Search results for: short-term streamflow forecasts

Authors: Pier Andrea Marras, Daniela Lima, Pedro Matos Soares, Rita Maria Cardoso, Daniela Medas, Elisabetta Dore, Giovanni De Giudici

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Climate change effects on the hydrologic cycle are the main concern for the evaluation of water management strategies. Climate models project scenarios of precipitation changes in the future, considering greenhouse emissions. In this study, the EURO-CORDEX (European Coordinated Regional Downscaling Experiment) climate models were first evaluated in a Mediterranean island (Sardinia) against observed precipitation for a historical reference period (1976-2005). A weighted multi-model ensemble (ENS) was built, weighting the single models based on their ability to reproduce observed rainfall. Future projections (2071-2100) were carried out using the 8.5 RCP emissions scenario to evaluate changes in precipitations. ENS was then used as climate forcing for the SWAT model (Soil and Water Assessment Tool), with the aim to assess the consequences of such projected changes on streamflow and runoff of two small catchments located in the South-West Sardinia. Results showed that a decrease of mean rainfall values, up to -25 % at yearly scale, is expected for the future, along with an increase of extreme precipitation events. Particularly in the eastern and southern areas, extreme events are projected to increase by 30%. Such changes reflect on the hydrologic cycle with a decrease of mean streamflow and runoff, except in spring, when runoff is projected to increase by 20-30%. These results stress that the Mediterranean is a hotspot for climate change, and the use of model tools can provide very useful information to adopt water and land management strategies to deal with such changes.

Keywords: EURO-CORDEX, climate change, hydrology, SWAT model, Sardinia, multi-model ensemble

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Authors: Shay Kee Tan, Kok Haur Ng, Jennifer So-Kuen Chan

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This paper extends the conditional autoregressive range (CARR) model to multivariate CARR (MCARR) model and further to the two-stage MCARR-return model to model and forecast volatilities, correlations and returns of multiple financial assets. The first stage model fits the scaled realised Parkinson volatility measures using individual series and their pairwise sums of indices to the MCARR model to obtain in-sample estimates and forecasts of volatilities for these individual and pairwise sum series. Then covariances are calculated to construct the fitted variance-covariance matrix of returns which are imputed into the stage-two return model to capture the heteroskedasticity of assets’ returns. We investigate different choices of mean functions to describe the volatility dynamics. Empirical applications are based on the Standard and Poor 500, Dow Jones Industrial Average and Dow Jones United States Financial Service Indices. Results show that the stage-one MCARR models using asymmetric mean functions give better in-sample model fits than those based on symmetric mean functions. They also provide better out-of-sample volatility forecasts than those using CARR models based on two robust loss functions with the scaled realised open-to-close volatility measure as the proxy for the unobserved true volatility. We also find that the stage-two return models with constant means and multivariate Student-t errors give better in-sample fits than the Baba, Engle, Kraft, and Kroner type of generalized autoregressive conditional heteroskedasticity (BEKK-GARCH) models. The estimates and forecasts of value-at-risk (VaR) and conditional VaR based on the best MCARR-return models for each asset are provided and tested using Kupiec test to confirm the accuracy of the VaR forecasts.

Keywords: range-based volatility, correlation, multivariate CARR-return model, value-at-risk, conditional value-at-risk

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Authors: Ilaria Lucrezia Amerise

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Electricity markets throughout the world have undergone substantial changes. Accurate, reliable, clear and comprehensible modeling and forecasting of different variables (loads and prices in the first instance) have achieved increasing importance. In this paper, we describe the actual state of the art focusing on reg-SARMA methods, which have proven to be flexible enough to accommodate the electricity price/load behavior satisfactory. More specifically, we will discuss: 1) The dichotomy between point and interval forecasts; 2) The difficult choice between stochastic (e.g. climatic variation) and non-deterministic predictors (e.g. calendar variables); 3) The confrontation between modelling a single aggregate time series or creating separated and potentially different models of sub-series. The noteworthy point that we would like to make it emerge is that prices and loads require different approaches that appear irreconcilable even though must be made reconcilable for the interests and activities of energy companies.

Keywords: interval forecasts, time series, electricity prices, reg-SARIMA methods

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Authors: Retang A. Mokua, Julia Glenday, Jacobus M. Nel

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Understanding hydrological processes in mountain headwater catchments, such as the Jonkershoek Valley, is crucial for improving the predictive capability of hydrologic modeling in the Cape Fold Mountain region of South Africa, incorporating the influence of the Table Mountain Group fractured rock aquifers. Determining the contributions of various possible surface and subsurface flow pathways in such catchments has been a challenge due to the complex nature of the fractured rock geology, low ionic concentrations, high rainfall, and streamflow variability. The study aimed to describe the mechanisms of streamflow generation during two seasons (dry and wet). In this study, stable isotopes of water (18O and 2H), hydrochemical tracer electrical conductivity (EC), hydrometric data were used to assess the spatial and temporal variation in flow pathways and geographic sources of stream water. Stream water, groundwater, two shallow piezometers, and spring samples were routinely sampled at two adjacent headwater sub-catchments and analyzed for isotopic ratios during baseflow conditions between January 2018 and January 2019. From these results, no significance (p > 0.05) in seasonal variations in isotopic ratios were observed, the stream isotope signatures were consistent throughout the study period. However, significant seasonal and spatial variations in the EC were evident (p < 0.05). The findings suggest that, in the dry season, baseflow generation mechanisms driven by groundwater and interflow as discharge from perennial springs in these catchments are the primary contributors. The wet season flows were attributed to interflow and perennial and ephemeral springs. Furthermore, the observed seasonal variations in EC were indicative of a greater proportion of sub-surface water inputs. With these results, a conceptual model of streamflow generation processes for the two seasons was constructed.

