Search results for: naïve portfolio

Authors: Hina Munir Abbasi

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The current paper examines the relationship and diversification ability of Islamic stock indices /conventional stocks indices and Real Estate Investment Trust (REITs).To represent conditional dependency between stocks and REITs in a more realistic way, new modeling technique, time-varying copula with switching dependence is used. It represents reliance structure more accurately and realistically than a single copula regime as dependence may alter between positive and negative correlation regimes with time. The fluctuating behavior of markets has significant impact on economic variables; especially the downward trend during crisis. Overall addition of Real Estate Investment Trust in stocks portfolio reduces risks and provide better diversification benefit. Results varied depending upon the circumstances of the country. REITs provides better diversification benefits for Islamic Stocks, when both markets are bearish and can provide hedging benefit for conventional stocks portfolio.

Keywords: conventional stocks, real estate investment trust, copula, diversification, risk spillover, safe heaven

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Authors: Suraj Mehrotra

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The stock market is a volatile, bustling marketplace that is a cornerstone of economics. It defines whether companies are successful or in spiral. A thorough understanding of it is important - many companies have whole divisions dedicated to analysis of both their stock and of rivaling companies. Linking the world of finance and artificial intelligence (AI), especially the stock market, has been a relatively recent development. Predicting how stocks will do considering all external factors and previous data has always been a human task. With the help of AI, however, machine learning models can help us make more complete predictions in financial trends. Taking a look at the stock market specifically, predicting the open, closing, high, and low prices for the next day is very hard to do. Machine learning makes this task a lot easier. A model that builds upon itself that takes in external factors as weights can predict trends far into the future. When used effectively, new doors can be opened up in the business and finance world, and companies can make better and more complete decisions. This paper explores the various techniques used in the prediction of stock prices, from traditional statistical methods to deep learning and neural networks based approaches, among other methods. It provides a detailed analysis of the techniques and also explores the challenges in predictive analysis. For the accuracy of the testing set, taking a look at four different models - linear regression, neural network, decision tree, and naïve Bayes - on the different stocks, Apple, Google, Tesla, Amazon, United Healthcare, Exxon Mobil, J.P. Morgan & Chase, and Johnson & Johnson, the naïve Bayes model and linear regression models worked best. For the testing set, the naïve Bayes model had the highest accuracy along with the linear regression model, followed by the neural network model and then the decision tree model. The training set had similar results except for the fact that the decision tree model was perfect with complete accuracy in its predictions, which makes sense. This means that the decision tree model likely overfitted the training set when used for the testing set.

Keywords: machine learning, testing set, artificial intelligence, stock analysis

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Authors: Jean Marie Tshimula, Atsushi Togashi

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We develop a data-science approach for providing an interactive visualization and predictive models to find insights into the projects' historical data in order for stakeholders understand some unseen opportunities in the African market that might escape them behind the online project portfolio of the African Development Bank. This machine learning-based web application identifies the market trend of the fastest growing economies across the continent as well skyrocketing sectors which have a significant impact on the future of business in Africa. Owing to this, the approach is tailored to predict where the investment needs are the most required. Moreover, we create a corpus that includes the descriptions of over more than 1,200 projects that approximately cover 14 sectors designed for some of 53 African countries. Then, we sift out this large amount of semi-structured data for extracting tiny details susceptible to contain some directions to follow. In the light of the foregoing, we have applied the combination of Latent Dirichlet Allocation and Random Forests at the level of the analysis module of our methodology to highlight the most relevant topics that investors may focus on for investing in Africa.

Keywords: machine learning, topic modeling, natural language processing, big data

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Authors: Mayank Gupta, Siba Prasad Samal, Vasu Kakkirala

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The internet world and its priorities have changed considerably in the last decade. Browsing on smart phones has increased manifold and is set to explode much more. Users spent considerable time browsing different websites, that gives a great deal of insight into user’s preferences. Instead of plain information classifying different aspects of browsing like Bookmarks, History, and Download Manager into useful categories would improve and enhance the user’s experience. Most of the classification solutions are server side that involves maintaining server and other heavy resources. It has security constraints and maybe misses on contextual data during classification. On device, classification solves many such problems, but the challenge is to achieve accuracy on classification with resource constraints. This on device classification can be much more useful in personalization, reducing dependency on cloud connectivity and better privacy/security. This approach provides more relevant results as compared to current standalone solutions because it uses content rendered by browser which is customized by the content provider based on user’s profile. This paper proposes a Naive Bayes based lightweight classification engine targeted for a resource constraint devices. Our solution integrates with Web Browser that in turn triggers classification algorithm. Whenever a user browses a webpage, this solution extracts DOM Tree data from the browser’s rendering engine. This DOM data is a dynamic, contextual and secure data that can’t be replicated. This proposal extracts different features of the webpage that runs on an algorithm to classify into multiple categories. Naive Bayes based engine is chosen in this solution for its inherent advantages in using limited resources compared to other classification algorithms like Support Vector Machine, Neural Networks, etc. Naive Bayes classification requires small memory footprint and less computation suitable for smartphone environment. This solution has a feature to partition the model into multiple chunks that in turn will facilitate less usage of memory instead of loading a complete model. Classification of the webpages done through integrated engine is faster, more relevant and energy efficient than other standalone on device solution. This classification engine has been tested on Samsung Z3 Tizen hardware. The Engine is integrated into Tizen Browser that uses Chromium Rendering Engine. For this solution, extensive dataset is sourced from dmoztools.net and cleaned. This cleaned dataset has 227.5K webpages which are divided into 8 generic categories ('education', 'games', 'health', 'entertainment', 'news', 'shopping', 'sports', 'travel'). Our browser integrated solution has resulted in 15% less memory usage (due to partition method) and 24% less power consumption in comparison with standalone solution. This solution considered 70% of the dataset for training the data model and the rest 30% dataset for testing. An average accuracy of ~96.3% is achieved across the above mentioned 8 categories. This engine can be further extended for suggesting Dynamic tags and using the classification for differential uses cases to enhance browsing experience.

