Search results for: economic time series

Authors: Kunya Bowornchockchai

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The objective of this research is to forecast the monthly exchange rate between Thai baht and the US dollar and to compare two forecasting methods. The methods are Box-Jenkins’ method and Holt’s method. Results show that the Box-Jenkins’ method is the most suitable method for the monthly Exchange Rate between Thai Baht and the US Dollar. The suitable forecasting model is ARIMA (1,1,0)  without constant and the forecasting equation is Y_t = Y_t-1 + 0.3691 (Y_t-1 - Y_t-2) When Y_t  is the time series data at time t, respectively.

Keywords: Box–Jenkins method, Holt’s method, mean absolute percentage error (MAPE), exchange rate

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Authors: Hajar Hajmohammadi, Paul Pfeffer, Anna De Simoni, Jim Cole, Chris Griffiths, Sally Hull, Benjamin Heydecker

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Background: There is strong interest in the relationship between short-term air pollution exposure and human health. Most studies in this field focus on serious health effects such as death or hospital admission, but air pollution exposure affects many people with less severe impacts, such as exacerbations of respiratory conditions. A lack of quantitative analysis and inconsistent findings suggest improved methodology is needed to understand these effectsmore fully. Method: We developed a time series regression model to quantify the relationship between daily NOₓ concentration and Asthma exacerbations requiring oral steroids from primary care settings. Explanatory variables include daily NOₓ concentration measurements extracted from 8 available background and roadside monitoring stations in east London and daily ambient temperature extracted for London City Airport, located in east London. Lags of NOx concentrations up to 21 days (3 weeks) were used in the model. The dependent variable was the daily number of oral steroid courses prescribed for GP registered patients with asthma in east London. A mixed distribution model was then fitted to the significant lags of the regression model. Result: Results of the time series modelling showed a significant relationship between NOₓconcentrations on each day and the number of oral steroid courses prescribed in the following three weeks. In addition, the model using only roadside stations performs better than the model with a mixture of roadside and background stations.

Keywords: air pollution, time series modeling, public health, road transport

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Authors: A. Djahbar, E. Bounadja, A. Zegaoui, H. Allouache

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In this paper, vector control of a series-connected two-machine drive system fed by a single inverter (CSI/VSI) is presented. The two stator windings of both machines are connected in series while the rotors may be connected to different loads, are called series-connected two-machine drive. Appropriate phase transposition is introduced while connecting the series stator winding to obtain decoupled control the two-machines. The dynamic decoupling of each machine from the group is obtained using the vector control algorithm. The independent control is demonstrated by analyzing the characteristics of torque and speed of each machine obtained via simulation under vector control scheme. The viability of the control techniques is proved using analytically and simulation approach.

Keywords: drives, inverter, multi-phase induction machine, vector control

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Authors: R. Rajeswari

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An investigation was carried out to know the SOC stock and its change over time in benchmark soils of different agroclimatic zones of Tamil Nadu. Roth.C model was used to assess SOC stock under existing and alternate cropping pattern. Soil map prepared on 1:50,000 scale from Natural Resources Information System (NRIS) employed under satellite data (IRS-1C/1D-PAN sharpened LISS-III image) was used to estimate SOC stock in different agroclimatic zones of Tamil Nadu. Fifteen benchmark soils were selected in different agroclimatic zones of Tamil Nadu based on their land use and the areal extent to assess SOC level and its change overtime. This revealed that, between eleven years of period (1997 - 2007). SOC buildup was higher in soils under horticulture system, followed by soils under rice cultivation. Among different agroclimatic zones of Tamil Nadu hilly zone have the highest SOC stock, followed by north eastern, southern, western, cauvery delta, north western, and high rainfall zone. Although organic carbon content in the soils of North eastern, southern, western, North western, Cauvery delta were less than high rainfall zone, the SOC stock was high. SOC density was higher in high rainfall and hilly zone than other agroclimatic zones of Tamil Nadu. Among low rainfall regions of Tamil Nadu cauvery delta zone recorded higher SOC density. Roth.C model was used to assess SOC stock under existing and alternate cropping pattern in viz., Periyanaickenpalayam series (western zone), Peelamedu series (southern zone), Vallam series (north eastern zone), Vannappatti series (north western zone) and Padugai series (cauvery delta zone). Padugai series recorded higher TOC, BIO, and HUM, followed by Periyanaickenpalayam series, Peelamedu series, Vallam series, and Vannappatti series. Vannappatti and Padugai series develop high TOC, BIO, and HUM under existing cropping pattern. Periyanaickenpalayam, Peelamedu, and Vallam series develop high TOC, BIO, and HUM under alternate cropping pattern. Among five selected soil series, Periyanaickenpalayam, Peelamedu, and Padugai series recorded 0.75 per cent TOC during 2025 and 2018, 2100 and 2035, 2013 and 2014 under existing and alternate cropping pattern, respectively.

