Neural network-based mean–variance–skewness model for portfolio selection

In this study, a novel neural network-based mean–variance–skewness model for optimal portfolio selection is proposed integrating different forecasts and trading strategies, as well as investors’ risk preference. Based on the Lagrange multiplier theory in optimization and the radial basis function (RBF) neural network, the model seeks to provide solutions satisfying the trade-off conditions of mean–variance–skewness. The feasibility of the RBF network-based mean–variance–skewness model is verified with a simulation experiment. The experimental results show that, for all examined investor risk preferences and investment assets, the proposed model is a fast and efficient way of solving the trade-off in the mean–variance–skewness portfolio problem. In addition, we also find that the proposed approach can also be used as an alternative tool for evaluating various forecasting models.     

A soft intelligent allocation-based hybrid model for uncertain complex time series forecasting

The generalization ability is one of the most important and the most influential factors for electing forecasting models, managing future events, and making decisions. In the literature, numerous hybrid models have been presented in order to improve the accuracy as well as generalization ability of single forecasting approaches. The main aim of these hybrid models is often to use more different and/or more individual models in order to capture all existing patterns and structures in the data, more completely; and consequently improving the accuracy and generalization. Although, it can be generally demonstrated that increasing the number of components will not decrease the performance of hybrid models in the training, it will not necessarily improve the generalizability, especially in complex and uncertain environments. In this paper, an efficient allocation strategy is proposed in order to assign the underlying data set to its appropriateness component for increasing generalizability as well as decreasing computational costs. In this paper, a novel soft intelligent hybrid model is developed using the allocation strategy for assign different IMFs to appropriateness certain linear, certain nonlinear, uncertain linear, and uncertain nonlinear components in decomposition based forecasting problems. The main purpose of this classification is to reduce the probability of the over-fitting problem and consequently to increase the generalization ability, in additional of deceasing the computational costs. Moreover, in this paper, an optimal weighting technique is proposed to find the relative importance of each component in order to yield the most accurate final predictions. On the other hand, the main motivation of the paper, in contrast to the regular decomposition based hybrid models in which components are blindly assigned to the models, is to develop a logical process to allocate components to the most appropriate model as well as optimally weighting them. Empirical results of crude oil prices and wind power forecasting indicate that despite of better performance of traditional parallel hybrid models in the training sample, the generalization ability of the proposed model in test sample is significantly higher than those hybrid models as well as its components in all considered benchmarks. The proposed model can averagely improve 64.86%, 61.93%, and 52.00% the accuracy of single linear, single nonlinear, and traditional hybrid non-decomposition; and 41.37%, 35.16%, and 32.63% the performance of single linear, single nonlinear, and traditional hybrid decomposition based models, respectively.     

A Petri Net-Based Heuristic Algorithm for Realizability of Target Refining Schedule for Oil Refinery

In discrete manufacturing, a just-in-time schedule is pursued so as to respond better to the market. It is also required in oil refinery. However, the existing techniques for short-term scheduling in oil refinery are based on the push production mode. This paper addresses the short-term scheduling problem for crude oil operations in a pull production way. A target refining schedule resulting from production planning is given as a constraint to make an executable schedule. The system is modeled by a timed hybrid Petri net. This model is structurally simple and can describe the dynamic behavior and all the constraints of the system without any difficulty. Based on the model, an efficient heuristic algorithm is proposed to test the realizability of a target refining schedule. If it is realizable, a feasible short-term schedule realizing it is created. A real-life industrial case study is presented to show the industrial application of the proposed method.     

Developing and assessing an intelligent forex rolling forecasting and trading decision support system for online e‐service

An effective foreign exchange (forex) trading decision is usually dependent on effective forex forecasting. In this study, an intelligent system framework integrating forex forecasting and trading decision is first proposed. Based on this framework, an advanced intelligent decision support system (DSS) incorporating a back‐propagation neural network (BPNN)‐based forex forecasting subsystem and Web‐based forex trading decision support subsystem is developed, which has been used to predict the directional change of daily forex rates and provide intelligent online decision support for financial institutions and individual investors. This article describes the forex forecasting and trading decision method, the system architecture, main functions, and operation of the developed DSS system. A comparative study is conducted between our developed system and others commonly used in order to assess the overall performance of the developed system. The assessment results show that our developed DSS outperforms some commonly used forex forecasting and trading decision systems and can provide intelligent e‐service for forex traders to make useful trading decisions in the forex market. © 2007 Wiley Periodicals, Inc. Int J Int Syst 22: 475–499, 2007.     