Keywords: chromium, lightweight engine, mobile computing, Naive Bayes, Tizen, web browser, webpage classification

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Authors: Sukhleen Kaur

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In security groundwork, Intrusion Detection System (IDS) has become an important component. The IDS has received increasing attention in recent years. IDS is one of the effective way to detect different kinds of attacks and malicious codes in a network and help us to secure the network. Data mining techniques can be implemented to IDS, which analyses the large amount of data and gives better results. Data mining can contribute to improving intrusion detection by adding a level of focus to anomaly detection. So far the study has been carried out on finding the attacks but this paper detects the malicious files. Some intruders do not attack directly, but they hide some harmful code inside the files or may corrupt those file and attack the system. These files are detected according to some defined parameters which will form two lists of files as normal files and harmful files. After that data mining will be performed. In this paper a hybrid classifier has been used via Naive Bayes and Ripper classification methods. The results show how the uploaded file in the database will be tested against the parameters and then it is characterised as either normal or harmful file and after that the mining is performed. Moreover, when a user tries to mine on harmful file it will generate an exception that mining cannot be made on corrupted or harmful files.

Keywords: data mining, association, classification, clustering, decision tree, intrusion detection system, misuse detection, anomaly detection, naive Bayes, ripper

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Authors: Yi-Min Lan, Hung-Wen Cheng, Hsuan-Ling Chang, Jou-Ping Yu

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The study applies machine learning models to construct momentum strategies and utilizes the information coefficient as an indicator for selecting stocks with strong and weak momentum characteristics. Through this approach, the study has built investment portfolios capable of generating superior returns and conducted a thorough analysis. Compared to existing research on momentum strategies, machine learning is incorporated to capture non-linear interactions. This approach enhances the conventional stock selection process, which is often impeded by difficulties associated with timeliness, accuracy, and efficiency due to market risk factors. The study finds that implementing bidirectional momentum strategies outperforms unidirectional ones, and momentum factors with longer observation periods exhibit stronger correlations with returns. Optimizing the number of stocks in the portfolio while staying within a certain threshold leads to the highest level of excess returns. The study presents a novel framework for momentum strategies that enhances and improves the operational aspects of asset management. By introducing innovative financial technology applications to traditional investment strategies, this paper can demonstrate significant effectiveness.

Keywords: information coefficient, machine learning, momentum, portfolio, return prediction

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Authors: Naragain Phumchusri, Kittitach Pongpairoj

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Overbooking is a very useful revenue management technique that could help reduce costs caused by either undersales or oversales. In this paper, we propose an overbooking model for two types of cars that can minimize the total cost for car rental service. With two types of cars, there is an upgrade possibility for lower type to upper type. This makes the model more complex than one type of cars scenario. We have found that convexity can be proved in this case. Sensitivity analysis of the parameters is conducted to observe the effects of relevant parameters on the optimal solution. Model simplification is proposed using multiple linear regression analysis, which can help estimate the optimal overbooking level using appropriate independent variables. The results show that the overbooking level from multiple linear regression model is relatively close to the optimal solution (with the adjusted R-squared value of at least 72.8%). To evaluate the performance of the proposed model, the total cost was compared with the case where the decision maker uses a naïve method for the overbooking level. It was found that the total cost from optimal solution is only 0.5 to 1 percent (on average) lower than the cost from regression model, while it is approximately 67% lower than the cost obtained by the naïve method. It indicates that our proposed simplification method using regression analysis can effectively perform in estimating the overbooking level.

Keywords: overbooking, car rental industry, revenue management, stochastic model

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Authors: Seongcheol Kwon, Jeongmin Kim, Kwang Ryel Ryu

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We assume an IoT-based smart-home environment where the on-off status of each of the electrical appliances including the room lights can be recognized in a real time by monitoring and analyzing the smart meter data. At any moment in such an environment, we can recognize what the household or the user is doing by referring to the status data of the appliances. In this paper, we focus on a smart-home service that is to activate a robot vacuum cleaner at right time by recognizing the user situation, which requires a situation-aware model that can distinguish the situations that allow vacuum cleaning (Yes) from those that do not (No). We learn as our candidate models a few classifiers such as naïve Bayes, decision tree, and logistic regression that can map the appliance-status data into Yes and No situations. Our training and test data are obtained from simulations of user behaviors, in which a sequence of user situations such as cooking, eating, dish washing, and so on is generated with the status of the relevant appliances changed in accordance with the situation changes. During the simulation, both the situation transition and the resulting appliance status are determined stochastically. To compare the performances of the aforementioned classifiers we obtain their learning curves for different types of users through simulations. The result of our empirical study reveals that naïve Bayes achieves a slightly better classification accuracy than the other compared classifiers.

Keywords: situation-awareness, smart home, IoT, machine learning, classifier

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Authors: Yuyang Cheng, Marcos Escobar-Anel

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This paper introduces a multivariate 4/2 stochastic covariance process generalizing the one-dimensional counterparts presented in Grasselli (2017). Our construction permits stochastic correlation not only among stocks but also among volatilities, also known as co-volatility movements, both driven by more convenient 4/2 stochastic structures. The parametrization is flexible enough to separate these types of correlation, permitting their individual study. Conditions for proper changes of measure and closed-form characteristic functions under risk-neutral and historical measures are provided, allowing for applications of the model to risk management and derivative pricing. We apply the model to an expected utility theory problem in incomplete markets. Our analysis leads to closed-form solutions for the optimal allocation and value function. Conditions are provided for well-defined solutions together with a verification theorem. Our numerical analysis highlights and separates the impact of key statistics on equity portfolio decisions, in particular, volatility, correlation, and co-volatility movements, with the latter being the least important in an incomplete market.

