Forecasting financial weather - can we foresee market sentiment? Quantitative analysis of nodal prices in the New Zealand Electricity Spot Market

Time series of hourly electricity spot prices have peculiar properties. Electricity is by its nature difficult to store and has to be available on demand. There are many reasons for wanting to understand correlations in price movements, e.g. risk management purposes. The entire analysis carried out in this thesis has been applied to the New Zealand nodal electricity prices: offer prices (from 29 May 2002 to 31 March 2009) and final prices (from 1 January 1999 to 31 March 2009). In this paper, such natural factors as location of the node and generation type in the node that effects the correlation between nodal prices have been reviewed. It was noticed that the geographical factor affects the correlation between nodes more than others. Therefore, the visualisation of correlated nodes was done. However, for the offer prices the clear separation of correlated and not correlated nodes was not obtained. Finally, it was concluded that location factor most strongly affects correlation of electricity nodal prices; problems in visualisation probably associated with power losses when the power is transmitted over long distance.

Accuracy improvement of a demand forecasting model

This research concerns different statistical methods that assist to increase the demand forecasting accuracy of company X’s forecasting model. Current forecasting process was analyzed in details. As a result, graphical scheme of logical algorithm was developed. Based on the analysis of the algorithm and forecasting errors, all the potential directions for model future improvements in context of its accuracy were gathered into the complete list. Three improvement directions were chosen for further practical research, on their basis, three test models were created and verified. Novelty of this work lies in the methodological approach of the original analysis of the model, which identified its critical points, as well as the uniqueness of the developed test models. Results of the study formed the basis of the grant of the Government of St. Petersburg.

Development of project cash flow forecasting process

Process management refers to improving the key functions of a company. The main functions of the case company - project management, procurement, finance, and human resource - use their own separate systems. The case company is in the process of changing its software. Different functions will use the same system in the future. This software change causes changes in some of the company’s processes. Project cash flow forecasting process is one of the changing processes. Cash flow forecasting ensures the sufficiency of money and prepares for possible changes in the future. This will help to ensure the company’s viability. The purpose of the research is to describe a new project cash flow forecasting process. In addition, the aim is to analyze the impacts of the process change, with regard to the project control department’s workload and resources through the process measurement, and how the impacts take the department’s future operations into account. The research is based on process management. Processes, their descriptions, and the way the process management uses the information, are discussed in the theory part of this research. The theory part is based on literature and articles. Project cash flow and forecasting-related benefits are also discussed. After this, the project cash flow forecasting as-is and to-be processes are described by utilizing information, obtained from the theoretical part, as well as the know-how of the project control department’s personnel. Written descriptions and cross-functional flowcharts are used for descriptions. Process measurement is based on interviews with the personnel – mainly cost controllers and department managers. The process change and the integration of two processes will allow work time for other things, for example, analysis of costs. In addition to the quality of the cash flow information will improve compared to the as-is process. Analyzing the department’s other main processes, department’s roles, and their responsibilities should be checked and redesigned. This way, there will be an opportunity to achieve the best possible efficiency and cost savings.

Accuracy in book papers' sales forecasting

The main objective of this thesis was to study if the quantitative sales forecasting methods will enhance the accuracy of the sales forecast in comparison to qualitative sales forecasting method. A literature review in the field of forecasting was conducted, including general sales forecasting process, forecasting methods and techniques and forecasting accuracy measurement. In the empirical part of the study the accuracy of the forecasts provided by both qualitative and quantitative methods is being studied and compared in the case of short, medium and long term forecasts. The SAS® Forecast Server –tool was used in creating the quantitative forecasts.

A Bayesian Approach for Forecasting Heat Load in a District Heating System

The growing population in cities increases the energy demand and affects the environment by increasing carbon emissions. Information and communications technology solutions which enable energy optimization are needed to address this growing energy demand in cities and to reduce carbon emissions. District heating systems optimize the energy production by reusing waste energy with combined heat and power plants. Forecasting the heat load demand in residential buildings assists in optimizing energy production and consumption in a district heating system. However, the presence of a large number of factors such as weather forecast, district heating operational parameters and user behavioural parameters, make heat load forecasting a challenging task. This thesis proposes a probabilistic machine learning model using a Naive Bayes classifier, to forecast the hourly heat load demand for three residential buildings in the city of Skellefteå, Sweden over a period of winter and spring seasons. The district heating data collected from the sensors equipped at the residential buildings in Skellefteå, is utilized to build the Bayesian network to forecast the heat load demand for horizons of 1, 2, 3, 6 and 24 hours. The proposed model is validated by using four cases to study the influence of various parameters on the heat load forecast by carrying out trace driven analysis in Weka and GeNIe. Results show that current heat load consumption and outdoor temperature forecast are the two parameters with most influence on the heat load forecast. The proposed model achieves average accuracies of 81.23 % and 76.74 % for a forecast horizon of 1 hour in the three buildings for winter and spring seasons respectively. The model also achieves an average accuracy of 77.97 % for three buildings across both seasons for the forecast horizon of 1 hour by utilizing only 10 % of the training data. The results indicate that even a simple model like Naive Bayes classifier can forecast the heat load demand by utilizing less training data.