Keywords: agro climatic zones, benchmark soil, land use, soil organic carbon

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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: Renato Morbidelli, Carla Saltalippi, Alessia Flammini, Tommaso Picciafuoco, Corrado Corradini

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A considerable part of rainfall data to be used in the hydrological practice is available in aggregated form within constant time intervals. This can produce undesirable effects, like the underestimate of the annual maximum rainfall depth, Hd, associated with a given duration, d, that is the basic quantity in the development of rainfall depth-duration-frequency relationships and in determining if climate change is producing effects on extreme event intensities and frequencies. The errors in the evaluation of Hd from data characterized by a coarse temporal aggregation, ta, and a procedure to reduce the non-homogeneity of the Hd series are here investigated. Our results indicate that: 1) in the worst conditions, for d=ta, the estimation of a single Hd value can be affected by an underestimation error up to 50%, while the average underestimation error for a series with at least 15-20 Hd values, is less than or equal to 16.7%; 2) the underestimation error values follow an exponential probability density function; 3) each very long time series of Hd contains many underestimated values; 4) relationships between the non-dimensional ratio ta/d and the average underestimate of Hd, derived from continuous rainfall data observed in many stations of Central Italy, may overcome this issue; 5) these equations should allow to improve the Hd estimates and the associated depth-duration-frequency curves at least in areas with similar climatic conditions.

Keywords: central Italy, extreme events, rainfall data, underestimation errors

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Authors: Dahiru Muhammad, Muhammad Danladi, Muhammad Yahaya, Adamu Garba

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This paper put forward the potentialities of biomass for energy as divers means of sustainable economic development. The paper explains, in brief, the ways or methods that are used to generate energy from biomass, such as combustion, pyrolysis, anaerobic, and gasification, and also how biomass for energy can enhance the sustainable economic development of a Nation. Currently, the nation depends on fossil fuels as a sources of generating its energy which is finite and deflectable with time, while on the other hand, biomass is an alternative and endless product which consists of forest biomass, agricultural residues, and energy crops. Finally, recommendations and conclusion were made on the role of biomass for energy in improving sustainable economic development.

Keywords: biomass, energy, sustainability, economic

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Authors: N. E Okoligwe, Okezie A. Ihugba

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Few scholars disagrees that electricity consumption is an important supporting factor for economy growth. However, the relationship between electricity consumption and economy growth has different manifestation in different countries according to previous studies. This paper examines the causal relationship between electricity consumption and economic growth for Nigeria. In an attempt to do this, the paper tests the validity of the modernization or depending hypothesis by employing various econometric tools such as Augmented Dickey Fuller (ADF) and Johansen Co-integration test, the Error Correction Mechanism (ECM) and Granger Causality test on time series data from 1971-2012. The Granger causality is found not to run from electricity consumption to real GDP and from GDP to electricity consumption during the year of study. The null hypothesis is accepted at the 5 per cent level of significance where the probability value (0.2251 and 0.8251) is greater than five per cent level of significance because both of them are probably determined by some other factors like; increase in urban population, unemployment rate and the number of Nigerians that benefit from the increase in GDP and increase in electricity demand is not determined by the increase in GDP (income) over the period of study because electricity demand has always been greater than consumption. Consequently; the policy makers in Nigeria should place priority in early stages of reconstruction on building capacity additions and infrastructure development of the electric power sector as this would force the sustainable economic growth in Nigeria.