Keywords: electrical conductivity, Jonkershoek valley, stable isotopes, table mountain group

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Authors: Giriraj Achari, Malay Bhattacharyya

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In this paper, the effectiveness of Copula Markov Switching Multifractal (MSM) models at forecasting Value-at-Risk of a two-stock portfolio is studied. The innovations are allowed to be drawn from distributions that can capture skewness and leptokurtosis, which are well documented empirical characteristics observed in financial returns. The candidate distributions considered for this purpose are Johnson-SU, Pearson Type-IV and α-Stable distributions. The two univariate marginal distributions are combined using the Student-t copula. The estimation of all parameters is performed by Maximum Likelihood Estimation. Finally, the models are compared in terms of accurate Value-at-Risk (VaR) forecasts using tests of unconditional coverage and independence. It is found that Copula-MSM-models with leptokurtic innovation distributions perform slightly better than Copula-MSM model with Normal innovations. Copula-MSM models, in general, produce better VaR forecasts as compared to traditional methods like Historical Simulation method, Variance-Covariance approach and Copula-Generalized Autoregressive Conditional Heteroscedasticity (Copula-GARCH) models.

Keywords: Copula, Markov Switching, multifractal, value-at-risk

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Authors: Selin Guney, Andres Riquelme

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Among the main purposes of optimal and efficient forecasts of agricultural commodity prices is to guide the firms to advance the economic decision making process such as planning business operations and marketing decisions. Governments are also the beneficiaries and suppliers of agricultural price forecasts. They use this information to establish a proper agricultural policy, and hence, the forecasts affect social welfare and systematic errors in forecasts could lead to a misallocation of scarce resources. Various empirical approaches have been applied to forecast commodity prices that have used different methodologies. Most commonly-used approaches to forecast commodity sectors depend on classical time series models that assume values of the response variables are precise which is quite often not true in reality. Recently, this literature has mostly evolved to a consideration of fuzzy time series models that provide more flexibility in terms of the classical time series models assumptions such as stationarity, and large sample size requirement. Besides, fuzzy modeling approach allows decision making with estimated values under incomplete information or uncertainty. A number of fuzzy time series models have been developed and implemented over the last decades; however, most of them are not appropriate for forecasting repeated and nonconsecutive transitions in the data. The modeling scheme used in this paper eliminates this problem by introducing Markov modeling approach that takes into account both the repeated and nonconsecutive transitions. Also, the determination of length of interval is crucial in terms of the accuracy of forecasts. The problem of determining the length of interval arbitrarily is overcome and a methodology to determine the proper length of interval based on the distribution or mean of the first differences of series to improve forecast accuracy is proposed. The specific purpose of this paper is to propose and investigate the potential of a new forecasting model that integrates methodologies for determining the proper length of interval based on the distribution or mean of the first differences of series and Fuzzy Time Series- Markov Chain model. Moreover, the accuracy of the forecasting performance of proposed integrated model is compared to different univariate time series models and the superiority of proposed method over competing methods in respect of modelling and forecasting on the basis of forecast evaluation criteria is demonstrated. The application is to daily corn and soybean prices observed at three commercially important North Carolina markets; Candor, Cofield and Roaring River for corn and Fayetteville, Cofield and Greenville City for soybeans respectively. One main conclusion from this paper is that using fuzzy logic improves the forecast performance and accuracy; the effectiveness and potential benefits of the proposed model is confirmed with small selection criteria value such MAPE. The paper concludes with a discussion of the implications of integrating fuzzy logic and nonarbitrary determination of length of interval for the reliability and accuracy of price forecasts. The empirical results represent a significant contribution to our understanding of the applicability of fuzzy modeling in commodity price forecasts.

Keywords: commodity, forecast, fuzzy, Markov

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Authors: András Medve, Katalin Szabad, István Patkó

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According to the International Energy Association the previous principles of the energy sector should be reassessed, in which renewable energy sources have a significant role. We might witness the exchange of roles of countries from importer to exporter, which look for the main resources of market needs. According to the World Energy Outlook 2013, the duration of high oil prices is exceptionally long in the history of the energy market. Forecasts also point at the expected great differences between the regional prices of gas and electric energy. The energy need of the world will grow by its third. two thirds of which will appear in China, India, and South-East Asia, while only 4 per cent of which will be related to OECD countries. Current trends also forecast the growth of the price of energy sources and the emission of glasshouse gases. As a reflection of these forecasts alternative energy sources will gain value, of which geothermic energy is one of the cheapest and most economical. Hungary possesses outstanding resources of geothermic energy. The aim of the study is to research the environmental effects of geothermic energy and the opportunities of its exploitation in Hungary, related to „Horizon 2020” project.