A Project Portfolio Tool for Forecasting Small Projects Profitability

The case company in this study is a large industrial engineering company whose business is largely based on delivering a wide-range of engineering projects. The aim of this study is to create and develop a fairly simple Excel-based tool for the sales department. The tool’s main function is to estimate and visualize the profitability of various small projects. The study also aims to find out other possible and more long-term solutions for tackling the problem in the future. The study is highly constructive and descriptive as it focuses on the development task and in the creation of a new operating model. The developed tool focuses on estimating the profitability of the small orders of the selected project portfolio currently on the bidding-phase (prospects) and will help the case company in the monthly reporting of sales figures. The tool will analyse the profitability of a certain project by calculating its fixed and variable costs, then further the gross margin and operating profit. The bidding phase of small project is a phase that has not been covered fully by the existing tools within the case company. The project portfolio tool can be taken into use immediately within the case company and it will provide fairly accurate estimate of the profitability figures of the recently sold small projects.

Heat Demand Forecasting Models’ Development: Use of Data Mining Tools in SQL Server Analysis Services

This thesis introduces heat demand forecasting models which are generated by using data mining algorithms. The forecast spans one full day and this forecast can be used in regulating heat consumption of buildings. For training the data mining models, two years of heat consumption data from a case building and weather measurement data from Finnish Meteorological Institute are used. The thesis utilizes Microsoft SQL Server Analysis Services data mining tools in generating the data mining models and CRISP-DM process framework to implement the research. Results show that the built models can predict heat demand at best with mean average percentage errors of 3.8% for 24-h profile and 5.9% for full day. A deployment model for integrating the generated data mining models into an existing building energy management system is also discussed.

Forecasting with social media – Using Facebook likes to predict the results of the 2015 Finnish Parliamentary elections

Already one-third of the human population uses social media on a daily basis. The biggest social networking site Facebook has over billion monthly users. As a result, social media services are now recording unprecedented amount of data on human behavior. The phenomenon has certainly caught the attention of scholars, businesses and governments alike. Organizations around the globe are trying to explore new ways to benefit from the massive databases. One emerging field of research is the use of social media in forecasting. The goal is to use data gathered from online services to predict offline phenomena. Predicting the results of elections is a prominent example of forecasting with social media, but regardless of the numerous attempts, no reliable technique has been established. The objective of the research is to analyze how accurately the results of parliament elections can be forecasted using social media. The research examines whether Facebook “likes” can be effectively used for predicting the outcome of the Finnish parliament elections that took place in April 2015. First a tool for gathering data from Facebook was created. Then the data was used to create an electoral forecast. Finally, the forecast was compared with the official results of the elections. The data used in the research was gathered from the Facebook walls of all the candidates that were running for the parliament elections and had a valid Facebook page. The final sample represents 1131 candidates and over 750000 Facebook “likes”. The results indicate that creating a forecast solely based on Facebook “likes” is not accurate. The forecast model predicted very dramatic changes to the Finnish political landscape while the official results of the elections were rather moderate. However, a clear statistical relationship between “likes” and votes was discovered. In conclusion, it is apparent that citizens and other key actors of the society are using social media in an increasing rate. However, the volume of the data does not directly increase the quality of the forecast. In addition, the study faced several other limitations that should be addressed in future research. Nonetheless, discovering the positive correlation between “likes” and votes is valuable information that can be used in future studies. Finally, it is evident that Facebook “likes” are not accurate enough and a meaningful forecast would require additional parameters.

Forecasting the Yield Curve of Government Bonds: A Comparative Study

For the past 20 years, researchers have applied the Kalman filter to the modeling and forecasting the term structure of interest rates. Despite its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor model, and estimate this dynamic model using the Kalman filter. We compare both in-sample and out-of-sample performance of our dynamic methods with various other models in the literature. We find that our dynamic model dominates existing models in medium- and long-horizon yield curve predictions. However, the dynamic model should be used with caution when forecasting short maturity yields

Forecasting Containerized Traffic for the Port of Montreal (1981-1995)

Le But de Ce Rapport Est de Presenter L'approche Utilisee Par les Auteurs Pour Effectuer des Previsions a Long Terme du Trafic de Conteneurs Outre-Mer, Pour le Port de Montreal. Cette Approche Suppose D'abord L'estimation du Trafic de Conteneurs Par Categories de Marchandise, Par Origine et Destination, au Cours des Annees Recentes. Ensuite, Nous Avons Obtenu des Previsions du Trafic de Conteneurs Pour 1995, En Nous Basant Sur des Anticipations Relatives aux Tendances Generales du Commerce Exterieur Canadien et a la Composition de Ces Echanges, Par Groupes de Marchandises. Nous Avons Egalement du Effectuer des Projections Sur L'evolution Probable des Taux de Conteneurisation, En Tenant Compte des Diverses Marchandises et Egalement des Partenaires Commerciaux Impliques. Nous Avons Aussi Considere L'evolution Possible des Frontieres de la Zone D'influence (\"Hinterland\") du Port de Montreal. L'importance du Trafic Genere Par le Midwest des Etats Unis a Augmente Considerablement au Cours de la Derniere Decennie, a Cause D'un Certain Nombre de Facteurs Institutionnels. Nos Previsions du Trafic de Conteneurs, Pour le Port de Montreal, Dependent Donc,En Grande Partie, de L'eventualite Que le Midwest des Etats Unis Demeure Dans la Zone D'influence du Port de Montreal. Finalement, Nous Presentons Deux Scenarios de Previsions. le Premier de Ces Scenarios Suppose Que la Position Concurrentielle Actuelle du Port de Montreal Demeure Virtuellement Inchangee. le Second Scenario Suppose la Disparition D'une Importante Entreprise de Transport de Conteneurs, Situee a Montreal.