Keywords: stochastic covariance process, 4/2 stochastic volatility model, stochastic co-volatility movements, characteristic function, expected utility theory, verication theorem

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Authors: Jummalla Aashrith, N. L. Shiva Sai, K. Bhavya Sri

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The swift progress of web technology has not only amassed a vast reservoir of internet data but also triggered a substantial surge in data generation. The internet has metamorphosed into one of the dynamic hubs for online education, idea dissemination, as well as opinion-sharing. Notably, the widely utilized social networking platform Twitter is experiencing considerable expansion, providing users with the ability to share viewpoints, participate in discussions spanning diverse communities, and broadcast messages on a global scale. The upswing in online engagement has sparked a significant curiosity in subjective analysis, particularly when it comes to Twitter data. This research is committed to delving into sentiment analysis, focusing specifically on the realm of Twitter. It aims to offer valuable insights into deciphering information within tweets, where opinions manifest in a highly unstructured and diverse manner, spanning a spectrum from positivity to negativity, occasionally punctuated by neutrality expressions. Within this document, we offer a comprehensive exploration and comparative assessment of modern approaches to opinion mining. Employing a range of machine learning algorithms such as Naive Bayes and Logistic Regression, our investigation plunges into the domain of Twitter data streams. We delve into overarching challenges and applications inherent in the realm of subjectivity analysis over Twitter.

Keywords: machine learning, sentiment analysis, visualisation, python

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Authors: Muhtasim Shafi Kader, Fizar Ahmed, Annesha Acharjee

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Machine learning and data mining are crucial in health care, as well as medical information and detection. Machine learning approaches are now being utilized to improve awareness of a variety of critical health issues, including diabetes detection, neuron cell tumor diagnosis, COVID 19 identification, and so on. Parkinson’s disease is basically a disease for our senior citizens in Bangladesh. Parkinson's Disease indications often seem progressive and get worst with time. People got affected trouble walking and communicating with the condition advances. Patients can also have psychological and social vagaries, nap problems, hopelessness, reminiscence loss, and weariness. Parkinson's disease can happen in both men and women. Though men are affected by the illness at a proportion that is around partial of them are women. In this research, we have to get out the accurate ML algorithm to find out the disease with a predictable dataset and the model of the following machine learning classifiers. Therefore, nine ML classifiers are secondhand to portion study to use machine learning approaches like as follows, Naive Bayes, Adaptive Boosting, Bagging Classifier, Decision Tree Classifier, Random Forest classifier, XBG Classifier, K Nearest Neighbor Classifier, Support Vector Machine Classifier, and Gradient Boosting Classifier are used.

Keywords: naive bayes, adaptive boosting, bagging classifier, decision tree classifier, random forest classifier, XBG classifier, k nearest neighbor classifier, support vector classifier, gradient boosting classifier

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Authors: Periklis Brakatsoulas

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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

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Authors: Edson Vengesai

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Derivative products have become essential instruments in portfolio diversification, price discovery, and, most importantly, risk hedging. Derivatives are complex instruments; their valuation, volatility implications, and real impact on the underlying assets' behaviour are not well understood. Little is documented empirically, with conflicting conclusions on how these instruments affect firm risk exposures. Given the growing interest in using derivatives in risk management and portfolio engineering, this study examines the practical impact of derivative usage on the underlying stock price exposure and systematic risk. The paper uses data from South African listed firms. The study employs GARCH models to understand the effect of derivative uses on conditional stock volatility. The GMM models are used to estimate the effect of derivatives use on stocks' systematic risk as measured by Beta and on the total risk of stocks as measured by the standard deviation of returns. The results provide evidence on whether derivatives use is instrumental in reducing stock returns' systematic and total risk. The results are subjected to numerous controls for robustness, including financial leverage, firm size, growth opportunities, and macroeconomic effects.

Keywords: derivatives use, hedging, volatility, stock price exposure

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Authors: Petar Dobrev

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There is no agreed-upon definition of firm quality. While profitability and stock performance often qualify as popular proxies of quality, in this project, we aim to identify quality without relying on a firm’s financial statements or stock returns as selection criteria. Instead, we use firm-level data on management practices across small to medium-sized U.S. manufacturing firms from the World Management Survey (WMS) to measure firm quality. Each firm in the WMS dataset is assigned a mean management score from 0 to 5, with higher scores identifying better-managed firms. This management score serves as our proxy for firm quality and is the sole criteria we use to separate firms into portfolios comprised of high-quality and low-quality firms. We define high-quality (low-quality) firms as those firms with a management score of one standard deviation above (below) the mean. To study whether this proxy for firm quality can identify better-performing firms, we link this data to Compustat and The Center for Research in Security Prices (CRSP) to obtain firm-level data on financial performance and monthly stock returns, respectively. We find that from 1999 to 2019 (our sample data period), firms in the high-quality portfolio are consistently more profitable — higher operating profitability and return on equity compared to low-quality firms. In addition, high-quality firms also exhibit a lower risk of bankruptcy — a higher Altman Z-score. Next, we test whether the stocks of the firms in the high-quality portfolio earn superior risk-adjusted excess returns. We regress the monthly excess returns on each portfolio on the Fama-French 3-factor, 4-factor, and 5-factor models, the betting-against-beta factor, and the quality-minus-junk factor. We find no statistically significant differences in excess returns between both portfolios, suggesting that stocks of high-quality (well managed) firms do not earn superior risk-adjusted returns compared to low-quality (poorly managed) firms. In short, our proxy for firm quality, the WMS management score, can identify firms with superior financial performance (higher profitability and reduced risk of bankruptcy). However, our management proxy cannot identify stocks that earn superior risk-adjusted returns, suggesting no statistically significant relationship between managerial quality and stock performance.