A hybrid approach for portfolio construction: Combing two-stage ensemble forecasting model with portfolio optimization

Combining the stock prediction with portfolio optimization can improve the performance of the portfolio construction. In this article, we propose a novel portfolio construction approach by utilizing a two-stage ensemble model to forecast stock prices and combining the forecasting results with the portfolio optimization. To be specific, there are two phases in the approach: stock prediction and portfolio optimization. The stock prediction has two stages. In the first stage, three neural networks, that is, multilayer perceptron (MLP), gated recurrent unit (GRU), and long short-term memory (LSTM) are used to integrate the forecasting results of four individual models, that is, LSTM, GRU, deep multilayer perceptron (DMLP), and random forest (RF). In the second stage, the time-varying weight ordinary least square model (OLS) is utilized to combine the first-stage forecasting results to obtain the ultimate forecasting results, and then the stocks having a better potential return on investment are chosen. In the portfolio optimization, a diversified mean-variance with forecasting model named DMVF is proposed, in which an average predictive error term is considered to obtain excess returns, and a 2-norm cost function is introduced to diversify the portfolio. Using the historical data from the Shanghai stock exchange as the study sample, the results of the experiments indicate the DMVF model with two-stage ensemble prediction outperforms benchmarks in terms of return and return-risk characteristics.     

基于双核嵌入式系统及ALN算法的智能气象站系统

现代工业控制领域和能源行业往往需要气象数据的支持,这些数据不仅包括实时采集的气象数据,而且包含了未来一段时间内的气象预测数据.提出一种基于OMAP-L138的ARM+DSP芯片并使用自适应线性逻辑网络(ALN)算法来实现具有预测功能的气象站系统.该系统可以通过三个月以上的历史数据训练出预测模型,并使用当前采集的气象数据作为预测模型的输入即可预测得到未来一段时间内的预测数据.     

一种改进的用于城市主干道行驶时间短时预测的自适应指数平滑(IAES)模型

短期行程时间预测对于智能交通系统来说至关重要. 本文首先回顾了交通短期预测模型研究现状并指出了它们的基本思想, 研究工作进展以及各种模型的优点和缺点. 为了克服原有的自适用指数平滑模型的缺点, 本文提出了一种改进的自适应指数平滑模型, 针对四条主干道车牌数据匹配数据, 对各种预测模型进行了正常交通状况和非正常交通状况的短期预测比较实验, 实验结果表明每一种模型都有优点和缺点, 而改进的自适应指数平滑模型的预测性能在短期行程时间预测方面表现了优于其它模型的独特特点, 并且能适用于各种交通状况．     

A portfolio selection model with borrowing constraint based on possibility theory

Compared with the conventional probabilistic mean-variance methodology, fuzzy number can better describe an uncertain environment with vagueness and ambiguity. In this paper, the portfolio selection model with borrowing constraint is proposed by means of possibilistic mean, possibilistic variance, and possibilistic covariance under the assumption that the returns of assets are fuzzy numbers. And a quadratic programming model with inequality constraints is presented when the returns of assets are trapezoid fuzzy numbers. Furthermore, Lemke algorithm is utilized to solve the model. Finally, a numerical example of the portfolio selection problem is given to illustrate our proposed effective means and variances. The results of the numerical example also show that the investor can make different decisions according to different requirements for the values of expected returns. And the efficient portfolio frontier of the model with borrowing constraints can be easily obtained.     

Mean-Entropy Models for Fuzzy Portfolio Selection

This short paper proposes two types of credibility-based fuzzy mean-entropy models. In the short paper, entropy is used as the measure of risk. The smaller the entropy value is, the less uncertainty the portfolio return contains, and thus, the safer the portfolio is. Furthermore, as a measure of risk, entropy is free from reliance on symmetrical distributions of security returns and can be computed from nonmetric data. In addition, the short paper compares the fuzzy mean-variance model with the fuzzy mean-entropy model in two special cases and presents a hybrid intelligent algorithm for solving the proposed models in general cases. To illustrate the effectiveness of the proposed algorithm, the short paper also provides two numerical examples.      

