Predicting market movement with Artificial Neural Networks

This paper presents an application of an Artificial Neural Network (ANN) to the prediction of stock market direction in the US. Using a multilayer perceptron neural network and a backpropagation algorithm for the training process, the model aims at learning the hidden patterns in the daily movement of the S&P500 to correctly identify if the market will be in a Trend Following or Mean Reversion behavior. The ANN is able to produce a successful investment strategy which outperforms the buy and hold strategy, but presents instability in its overall results which compromises its practical application in real life investment decisions.

Using artificial neural networks to generate trading signals for crude oil, copper and gold futures

In this thesis, a feed-forward, back-propagating Artificial Neural Network using the gradient descent algorithm is developed to forecast the directional movement of daily returns for WTI, gold and copper futures. Out-of-sample back-test results vary, with some predictive abilities for copper futures but none for either WTI or gold. The best statistically significant hit rate achieved was 57% for copper with an absolute return Sharpe Ratio of 1.25 and a benchmarked Information Ratio of 2.11.

Mining protein structure data

The principal topic of this work is the application of data mining techniques, in particular of machine learning, to the discovery of knowledge in a protein database. In the first chapter a general background is presented. Namely, in section 1.1 we overview the methodology of a Data Mining project and its main algorithms. In section 1.2 an introduction to the proteins and its supporting file formats is outlined. This chapter is concluded with section 1.3 which defines that main problem we pretend to address with this work: determine if an amino acid is exposed or buried in a protein, in a discrete way (i.e.: not continuous), for five exposition levels: 2%, 10%, 20%, 25% and 30%. In the second chapter, following closely the CRISP-DM methodology, whole the process of construction the database that supported this work is presented. Namely, it is described the process of loading data from the Protein Data Bank, DSSP and SCOP. Then an initial data exploration is performed and a simple prediction model (baseline) of the relative solvent accessibility of an amino acid is introduced. It is also introduced the Data Mining Table Creator, a program developed to produce the data mining tables required for this problem. In the third chapter the results obtained are analyzed with statistical significance tests. Initially the several used classifiers (Neural Networks, C5.0, CART and Chaid) are compared and it is concluded that C5.0 is the most suitable for the problem at stake. It is also compared the influence of parameters like the amino acid information level, the amino acid window size and the SCOP class type in the accuracy of the predictive models. The fourth chapter starts with a brief revision of the literature about amino acid relative solvent accessibility. Then, we overview the main results achieved and finally discuss about possible future work. The fifth and last chapter consists of appendices. Appendix A has the schema of the database that supported this thesis. Appendix B has a set of tables with additional information. Appendix C describes the software provided in the DVD accompanying this thesis that allows the reconstruction of the present work.

Importance of global co-innovation networks: A TCS case study

Today all kinds of innovations and research work is done by partnerships of competent entities each having some specialized skills. Like the development of the global economy, global innovation partnerships have grown considerably and form the basis of most of the sophisticated innovations today. To further streamline and simplify such cooperation, several innovation networks have been formed, both at local and global levels. This paper discusses the different types of innovations and how cooperation can benefit innovation in terms of pooling of resources and sharing of risks. One example of an open global co-innovation network promoted by Tata Consultancy Services, the TCS COIN is taken as a case. It enables venture capitalists, consultants, research agencies, companies and universities form nodes of the network so that each entity can play a meaningful role in the innovation network. Further, two innovation projects implemented using the COIN are discussed. Innovation Networks like these could form the basis of a unique global innovation network, which is not owned by any company and is used by innovation partners globally to collaborate and conduct research and development.

The computational role of short-term plasticity and the balance of excitation and inhibition in neural microcircuits: experimental and theoretical analysis

The computations performed by the brain ultimately rely on the functional connectivity between neurons embedded in complex networks. It is well known that the neuronal connections, the synapses, are plastic, i.e. the contribution of each presynaptic neuron to the firing of a postsynaptic neuron can be independently adjusted. The modulation of effective synaptic strength can occur on time scales that range from tens or hundreds of milliseconds, to tens of minutes or hours, to days, and may involve pre- and/or post-synaptic modifications. The collection of these mechanisms is generally believed to underlie learning and memory and, hence, it is fundamental to understand their consequences in the behavior of neurons.(...)

Neural correlations during brain activation in arithmetical tasks – an approach using electroencephalographic data

Dissertação apresentada na Faculdade de Ciências e Tecnologiea da Universidade Nova de Lisboa, para obtenção do Grau de Mestre em Engenharia Biomédica

Social BPM – The role of social networks in business process management

Dissertação apresentada como requisito parcial para obtenção do grau de Mestre em Estatística e Gestão de Informação

QoS in LEO satellite networks with multipacket reception

Dissertação apresentada para obtenção do Grau de Mestre em Engenharia Electrotécnica e de Computadores, pela Universidade Nova de Lisboa, Faculdade de Ciências e Tecnologia