Keywords: excess stock returns, management, profitability, quality

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Authors: Hend K. Moosa, Eman A. Rashwan, Ezzat M. Hassan, Amany A. Ghazy, Amel G. Sheredy

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The stability of microRNA (miR) in the circulation can show a great progress toward the discovery of non-invasive diagnostic and prognostic biomarkers in many diseases. In the present study, circulatory miR-122 and miR-130a were analysed in chronic hepatitis C Egyptian patients in predicting the clinical outcome of interferon treatment. In addition, their expression levels were correlated to viral RNA levels, necro-inflammatory markers (AST, ALT) and to each other. This study was conducted on 51 subjects where 36 were chronic HCV patients in which they were divided into naive and interferon treated HCV patients (responders and non-responders) and 15 matched healthy controls. Serum quantification of miR-122 and miR-130a were performed by quantitative Real-time Polymerase Chain Reaction (qRT-PCR). The results showed a significant upregulation of miR-122 in non-responder patients (P=0.049). By receiver operating characteristic analysis curve, miR-122 revealed 65% sensitivity and 92.3% specificity in predicting non-responsiveness of patients to IFN treatment, while miR-130a showed a sensitivity of 100% and specificity of 53.85%. Remarkably, there was a significant positive correlation between miR-122 and miR-130a in naive HCV patients (r=0.714, p=0.003). However, there was no significant correlation between serum miR-122, miR-130a expression levels and necro-inflammatory markers (AST, ALT). To conclude, miR-122 and miR-130a have a significant association with viral RNA levels and accordingly, they may have a synergistic power in promoting viral replication. Interestingly, miR-122 and miR-130a have a predictive power in predicting clinical outcome of IFN treatment which can be further studied in currently used drugs in order to reduce the socio-economic burden of potentially non-responders.

Keywords: hepatitis C, microRNA, miR-122, miR-130a

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Authors: Nour Wehbe

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The Lebanese electricity sector is at the heart of a deep crisis. Electricity in Lebanon is supplied by Électricité du Liban (EdL) which has to suffer from technical and financial deficiencies for decades and proved to be insufficient and deficient as the demand still exceeds the supply. As a result, backup generation is widespread throughout Lebanon. The sector costs massive government resources and, on top of it, consumers pay massive additional amounts for satisfying their electrical needs. While the developed countries have been investing in renewable energy for the past two decades, the Lebanese government realizes the importance of adopting such energy sourcing strategies for the upgrade of the electricity sector in the country. The diversification of the national electricity generation mix has increased considerably in Lebanon's energy planning agenda, especially that a detailed review of the energy potential in Lebanon has revealed a great potential of solar and wind energy resources, a considerable potential of biomass resource, and an important hydraulic potential in Lebanon. This paper presents a review of the energy status of Lebanon, and illustrates a detailed review of the EDL structure with the existing problems and recommended solutions. In addition, scenarios reflecting implementation of policy projects are presented, and conclusions are drawn on the usefulness of a proposed evaluation methodology and the effectiveness of the adopted new energy policy for the electrical sector in Lebanon.

Keywords: EdL Electricite du Liban, portfolio optimization, electricity generation mix, mean-variance approach

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Authors: Olivier Mesly

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This research presents a conceptual framework termed “Consumer Financial Spinning” (CFS) to analyze consumer behavior in the financial/economic markets. This phenomenon occurs when consumers of high-stakes financial products accumulate unsustainable debt, leading them to detach from their initial financial hierarchy of needs, wealth-related goals, and preferences regarding their household portfolio of assets. The daring actions of these consumers, forming a dark financial triangle, are characterized by three behaviors: overconfidence, the use of rationed rationality, and deceitfulness. We show that we can incorporate CFS into the traditional CAPM and Markovitz’ portfolio optimization models to create a framework that explains such market phenomena as the global financial crisis, highlighting the antecedents and consequences of ill-conceived speculation. Because this is a conceptual paper, there is no methodology with respect to ground studies. However, we apply modeling principles derived from the data percolation methodology, which contains tenets explicating how to structure concepts. A simulation test of the proposed framework is conducted; it demonstrates the conditions under which the relationship between expected returns and risk may deviate from linearity. The analysis and conceptual findings are particularly relevant both theoretically and pragmatically as they shed light on the psychological conditions that drive intense speculation, which can lead to market turmoil. Armed with such understanding, regulators are better equipped to propose solutions before the economic problems become out of control.

Keywords: consumer financial spinning, rationality, deceitfulness, overconfidence, CAPM

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Authors: Jun Won Kim

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Objective: Theta-phase gamma-amplitude coupling (TGC) was used as a novel evidence-based tool to reflect the dysfunctional cortico-thalamic interaction in patients with schizophrenia. However, to our best knowledge, no studies have reported the diagnostic utility of the TGC in the resting-state electroencephalographic (EEG) of neuroleptic-naive patients with schizophrenia compared to healthy controls. Thus, the purpose of this EEG study was to understand the underlying mechanisms in patients with schizophrenia by comparing the TGC at rest between two groups and to evaluate the diagnostic utility of TGC. Method: The subjects included 90 patients with schizophrenia and 90 healthy controls. All patients were diagnosed with schizophrenia according to the criteria of Diagnostic and Statistical Manual of Mental Disorders, 4th edition (DSM-IV) by two independent psychiatrists using semi-structured clinical interviews. Because patients were either drug-naïve (first episode) or had not been taking psychoactive drugs for one month before the study, we could exclude the influence of medications. Five frequency bands were defined for spectral analyses: delta (1–4 Hz), theta (4–8 Hz), slow alpha (8–10 Hz), fast alpha (10–13.5 Hz), beta (13.5–30 Hz), and gamma (30-80 Hz). The spectral power of the EEG data was calculated with fast Fourier Transformation using the 'spectrogram.m' function of the signal processing toolbox in Matlab. An analysis of covariance (ANCOVA) was performed to compare the TGC results between the groups, which were adjusted using a Bonferroni correction (P < 0.05/19 = 0.0026). Receiver operator characteristic (ROC) analysis was conducted to examine the discriminating ability of the TGC data for schizophrenia diagnosis. Results: The patients with schizophrenia showed a significant increase in the resting-state TGC at all electrodes. The delta, theta, slow alpha, fast alpha, and beta powers showed low accuracies of 62.2%, 58.4%, 56.9%, 60.9%, and 59.0%, respectively, in discriminating the patients with schizophrenia from the healthy controls. The ROC analysis performed on the TGC data generated the most accurate result among the EEG measures, displaying an overall classification accuracy of 92.5%. Conclusion: As TGC includes phase, which contains information about neuronal interactions from the EEG recording, TGC is expected to be useful for understanding the mechanisms the dysfunctional cortico-thalamic interaction in patients with schizophrenia. The resting-state TGC value was increased in the patients with schizophrenia compared to that in the healthy controls and had a higher discriminating ability than the other parameters. These findings may be related to the compensatory hyper-arousal patterns of the dysfunctional default-mode network (DMN) in schizophrenia. Further research exploring the association between TGC and medical or psychiatric conditions that may confound EEG signals will help clarify the potential utility of TGC.