Diversified models for portfolio selection based on uncertain semivariance

Since the financial markets are complex, sometimes the future security returns are represented mainly based on experts’ estimations due to lack of historical data. This paper proposes a semivariance method for diversified portfolio selection, in which the security returns are given subjective to experts’ estimations and depicted as uncertain variables. In the paper, three properties of the semivariance of uncertain variables are verified. Based on the concept of semivariance of uncertain variables, two types of mean-semivariance diversified models for uncertain portfolio selection are proposed. Since the models are complex, a hybrid intelligent algorithm which is based on 99-method and genetic algorithm is designed to solve the models. In this hybrid intelligent algorithm, 99-method is applied to compute the expected value and semivariance of uncertain variables, and genetic algorithm is employed to seek the best allocation plan for portfolio selection. At last, several numerical examples are presented to illustrate the modelling idea and the effectiveness of the algorithm.     

An improved method for forecasting enrollments based on fuzzy time series and particle swarm optimization

Many forecasting models based on the concept of fuzzy time series have been proposed in the past decades. Two main factors, which are the lengths of intervals and the content of forecast rules, impact the forecasted accuracy of the models. How to find the proper content of the main factors to improve the forecasted accuracy has become an interesting research topic. Some forecasting models, which combined heuristic methods or evolutionary algorithms (such as genetic algorithms and simulated annealing) with the fuzzy time series, have been proposed but their results are not satisfied. In this paper, we use the particle swarm optimization to find the proper content of the main factors. A new hybrid forecasting model which combined particle swarm optimization with fuzzy time series is proposed to improve the forecasted accuracy. The experimental results of forecasting enrollments of students of the University of Alabama show that the new model is better than any existing models, and it can get better quality solutions based on the first-order and the high-order fuzzy time series, respectively.     

面向交通流量预测的时空超关系图卷积网络

交通流量预测是智能交通系统中的重要研究课题,然而,交通对象（如站点、传感器）之间存在的复杂局部时空关系使得这项研究颇具挑战。尽管以往的一些研究将流量预测问题转化为一个时空图预测问题从而取得了较大的进展,但是它们忽略了交通对象们跨时空维度的直接关联性。目前仍缺乏一种全面建模局部时空关系的方法。针对这一问题,首先提出一种新颖的时空超图建模方案,通过构造一种时空超关系来全面地建模复杂的局部时空关系;然后提出一种时空超关系图卷积网络（STHGCN）预测模型来捕获这些关系用于交通流量预测。在四个公开交通数据集上进行了大量对比实验,结果表明,相比ASTGCN、时空同步图卷积网络（STSGCN）等时空预测模型,STHGCN在均方根误差（RMSE）、平均绝对误差（MAE）、平均绝对百分比误差（MAPE）这三个评价指标上均取得了更优的结果,不同模型运行时间的对比结果也表明,STHGCN有着更高的推理速度。     

A portfolio optimization model using Genetic Network Programming with control nodes

Many evolutionary computation methods applied to the financial field have been reported. A new evolutionary method named “Genetic Network Programming” (GNP) has been developed and applied to the stock market recently. The efficient trading rules created by GNP has been confirmed in our previous research. In this paper a multi-brands portfolio optimization model based on Genetic Network Programming with control nodes is presented. This method makes use of the information from technical indices and candlestick chart. The proposed optimization model, consisting of technical analysis rules, are trained to generate trading advice. The experimental results on the Japanese stock market show that the proposed optimization system using GNP with control nodes method outperforms other traditional models in terms of both accuracy and efficiency. We also compared the experimental results of the proposed model with the conventional GNP based methods, GA and Buy&Hold method to confirm its effectiveness, and it is clarified that the proposed trading model can obtain much higher profits than these methods.     

电力负荷预估的神经网络正则化及其应用

电力负荷预估是目前世界上公认的解决电力资源合理配置的有效措施．而负荷时序预测是实现智能电力系统的关键技术，是一个非常复杂的问题，该问题的解决要求应用大型神经网络．对于庞大的网络，正则化非常重要，需要特别关注，才能实现网络的实用性．为了解决这个问题，我们提出了基于OBD模式的神经网络正则化算法，算法的核心是海森（Hessian）矩阵获取与迭代；讨论了基于该模型的电力负荷预估数值结果．这些结论表明：本文提出的正则化方法的应用有效改善了电力负荷预估的精度．     

A neural network ensemble method with jittered training data for time series forecasting

Improving forecasting especially time series forecasting accuracy is an important yet often difficult task facing decision makers in many areas. Combining multiple models can be an effective way to improve forecasting performance. Recently, considerable research has been taken in neural network ensembles. Most of the work, however, is devoted to the classification type of problems. As time series problems are often more difficult to model due to issues such as autocorrelation and single realization at any particular time point, more research is needed in this area.In this paper, we propose a jittered ensemble method for time series forecasting and test its effectiveness with both simulated and real time series. The central idea of the jittered ensemble is adding noises to the input data and thus augments the original training data set to form models based on different but related training samples. Our results show that the proposed method is able to consistently outperform the single modeling approach with a variety of time series processes. We also find that relatively small ensemble sizes of 5 and 10 are quite effective in forecasting performance improvement.     

