Business intelligence in banking: A literature analysis from 2002 to 2013 using Text Mining and latent Dirichlet allocation

telligence applications for the banking industry. Searches were performed in relevant journals resulting in 219 articles published between 2002 and 2013. To analyze such a large number of manuscripts, text mining techniques were used in pursuit for relevant terms on both business intelligence and banking domains. Moreover, the latent Dirichlet allocation modeling was used in or- der to group articles in several relevant topics. The analysis was conducted using a dictionary of terms belonging to both banking and business intelli- gence domains. Such procedure allowed for the identification of relationships between terms and topics grouping articles, enabling to emerge hypotheses regarding research directions. To confirm such hypotheses, relevant articles were collected and scrutinized, allowing to validate the text mining proce- dure. The results show that credit in banking is clearly the main application trend, particularly predicting risk and thus supporting credit approval or de- nial. There is also a relevant interest in bankruptcy and fraud prediction. Customer retention seems to be associated, although weakly, with targeting, justifying bank offers to reduce churn. In addition, a large number of ar- ticles focused more on business intelligence techniques and its applications, using the banking industry just for evaluation, thus, not clearly acclaiming for benefits in the banking business. By identifying these current research topics, this study also highlights opportunities for future research.

Combining data mining and evolutionary computation for multi-criteria optimization of earthworks

Earthworks tasks aim at levelling the ground surface at a target construction area and precede any kind of structural construction (e.g., road and railway construction). It is comprised of sequential tasks, such as excavation, transportation, spreading and compaction, and it is strongly based on heavy mechanical equipment and repetitive processes. Under this context, it is essential to optimize the usage of all available resources under two key criteria: the costs and duration of earthwork projects. In this paper, we present an integrated system that uses two artificial intelligence based techniques: data mining and evolutionary multi-objective optimization. The former is used to build data-driven models capable of providing realistic estimates of resource productivity, while the latter is used to optimize resource allocation considering the two main earthwork objectives (duration and cost). Experiments held using real-world data, from a construction site, have shown that the proposed system is competitive when compared with current manual earthwork design.

Reproductive allocation strategies: a long-term study on proximate factors and temporal adjustments in a viviparous lizard.

Optimisation of reproductive investment is crucial for Darwinian fitness, and detailed long-term studies are especially suited to unravel reproductive allocation strategies. Allocation strategies depend on the timing of resource acquisition, the timing of resource allocation, and trade-offs between different life-history traits. A distinction can be made between capital breeders that fuel reproduction with stored resources and income breeders that use recently acquired resources. In capital breeders, but not in income breeders, energy allocation may be decoupled from energy acquisition. Here, we tested the influence of extrinsic (weather conditions) and intrinsic (female characteristics) factors during energy storage, vitellogenesis and early gestation on reproductive investment, including litter mass, litter size, offspring mass and the litter size and offspring mass trade-off. We used data from a long-term study of the viviparous lizard, Lacerta (Zootoca) vivipara. In terms of extrinsic factors, rainfall during vitellogenesis was positively correlated with litter size and mass, but temperature did not affect reproductive investment. With respect to intrinsic factors, litter size and mass were positively correlated with current body size and postpartum body condition of the previous year, but negatively with parturition date of the previous year. Offspring mass was negatively correlated with litter size, and the strength of this trade-off decreased with the degree of individual variation in resource acquisition, which confirms theoretical predictions. The combined effects of past intrinsic factors and current weather conditions suggest that common lizards combine both recently acquired and stored resources to fuel reproduction. The effect of past energy store points out a trade-off between current and future reproduction.

CAC controlled services sharing a link with connectionless data services in an ATM network: a performance evaluation study

In the B-ISDN there is a provision for four classes of services, all of them supported by a single transport network (the ATM network). Three of these services, the connected oriented (CO) ones, permit connection access control (CAC) but the fourth, the connectionless oriented (CLO) one, does not. Therefore, when CLO service and CO services have to share the same ATM link, a conflict may arise. This is because a bandwidth allocation to obtain maximum statistical gain can damage the contracted ATM quality of service (QOS); and vice versa, in order to guarantee the contracted QOS, the statistical gain have to be sacrificed. The paper presents a performance evaluation study of the influence of the CLO service on a CO service (a circuit emulation service or a variable bit-rate service) when sharing the same link

Solving Large Location-Allocation problems by Clustering and Simulated Annealing

Globalization involves several facility location problems that need to be handled at large scale. Location Allocation (LA) is a combinatorial problem in which the distance among points in the data space matter. Precisely, taking advantage of the distance property of the domain we exploit the capability of clustering techniques to partition the data space in order to convert an initial large LA problem into several simpler LA problems. Particularly, our motivation problem involves a huge geographical area that can be partitioned under overall conditions. We present different types of clustering techniques and then we perform a cluster analysis over our dataset in order to partition it. After that, we solve the LA problem applying simulated annealing algorithm to the clustered and non-clustered data in order to work out how profitable is the clustering and which of the presented methods is the most suitable

