Using data mining with time series data in short-term stocks prediction

Data Mining (DM) methods are being increasingly used in prediction with time series data, in addition to traditional statistical approaches. This paper presents a literature review of the use of DM with time series data, focusing on short- time stocks prediction. This is an area that has been attracting a great deal of attention from researchers in the field. The main contribution of this paper is to provide an outline of the use of DM with time series data, using mainly examples related with short-term stocks prediction. This is important to a better understanding of the field. Some of the main trends and open issues will also be introduced.

An object-oriented neural network approach to short-term traffic forecasting

This paper discusses an object-oriented neural network model that was developed for predicting short-term traffic conditions on a section of the Pacific Highway between Brisbane and the Gold Coast in Queensland, Australia. The feasibility of this approach is demonstrated through a time-lag recurrent network (TLRN) which was developed for predicting speed data up to 15 minutes into the future. The results obtained indicate that the TLRN is capable of predicting speed up to 5 minutes into the future with a high degree of accuracy (90-94%). Similar models, which were developed for predicting freeway travel times on the same facility, were successful in predicting travel times up to 15 minutes into the future with a similar degree of accuracy (93-95%). These results represent substantial improvements on conventional model performance and clearly demonstrate the feasibility of using the object-oriented approach for short-term traffic prediction. (C) 2001 Elsevier Science B.V. All rights reserved.

A hybrid PSO-ANFIS approach for short-term wind power prediction in Portugal

The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Wind power prediction plays a key role in tackling these challenges. The contribution of this paper is to propose a new hybrid approach, combining particle swarm optimization and adaptive-network-based fuzzy inference system, for short-term wind power prediction in Portugal. Significant improvements regarding forecasting accuracy are attainable using the proposed approach, in comparison with the results obtained with five other approaches.

Use of short term test systems for the prediction of the hazard represented by potential chemical carcinogens

It has been hypothesized that results from the short term bioassays will ultimately provide information that will be useful for human health hazard assessment. Although toxicologic test systems have become increasingly refined, to date, no investigator has been able to provide qualitative or quantitative methods which would support the use of short term tests in this capacity.^ Historically, the validity of the short term tests have been assessed using the framework of the epidemiologic/medical screens. In this context, the results of the carcinogen (long term) bioassay is generally used as the standard. However, this approach is widely recognized as being biased and, because it employs qualitative data, cannot be used in the setting of priorities. In contrast, the goal of this research was to address the problem of evaluating the utility of the short term tests for hazard assessment using an alternative method of investigation.^ Chemical carcinogens were selected from the list of carcinogens published by the International Agency for Research on Carcinogens (IARC). Tumorigenicity and mutagenicity data on fifty-two chemicals were obtained from the Registry of Toxic Effects of Chemical Substances (RTECS) and were analyzed using a relative potency approach. The relative potency framework allows for the standardization of data "relative" to a reference compound. To avoid any bias associated with the choice of the reference compound, fourteen different compounds were used.^ The data were evaluated in a format which allowed for a comparison of the ranking of the mutagenic relative potencies of the compounds (as estimated using short term data) vs. the ranking of the tumorigenic relative potencies (as estimated from the chronic bioassays). The results were statistically significant (p $<$.05) for data standardized to thirteen of the fourteen reference compounds. Although this was a preliminary investigation, it offers evidence that the short term test systems may be of utility in ranking the hazards represented by chemicals which may be human carcinogens. ^

Common stocks are short term investments.

Reproduced from typewritten copy.

Artificial neural network application in short-term prediction in an oscillating water column

Oscillating Water Column (OWC) is one type of promising wave energy devices due to its obvious advantage over many other wave energy converters: no moving component in sea water. Two types of OWCs (bottom-fixed and floating) have been widely investigated, and the bottom-fixed OWCs have been very successful in several practical applications. Recently, the proposal of massive wave energy production and the availability of wave energy have pushed OWC applications from near-shore to deeper water regions where floating OWCs are a better choice. For an OWC under sea waves, the air flow driving air turbine to generate electricity is a random process. In such a working condition, single design/operation point is nonexistent. To improve energy extraction, and to optimise the performance of the device, a system capable of controlling the air turbine rotation speed is desirable. To achieve that, this paper presents a short-term prediction of the random, process by an artificial neural network (ANN), which can provide near-future information for the control system. In this research, ANN is explored and tuned for a better prediction of the airflow (as well as the device motions for a wide application). It is found that, by carefully constructing ANN platform and optimizing the relevant parameters, ANN is capable of predicting the random process a few steps ahead of the real, time with a good accuracy. More importantly, the tuned ANN works for a large range of different types of random, process.

