customer demand, and in the interdependencies among these systems that can leave these systems vulnerable to cascading impacts from single disruptions. In this paper, we discuss ways in which data and machine learning can be applied to the challenges facing the energy-water nexus along with the potential issues associated with the machine learning techniques themselves. We then survey machine learning techniques that have found application to date in energy-water nexus problems. We conclude by outlining future research directions and opportunities for collaboration among the energy-water nexus and machine learning communities that can lead to mutual synergistic advantage.

scholarly journals Preparedness and Mitigation by projecting the risk against COVID-19 transmission using Machine Learning Techniques

2020 ◽  
Author(s):  
Akshay Kumar ◽  
Farhan Mohammad Khan ◽  
Rajiv Gupta ◽  
Harish Puppala
Keyword(s):  
Machine Learning ◽  
Gaussian Process Regression ◽  
Machine Learning Techniques ◽  
World Health ◽  
Support Vector ◽  
Learning Tools ◽  
Learning Techniques ◽  
Health Organization ◽  
Respiratory Coronavirus ◽  
Criticality Index

AbstractThe outbreak of COVID-19 is first identified in China, which later spread to various parts of the globe and was pronounced pandemic by the World Health Organization (WHO). The disease of transmissible person-to-person pneumonia caused by the extreme acute respiratory coronavirus 2 syndrome (SARS-COV-2, also known as COVID-19), has sparked a global warning. Thermal screening, quarantining, and later lockdown were methods employed by various nations to contain the spread of the virus. Though exercising various possible plans to contain the spread help in mitigating the effect of COVID-19, projecting the rise and preparing to face the crisis would help in minimizing the effect. In the scenario, this study attempts to use Machine Learning tools to forecast the possible rise in the number of cases by considering the data of daily new cases. To capture the uncertainty, three different techniques: (i) Decision Tree algorithm, (ii) Support Vector Machine algorithm, and (iii) Gaussian process regression are used to project the data and capture the possible deviation. Based on the projection of new cases, recovered cases, deceased cases, medical facilities, population density, number of tests conducted, and facilities of services, are considered to define the criticality index (CI). CI is used to classify all the districts of the country in the regions of high risk, low risk, and moderate risk. An online dashpot is created, which updates the data on daily bases for the next four weeks. The prospective suggestions of this study would aid in planning the strategies to apply the lockdown/ any other plan for any country, which can take other parameters to define the CI.

Extraction of drug–drug interaction using neural embedding

2018 ◽  
Vol 16 (06) ◽  
pp. 1840027 ◽  
Author(s):  
Wen Juan Hou ◽  
Bamfa Ceesay
Keyword(s):  
Machine Learning ◽  
Deep Learning ◽  
Drug Interaction ◽  
Relevant Information ◽  
Learning System ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Learning Approach ◽  
Learning Techniques ◽  
Drug Drug Interaction

Information on changes in a drug’s effect when taken in combination with a second drug, known as drug–drug interaction (DDI), is relevant in the pharmaceutical industry. DDIs can delay, decrease, or enhance absorption of either drug and thus decrease or increase their action or cause adverse effects. Information Extraction (IE) can be of great benefit in allowing identification and extraction of relevant information on DDIs. We here propose an approach for the extraction of DDI from text using neural word embedding to train a machine learning system. Results show that our system is competitive against other systems for the task of extracting DDIs, and that significant improvements can be achieved by learning from word features and using a deep-learning approach. Our study demonstrates that machine learning techniques such as neural networks and deep learning methods can efficiently aid in IE from text. Our proposed approach is well suited to play a significant role in future research.

scholarly journals Detecting and Classifying Pests in Crops Using Proximal Images and Machine Learning: A Review

AI ◽  
2020 ◽  
Vol 1 (2) ◽  
pp. 312-328
Author(s):  
Jayme Garcia Arnal Barbedo
Keyword(s):  
Machine Learning ◽  
Digital Images ◽  
Research Effort ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Actual State ◽  
Considerable Research ◽  
Learning Techniques ◽  
Pest Detection ◽  
The Subject