Keywords: economic growth, electricity consumption, error correction mechanism, granger causality test

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Authors: Dahiru Muhammad, Muhammad Danladi, Adamu Garba, Muhammad Yahaya

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This paper put forward the potentialities of biomass for energy as divers means of sustainable economic development. The paper explains in brief the ways or methods that are used to generate energy from biomass, such as combustion, pyrolysis, anaerobic, and gasification, and also how biomass for energy can enhance the sustainable economic development of a Nation. Currently, the nation depends on fossil fuels as a sources of generating its energy which is finite and deflectable with time, while on the other hand, biomass is an alternative and endless product which consists of a forest biomass, agricultural residues, and energy crops. Finally, recommendations and conclusion were made on the role of biomass for energy in improving sustainable economic development.

Keywords: biomass, energy, sustainable, economic, development

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Authors: El Andari Chifaa, Bouaziz Rached

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The central focus of this paper was to check whether the Okun’s law in Tunisia is valid or not. For this purpose, we have used quarterly time series data during the period 1990Q1-2014Q1. Firstly, we applied the error correction model instead of the difference version of Okun's Law, the Engle-Granger and Johansen test are employed to find out long run association between unemployment, production, and how error correction mechanism (ECM) is used for short run dynamic. Secondly, we used the gap version of Okun’s law where the estimation is done from three band pass filters which are mathematical tools used in macro-economic and especially in business cycles theory. The finding of the study indicates that the inverse relationship between unemployment and output is verified in the short and long term, and the Okun's law holds for the Tunisian economy, but with an Okun’s coefficient lower than required. Therefore, our empirical results have important implications for structural and cyclical policymakers in Tunisia to promote economic growth in a context of lower unemployment growth.

Keywords: Okun’s law, validity, unit root, cointegration, error correction model, bandpass filters

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Authors: N. Sopipan

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In this paper, we study of rainfall time series of weather stations in Nakhon Ratchasima province in Thailand using various statistical methods enabled to analyse the behaviour of rainfall in the study areas. Time-series analysis is an important tool in modelling and forecasting rainfall. ARIMA and Holt-Winter models based on exponential smoothing were built. All the models proved to be adequate. Therefore, could give information that can help decision makers establish strategies for proper planning of agriculture, drainage system and other water resource applications in Nakhon Ratchasima province. We found the best perform for forecasting is ARIMA(1,0,1)(1,0,1)12.

Keywords: ARIMA Models, exponential smoothing, Holt-Winter model

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Authors: Olivier Delage, Thierry Portafaix, Hassan Bencherif, Guillaume Guimbretiere

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Most observation data sequences in geophysics can be interpreted as resulting from the interaction of several physical processes at several time and space scales. As a consequence, measurements time series in geophysics have often characteristics of non-linearity and non-stationarity and thereby exhibit strong fluctuations at all time-scales and require a time-frequency representation to analyze their variability. Empirical Mode Decomposition (EMD) is a relatively new technic as part of a more general signal processing method called the Hilbert-Huang transform. This analysis method turns out to be particularly suitable for non-linear and non-stationary signals and consists in decomposing a signal in an auto adaptive way into a sum of oscillating components named IMFs (Intrinsic Mode Functions), and thereby acts as a bank of bandpass filters. The advantages of the EMD technic are to be entirely data driven and to provide the principal variability modes of the dynamics represented by the original time series. However, the main limiting factor is the frequency resolution that may give rise to the mode mixing phenomenon where the spectral contents of some IMFs overlap each other. To overcome this problem, J. Gilles proposed an alternative entitled “Empirical Wavelet Transform” (EWT) which consists in building from the segmentation of the original signal Fourier spectrum, a bank of filters. The method used is based on the idea utilized in the construction of both Littlewood-Paley and Meyer’s wavelets. The heart of the method lies in the segmentation of the Fourier spectrum based on the local maxima detection in order to obtain a set of non-overlapping segments. Because linked to the Fourier spectrum, the frequency resolution provided by EWT is higher than that provided by EMD and therefore allows to overcome the mode-mixing problem. On the other hand, if the EWT technique is able to detect the frequencies involved in the original time series fluctuations, EWT does not allow to associate the detected frequencies to a specific mode of variability as in the EMD technic. Because EMD is closer to the observation of physical phenomena than EWT, we propose here a new technic called EAWD (Empirical Adaptive Wavelet Decomposition) based on the coupling of the EMD and EWT technics by using the IMFs density spectral content to optimize the segmentation of the Fourier spectrum required by EWT. In this study, EMD and EWT technics are described, then EAWD technic is presented. Comparison of results obtained respectively by EMD, EWT and EAWD technics on time series of ozone total columns recorded at Reunion island over [1978-2019] period is discussed. This study was carried out as part of the SOLSTYCE project dedicated to the characterization and modeling of the underlying dynamics of time series issued from complex systems in atmospheric sciences