Keywords: sustainable energy, renewable energy, development of geothermic energy in Hungary

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Authors: Wilmer Osvaldo Martinez, Manuel Dario Hernandez, Juan Manuel Julio

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We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast accuracy should be assessed through stochastic loss order rather than expected loss order, which is the way it is customarily performed in previous work. Moreover, since forecast performance evaluation can be understood as a one way analysis of variance, we propose to explore loss distributions under two circumstances; when a strict (but unknown) joint stochastic order exists among the losses of all forecast alternatives, and when such order happens among subsets of alternative procedures. In spite of the fact that loss stochastic order is stronger than loss moment order, our proposals are at least as powerful as competing tests, and are robust to the correlation, autocorrelation and heteroskedasticity settings they consider. In addition, since our proposals do not require samples of the same size, their scope is also wider, and provided that they test the whole loss distribution instead of just loss moments, they can also be used to study forecast distributions as well. We illustrate the usefulness of our proposals by evaluating a set of real world forecasts.

Keywords: forecast evaluation, stochastic order, multiple comparison, non parametric test

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Authors: Emery A. Coppola Jr., Suna Cinar, Ferenc Szidarovszky

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Over-pumping of groundwater resources is a serious problem world-wide. In addition to depleting this valuable resource, hydraulically connected sensitive ecological resources like wetlands and surface water bodies are often impacted and even destroyed by over-pumping. Effectively managing groundwater in a way that satisfy human demand while preserving natural resources is a daunting challenge that will only worsen with growing human populations and climate change. As presented in this paper, a numerical flow model developed for a hypothetical but realistic groundwater/surface water system was combined with formal optimization. Response coefficients were used in an optimization management model to maximize groundwater pumping in a complex, multi-layered aquifer system while protecting against groundwater over-draft, streamflow depletion, and wetland impacts. Pumping optimization was performed for different constraint sets that reflect different resource protection preferences, yielding significantly different optimal pumping solutions. A sensitivity analysis on the optimal solutions was performed on select response coefficients to identify differences between wet and dry periods. Stochastic optimization was also performed, where uncertainty associated with changing irrigation demand due to changing weather conditions are accounted for. One of the strengths of this optimization approach is that it can efficiently and accurately identify superior management strategies that minimize risk and adverse environmental impacts associated with groundwater pumping under different hydrologic conditions.

Keywords: numerical groundwater flow modeling, water management optimization, groundwater overdraft, streamflow depletion

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Authors: Watchareeporn Chaimongkol

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In this paper, we compare the statistical measures accuracy of composite forecasting model to estimate automobile customer demand in Thailand. A modified simple exponential smoothing and autoregressive integrate moving average (ARIMA) forecasting model is built to estimate customer demand of passenger cars, instead of using information of historical sales data. Our model takes into account special characteristic of the Thai automobile market such as sales promotion, advertising and publicity, petrol price, and interest rate for loan. We evaluate our forecasting model by comparing forecasts with actual data using six accuracy measurements, mean absolute percentage error (MAPE), geometric mean absolute error (GMAE), symmetric mean absolute percentage error (sMAPE), mean absolute scaled error (MASE), median relative absolute error (MdRAE), and geometric mean relative absolute error (GMRAE).

Keywords: composite forecasting, simple exponential smoothing model, autoregressive integrate moving average model selection, accuracy measurements

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Authors: Christos Spandonidis, Stefanos Tsantilas, Elias Sedikos, Nektarios Galiatsatos, Fotios Giannopoulos, Panagiotis Papadopoulos, Nikolaos Demagos, Dimitrios Reppas, Christos Giordamlis

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In the present paper, a low cost, compact and modular Internet of Things (IoT) platform for air quality monitoring in urban areas is presented. This platform comprises of dedicated low cost, low power hardware and the associated embedded software that enable measurement of particles (PM2.5 and PM10), NO, CO, CO₂ and O₃ concentration in the air, along with relative temperature and humidity. This integrated platform acts as part of a greater air pollution data collecting wireless network that is able to monitor the air quality in various regions and neighborhoods of an urban area, by providing sensor measurements at a high rate that reaches up to one sample per second. It is therefore suitable for Big Data analysis applications such as air quality forecasts, weather forecasts and traffic prediction. The first real world test for the developed platform took place in Thessaloniki, Greece, where 16 devices were installed in various buildings in the city. In the near future, many more of these devices are going to be installed in the greater Thessaloniki area, giving a detailed air quality map of the city.

Keywords: distributed sensor system, environmental monitoring, Internet of Things, smart cities

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Authors: Ana Clara Santos, Maria Manuela Portela, Bettina Schaefli

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This work assesses the performance of an analytical model framework to generate daily flow duration curves, FDCs, based on climatic characteristics of the catchments and on their streamflow recession coefficients. According to the analytical model framework, precipitation is considered to be a stochastic process, modeled as a marked Poisson process, and recession is considered to be deterministic, with parameters that can be computed based on different models. The analytical model framework was tested for three case studies with different hydrological regimes located in Switzerland: pluvial, snow-dominated and glacier. For that purpose, five time intervals were analyzed (the four meteorological seasons and the civil year) and two developments of the model were tested: one considering a linear recession model and the other adopting a nonlinear recession model. Those developments were combined with recession coefficients obtained from two different approaches: forward and inverse estimation. The performance of the analytical framework when considering forward parameter estimation is poor in comparison with the inverse estimation for both, linear and nonlinear models. For the pluvial catchment, the inverse estimation shows exceptional good results, especially for the nonlinear model, clearing suggesting that the model has the ability to describe FDCs. For the snow-dominated and glacier catchments the seasonal results are better than the annual ones suggesting that the model can describe streamflows in those conditions and that future efforts should focus on improving and combining seasonal curves instead of considering single annual ones.