Sex allocation and sex-dependent selection for body size in Trypoxylon rogenhoferi Kohl (Hymenoptera, Sphecidae)

Two populations of the wasp Trypoxylon rogenhoferi Kohl, 1884 from São Carlos and Luís Antônio, State of São Paulo, Brazil, were observed and sampled from May 1999 to February 2001 using trap-nests. This mass-provisioning wasp was used to test some aspects of optimal sex allocation theory. Both populations fit all the predictions of the models of Green and Brockmann and Grafen. Maternal provisions determined the size of each offspring, and females allocated well-stocked brood cells to daughters, the sex that benefits most being large. This strategy resulted in a difference in size between the sexes. In São Carlos, female weight at emergence was 1.18 times that of males, in Luís Antônio this value was 1.13. The brood cell volume was correlated with both wing length and weight at emergence in both sexes, and the chance that a given brood cell contained a male offspring decreased with increased brood cell volume. In T. rogenhoferi female body size was related to fitness. Larger females were able to collect more mass of spiders per day, the spiders they captured were heavier, and they provisioned more brood cells per day. They also produced larger daughters. For males, no relationship between body size and fitness was found, but the data were scarce. Since the patterns of provisioning were variable among different females in both study sites, it is possible that the females not follow a unique strategy for sex allocation. The sex ratio and/or investment ratio in the São Carlos population was female-biased and in Luís Antônio, male-biased. In spite of the influence of trap-nests diameters on male production in Luís Antônio, there is some evidence that in São Carlos population the local availability of prey and/or lower rate of parasitism may be major forces in determining the observed sex ratio, but further studies are necessary to verify such hypothesis.

Radial measures of public services deficit for regional allocation of public funds

The goal of this paper is to present an optimal resource allocation model for the regional allocation of public service inputs. Theproposed solution leads to maximise the relative public service availability in regions located below the best availability frontier, subject to exogenous budget restrictions and equality ofaccess for equal need criteria (equity-based notion of regional needs). The construction of non-parametric deficit indicators is proposed for public service availability by a novel application of Data Envelopment Analysis (DEA) models, whose results offer advantages for the evaluation and improvement of decentralised public resource allocation systems. The method introduced in this paper has relevance as a resource allocation guide for the majority of services centrally funded by the public sector in a given country, such as health care, basic and higher education, citizen safety, justice, transportation, environmental protection, leisure, culture, housing and city planning, etc.

Automated Recording of Bridge Inspection Data in the Pontis Format Final Report, HR-364 April 1995

A large percentage of bridges in the state of Iowa are classified as structurally or fiinctionally deficient. These bridges annually compete for a share of Iowa's limited transportation budget. To avoid an increase in the number of deficient bridges, the state of Iowa decided to implement a comprehensive Bridge Management System (BMS) and selected the Pontis BMS software as a bridge management tool. This program will be used to provide a selection of maintenance, repair, and replacement strategies for the bridge networks to achieve an efficient and possibly optimal allocation of resources. The Pontis BMS software uses a new rating system to evaluate extensive and detailed inspection data gathered for all bridge elements. To manually collect these data would be a highly time-consuming job. The objective of this work was to develop an automated-computerized methodology for an integrated data base that includes the rating conditions as defined in the Pontis program. Several of the available techniques that can be used to capture inspection data were reviewed, and the most suitable method was selected. To accomplish the objectives of this work, two userfriendly programs were developed. One program is used in the field to collect inspection data following a step-by-step procedure without the need to refer to the Pontis user's manuals. The other program is used in the office to read the inspection data and prepare input files for the Pontis BMS software. These two programs require users to have very limited knowledge of computers. On-line help screens as well as options for preparing, viewing, and printing inspection reports are also available. The developed data collection software will improve and expedite the process of conducting bridge inspections and preparing the required input files for the Pontis program. In addition, it will eliminate the need for large storage areas and will simplify retrieval of inspection data. Furthermore, the approach developed herein will facilitate transferring these captured data electronically between offices within the Iowa DOT and across the state.