Keywords: adaptive filtering, empirical mode decomposition, empirical wavelet transform, filter banks, mode-mixing, non-linear and non-stationary time series, wavelet

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Authors: Panudet Saengseedam, Nanthachai Kantanantha

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This paper proposes a linear mixed model (LMM) with spatial effects to forecast rice and cassava yields in Thailand at the same time. A multivariate conditional autoregressive (MCAR) model is assumed to present the spatial effects. A Bayesian method is used for parameter estimation via Gibbs sampling Markov Chain Monte Carlo (MCMC). The model is applied to the rice and cassava yields monthly data which have been extracted from the Office of Agricultural Economics, Ministry of Agriculture and Cooperatives of Thailand. The results show that the proposed model has better performance in most provinces in both fitting part and validation part compared to the simple exponential smoothing and conditional auto regressive models (CAR) from our previous study.

Keywords: Bayesian method, linear mixed model, multivariate conditional autoregressive model, spatial time series

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Authors: Serkan Aras, Emrah Gulay

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Combining various forecasting models is an important tool for researchers to attain more accurate forecasts. A great number of papers have shown that selecting single models as dissimilar models, or methods based on different information as possible leads to better forecasting performances. However, there is not a certain rule regarding the number of single models to be used in any combining methods. This study focuses on determining the optimal or near optimal number for single models with the help of statistical tests. An extensive experiment is carried out by utilizing some well-known time series data sets from diverse fields. Furthermore, many rival forecasting methods and some of the commonly used combining methods are employed. The obtained results indicate that some statistically significant performance differences can be found regarding the number of the single models in the combining methods under investigation.

Keywords: combined forecast, forecasting, M-competition, time series

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Authors: Seyyd Hossein Jafari-Petroudi, Maryam Pirouz

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This note is devoted to (k; h)-Jacobsthal sequence as a general term of particular series. More formulas for nth term and sum of the first n terms of series that their general terms are (k; h)-Jacobsthal sequence and (k; h)-Jacobsthal-Petroudi sequence are derived. Finally other properties of these sequences are represented.

Keywords: (k, h)-Jacobsthal sequence, (k, h)-Jacobsthal Petroudisequence, recursive relation, sum

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Authors: Ahmed Ghalem

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The research to be explained is a collection of information about several public and private economic institutions. This information is represented in highlighting the large and useful role in adopting the method of electronic marketing. Which is widespread and easy to use among community members at the local and international levels. Which generates large sums of money with little effort and little time, and also satisfies the customers. Do these things, despite what we have said, run the risk of losing large amounts of money in a moment or a short time.

Keywords: economic, finance, bank, development, marketing

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Authors: Saad Alkentar, Abdulkareem Assalem

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Recognizing small targets has always posed a significant challenge in image analysis. Over long distances, the image signal-to-noise ratio tends to be low, limiting the amount of useful information available to detection systems. Consequently, visual target recognition becomes an intricate task to tackle. In this study, we introduce a Track Before Detect (TBD) approach that leverages target trajectory information (coordinates) to effectively distinguish between noise and potential targets. By reframing the problem as a multivariate time series classification, we have achieved remarkable results. Specifically, our TBD method achieves an impressive 97% accuracy in separating target signals from noise within a mere half-second time span (consisting of 10 data points). Furthermore, when classifying the identified targets into our predefined categories—airplane, drone, and bird—we achieve an outstanding classification accuracy of 96% over a more extended period of 1.5 seconds (comprising 30 data points).