Keywords: analytical streamflow distribution, stochastic process, linear and non-linear recession, hydrological modelling, daily discharges

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Authors: Martins Y. Otache, John J. Musa, Abayomi I. Kuti, Mustapha Mohammed

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The performance of an artificial neural network (ANN) is contingent on a host of factors, for instance, the network optimisation scheme. In view of this, the study examined the general implications of the ANN training optimisation algorithm on its forecast performance. To this end, the Bayesian regularisation (Br), Levenberg-Marquardt (LM), and the adaptive learning gradient descent: GDM (with momentum) algorithms were employed under different ANN structural configurations: (1) single-hidden layer, and (2) double-hidden layer feedforward back propagation network. Results obtained revealed generally that the gradient descent with momentum (GDM) optimisation algorithm, with its adaptive learning capability, used a relatively shorter time in both training and validation phases as compared to the Levenberg- Marquardt (LM) and Bayesian Regularisation (Br) algorithms though learning may not be consummated; i.e., in all instances considering also the prediction of extreme flow conditions for 1-day and 5-day ahead, respectively especially using the ANN model. In specific statistical terms on the average, model performance efficiency using the coefficient of efficiency (CE) statistic were Br: 98%, 94%; LM: 98 %, 95 %, and GDM: 96 %, 96% respectively for training and validation phases. However, on the basis of relative error distribution statistics (MAE, MAPE, and MSRE), GDM performed better than the others overall. Based on the findings, it is imperative to state that the adoption of ANN for real-time forecasting should employ training algorithms that do not have computational overhead like the case of LM that requires the computation of the Hessian matrix, protracted time, and sensitivity to initial conditions; to this end, Br and other forms of the gradient descent with momentum should be adopted considering overall time expenditure and quality of the forecast as well as mitigation of network overfitting. On the whole, it is recommended that evaluation should consider implications of (i) data quality and quantity and (ii) transfer functions on the overall network forecast performance.

Keywords: streamflow, neural network, optimisation, algorithm

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Authors: Nina Miklavčič, Urška Kugovnik, Natalia Galkina, Primož Ribarič, Rudi Vončina

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Today, the need for weather predictions is deeply rooted in the everyday life of people as well as it is in industry. The forecasts influence final decision-making processes in multiple areas, from agriculture and prevention of natural disasters to air traffic regulations and solutions on a national level for health, security, and economic problems. Namely, in Slovenia, alongside other existing forms of application, weather forecasts are adopted for the prognosis of electrical current transmission through powerlines. Meteorological parameters are one of the key factors which need to be considered in estimations of the reliable supply of electrical energy to consumers. And like for any other measured value, the knowledge about measurement uncertainty is also critical for the secure and reliable supply of energy. The estimation of measurement uncertainty grants us a more accurate interpretation of data, a better quality of the end results, and even a possibility of improvement of weather forecast models. In the article, we focused on the estimation of measurement uncertainty of the diagnostic microscale meteorological model CALMET. For the purposes of our research, we used a network of meteorological stations spread in the area of our interest, which enables a side-by-side comparison of measured meteorological values with the values calculated with the help of CALMET and the measurement uncertainty estimation as a final result.

Keywords: uncertancy, meteorological model, meteorological measurment, CALMET

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Authors: Nafe Moradkhani, Frederick Benaben, Benoit Montreuil, Ali Vatankhah Barenji, Dima Nazzal

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In the context of the global pandemic, the practical management of the 2020 presidential election in the USA was a strong concern. To anticipate and prepare for this election accurately, one of the main challenges was to confront (i) forecasts of voter turnout, (ii) capacities of the facilities and, (iii) potential configuration options of resources. The approach chosen to conduct this anticipative study consists of collecting data about forecasts and using simulation models to work simultaneously on resource allocation and facility configuration of polling places in Fulton County, Georgia’s largest county. A polling place is a dedicated facility where voters cast their ballots in elections using different devices. This article presents the results of the simulations of such places facing pre-identified potential risks. These results are oriented towards the efficiency of these places according to different criteria (health, trust, comfort). Then a dynamic framework is introduced to describe risks as physical forces perturbing the efficiency of the observed system. Finally, the main benefits and contributions resulting from this simulation campaign are presented.