Keywords: quantitative electroencephalography (QEEG), theta-phase gamma-amplitude coupling (TGC), schizophrenia, diagnostic utility

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Authors: Diamantino Ribeiro, António Pedro Costa, Jorge Remondes

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Dubai and the UAE governments have been investing in technology and digital communication for a long time. These governments are pioneers in introducing innovative strategies, policies and projects. They are also recognized worldwide for defining and implementing long term public programs. In terms of eGovernment Dubai and the UAE rank among the world’s most advanced. Both governments have surprised the world a few years ago by creating a Happiness Ministry. This paper focuses on UAE’s government digital strategies and its approach to the next era. The main goal of this exploratory study is to understand the new era of eGovernment and transfer of the happiness and wellness programs. Data were collected from the corpus latente and analysis was anchored in qualitative methodology using content analysis and observation as analysis techniques. The study allowed to highlight that the 2020 government reshuffle has a strong focus on digital reorganisation and digital sustainability, one of the newest trends in sustainability. Regarding happiness and wellbeing portfolio, we were able to observe that there has been a major change within the government organisation: The Ministry of Happiness was extinct and the Ministry of Community Development will manage the so-called ‘Happiness Portfolio’. Additionally, our observation allowed to note the government dual approach to governance: one through digital transformation, thus enhancing the digital sustainability process and, the second one trough government development.

Keywords: ministry of happiness, eGovernment, communication, digital sustainability

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Authors: Faisal Muhibuddin, Ani Dijah Rahajoe

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This in-depth exploration, through a systematic literature review, scrutinizes the nuanced role of data mining in the classification of criminal activities. The research focuses on investigating various methodological aspects and recent developments in leveraging data mining techniques to enhance the effectiveness and precision of crime categorization. Commencing with an exposition of the foundational concepts of crime classification and its evolutionary dynamics, this study details the paradigm shift from conventional methods towards approaches supported by data mining, addressing the challenges and complexities inherent in the modern crime landscape. Specifically, the research delves into various data mining techniques, including K-means clustering, Naïve Bayes, K-nearest neighbour, and clustering methods. A comprehensive review of the strengths and limitations of each technique provides insights into their respective contributions to improving crime classification models. The integration of diverse data sources takes centre stage in this research. A detailed analysis explores how the amalgamation of structured data (such as criminal records) and unstructured data (such as social media) can offer a holistic understanding of crime, enriching classification models with more profound insights. Furthermore, the study explores the temporal implications in crime classification, emphasizing the significance of considering temporal factors to comprehend long-term trends and seasonality. The availability of real-time data is also elucidated as a crucial element in enhancing responsiveness and accuracy in crime classification.

Keywords: data mining, classification algorithm, naïve bayes, k-means clustering, k-nearest neigbhor, crime, data analysis, sistematic literature review

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Authors: Aleksandra Bylinska, Samantha Slight-Webb, Kevin Thomas, Miles Smith, Susan Macwana, Nicolas Dominguez, Eliza Chakravarty, Joan T. Merrill, Judith A. James, Joel M. Guthridge

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Background: Systemic Lupus Erythematosus (SLE) is an interferon-related autoimmune disease characterized by B cell dysfunction. One of the main hallmarks is a loss of tolerance to self-antigens leading to increased levels of autoantibodies against nuclear components (ANAs). However, up to 20% of healthy ANA+ individuals will not develop clinical illness. SLE is more prevalent among women and minority populations (African, Asian American and Hispanics). Moreover, African Americans have a stronger interferon (IFN) signature and develop more severe symptoms. The exact mechanisms involved in ethnicity-dependent B cell dysregulation and the progression of autoimmune disease from ANA+ healthy individuals to clinical disease remains unclear. Methods: Peripheral blood mononuclear cells (PBMCs) from African (AA) and European American (EA) ANA- (n=12), ANA+ (n=12) and SLE (n=12) individuals were assessed by multimodal scRNA-Seq/CITE-Seq methods to examine differential gene signatures in specific B cell subsets. Library preparation was done with a 10X Genomics Chromium according to established protocols and sequenced on Illumina NextSeq. The data were further analyzed for distinct cluster identification and differential gene signatures in the Seurat package in R and pathways analysis was performed using Ingenuity Pathways Analysis (IPA). Results: Comparing all subjects, 14 distinct B cell clusters were identified using a community detection algorithm and visualized with Uniform Manifold Approximation Projection (UMAP). The proportion of each of those clusters varied by disease status and ethnicity. Transitional B cells trended higher in ANA+ healthy individuals, especially in AA. Ribonucleoprotein high population (HNRNPH1 elevated, heterogeneous nuclear ribonucleoprotein, RNP-Hi) of proliferating Naïve B cells were more prevalent in SLE patients, specifically in EA. Interferon-induced protein high population (IFIT-Hi) of Naive B cells are increased in EA ANA- individuals. The proportion of memory B cells and plasma cells clusters tend to be expanded in SLE patients. As anticipated, we observed a higher signature of cytokine-related pathways, especially interferon, in SLE individuals. Pathway analysis among AA individuals revealed an NRF2-mediated Oxidative Stress response signature in the transitional B cell cluster, not seen in EA individuals. TNFR1/2 and Sirtuin Signaling pathway genes were higher in AA IFIT-Hi Naive B cells, whereas they were not detected in EA individuals. Interferon signaling was observed in B cells in both ethnicities. Oxidative phosphorylation was found in age-related B cells (ABCs) for both ethnicities, whereas Death Receptor Signaling was found only in EA patients in these cells. Interferon-related transcription factors were elevated in ABCs and IFIT-Hi Naive B cells in SLE subjects of both ethnicities. Conclusions: ANA+ healthy individuals have altered gene expression pathways in B cells that might drive apoptosis and subsequent clinical autoimmune pathogenesis. Increases in certain regulatory pathways may delay progression to SLE. Further, AA individuals have more elevated activation pathways that may make them more susceptible to SLE.