Keywords: small targets, drones, trajectory information, TBD, multivariate time series

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Authors: N. Ravikumar, S. Krishnan, B. Yokeshkumar

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In present days, the power quality issues are increases due to non-linear loads like fridge, AC, washing machines, induction motor, etc. This power quality issues will affects the output voltages, output current, and output power of the total performance of the generator. This paper explains how to test the generator using the Fluke 435 II series power quality analyser. This Fluke 435 II series power quality analyser is used to measure the voltage, current, power, energy, total harmonic distortion (THD), current harmonics, voltage harmonics, power factor, and frequency. The Fluke 435 II series power quality analyser have several advantages. They are i) it will records output in analog and digital format. ii) the fluke analyzer will records at every 0.25 sec. iii) it will also measure all the electrical parameter at a time.

Keywords: THD, harmonics, power quality, TNEB, Fluke 435

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Authors: Jazim Sohail, Filipe Teixeira-Dias

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Mild traumatic brain injury (mTBI) within non-helmeted contact sports is a growing concern due to the serious risk of potential injury. Extensive research is being conducted looking into head kinematics in non-helmeted contact sports utilizing instrumented mouthguards that allow researchers to record accelerations and velocities of the head during and after an impact. This does not, however, allow the location of the impact on the head, and its magnitude and orientation, to be determined. This research proposes and validates two methods to quantify impact locations from instrumented mouthguard kinematic data, one using rigid body dynamics, the other utilizing machine learning. The rigid body dynamics technique focuses on establishing and matching moments from Euler’s and torque equations in order to find the impact location on the head. The methodology is validated with impact data collected from a lab test with the dummy head fitted with an instrumented mouthguard. Additionally, a Hybrid III Dummy head finite element model was utilized to create synthetic kinematic data sets for impacts from varying locations to validate the impact location algorithm. The algorithm calculates accurate impact locations; however, it will require preprocessing of live data, which is currently being done by cross-referencing data timestamps to video footage. The machine learning technique focuses on eliminating the preprocessing aspect by establishing trends within time-series signals from instrumented mouthguards to determine the impact location on the head. An unsupervised learning technique is used to cluster together impacts within similar regions from an entire time-series signal. The kinematic signals established from mouthguards are converted to the frequency domain before using a clustering algorithm to cluster together similar signals within a time series that may span the length of a game. Impacts are clustered within predetermined location bins. The same Hybrid III Dummy finite element model is used to create impacts that closely replicate on-field impacts in order to create synthetic time-series datasets consisting of impacts in varying locations. These time-series data sets are used to validate the machine learning technique. The rigid body dynamics technique provides a good method to establish accurate impact location of impact signals that have already been labeled as true impacts and filtered out of the entire time series. However, the machine learning technique provides a method that can be implemented with long time series signal data but will provide impact location within predetermined regions on the head. Additionally, the machine learning technique can be used to eliminate false impacts captured by sensors saving additional time for data scientists using instrumented mouthguard kinematic data as validating true impacts with video footage would not be required.

Keywords: head impacts, impact location, instrumented mouthguard, machine learning, mTBI

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Authors: Satish Y. Deodhar

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Science without history is like a man without memory. The colossal history of India stores many ideas on economic ethics and public policy, which have been forgotten in the course of time. This paper is an attempt to bring to the fore contributions from ancient Indian treatises. In this context, the paper briefly summarizes alternative economic ideas such as communism, capitalism, and the holistic approach of ancient Indian writings. Thereafter, the idea of a welfare brick for an individual consisting of three dimensions -Purusharthas, Ashramas, and Varnas is discussed. Given the contours of the welfare brick, the concept of the state, its economic policies, markets, prices, interest rates, and credit are covered next. This is followed by delving into the treatment of land, property rights, guilds, and labour relations. The penultimate section summarises the economic advice offered to the head of a household in the treatise Shukranitisara. Finally, in concluding comments, the relevance of ancient Indian writings for modern times is discussed -both for pedagogy and economic policies.