Transplantation hépatique : introduction en Suisse d'un nouveau système d'allocation des organes [Liver transplantation: new organ allocation system in Switzerland]

This article describes the new organ allocation system for liver transplantation introduced in Switzerland on July 1, 2007. In its newly adopted transplantation law, Switzerland chose the MELD score (Model for end-stage liver disease), based on three laboratory values: total bilirubin, serum creatinine and INR. Advantages and limitations of the MELD score are discussed. Finally the West Switzerland joint liver transplantation program is briefly introduced. Cet article décrit le nouveau système d'allocation des organes pour la transplantation hépatique, qui a été introduit en Suisse depuis le 1er juillet 2007. En se dotant d'une nouvelle loi sur la transplantation en 2007, la Suisse a en effet opté pour le score MELD (Model for end-stage liver disease), c'est-à-dire un score calculable à partir de trois valeurs de laboratoire : bilirubine totale, créatinine et INR. Les avantages du MELD, mais aussi quelques inconvénients potentiels, sont brièvement décrits. Afin de clarifier le parcours du patient pour lequel une évaluation prétransplantation hépatique spécialisée est indiquée, une brève description du programme romand de transplantation hépatique est présentée.

Using register data to assess the impact of response enhancement methods on the risk of nonresponse bias and survey costs

The pursuit of high response rates to minimise the threat of nonresponse bias continues to dominate decisions about resource allocation in survey research. Yet a growing body of research has begun to question this practice. In this study, we use previously unavailable data from a new sampling frame based on population registers to assess the value of different methods designed to increase response rates on the European Social Survey in Switzerland. Using sampling data provides information about both respondents and nonrespondents, making it possible to examine how changes in response rates resulting from the use of different fieldwork methods relate to changes in the composition and representativeness of the responding sample. We compute an R-indicator to assess representativity with respect to the sampling register variables, and find little improvement in the sample composition as response rates increase. We then examine the impact of response rate increases on the risk of nonresponse bias based on Maximal Absolute Bias (MAB), and coefficients of variation between subgroup response rates, alongside the associated costs of different types of fieldwork effort. The results show that increases in response rate help to reduce MAB, while only small but important improvements to sample representativity are gained by varying the type of effort. These findings lend further support to research that has called into question the value of extensive investment in procedures aimed at reaching response rate targets and the need for more tailored fieldwork strategies aimed both at reducing survey costs and minimising the risk of bias.

Sex allocation conflict in ants: when the queen rules.

Insect societies are paramount examples of cooperation, yet they also harbor internal conflicts whose resolution depends on the power of the opponents. The male-haploid, female-diploid sex-determining system of ants causes workers to be more related to sisters than to brothers, whereas queens are equally related to daughters and sons. Workers should thus allocate more resources to females than to males, while queens should favor an equal investment in each sex. Female-biased sex allocation and manipulation of the sex ratio during brood development suggest that workers prevail in many ant species. Here, we show that queens of Formica selysi strongly influenced colony sex allocation by biasing the sex ratio of their eggs. Most colonies specialized in the production of a single sex. Queens in female-specialist colonies laid a high proportion of diploid eggs, whereas queens in male-specialist colonies laid almost exclusively haploid eggs, which constrains worker manipulation. However, the change in sex ratio between the egg and pupae stages suggests that workers eliminated some male brood, and the population sex-investment ratio was between the queens' and workers' equilibria. Altogether, these data provide evidence for an ongoing conflict between queens and workers, with a prominent influence of queens as a result of their control of egg sex ratio.

ALLOMETRIC MODELS FOR ESTIMATING ABOVEGROUND BIOMASS AND BIOMASS ALLOCATION OF CAPIXINGUI TREES (Croton floribundus Spreng.) IN AN AGRISILVICULTURAL SYSTEM

ABSTRACT The objective of this study was to select allometric models to estimate total and pooled aboveground biomass of 4.5-year-old capixingui trees established in an agrisilvicultural system. Aboveground biomass distribution of capixingui was also evaluated. Single- (diameter at breast height [DBH] or crown diameter or stem diameter as the independent variable) and double-entry (DBH or crown diameter or stem diameter and total height as independent variables) models were studied. The estimated total biomass was 17.3 t.ha-1, corresponding to 86.6 kg per tree. All models showed a good fit to the data (R2ad > 0.85) for bole, branches, and total biomass. DBH-based models presented the best residual distribution. Model lnW = b0 + b1* lnDBH can be recommended for aboveground biomass estimation. Lower coefficients were obtained for leaves (R2ad > 82%). Biomass distribution followed the order: bole>branches>leaves. Bole biomass percentage decreased with increasing DBH of the trees, whereas branch biomass increased.