Keywords: performance, decision support, simulation, artificial intelligence, risk management, election, pandemics, information system

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Authors: Nato Kutaladze, George Mikuchadze, Giorgi Sokhadze

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Precipitation forecasts are one of the most demanding applications in numerical weather prediction (NWP). Georgia, as the whole Caucasian region, is characterized by very complex topography. The country territory is prone to flash floods and mudflows, quantitative precipitation estimation (QPE) and quantitative precipitation forecast (QPF) at any leading time are very important for Georgia. In this study, advanced research weather forecasting model’s skill in QPF is investigated over Georgia’s territory. We have analyzed several convection parameterization and microphysical scheme combinations for different rainy episodes and heavy rainy phenomena. We estimate errors and biases in accumulated 6 h precipitation using different spatial resolution during model performance verification for 12-hour and 24-hour lead time against corresponding rain gouge observations and satellite data. Various statistical parameters have been calculated for the 8-month comparison period, and some skills of model simulation have been evaluated. Our focus is on the formation and organization of convective precipitation systems in a low-mountain region. Several problems in connection with QPF have been identified for mountain regions, which include the overestimation and underestimation of precipitation on the windward and lee side of the mountains, respectively, and a phase error in the diurnal cycle of precipitation leading to the onset of convective precipitation in model forecasts several hours too early.

Keywords: extremal dependence index, false alarm, numerical weather prediction, quantitative precipitation forecasting

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Authors: Swati Bhomia, C. M. Kishtawal, Neeru Jaiswal

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Traditionally, monsoon forecasts have encountered many difficulties that stem from numerous issues such as lack of adequate upper air observations, mesoscale nature of convection, proper resolution, radiative interactions, planetary boundary layer physics, mesoscale air-sea fluxes, representation of orography, etc. Uncertainties in any of these areas lead to large systematic errors. Global circulation models (GCMs), which are developed independently at different institutes, each of which carries somewhat different representation of the above processes, can be combined to reduce the collective local biases in space, time, and for different variables from different models. This is the basic concept behind the multi-model superensemble and comprises of a training and a forecast phase. The training phase learns from the recent past performances of models and is used to determine statistical weights from a least square minimization via a simple multiple regression. These weights are then used in the forecast phase. The superensemble forecasts carry the highest skill compared to simple ensemble mean, bias corrected ensemble mean and the best model out of the participating member models. This approach is a powerful post-processing method for the estimation of weather forecast parameters reducing the direct model output errors. Although it can be applied successfully to the continuous parameters like temperature, humidity, wind speed, mean sea level pressure etc., in this paper, this approach is applied to rainfall, a parameter quite difficult to handle with standard post-processing methods, due to its high temporal and spatial variability. The present study aims at the development of advanced superensemble schemes comprising of 1-5 day daily precipitation forecasts from five state-of-the-art global circulation models (GCMs), i.e., European Centre for Medium Range Weather Forecasts (Europe), National Center for Environmental Prediction (USA), China Meteorological Administration (China), Canadian Meteorological Centre (Canada) and U.K. Meteorological Office (U.K.) obtained from THORPEX Interactive Grand Global Ensemble (TIGGE), which is one of the most complete data set available. The novel approaches include the dynamical model selection approach in which the selection of the superior models from the participating member models at each grid and for each forecast step in the training period is carried out. Multi-model superensemble based on the training using similar conditions is also discussed in the present study, which is based on the assumption that training with the similar type of conditions may provide the better forecasts in spite of the sequential training which is being used in the conventional multi-model ensemble (MME) approaches. Further, a variety of methods that incorporate a 'neighborhood' around each grid point which is available in literature to allow for spatial error or uncertainty, have also been experimented with the above mentioned approaches. The comparison of these schemes with respect to the observations verifies that the newly developed approaches provide more unified and skillful prediction of the summer monsoon (viz. June to September) rainfall compared to the conventional multi-model approach and the member models.

Keywords: multi-model superensemble, dynamical model selection, similarity criteria, neighborhood technique, rainfall prediction

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Authors: Jonathan Iworiso

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Forecasting the equity premium out-of-sample is a major concern to researchers in finance and emerging markets. The quest for a superior model that can forecast the equity premium with significant economic gains has resulted in several controversies on the choice of variables and suitable techniques among scholars. This research focuses mainly on the application of Regression Training (RT) techniques to forecast monthly equity premium out-of-sample recursively with an expanding window method. A broad category of sophisticated regression models involving model complexity was employed. The RT models include Ridge, Forward-Backward (FOBA) Ridge, Least Absolute Shrinkage and Selection Operator (LASSO), Relaxed LASSO, Elastic Net, and Least Angle Regression were trained and used to forecast the equity premium out-of-sample. In this study, the empirical investigation of the RT models demonstrates significant evidence of equity premium predictability both statistically and economically relative to the benchmark historical average, delivering significant utility gains. They seek to provide meaningful economic information on mean-variance portfolio investment for investors who are timing the market to earn future gains at minimal risk. Thus, the forecasting models appeared to guarantee an investor in a market setting who optimally reallocates a monthly portfolio between equities and risk-free treasury bills using equity premium forecasts at minimal risk.