Keywords: ancient Indian treatises, history of economic thought, science of political economy, Sanskrit

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Authors: Harold Vásquez, Cesar Hernández, Ingrid Páez

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This paper approach cognitive radio technic and applied pure proactive handoff Model to decrease interference between PU and SU and comparing it with reactive handoff model. Through the study and analysis of multivariate models SAW and TOPSIS join to 3 dynamic prediction techniques AR, MA ,and ARMA. To evaluate the best model is taken four metrics: number failed handoff, number handoff, number predictions, and number interference. The result presented the advantages using this type of pure proactive models to predict changes in the PU according to the selected channel and reduce interference. The model showed better performance was TOPSIS-MA, although TOPSIS-AR had a higher predictive ability this was not reflected in the interference reduction.

Keywords: cognitive radio, spectrum handoff, decision making, time series, wireless networks

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Authors: Ezeoke Callistus Obiora, Ezeoke Nneka Angela

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The study investigated the effect of deficit financing on macroeconomic variables in Nigeria. The specific objectives included to find out the relationship between deficit financing and GDP, interest rate, inflation rate, money supply, exchange rate and private investment respectively on a time series covering a period of 44 years (1970 – 2013). The Ordinary Least Square multiple regression produced statistics for the coefficient of determination (R2), F-test, t-test used for the interpretation of the study. The findings revealed that Deficit financing has significant positive effect on GDP and exchange rate. Again, deficit financing has a positive and insignificant relationship inflation, money supply and investment. Only interest rate recorded negative yet insignificant relationship with deficit financing. The implications of the findings are that deficit financing can be a veritable tool for boosting economic development in Nigeria, but the influential positively rising exchange rate implies that deficit financing devalues the Naira exchange rate to other currencies indicating that deficit financing can affect Nigerians competitive advantage at the world market. Thus, the study concludes that deficit financing has not encouraged economic growth in Nigeria.

Keywords: deficit financing, money supply, exchange rate, inflation, GDP, investment, Nigeria

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Authors: Risanda Alirastra Budiantoro, Riesanda Najmi Sasmita, Sri Herianingrum

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Allah has given the guidance in the form of Islam for Muslim to take and lead all the aspects of life including the economic activity. The Islamic economic system is believed to be the answer to the economic problems that exist at this time. The goal is to achieve falah in kaffah by not doing some economic activities that are in violation as prescribed by Islam. An example for this is riba. Discourse on riba can be said ‘classical’ both in the development of Islamic thought and in Islamic civilization because riba often occurs in all aspects of public life, especially economic transactions (in Islam called muamalah). Riba is an additional retrieval, either in a sale and purchase transaction or lending in a false or contrary to the principle of muamalah in Islam. Prohibition of riba is obtained from various sources by the Qur'an and Hadith Rasulullah SAW, so the scholars firmly and clearly defined the prohibition of riba because there are exploitative elements that can harm the others. So, this study is aimed to identify Islamic economic system and the prohibition of riba in historical perspective. From the results of this study, it is expected to be a good reference for the reader to understand the Islamic economic system and riba in the future.

Keywords: economics system, riba, historical perspective, economy

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Authors: Alma Lucero Ortiz, Mario Gomez

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Technological advances contribute to the well-being of humanity by allowing man to perform in a more efficient way. Technology offers tangible advantages to countries with the adoption of information technologies, communication, and the Internet in all social and productive sectors. The Internet is a networking infrastructure that allows the communication of people throughout the world, exceeding the limits of time and space. Nowadays the internet has changed the way of doing business leading to a digital economy. In this way, e-commerce has emerged as a commercial transaction conducted over the Internet. For this inquiry e-commerce is seen as a source of economic growth for the country. Thereby, these research aims to answer the research question, which are the main variables that have affected the development of e-commerce in Mexico. The research includes a period of study from 1990 to 2017. This inquiry aims to get insight on how the independent variables influence the e-commerce development. The independent variables are information infrastructure construction, urbanization level, economic level, technology level, human capital level, educational level, standards of living, and price index. The results suggest that the independent variables have an impact on development of the e-commerce in Mexico. The present study is carried out in five parts. After the introduction, in the second part, a literature review about the main qualitative and quantitative studies to measure the variables subject to the study is presented. After, an empirical study is applied through time series data, and to process the data an econometric model is performed. In the fourth part, the analysis and discussion of results are presented, and finally, some conclusions are included.