Role of assessment components and recent adverse outcomes in risk estimation and prediction: use of the Short Term Assessment of Risk and Treatability (START) in an adult secure inpatient mental health service

The Short Term Assessment of Risk and Treatability is a structured judgement tool used to inform risk estimation for multiple adverse outcomes. In research, risk estimates outperform the tool's strength and vulnerability scales for violence prediction. Little is known about what its’component parts contribute to the assignment of risk estimates and how those estimates fare in prediction of non-violent adverse outcomes compared with the structured components. START assessment and outcomes data from a secure mental health service (N=84) was collected. Binomial and multinomial regression analyses determined the contribution of selected elements of the START structured domain and recent adverse risk events to risk estimates and outcomes prediction for violence, self-harm/suicidality, victimisation, and self-neglect. START vulnerabilities and lifetime history of violence, predicted the violence risk estimate; self-harm and victimisation estimates were predicted only by corresponding recent adverse events. Recent adverse events uniquely predicted all corresponding outcomes, with the exception of self-neglect which was predicted by the strength scale. Only for victimisation did the risk estimate outperform prediction based on the START components and recent adverse events. In the absence of recent corresponding risk behaviour, restrictions imposed on the basis of START-informed risk estimates could be unwarranted and may be unethical.

Short-term experimental data of drying shrinkage of ground granulated blast-furnace slag cement concrete

This paper presents results of laboratory testing of unrestrained drying shrinkage during a period of 154 days of different concrete mixtures from the Brazilian production line that utilize ground granulated blast-furnace slag in their compositions. Three concrete mixtures with water/cement ratio of 0.78(M1), 0.41(M2), and 0.37(M3) were studied. The obtained experimental data were compared with the analytical results from prediction models available in the literature: the ACI 209 model (ACI), the B3 model (B3), the Eurocode 2 model (EC2), the GL 2000 model (GL), and the Brazilian NBR 6118 model (NBR), and an analysis of the efficacy of these models was conducted utilizing these experimental data. In addition, the development of the mechanical properties (compressive strength and modulus of elasticity) of the studied concrete mixtures was also measured in the laboratory until 126 days. From this study, it could be concluded that the ACI and the GL were the models that most approximated the experimental drying shrinkage data measured during the analyzed period of time.

Stimulating dormancy release and emergence of annual ryegrass (Lolium rigidum) seeds using short-term hydrated storage in darkness

Experiments were performed to determine whether the dormancy release effect of hydrated storage in darkness (dark-stratification) is common amongst annual ryegrass populations and has the potential to occur under field conditions. Dormant seeds from all populations tested (22) became sensitive to light during dark-stratification, enabling them to germinate when subsequently exposed to light. Under controlled temperature (25/15degreesC), light (12-h photoperiod), and hydration (solidified agar-water) conditions, more seeds germinated by 28 days if the first 14 days were in darkness followed by exposure to light for 12 h per day than if they were exposed to light throughout or darkness throughout. Constraint over the conditions imposed during dark-stratification and germination was gradually reduced to investigate whether the dormancy release effect was diminished. Dark-stratification was effective in promoting germination when performed under natural diurnal temperatures, and burial in moist soil provided suitable conditions for dark-stratification to occur. The surface of moist soil, with natural diurnal temperatures and sunlight, was suitable for germination of dark-stratified seeds. Dark-stratification is a quick and effective means to enhance the sensitivity of dormant annual ryegrass seeds to light, enabling the majority of the population to germinate. However, large quantities of light are required to promote germination of dark-stratified seeds, so buried seeds must be moved to the soil surface to allow exposure to adequate light for germination.

Development of a short-term model using petrophysical logging at Century Mine, North Queensland

Pasminco Century Mine has developed a geophysical logging system to provide new data for ore mining/grade control and the generation of Short Term Models for mine planning. Previous work indicated the applicability of petrophysical logging for lithology prediction, however, the automation of the method was not considered reliable enough for the development of a mining model. A test survey was undertaken using two diamond drilled control holes and eight percussion holes. All holes were logged with natural gamma, magnetic susceptibility and density. Calibration of the LogTrans auto-interpretation software using only natural gamma and magnetic susceptibility indicated that both lithology and stratigraphy could be predicted. Development of a capability to enforce stratigraphic order within LogTrans increased the reliability and accuracy of interpretations. After the completion of a feasibility program, Century Mine has invested in a dedicated logging vehicle to log blast holes as well as for use in in-fill drilling programs. Future refinement of the system may lead to the development of GPS controlled excavators for mining ore.