Keywords: regression training, out-of-sample forecasts, expanding window, statistical predictability, economic significance, utility gains

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Authors: Soheila Sadeghi

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Accurate forecasting of project performance metrics is crucial for successfully managing and delivering urban road reconstruction projects. Traditional methods often rely on static baseline plans and fail to consider the dynamic nature of project progress and external factors. This research proposes a machine learning-based approach to forecast project performance metrics, such as cost variance and earned value, for each Work Breakdown Structure (WBS) category in an urban road reconstruction project. The proposed model utilizes time series forecasting techniques, including Autoregressive Integrated Moving Average (ARIMA) and Long Short-Term Memory (LSTM) networks, to predict future performance based on historical data and project progress. The model also incorporates external factors, such as weather patterns and resource availability, as features to enhance the accuracy of forecasts. By applying the predictive power of machine learning, the performance forecasting model enables proactive identification of potential deviations from the baseline plan, which allows project managers to take timely corrective actions. The research aims to validate the effectiveness of the proposed approach using a case study of an urban road reconstruction project, comparing the model's forecasts with actual project performance data. The findings of this research contribute to the advancement of project management practices in the construction industry, offering a data-driven solution for improving project performance monitoring and control.

Keywords: project performance forecasting, machine learning, time series forecasting, cost variance, earned value management

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Authors: Mahesh Kothari, K. D. Gharde

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The ANN and fuzzy logic (FL) models were developed to predict the runoff and sediment yield for catchment of Kal river, India using 21 years (1991 to 2011) rainfall and other hydrological data (evaporation, temperature and streamflow lag by one and two day) and 7 years data for sediment yield modelling. The ANN model performance improved with increasing the input vectors. The fuzzy logic model was performing with R value more than 0.95 during developmental stage and validation stage. The comparatively FL model found to be performing well to ANN in prediction of runoff and sediment yield for Kal river.

Keywords: transferred function, sigmoid, backpropagation, membership function, defuzzification

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Authors: Philippe Gugler

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This contribution reflects some important questions regarding inter alia the economic development occurring in the light of the ASEAN’s goal of creating the ASEAN Economic Community (AEC) by 2015. We observe a continuing economic growth of GDP per capita over recent years despite the negative effects of the world economic crisis. IMF forecasts indicate that this trend will continue. The paper focuses on the analysis and comparison of economic growth trends of ASEAN countries.

Keywords: ASEAN, convergence, divergence, economic growth, globalization, integration

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Authors: Umit Cali

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The integration of intermittent energy sources like wind farms into the electricity grid has become an important challenge for the utilization and control of electric power systems, because of the fluctuating behaviour of wind power generation. Wind power predictions improve the economic and technical integration of large amounts of wind energy into the existing electricity grid. Trading, balancing, grid operation, controllability and safety issues increase the importance of predicting power output from wind power operators. Therefore, wind power forecasting systems have to be integrated into the monitoring and control systems of the transmission system operator (TSO) and wind farm operators/traders. The wind forecasts are relatively precise for the time period of only a few hours, and, therefore, relevant with regard to Spot and Intraday markets. In this work predictive data mining techniques are applied to identify a statistical and neural network model or set of models that can be used to predict wind power output of large onshore and offshore wind farms. These advanced data analytic methods helps us to amalgamate the information in very large meteorological, oceanographic and SCADA data sets into useful information and manageable systems. Accurate wind power forecasts are beneficial for wind plant operators, utility operators, and utility customers. An accurate forecast allows grid operators to schedule economically efficient generation to meet the demand of electrical customers. This study is also dedicated to an in-depth consideration of issues such as the comparison of day ahead and the short-term wind power forecasting results, determination of the accuracy of the wind power prediction and the evaluation of the energy economic and technical benefits of wind power forecasting.

Keywords: renewable energy sources, wind power, forecasting, data mining, big data, artificial intelligence, energy economics, power trading, power grids

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Authors: Nazaitul Idya Hamzah, Muhammad Syafiq Mazli, Maszatul Akmar Mustafa

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The peak demand forecast is crucial to identify the future generation plant up needed in the long-term capacity planning analysis for Peninsular Malaysia as well as for the transmission and distribution network planning activities. Currently, peak demand forecast (in Mega Watt) is derived from the generation forecast by using load factor assumption. However, a forecast using this method has underperformed due to the structural changes in the economy, emerging trends and weather uncertainty. The dynamic changes of these drivers will result in many possible outcomes of peak demand for Peninsular Malaysia. This paper will look into the independent model of peak demand forecasting. The model begins with the selection of driver variables to capture long-term growth. This selection and construction of variables, which include econometric, emerging trend and energy variables, will have an impact on the peak forecast. The actual framework begins with the development of system energy and load shape forecast by using the system’s hourly data. The shape forecast represents the system shape assuming all embedded technology and use patterns to continue in the future. This is necessary to identify the movements in the peak hour or changes in the system load factor. The next step would be developing the peak forecast, which involves an iterative process to explore model structures and variables. The final step is combining the system energy, shape, and peak forecasts into the hourly system forecast then modifying it with the forecast adjustments. Forecast adjustments are among other sales forecasts for electric vehicles, solar and other adjustments. The framework will result in an hourly forecast that captures growth, peak usage and new technologies. The advantage of this approach as compared to the current methodology is that the peaks capture new technology impacts that change the load shape.

Keywords: hourly load profile, load forecasting, long term peak demand forecasting, peak demand

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Authors: Amel Oueslati, Olfa Benouda

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New Value at Risk (VaR) estimation is proposed and investigated. The well-known two stages Garch-EVT approach uses conditional volatility to generate one step ahead forecasts of VaR. With daily data for twelve stocks that decompose the Dow Jones Industrial Average (DJIA) index, this paper incorporates the volume in the first stage volatility estimation. Afterwards, the forecasting ability of this conditional volatility concerning the VaR estimation is compared to that of a basic volatility model without considering any trading component. The results are significant and bring out the importance of the trading volume in the VaR measure.