Keywords: digital economy, e-commerce, econometric model, economic growth, internet

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Authors: C. S. Seema, P. R. Prince

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The characterization of spatio-temporal inhomogeneities occurring in the ionospheric F₂ layer is remarkable since these variations are direct consequences of electrodynamical coupling between magnetosphere and solar events. The temporal and spatial variations of the F₂ layer, which occur with a period of several days or even years, mainly owe to geomagnetic and meteorological activities. The hourly F₂ layer critical frequency (foF2) over 23rd solar cycle (1996-2008) of three ionosonde stations (Wakkanai, Kokunbunji, and Okinawa) in northern hemisphere, which falls within same longitudinal span, is analyzed using continuous wavelet techniques. Morlet wavelet is used to transform continuous time series data of foF2 to a two dimensional time-frequency space, quantifying the time evolution of the oscillatory modes. The presence of significant time patterns (periodicities) at a particular time period and the time location of each periodicity are detected from the two-dimensional representation of the wavelet power, in the plane of scale and period of the time series. The mean strength of each periodicity over the entire period of analysis is studied using global wavelet spectrum. The quasi biennial, annual, semiannual, 27 day, diurnal and 12 hour variations of foF2 are clearly evident in the wavelet power spectra in all the three stations. Critical frequency oscillations with multi-day periods (2-3 days and 9 days in the low latitude station, 6-7 days in all stations and 15 days in mid-high latitude station) are also superimposed over large time scaled variations.

Keywords: continuous wavelet analysis, critical frequency, ionosphere, solar cycle

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Authors: Ghaleb Y. Abbasi, Israa Abu Rumman

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This paper modeled sales history archived from 2012 to 2015 bulked in monthly bins for five products for a medical supply company in Jordan. The sales forecasts and extracted consistent patterns in the sales demand history from the Enterprise Resource Planning (ERP) system were used to predict future forecasting and generate sales demand forecasting using time series analysis statistical technique called Auto Regressive Integrated Moving Average (ARIMA). This was used to model and estimate realistic sales demand patterns and predict future forecasting to decide the best models for five products. Analysis revealed that the current replenishment system indicated inventory overstocking.

Keywords: ARIMA models, sales demand forecasting, time series, R code

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Authors: Vikrant Gupta, Amrit Goswami

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The fixed income market forms the basis of the modern financial market. All other assets in financial markets derive their value from the bond market. Owing to its over-the-counter nature, corporate bonds have relatively less data publicly available and thus is researched upon far less compared to Equities. Bond price prediction is a complex financial time series forecasting problem and is considered very crucial in the domain of finance. The bond prices are highly volatile and full of noise which makes it very difficult for traditional statistical time-series models to capture the complexity in series patterns which leads to inefficient forecasts. To overcome the inefficiencies of statistical models, various machine learning techniques were initially used in the literature for more accurate forecasting of time-series. However, simple machine learning methods such as linear regression, support vectors, random forests fail to provide efficient results when tested on highly complex sequences such as stock prices and bond prices. hence to capture these intricate sequence patterns, various deep learning-based methodologies have been discussed in the literature. In this study, a recurrent neural network-based deep learning model using long short term networks for prediction of corporate bond prices has been discussed. Long Short Term networks (LSTM) have been widely used in the literature for various sequence learning tasks in various domains such as machine translation, speech recognition, etc. In recent years, various studies have discussed the effectiveness of LSTMs in forecasting complex time-series sequences and have shown promising results when compared to other methodologies. LSTMs are a special kind of recurrent neural networks which are capable of learning long term dependencies due to its memory function which traditional neural networks fail to capture. In this study, a simple LSTM, Stacked LSTM and a Masked LSTM based model has been discussed with respect to varying input sequences (three days, seven days and 14 days). In order to facilitate faster learning and to gradually decompose the complexity of bond price sequence, an Empirical Mode Decomposition (EMD) has been used, which has resulted in accuracy improvement of the standalone LSTM model. With a variety of Technical Indicators and EMD decomposed time series, Masked LSTM outperformed the other two counterparts in terms of prediction accuracy. To benchmark the proposed model, the results have been compared with traditional time series models (ARIMA), shallow neural networks and above discussed three different LSTM models. In summary, our results show that the use of LSTM models provide more accurate results and should be explored more within the asset management industry.