Short-term autocorrelation in Australian equities

This paper examines the statistical and economic significance of short-term autocorrelation in Australian equities. We document large negative first-order autocorrelation in individual stock returns. Preliminary results suggest this autocorrelation is economically significant, as two simple trading strategies based on the autocorrelation structure appear to yield large risk-adjusted returns. Further analysis, however, shows that these results are driven by the inclusion of small-capitalisation and low-priced stocks which are vulnerable to a number of market-microstructure-related problems. After revising the dataset to mitigate these problems, little evidence of economic significance remains.

An artificial neural network approach for short-term wind power forecasting in Portugal

This paper presents an artificial neural network approach for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. The accuracy of the wind power forecasting attained with the proposed approach is evaluated against persistence and ARIMA approaches, reporting the numerical results from a real-world case study.

Application of adaptive neuro-fuzzy inference for wind power short-term forecasting

The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. In this paper, an adaptive neuro-fuzzy inference approach is proposed for short-term wind power forecasting. Results from a real-world case study are presented. A thorough comparison is carried out, taking into account the results obtained with other approaches. Numerical results are presented and conclusions are duly drawn. (C) 2011 Institute of Electrical Engineers of Japan. Published by John Wiley & Sons, Inc.

Short-term wind power forecasting in Portugal by neural networks and wavelet transform

This paper proposes artificial neural networks in combination with wavelet transform for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. Results from a real-world case study are presented. A comparison is carried out, taking into account the results obtained with other approaches. Finally, conclusions are duly drawn. (C) 2010 Elsevier Ltd. All rights reserved.

Modelling short-term ultraviolet exposure as an alternative to individual dosimetry

Background: Excessive exposure to solar Ultra-Violet (UV) light is the main cause of most skin cancers in humans. Factors such as the increase of solar irradiation at ground level (anthropic pollution), the rise in standard of living (vacation in sunny areas), and (mostly) the development of outdoor activities have contributed to increase exposure. Thus, unsurprisingly, incidence of skin cancers has increased over the last decades more than that of any other cancer. Melanoma is the most lethal cutaneous cancer, while cutaneous carcinomas are the most common cancer type worldwide. UV exposure depends on environmental as well as individual factors related to activity. The influence of individual factors on exposure among building workers was investigated in a previous study. Posture and orientation were found to account for at least 38% of the total variance of relative individual exposure. A high variance of short-term exposure was observed between different body locations, indicating the occurrence of intense, subacute exposures. It was also found that effective short-term exposure ranged between 0 and 200% of ambient irradiation, suggesting that ambient irradiation is a poor predictor of effective exposure. Various dosimetric techniques enable to assess individual effective exposure, but dosimetric measurements remain tedious and tend to be situation-specific. As a matter of facts, individual factors (exposure time, body posture and orientation in the sun) often limit the extrapolation of exposure results to similar activities conducted in other conditions. Objective: The research presented in this paper aims at developing and validating a predictive tool of effective individual exposure to solar UV. Methods: Existing computer graphic techniques (3D rendering) were adapted to reflect solar exposure conditions and calculate short-term anatomical doses. A numerical model, represented as a 3D triangular mesh, is used to represent the exposed body. The amount of solar energy received by each "triangle is calculated, taking into account irradiation intensity, incidence angle and possible shadowing from other body parts. The model take into account the three components of the solar irradiation (direct, diffuse and albedo) as well as the orientation and posture of the body. Field measurements were carried out using a forensic mannequin at the Payerne MeteoSwiss station. Short-term dosimetric measurements were performed in 7 anatomical locations for 5 body postures. Field results were compared to the model prediction obtained from the numerical model. Results: The best match between prediction and measurements was obtained for upper body parts such as shoulders (Ratio Modelled/Measured; Mean = 1.21, SD = 0.34) and neck (Mean = 0.81, SD = 0.32). Small curved body parts such as forehead (Mean = 6.48, SD = 9.61) exhibited a lower matching. The prediction is less accurate for complex postures such as kneeling (Mean = 4.13, SD = 8.38) compared to standing up (Mean = 0.85, SD = 0.48). The values obtained from the dosimeters and the ones computed from the model are globally consistent. Conclusion: Although further development and validation are required, these results suggest that effective exposure could be predicted for a given activity (work or leisure) in various ambient irradiation conditions. Using a generic modelling approach is of high interest in terms of implementation costs as well as predictive and retrospective capabilities.