Keywords: Garch-EVT, value at risk, volume, volatility

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Authors: Nokwethaba Makhanya, Babatunde J. Abiodun, Piotr Wolski

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Climate change possibly intensifies hydrological droughts and reduces water availability in river basins. Despite this, most research on climate change effects in southern Africa has focused exclusively on meteorological droughts. This thesis projects the potential impact of climate change on the future characteristics of hydrological droughts in the Limpopo River Basin (LRB). The study uses regional climate model (RCM) measurements (from the Coordinated Regional Climate Downscaling Experiment, CORDEX) and a combination of hydrological simulations (using the Soil and Water Assessment Tool Plus model, SWAT+) to predict the impacts at four global warming levels (GWLs: 1.5℃, 2.0℃, 2.5℃, and 3.0℃) under the RCP8.5 future climate scenario. The SWAT+ model was calibrated and validated with a streamflow dataset observed over the basin, and the sensitivity of model parameters was investigated. The performance of the SWAT+LRB model was verified using the Nash-Sutcliffe efficiency (NSE), Percent Bias (PBIAS), Root Mean Square Error (RMSE), and coefficient of determination (R²). The Standardized Precipitation Evapotranspiration Index (SPEI) and the Standardized Precipitation Index (SPI) have been used to detect meteorological droughts. The Soil Water Index (SSI) has been used to define agricultural drought, while the Water Yield Drought Index (WYLDI), the Surface Run-off Index (SRI), and the Streamflow Index (SFI) have been used to characterise hydrological drought. The performance of the SWAT+ model simulations over LRB is sensitive to the parameters CN2 (initial SCS runoff curve number for moisture condition II) and ESCO (soil evaporation compensation factor). The best simulation generally performed better during the calibration period than the validation period. In calibration and validation periods, NSE is ≤ 0.8, while PBIAS is ≥ ﹣80.3%, RMSE ≥ 11.2 m³/s, and R² ≤ 0.9. The simulations project a future increase in temperature and potential evapotranspiration over the basin, but they do not project a significant future trend in precipitation and hydrological variables. However, the spatial distribution of precipitation reveals a projected increase in precipitation in the southern part of the basin and a decline in the northern part of the basin, with the region of reduced precipitation projected to increase with GWLs. A decrease in all hydrological variables is projected over most parts of the basin, especially over the eastern part of the basin. The simulations predict meteorological droughts (i.e., SPEI and SPI), agricultural droughts (i.e., SSI), and hydrological droughts (i.e., WYLDI, SRI) would become more intense and severe across the basin. SPEI-drought has a greater magnitude of increase than SPI-drought, and agricultural and hydrological droughts have a magnitude of increase between the two. As a result, this research suggests that future hydrological droughts over the LRB could be more severe than the SPI-drought projection predicts but less severe than the SPEI-drought projection. This research can be used to mitigate the effects of potential climate change on basin hydrological drought.

Keywords: climate change, CORDEX, drought, hydrological modelling, Limpopo River Basin

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Authors: Srikanth Pandurangi, Basheer Mohammed, Nezar Al Sayegh

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In order to meet the increasing demand for housing care for Kuwaiti citizens, the government authorities in Kuwait are undertaking a series of projects in the form of new large cities, outside the current urban area. Al Mutlaa City located to the north-west of the Kuwait Metropolitan Area is one such project out of the 15 planned new cities. The city accommodates a wide variety of residential developments, employment opportunities, commercial, recreational, health care and institutional uses. This paper examines the application of comprehensive transportation demand modeling works undertaken in VISUM platform to understand the future intracity and intercity travel distribution patterns in Kuwait. The scope of models developed varied in levels of detail: strategic model update, sub-area models representing future demand of Al Mutlaa City, sub-area models built to estimate the demand in the residential neighborhoods of the city. This paper aims at offering model update framework that facilitates easy integration between sub-area models and strategic national models for unified traffic forecasts. This paper presents the transportation demand modeling results utilized in informing the planning of multi-modal transportation system for Al Mutlaa City. This paper also presents the household survey data collection efforts undertaken using GPS devices (first time in Kuwait) and notebook computer based digital survey forms for interviewing representative sample of citizens and residents. The survey results formed the basis of estimating trip generation rates and trip distribution coefficients used in the strategic base year model calibration and validation process.