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Authors: F. Ghazalnaz Sharifonnasabi, Iman Makhdoom

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Breast cancer is a serious health concern that affects many people around the world. According to a study published in the Breast journal, the global burden of breast cancer is expected to increase significantly over the next few decades. The number of deaths from breast cancer has been increasing over the years, but the age-standardized mortality rate has decreased in some countries. It’s important to be aware of the risk factors for breast cancer and to get regular check- ups to catch it early if it does occur. Machin learning techniques have been used to aid in the early detection and diagnosis of breast cancer. These techniques, that have been shown to be effective in predicting and diagnosing the disease, have become a research hotspot. In this study, we consider two deep learning approaches including: Multi-Layer Perceptron (MLP), and Convolutional Neural Network (CNN). We also considered the five-machine learning algorithm titled: Decision Tree (C4.5), Naïve Bayesian (NB), Support Vector Machine (SVM), K-Nearest Neighbors (KNN) Algorithm and XGBoost (eXtreme Gradient Boosting) on the Breast Cancer Wisconsin Diagnostic dataset. We have carried out the process of evaluating and comparing classifiers involving selecting appropriate metrics to evaluate classifier performance and selecting an appropriate tool to quantify this performance. The main purpose of the study is predicting and diagnosis breast cancer, applying the mentioned algorithms and also discovering of the most effective with respect to confusion matrix, accuracy and precision. It is realized that CNN outperformed all other classifiers and achieved the highest accuracy (0.982456). The work is implemented in the Anaconda environment based on Python programing language.

Keywords: breast cancer, multi-layer perceptron, Naïve Bayesian, SVM, decision tree, convolutional neural network, XGBoost, KNN

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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: Taylan Kabbani, Ekrem Duman

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The design of adaptive systems that take advantage of financial markets while reducing the risk can bring more stagnant wealth into the global market. However, most efforts made to generate successful deals in trading financial assets rely on Supervised Learning (SL), which suffered from various limitations. Deep Reinforcement Learning (DRL) offers to solve these drawbacks of SL approaches by combining the financial assets price "prediction" step and the "allocation" step of the portfolio in one unified process to produce fully autonomous systems capable of interacting with its environment to make optimal decisions through trial and error. In this paper, a continuous action space approach is adopted to give the trading agent the ability to gradually adjust the portfolio's positions with each time step (dynamically re-allocate investments), resulting in better agent-environment interaction and faster convergence of the learning process. In addition, the approach supports the managing of a portfolio with several assets instead of a single one. This work represents a novel DRL model to generate profitable trades in the stock market, effectively overcoming the limitations of supervised learning approaches. We formulate the trading problem, or what is referred to as The Agent Environment as Partially observed Markov Decision Process (POMDP) model, considering the constraints imposed by the stock market, such as liquidity and transaction costs. More specifically, we design an environment that simulates the real-world trading process by augmenting the state representation with ten different technical indicators and sentiment analysis of news articles for each stock. We then solve the formulated POMDP problem using the Twin Delayed Deep Deterministic Policy Gradient (TD3) algorithm, which can learn policies in high-dimensional and continuous action spaces like those typically found in the stock market environment. From the point of view of stock market forecasting and the intelligent decision-making mechanism, this paper demonstrates the superiority of deep reinforcement learning in financial markets over other types of machine learning such as supervised learning and proves its credibility and advantages of strategic decision-making.

Keywords: the stock market, deep reinforcement learning, MDP, twin delayed deep deterministic policy gradient, sentiment analysis, technical indicators, autonomous agent

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Authors: Syed Jawad Hussain Shahzad, Muhammad Zakaria, Mobeen Ur Rehman, Saniya Khaild

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This study examines the co-movement between the Pakistan, Indian, S&P 500 and Nikkei 225 stock markets using weekly data from 1998 to 2013. The time-frequency relationship between the selected stock markets is conducted by using measures of continuous wavelet power spectrum, cross-wavelet transform and cross (squared) wavelet coherency. The empirical evidence suggests strong dependence between Pakistan and Indian stock markets. The co-movement of Pakistani index with U.S and Japanese, the developed markets, varies over time and frequency where the long-run relationship is dominant. The results of cross wavelet and wavelet coherence analysis indicate moderate covariance and correlation between stock indexes and the markets are in phase (i.e. cyclical in nature) over varying durations. Pakistan stock market was lagging during the entire period in relation to Indian stock market, corresponding to the 8~32 and then 64~256 weeks scale. Similar findings are evident for S&P 500 and Nikkei 225 indexes, however, the relationship occurs during the later period of study. All three wavelet indicators suggest strong evidence of higher co-movement during 2008-09 global financial crises. The empirical analysis reveals a strong evidence that the portfolio diversification benefits vary across frequencies and time. This analysis is unique and have several practical implications for regional and international investors while assigning the optimal weightage of different assets in portfolio formulation.