Production unit’s overhead cost allocation with activity-based costing in food industry enterprise

The main objective of this Master’s thesis is to develop a cost allocation model for a leading food industry company in Finland. The goal is to develop an allocation method for fixed overhead expenses produced in a specific production unit and create a plausible tracking system for product costs. The second objective is to construct an allocation model and modify the created model to be suited for other units as well. Costs, activities, drivers and appropriate allocation methods are studied. This thesis is started with literature review of existing theory of ABC, inspecting cost information and then conducting interviews with officials to get a general view of the requirements for the model to be constructed. The familiarization of the company started with becoming acquainted with the existing cost accounting methods. The main proposals for a new allocation model were revealed through interviews, which were utilized in setting targets for developing the new allocation method. As a result of this thesis, an Excel-based model is created based on the theoretical and empiric data. The new system is able to handle overhead costs in more detail improving the cost awareness, transparency in cost allocations and enhancing products’ cost structure. The improved cost awareness is received by selecting the best possible cost drivers for this situation. Also the capacity changes are taken into consideration, such as usage of practical or normal capacity instead of theoretical is suggested to apply. Also some recommendations for further development are made about capacity handling and cost collection.

Market anomalies and tactical asset allocation: Utilising market anomalies in multiple asset class portfolios with the Black−Litterman model

This thesis discusses the basic problem of the modern portfolio theory about how to optimise the perfect allocation for an investment portfolio. The theory provides a solution for an efficient portfolio, which minimises the risk of the portfolio with respect to the expected return. A central feature for all the portfolios on the efficient frontier is that the investor needs to provide the expected return for each asset. Market anomalies are persistent patterns seen in the financial markets, which cannot be explained with the current asset pricing theory. The goal of this thesis is to study whether these anomalies can be observed among different asset classes. Finally, if persistent patterns are found, it is investigated whether the anomalies hold valuable information for determining the expected returns used in the portfolio optimization Market anomalies and investment strategies based on them are studied with a rolling estimation window, where the return for the following period is always based on historical information. This is also crucial when rebalancing the portfolio. The anomalies investigated within this thesis are value, momentum, reversal, and idiosyncratic volatility. The research data includes price series of country level stock indices, government bonds, currencies, and commodities. The modern portfolio theory and the views given by the anomalies are combined by utilising the Black-Litterman model. This makes it possible to optimise the portfolio so that investor’s views are taken into account. When constructing the portfolios, the goal is to maximise the Sharpe ratio. Significance of the results is studied by assessing if the strategy yields excess returns in a relation to those explained by the threefactormodel. The most outstanding finding is that anomaly based factors include valuable information to enhance efficient portfolio diversification. When the highest Sharpe ratios for each asset class are picked from the test factors and applied to the Black−Litterman model, the final portfolio results in superior riskreturn combination. The highest Sharpe ratios are provided by momentum strategy for stocks and long-term reversal for the rest of the asset classes. Additionally, a strategy based on the value effect was highly appealing, and it basically performs as well as the previously mentioned Sharpe strategy. When studying the anomalies, it is found, that 12-month momentum is the strongest effect, especially for stock indices. In addition, a high idiosyncratic volatility seems to be positively correlated with country indices on stocks.

PERFORMANCE ANALYSIS OF A TACTICAL ASSET ALLOCATION – Evidence from the Black–Litterman model based fixed income portfolio

Over time the demand for quantitative portfolio management has increased among financial institutions but there is still a lack of practical tools. In 2008 EDHEC Risk and Asset Management Research Centre conducted a survey of European investment practices. It revealed that the majority of asset or fund management companies, pension funds and institutional investors do not use more sophisticated models to compensate the flaws of the Markowitz mean-variance portfolio optimization. Furthermore, tactical asset allocation managers employ a variety of methods to estimate return and risk of assets, but also need sophisticated portfolio management models to outperform their benchmarks. Recent development in portfolio management suggests that new innovations are slowly gaining ground, but still need to be studied carefully. This thesis tries to provide a practical tactical asset allocation (TAA) application to the Black–Litterman (B–L) approach and unbiased evaluation of B–L models’ qualities. Mean-variance framework, issues related to asset allocation decisions and return forecasting are examined carefully to uncover issues effecting active portfolio management. European fixed income data is employed in an empirical study that tries to reveal whether a B–L model based TAA portfolio is able outperform its strategic benchmark. The tactical asset allocation utilizes Vector Autoregressive (VAR) model to create return forecasts from lagged values of asset classes as well as economic variables. Sample data (31.12.1999–31.12.2012) is divided into two. In-sample data is used for calibrating a strategic portfolio and the out-of-sample period is for testing the tactical portfolio against the strategic benchmark. Results show that B–L model based tactical asset allocation outperforms the benchmark portfolio in terms of risk-adjusted return and mean excess return. The VAR-model is able to pick up the change in investor sentiment and the B–L model adjusts portfolio weights in a controlled manner. TAA portfolio shows promise especially in moderately shifting allocation to more risky assets while market is turning bullish, but without overweighting investments with high beta. Based on findings in thesis, Black–Litterman model offers a good platform for active asset managers to quantify their views on investments and implement their strategies. B–L model shows potential and offers interesting research avenues. However, success of tactical asset allocation is still highly dependent on the quality of input estimates.