The forecast performance of competing implied volatility measures:the case of individual stocks

This study examines the information content of alternative implied volatility measures for the 30 components of the Dow Jones Industrial Average Index from 1996 until 2007. Along with the popular Black-Scholes and \model-free" implied volatility expectations, the recently proposed corridor implied volatil- ity (CIV) measures are explored. For all pair-wise comparisons, it is found that a CIV measure that is closely related to the model-free implied volatility, nearly always delivers the most accurate forecasts for the majority of the firms. This finding remains consistent for different forecast horizons, volatility definitions, loss functions and forecast evaluation settings.

An Analysis and Forecast of Software and Services Research in Bulgaria

In the last 40 years much has been achieved in Software Engineering research and still more is to be done. Although significant progress is being made on several fronts in Service-Oriented Architecture (SOA), there is still no set of clear, central themes to focus research activity on. A task within the EU FP7 Sister project aimed at defining research priorities for the Faculty of Mathematics and Informatics (Sofia University) in the area of Software and Services. A dedicated methodology was proposed and developed, based on various sources of information. The information accumulated was systematised and processed according to this methodology. The final results obtained are described and discussed here.

Estimation of a Regression Function on a Point Process and its Application to Financial Ruin Risk Forecast

2000 Mathematics Subject Classification: Primary 60G55; secondary 60G25.

Az IKT-eszközökkel kapcsolatos preferenciák és használatuk előrejelzése (Preferences and usage forecast of ICT tools)

A szerzők ebben a tanulmányukban az információs és kommunikációs technológiai (továbbiakban IKT) eszközök közül az asztali számítógépekkel (desktopok), laptopokkal (notebookok és netbookok), táblagépekkel és okostelefonokkal foglalkoznak. Az IKT-eszközök elterjedtségének vizsgálatánál meghatározó szerepet játszik a technológia jelenléte mellett a társadalom befogadóképessége. A technológia és társadalom kapcsolatát különböző módszerekkel és modellekkel mutatják be, melyek indokolják ezen eszközök növekvő használatának szükségességét. Ebben a tanulmányban a modellekből és a felmérésekből összeállított tényezők beépítésével és az általuk feldolgozott kérdőívek elemzése által kirajzolódnak minták és olyan összefüggések, amelyek magyarázatot adhatnak a különböző eszközhasználat okainak megértésére. _____ In their study the authors deal with the desktop computers (Desktop), laptops (notebooks and netbooks), smartphones and tablet machines among of information and communication technology (hereinafter referred to as ICT) tools. The capacity of society is one of the key elements in the examination of spread of ICT. The relationship between technology and society is presented with different methods and models that are justified by the need for increasing the use of these devices. In this paper such samples and correlations are emerged of the models and surveys, which may explain the reasons for understanding of the different tool use.

Hatalmi távolság és intézményi kollektivizmus – a versenyképesség előrejelzése szövegelemzéssel (Power distance and institutional collectivism – Forecast of competitiveness by text analysis)

A tárgyalófelek elé kitett mobiltelefon alkalmazása előrejelzi a beszélgetőpartnerek versenyképességét a versenyképesség-mutatók alapján, javaslatokat adva a tárgyalás további menetére. Ez a vízió nyilván még futurisztikus, ám a csúcsvezetői nyilatkozatok rejtett szövegtartalma alapján következtetéseket levonni a képviselt szervezetek versenyképességi orientációira – ez már ma lehetőség. A GLOBE-projekt kultúrakutatási módszertanával, valamint szövegelemzési módszerekkel sikerült kimutatni a versenyképességet előrejelző hatalmi távolság és az intézményi kollektivizmus szövegbeli jeleit. Mindez eszközt jelenthet egyebek mellett a szervezetfejlesztéssel, hírszerzéssel, HR-gazdálkodással foglalkozó szakembereknek is. _______ The use of the mobile telephones laid in front of the negotiators during their conversations forecasts their indicators of competitiveness and gives suggestions for the further course of negotiation. This is obviously a futuristic vision, but drawing conclusions from the hidden content of top management narratives concerning the competitive cultural orientations of the represented organizations is a possibility that is already available. Using the culture research methodology of the GLOBE project as well as text analysis methods, it was possible to reveal narrative patterns both of the power distance, forecasting competitiveness, and of institutional collectivism. These findings may be useful tools for professionals, among others of organizational development, intelligence service and HR management.