Keywords: co-movement, Pakistan stock exchange, S&P 500, Nikkei 225, wavelet analysis

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Authors: Shu-Han Hsu, Jiho Yoon, Chwen Sheu

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With the rapidly growing of blockchain technology and cryptocurrency, various industries which include tourism has added in cryptocurrency as the payment method of their transaction. More and more tourism companies accept payments in digital currency for flights, hotel reservations, transportation, and more. For travellers and tourists, using cryptocurrency as a payment method has become a way to circumvent costs and prevent risks. Understanding volatility dynamics and interdependencies between standard currency and cryptocurrency is important for appropriate financial risk management to assist policy-makers and investors in marking more informed decisions. The purpose of this paper has been to understand and explain the risk spillover effects between six major cryptocurrencies and the top ten most traded standard currencies. Using data for the daily closing price of cryptocurrencies and currency exchange rates from 7 August 2015 to 10 December 2019, with 1,133 observations. The diagonal BEKK model was used to analyze the co-volatility spillover effects between cryptocurrency returns and exchange rate returns, which are measures of how the shocks to returns in different assets affect each other’s subsequent volatility. The empirical results show there are co-volatility spillover effects between the cryptocurrency returns and GBP/USD, CNY/USD and MXN/USD exchange rate returns. Therefore, currencies (British Pound, Chinese Yuan and Mexican Peso) and cryptocurrencies (Bitcoin, Ethereum, Ripple, Tether, Litecoin and Stellar) are suitable for constructing a financial portfolio from an optimal risk management perspective and also for dynamic hedging purposes.

Keywords: blockchain, co-volatility effects, cryptocurrencies, diagonal BEKK model, exchange rates, risk spillovers

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Authors: Abdullah Al Farwan, Ya Zhang

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In today’s educational arena, it is critical to understand educational data and be able to evaluate important aspects, particularly data on student achievement. Educational Data Mining (EDM) is a research area that focusing on uncovering patterns and information in data from educational institutions. Teachers, if they are able to predict their students' class performance, can use this information to improve their teaching abilities. It has evolved into valuable knowledge that can be used for a wide range of objectives; for example, a strategic plan can be used to generate high-quality education. Based on previous data, this paper recommends employing data mining techniques to forecast students' final grades. In this study, five data mining methods, Decision Tree, JRip, Naive Bayes, Multi-layer Perceptron, and Random Forest with wrapper feature selection, were used on two datasets relating to Portuguese language and mathematics classes lessons. The results showed the effectiveness of using data mining learning methodologies in predicting student academic success. The classification accuracy achieved with selected algorithms lies in the range of 80-94%. Among all the selected classification algorithms, the lowest accuracy is achieved by the Multi-layer Perceptron algorithm, which is close to 70.45%, and the highest accuracy is achieved by the Random Forest algorithm, which is close to 94.10%. This proposed work can assist educational administrators to identify poor performing students at an early stage and perhaps implement motivational interventions to improve their academic success and prevent educational dropout.

Keywords: classification algorithms, decision tree, feature selection, multi-layer perceptron, Naïve Bayes, random forest, students’ academic performance

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Authors: Federico Herrera, Valle Gomez García de Soria, Itxaso Portero Sainz, Carlos Fernández Arandojo, Mercedes Royg, Ana Marcos Jimenez, Anna Kreutzman, Cecilia MuñozCalleja

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Introduction: Graft-versus-host disease (GVHD) still remains the major complication associated with allogeneic stem cell transplantation (SCT). The pathogenesis involves migration of donor naïve T-cells into recipient secondary lymphoid organs. Two molecules are important in this process: CD62L and CCR7, which are characteristically expressed in naïve/central memory T-cells. With this background, we aimed to study the influence of CCR7 and CD62L on donor lymphocytes in the development and severity of GVHD. Material and methods: This single center study included 98 donor-recipient pairs. Samples were collected prospectively from the apheresis product and phenotyped by flow cytometry. CCR7 and CD62L expression in CD4+ and CD8+ T-cells were compared between patients who developed acute (n=40) or chronic GVHD (n=33) and those who did not (n=38). Results: The patients who developed acute GVHD were transplanted with a higher percentage of CCR7+CD4+ T-cells (p = 0.05) compared to the no GVHD group. These results were confirmed when these patients were divided in degrees according to the severity of the disease; the more severe disease, the higher percentage of CCR7+CD4+ T-cells. Conversely, chronic GVHD patients received a higher percentage of CCR7+CD8+ T-cells (p=0.02) in comparison to those who did not develop the complication. These data were also confirmed when patients were subdivided in degrees of the disease severity. A multivariable analysis confirmed that percentage of CCR7+CD4+ T-cells is a predictive factor of acute GVHD whereas the percentage of CCR7+CD8+ T-cells is a predictive factor of chronic GVHD. In vitro functional assays (migration and activation assays) supported the idea of CCR7+ T-cells were involved in the development of GVHD. As low levels of CD62L expression were detected in all apheresis products, we tested the hypothesis that CD62L was shed during apheresis procedure. Comparing CD62L surface levels in T-cells from the same donor immediately before collecting the apheresis product, and the final apheresis product we found that this process down-regulated CD62L in both CD4+ and CD8+ T cells (p=0.008). Interestingly, when CD62L levels were analysed in days 30 or 60 after engraftment, they recovered to baseline (p=0.008). However, to investigate the relation between CD62L expression and the development of GVHD in the recipient samples after the engraftment, no differences were observed comparing patients with GVHD to those who did not develop the disease. Discussion: Our prospective study indicates that the CCR7+ T-cells from the donor, which include naïve and central memory T-cells, contain the alloreactive cells with a high ability to mediate GVHD (in the case of both migration and activation). Therefore we suggest that the proportion and functional properties of CCR7+CD4+ and CCR7+CD8+ T-cells in the apheresis could act as a predictive biomarker to both acute and chronic GVHD respectively. Importantly, our study precludes that CD62L is lost in the apheresis and therefore it is not a reliable biomarker for the development of GVHD.