Pest management is among the most important activities in a farm. Monitoring all different species visually may not be effective, especially in large properties. Accordingly, considerable research effort has been spent towards the development of effective ways to remotely monitor potential infestations. A growing number of solutions combine proximal digital images with machine learning techniques, but since species and conditions associated to each study vary considerably, it is difficult to draw a realistic picture of the actual state of the art on the subject. In this context, the objectives of this article are (1) to briefly describe some of the most relevant investigations on the subject of automatic pest detection using proximal digital images and machine learning; (2) to provide a unified overview of the research carried out so far, with special emphasis to research gaps that still linger; (3) to propose some possible targets for future research.

scholarly journals Green LAI Mapping and Cloud Gap-Filling Using Gaussian Process Regression in Google Earth Engine

2021 ◽  
Vol 13 (3) ◽  
pp. 403
Author(s):  
Luca Pipia ◽  
Eatidal Amin ◽  
Santiago Belda ◽  
Matías Salinero-Delgado ◽  
Jochem Verrelst
Keyword(s):  
Machine Learning ◽  
Time Series ◽  
Gaussian Process ◽  
Gaussian Process Regression ◽  
Google Earth ◽  
Machine Learning Techniques ◽  
Gap Filling ◽  
Area Index ◽  
Uncertainty Estimates ◽  
Google Earth Engine

For the last decade, Gaussian process regression (GPR) proved to be a competitive machine learning regression algorithm for Earth observation applications, with attractive unique properties such as band relevance ranking and uncertainty estimates. More recently, GPR also proved to be a proficient time series processor to fill up gaps in optical imagery, typically due to cloud cover. This makes GPR perfectly suited for large-scale spatiotemporal processing of satellite imageries into cloud-free products of biophysical variables. With the advent of the Google Earth Engine (GEE) cloud platform, new opportunities emerged to process local-to-planetary scale satellite data using advanced machine learning techniques and convert them into gap-filled vegetation properties products. However, GPR is not yet part of the GEE ecosystem. To circumvent this limitation, this work proposes a general adaptation of GPR formulation to parallel processing framework and its integration into GEE. To demonstrate the functioning and utility of the developed workflow, a GPR model predicting green leaf area index (LAIG) from Sentinel-2 imagery was imported. Although by running this GPR model into GEE any corner of the world can be mapped into LAIG at a resolution of 20 m, here we show some demonstration cases over western Europe with zoom-ins over Spain. Thanks to the computational power of GEE, the mapping takes place on-the-fly. Additionally, a GPR-based gap filling strategy based on pre-optimized kernel hyperparameters is also put forward for the generation of multi-orbit cloud-free LAIG maps with an unprecedented level of detail, and the extraction of regularly-sampled LAIG time series at a pixel level. The ability to plugin a locally-trained GPR model into the GEE framework and its instant processing opens up a new paradigm of remote sensing image processing.

scholarly journals Artificial Intelligence and Business Strategy towards Digital Transformation: A Research Agenda

2021 ◽  
Vol 13 (4) ◽  
pp. 2025 ◽  
Author(s):  
Fotis Kitsios ◽  
Maria Kamariotou
Keyword(s):  
Artificial Intelligence ◽  
Machine Learning ◽  
Theoretical Model ◽  
Business Strategy ◽  
Management Practices ◽  
Corporate Strategy ◽  
Machine Learning Techniques ◽  
Future Research ◽  
Practical Implementation ◽  
Learning Techniques

In the past decade, current literature and businesses have drawn attention to Artificial Intelligence (AI) tools and in particular to the advances in machine learning techniques. Nevertheless, while the AI technology offers great potential to solve difficulties, challenges remain implicated in practical implementation and lack of expertise in the strategic usage of AI to create business value. This paper aims to implement a systematic literature review analyzing convergence of the AI and corporate strategy and develop a theoretical model incorporating issues based on the existing research in this field. Eighty-one peer-reviewed articles were discussed on the basis of research methodology from Webster and Watson (2002). In addition to gaps in future research, a theoretical model is developed, discussing the four sources of value creation: AI and Machine Learning in organizations; alignment of AI tools and Information Technology (IT) with organizational strategy; AI, knowledge management and decision-making process; and AI, service innovation and value. These outcomes lead to both theoretical and managerial viewpoints, with extensive possibilities to generate new methods and types of management practices.

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