Modified diffusion model with multiple products using a hybrid GA approach

As technology advances, the speed in which new products are developed also increases. Due to such increases, product forecasting has become much more vital for a company. The Bass diffusion model is a demand-forecast model that explores the phases of a product’s life cycle that have been successful in the diffusion of forecasting innovation in new products. Recognizing the need for an efficient parameter estimation method for multi-product forecasting, we have conducted research using the hybrid genetic algorithm (HGA). The research conducted will provide an alternate approach to explore the forecasting capability of the diffusion models without having as many limitations as the original method. We used both published data and LCD-monitor global sales data to test and verify our method. Results show that the proposed model using a hybrid GA approach can improve the forecasting efficiency.     

A hybrid grid-GA-based LSSVR learning paradigm for crude oil price forecasting

In order to effectively model crude oil spot price with inherently high complexity, a hybrid learning paradigm integrating least squares support vector regression (LSSVR) with a hybrid optimization searching approach for the parameters selection in the LSSVR [consisting of grid method and genetic algorithm (GA)], i.e., a hybrid grid-GA-based LSSVR model, is proposed in this study. In the proposed hybrid learning paradigm, the grid method, a simple but efficient searching method, is first applied to roughly but rapidly determine the proper boundaries of the parameters in the LSSVR; then, the GA, an effective and powerful intelligent searching algorithm, is further implemented to select the most suitable parameters. For illustration and verification, the proposed learning paradigm is used to predict the crude oil spot prices of the West Texas Intermediate and the Brent markets. The empirical results demonstrate that the proposed hybrid grid-GA-based LSSVR learning paradigm can outperform its benchmarking models (including some popular forecasting techniques and similar LSSVRs with other parameter searching algorithms) in terms of both prediction accuracy and time-savings, indicating that it can be utilized as one effective forecasting tool for crude oil price with high volatility and irregularity.     

组合粗糙集和支持向量回归的船舶交通流预测

影响交通流变化的因素众多,为改进传统的船舶交通流预测精度不高,一种结合粗糙集和支持向量回归智能算法的交通流预测模型提出,通过ROSETTA软件进行属性约简预处理,筛选出影响交通流变化的关键影响因素,剔除冗余信息。筛选结果显示外轮进出艘次、对外贸易总额、港口GDP、集装箱标准箱、港口货物吞吐量为输入变量,运用Libsvm软件构建基于遗传算法参数寻优的支持向量回归模型预测2008年和2009年的交通流。算例结果表明,与BP神经网络和SVM模型相比,组合预测模型是有效和实用的预测工具。     

Multiobjective portfolio optimization of ARMA–GARCH time series based on experimental designs

The modern portfolio theory has been trying to determine how an investor might allocate assets among the possible investments options. Since the seminal contribution provided by Harry Markowitz’s theory of portfolio selection, several other tools and procedures have been proposed to deal with return-risk trade-off. Furthermore, diversification across sources of returns and risks based on entropy indexes is another pivotal aspect in portfolio management. An efficient approach to model these portfolio properties with the proportion of each asset can be obtained according to mixture design of experiments. Desirability method can be applied to optimize this nonlinear multiobjective problem. Nevertheless, a tuning procedure is required, since preference articulation parameters in desirability algorithm are unknown a priori. As a result, a computer-aided desirability tuning method is proposed to find an optimal portfolio with time series of returns and risks modeled by ARMA–GARCH models. To assess the proposal feasibility, the method is tested with a heteroskedastic dataset formed by weekly world crude oil spot prices and returns. Computer-aided desirability tuning was able to enhance the global desirability by 79% in relation to the result with no tuning procedure.     

Integrating AI planning techniques with workflow management system

There is a variety of applications that can benefit from the ability to find optimal or good solutions to a proposed problem, automatically. The artificial intelligent (AI) community has been actively involved in efficient problem-solving in complex domains such as military or spacecraft problems with successful results. In this paper, we describe the integration of AI planning techniques with an existing workflow management system. We show how these techniques can improve the overall system functionality and help automate the definition of business processes. The work is based on a short study carried out at BT research laboratories as part of a larger programme that aims to provide technologies for a new generation of business support systems.