Keywords: CCR7, CD62L, GVHD, SCT

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Authors: Claire Harrison, Raajit K. Rampal, Vikas Gupta, Srdan Verstovsek, Moshe Talpaz, Jean-Jacques Kiladjian, Ruben Mesa, Andrew Kuykendall, Alessandro Vannucchi, Francesca Palandri, Sebastian Grosicki, Timothy Devos, Eric Jourdan, Marielle J. Wondergem, Haifa Kathrin Al-Ali, Veronika Buxhofer-Ausch, Alberto Alvarez-Larrán, Sanjay Akhani, Rafael Muñoz-Carerras, Yury Sheykin, Gozde Colak, Morgan Harris, John Mascarenhas

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Myelofibrosis (MF) is characterized by bone marrow fibrosis, anemia, splenomegaly and constitutional symptoms. Progressive bone marrow fibrosis results from aberrant megakaryopoeisis and expression of proinflammatory cytokines, both of which are heavily influenced by bromodomain and extraterminal domain (BET)-mediated gene regulation and lead to myeloproliferation and cytopenias. Pelabresib (CPI-0610) is an oral small-molecule investigational inhibitor of BET protein bromodomains currently being developed for the treatment of patients with MF. It is designed to downregulate BET target genes and modify nuclear factor kappa B (NF-κB) signaling. MANIFEST-2 was initiated based on data from Arm 3 of the ongoing Phase 2 MANIFEST study (NCT02158858), which is evaluating the combination of pelabresib and ruxolitinib in Janus kinase inhibitor (JAKi) treatment-naïve patients with MF. Primary endpoint analyses showed splenic and symptom responses in 68% and 56% of 84 enrolled patients, respectively. MANIFEST-2 (NCT04603495) is a global, Phase 3, randomized, double-blind, active-control study of pelabresib and ruxolitinib versus placebo and ruxolitinib in JAKi treatment-naïve patients with primary MF, post-polycythemia vera MF or post-essential thrombocythemia MF. The aim of this study is to evaluate the efficacy and safety of pelabresib in combination with ruxolitinib. Here we report updates from a recent protocol amendment. The MANIFEST-2 study schema is shown in Figure 1. Key eligibility criteria include a Dynamic International Prognostic Scoring System (DIPSS) score of Intermediate-1 or higher, platelet count ≥100 × 10^9/L, spleen volume ≥450 cc by computerized tomography or magnetic resonance imaging, ≥2 symptoms with an average score ≥3 or a Total Symptom Score (TSS) of ≥10 using the Myelofibrosis Symptom Assessment Form v4.0, peripheral blast count <5% and Eastern Cooperative Oncology Group performance status ≤2. Patient randomization will be stratified by DIPSS risk category (Intermediate-1 vs Intermediate-2 vs High), platelet count (>200 × 10^9/L vs 100–200 × 10^9/L) and spleen volume (≥1800 cm^3 vs <1800 cm^3). Double-blind treatment (pelabresib or matching placebo) will be administered once daily for 14 consecutive days, followed by a 7 day break, which is considered one cycle of treatment. Ruxolitinib will be administered twice daily for all 21 days of the cycle. The primary endpoint is SVR35 response (≥35% reduction in spleen volume from baseline) at Week 24, and the key secondary endpoint is TSS50 response (≥50% reduction in TSS from baseline) at Week 24. Other secondary endpoints include safety, pharmacokinetics, changes in bone marrow fibrosis, duration of SVR35 response, duration of TSS50 response, progression-free survival, overall survival, conversion from transfusion dependence to independence and rate of red blood cell transfusion for the first 24 weeks. Study recruitment is ongoing; 400 patients (200 per arm) from North America, Europe, Asia and Australia will be enrolled. The study opened for enrollment in November 2020. MANIFEST-2 was initiated based on data from the ongoing Phase 2 MANIFEST study with the aim of assessing the efficacy and safety of pelabresib and ruxolitinib in JAKi treatment-naïve patients with MF. MANIFEST-2 is currently open for enrollment.

Keywords: CPI-0610, JAKi treatment-naïve, MANIFEST-2, myelofibrosis, pelabresib

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Authors: Ameen Alshugaa, Abul Mansur Masih

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This paper sheds light on the economic impacts of political uncertainty caused by the civil uprisings that swept the Arab World and have been collectively known as the Arab Spring. Measuring documented effects of political uncertainty on regional stock market indices, we examine the impact of the Arab Spring on the volatility of stock markets in eight countries in the Middle East and North Africa (MENA) region: Egypt, Lebanon, Jordon, United Arab Emirate, Qatar, Bahrain, Oman and Kuwait. This analysis also permits testing the existence of financial contagion among equity markets in the MENA region during the Arab Spring. To capture the time-varying and multi-horizon nature of the evidence of volatility and contagion in the eight MENA stock markets, we apply two robust methodologies on consecutive data from November 2008 to March 2014: MGARCH-DCC, Continuous Wavelet Transforms (CWT). Our results indicate two key findings. First, the discrepancies between volatile stock markets of countries directly impacted by the Arab Spring and countries that were not directly impacted indicate that international investors may still enjoy portfolio diversification and investment in MENA markets. Second, the lack of financial contagion during the Arab Spring suggests that there is little evidence of cointegration among MENA markets. Providing a general analysis of the economic situation and the investment climate in the MENA region during and after the Arab Spring, this study bear significant importance for policy makers, local and international investors, and market regulators.

Keywords: Portfolio Diversification , MENA Region , Stock Market Indices, MGARCH-DCC, Wavelet Analysis, CWT

Procedia PDF Downloads 267