Forecast sull'impatto della crescita esponenziale della tecnologia nel mondo del lavoro e nella società

In questa tesi esaminerò alcuni aspetti fondamentali della tecnologia moderna tra cui alcune leggi chiave che spiegheranno come mai la crescente disoccupazione in Europa, e in occidente in generale, non è causata solamente da crisi finanziarie o politiche, ma dall'intrinseca natura della tecnologia stessa. Ci troveremo nella situazione nella quale una persona non sia in grado di trovare un'occupazione non a causa di demeriti propri, ma poiché il sistema è diventato talmente ottimizzato da tagliare completamente la necessità di alcuni ruoli chiave nel sistema di lavoro. Spiegherò quali sono le strategie da attuare per evitare di trovarsi in questo nuovo sistema di occupazione senza un ruolo al suo interno, quali sono le politiche che un governo debba attuare per garantire i necessari bisogni primari dei propri cittadini, le strutture che ogni azienda deve creare per rimanere all'interno del proprio settore di investimento.

Climate forecast data (Nino3.4 SST, Arctic sea ice extent) and observational references, link to files in Rdata format

This data set contains seasonal forecasts of sea surface temperature and Arctic sea ice extent from state-of-the-art climate models, along with observational references used to evaluate those forecasts. Common skill scores like the correlation between modelled and observed time series are also reported.

Does the Future Price Help Forecast the Spot Price?

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Short-term wind power forecast based on cluster analysis and artificial neural networks

[EN]In this paper an architecture for an estimator of short-term wind farm power is proposed. The estimator is made up of a Linear Machine classifier and a set of k Multilayer Perceptrons, training each one for a specific subspace of the input space. The splitting of the input dataset into the k clusters is done using a k-means technique, obtaining the equivalent Linear Machine classifier from the cluster centroids...

Requirement Risk Level Forecast Using Bayesian Networks Classifiers

Requirement engineering is a key issue in the development of a software project. Like any other development activity it is not without risks. This work is about the empirical study of risks of requirements by applying machine learning techniques, specifically Bayesian networks classifiers. We have defined several models to predict the risk level for a given requirement using three dataset that collect metrics taken from the requirement specifications of different projects. The classification accuracy of the Bayesian models obtained is evaluated and compared using several classification performance measures. The results of the experiments show that the Bayesians networks allow obtaining valid predictors. Specifically, a tree augmented network structure shows a competitive experimental performance in all datasets. Besides, the relations established between the variables collected to determine the level of risk in a requirement, match with those set by requirement engineers. We show that Bayesian networks are valid tools for the automation of risks assessment in requirement engineering.

Tourism time series forecast

In this chapter four combinations of input features and the feedforward, cascade forward and recurrent architectures are compared for the task of forecast tourism time series. The input features of the ANNs consist in the combination of the previous 12 months, the index time modeled by two nodes used to the year and month and one input with the daily hours of sunshine (insolation duration). The index time features associated to the previous twelve values of the time series proved its relevance in this forecast task. The insolation variable can improved results with some architectures, namely the cascade forward architecture. Finally, the experimented ANN models/architectures produced a mean absolute percentage error between 4 and 6%, proving the ability of the ANN models based to forecast this time series. Besides, the feedforward architecture behaved better considering validation and test sets, with 4.2% percentage error in test set.

Photovoltaic power forecast modeling with artificial neural networks

Dissertação de Mestrado, Engenharia Eletrónica e Telecomunicações, Faculdade de Ciências e Tecnologia, Universidade do Algarve, 2016

General fund revenue forecast fiscal years 2014-15 to 2017-18

This sheet shows the general fund revenue forecast. It is broken down by revenue category.

Spatial and temporal downscaling of solar global radiation and mean air temperature from weather forecast data - an introductory numerical study and validation

This short paper presents a numerical method for spatial and temporal downscaling of solar global radiation and mean air temperature data from global weather forecast models and its validation. The final objective is to develop a prediction algorithm to be integrated in energy management models and forecast of energy harvesting in solar thermal systems of medium/low temperature. Initially, hourly prediction and measurement data of solar global radiation and mean air temperature were obtained, being then numerically downscaled to half-hourly prediction values for the location where measurements were taken. The differences between predictions and measurements were analyzed for more than one year of data of mean air temperature and solar global radiation on clear sky days, resulting in relative daily deviations of around -0.9±3.8% and 0.02±3.92%, respectively.