Keywords: innovative methods in transportation data collection, integrated public transportation system, traffic forecasts, transportation modeling, travel behavior

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Authors: Fatemeh Rouhi, Hadi Nassiri

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Earning forecast is a key element in economic decisions but there are some situations, such as conflicts of interest in financial reporting, complexity and lack of direct access to information has led to the phenomenon of information asymmetry among individuals within the organization and external investors and creditors that appear. The adverse selection and moral hazard in the investor's decision and allows direct assessment of the difficulties associated with data by users makes. In this regard, the role of trustees in corporate governance disclosure is crystallized that includes controls and procedures to ensure the lack of movement in the interests of the company's management and move in the direction of maximizing shareholder and company value. Therefore, the earning forecast of companies in the capital market and the need to identify factors influencing this study was an attempt to make relationship between moral hazard and corporate governance with earning forecast quality companies operating in the capital market and its impact on Earnings Forecasts quality by the company to be established. Getting inspiring from the theoretical basis of research, two main hypotheses and sub-hypotheses are presented in this study, which have been examined on the basis of available models, and with the use of Panel-Data method, and at the end, the conclusion has been made at the assurance level of 95% according to the meaningfulness of the model and each independent variable. In examining the models, firstly, Chow Test was used to specify either Panel Data method should be used or Pooled method. Following that Housman Test was applied to make use of Random Effects or Fixed Effects. Findings of the study show because most of the variables are positively associated with moral hazard with earnings forecasts quality, with increasing moral hazard, earning forecast quality companies listed on the Tehran Stock Exchange is increasing. Among the variables related to corporate governance, board independence variables have a significant relationship with earnings forecast accuracy and earnings forecast bias but the relationship between board size and earnings forecast quality is not statistically significant.

Keywords: corporate governance, earning forecast quality, moral hazard, financial sciences

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Authors: Periklis Brakatsoulas

Abstract:

Recent empirical research shows a growing interest in investment decision-making under market anomalies that contradict the rational paradigm. Momentum is undoubtedly one of the most robust anomalies in the empirical asset pricing research and remains surprisingly lucrative ever since first documented. Although predominantly phenomena identified across equities, momentum premia are now evident across various asset classes. Yet few many attempts are made so far to provide traders a diversified portfolio of strategies across different assets and markets. Moreover, literature focuses on patterns from past returns rather than mechanisms to signal future price directions prior to momentum runs. The aim of this paper is to develop a diversified portfolio approach to price distortion signals using daily position data on stocks, credit derivatives, and bonds. An algorithm allocates assets periodically, and new investment tactics take over upon price momentum signals and across different ranking groups. We focus on momentum life cycles, trend reversals, and price acceleration signals. The main effort here concentrates on the density, time span and maturity of momentum phenomena to identify consistent patterns over time and measure the predictive power of buy-sell signals generated by these anomalies. To tackle this, we propose a two-stage modelling process. First, we generate forecasts on core macroeconomic drivers. Secondly, satellite models generate market risk forecasts using the core driver projections generated at the first stage as input. Moreover, using a combination of the ARFIMA and FIGARCH models, we examine the dependence of consecutive observations across time and portfolio assets since long memory behavior in volatilities of one market appears to trigger persistent volatility patterns across other markets. We believe that this is the first work that employs evidence of volatility transmissions among derivatives, equities, and bonds to identify momentum life cycle patterns.

Keywords: forecasting, long memory, momentum, returns

Procedia PDF Downloads 85

Authors: Christian Neunzig, Simon Fahle, Jürgen Schulz, Matthias Möller, Bernd Kuhlenkötter

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The increasing use of deep learning applications in production is becoming a competitive advantage. Predictive quality enables the assurance of product quality by using data-driven forecasts via machine learning models as a basis for decisions on test results. The use of real Bosch production data along the value chain of hydraulic valves is a promising approach to classifying the leakage of directional valves.

Keywords: artificial neural networks, classification, hydraulics, predictive quality, deep learning

Procedia PDF Downloads 211

Authors: Balazs Kulcsar

Abstract:

Professional energy organizations perform analyses mainly on the global and national levels about the expected development of the share of renewables in electric power generation, heating, and cooling, as well as the transport sectors. There are just a few publications, research institutions, non-profit organizations, and national initiatives with a focus on studies in the individual towns, settlements. Issues concerning the self-supply of energy on the settlement level have not become too wide-spread. The goal of our energy geographic studies is to determine the share of local renewable energy sources in the settlement-based electricity supply across Hungary. The Hungarian energy supply system defines four categories based on the installed capacities of electric power generating units. From these categories, the theoretical annual electricity production of small-sized household power plants (SSHPP) featuring installed capacities under 50 kW and small power plants with under 0.5 MW capacities have been taken into consideration. In the above-mentioned power plant categories, the Hungarian Electricity Act has allowed the establishment of power plants primarily for the utilization of renewable energy sources since 2008. Though with certain restrictions, these small power plants utilizing renewable energies have the closest links to individual settlements and can be regarded as the achievements of the host settlements in the shift of energy use. Based on the 2017 data, we have ranked settlements to reflect the level of self-sufficiency in electricity production from renewable energy sources. The results show that the supply of all the energy demanded by settlements from local renewables is within reach now in small settlements, e.g., in the form of the small power plant categories discussed in the study, and is not at all impossible even in small towns and cities. In Hungary, 30 settlements produce more renewable electricity than their own annual electricity consumption. If these overproductive settlements export their excess electricity towards neighboring settlements, then full electricity supply can be realized on further 29 settlements from renewable sources by local small power plants. These results provide an opportunity for governmental planning of the realization of energy shift (legislative background, support system, environmental education), as well as framing developmental forecasts and scenarios until 2030.

Keywords: energy geography, Hungary, local small power plants, renewable energy sources, self-sufficiency settlements

Procedia PDF Downloads 133