Keywords: bond prices, long short-term memory, time series forecasting, empirical mode decomposition

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Authors: D. Prangchumpol

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This research presents a forecasting method of requisition document demands for Military units by using Exponential Smoothing methods to analyze data. The data used in the forecast is an actual data requisition document of The Adjutant General Department. The results of the forecasting model to forecast the requisition of the document found that Holt–Winters’ trend and seasonality method of α=0.1, β=0, γ=0 is appropriate and matches for requisition of documents. In addition, the researcher has developed a requisition online system to improve the performance of requisition documents of The Adjutant General Department, and also ensuring that the operation can be checked.

Keywords: requisition, holt–winters, time series, royal thai army

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Authors: Muhammad Imran, Iqra Basit, Mobushir Riaz Khan, Sajid Rasheed Ahmad

Abstract:

The present study investigates the space-time impact of climate change on the rice crop calendar in tropical Gujranwala, Pakistan. The climate change impact was quantified through the climatic variables, whereas the existing calendar of the rice crop was compared with the phonological stages of the crop, depicted through the time series of the Normalized Difference Vegetation Index (NDVI) derived from Landsat data for the decade 2005-2015. Local maxima were applied on the time series of NDVI to compute the rice phonological stages. Panel models with fixed and cross-section fixed effects were used to establish the relation between the climatic parameters and the time-series of NDVI across villages and across rice growing periods. Results show that the climatic parameters have significant impact on the rice crop calendar. Moreover, the fixed effect model is a significant improvement over cross-sectional fixed effect models (R-squared equal to 0.673 vs. 0.0338). We conclude that high inter-annual variability of climatic variables cause high variability of NDVI, and thus, a shift in the rice crop calendar. Moreover, inter-annual (temporal) variability of the rice crop calendar is high compared to the inter-village (spatial) variability. We suggest the local rice farmers to adapt this change in the rice crop calendar.

Keywords: Landsat NDVI, panel models, temperature, rainfall

Procedia PDF Downloads 176

Authors: Somnath Mukhuti, Prem Kumar Ghosh

Abstract:

Background and significance of the study Indian stock market has undergone sudden changes after the current China crisis in terms of turnover, market capitalization, share prices, etc. The average returns on equity investment in both markets have more than three and half times after global financial crisis owing to the development of industrial activity, corporate sectors development, enhancement in global consumption, change of global financial association and fewer imports from developed countries. But the economic policies of both the economies are far different, that is to say, where Indian economy maintaining a conservative policy, Chinese economy maintaining an aggressive policy. Besides this, Chinese economy recently lowering its currency for increasing mysterious growth but Indian does not. But on August 24, 2015 Indian stock market and world stock markets were fall down due to the reason of Chinese stock market. Keeping in view of the above, this study seeks to examine the influence of Chinese stock on Indian stock market. Methodology This research work is based on daily time series data obtained from yahoo finance database between 2009 (April 1) to 2015 (September 28). This study is based on two important stock markets, that is, Indian stock market (Bombay Stock Exchange) and Chinese stock market (Shanghai Stock Exchange). In the course of analysis, the daily raw data were converted into natural logarithm for minimizing the problem of heteroskedasticity. While tackling the issue, correlation statistics, ADF and PP unit root test, bivariate cointegration test and causality test were used. Major findings Correlation statistics show that both stock markets are associated positively. Both ADF and PP unit root test results demonstrate that the time series data were not normal and were not stationary at level however stationary at 1st difference. The bivariate cointegration test results indicate that the Indian stock market was associated with Chinese stock market in the long-run. The Granger causality test illustrates there was a unidirectional causality between Indian stock market and Chinese stock market. Concluding statement The empirical results recommend that India’s stock market was not very much dependent on Chinese stock market because of Indian economic conservative policies. Nevertheless, Indian stock market might be sturdy if Indian economic policies are changed slightly and if increases the portfolio investment with Chinese economy. Indian economy might be a third largest economy in 2030 if India increases its portfolio investment and trade relations with both Chinese economy and US economy.

Keywords: Indian stock market, China stock market, bivariate cointegration, causality test

Procedia PDF Downloads 346