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Number of results: 32
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Abstract

This paper describes a forecasting exercise of close-to-open returns on major global stock indices, based on high-frequency price patterns that have become available in foreign markets overnight. Generally speaking, out-of-sample forecast performance depends on the forecast method as well as the information that the forecasts are based on. In this paper both aspects are considered. The fact that the close-to-open gap is a scalar response variable to a functional variable, namely an overnight foreign price pattern, brings the prediction exercise in the realm of functional data analysis. Both parametric and non-parametric functional data analysis are considered, and compared with a simple linear benchmark model. The information set is varied by dividing global markets into three clusters, Asia-Pacific, Europe and North-America, and including or excluding price patterns on a per-cluster basis. The overall best performing forecast is nonparametric using all available information, suggesting the presence of nonlinear relations between the overnight price patterns and the opening gaps.
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Abstract

The purpose of this paper is to model daily returns of the WIG20 index. The idea is to consider a model that explicitly takes changes in the amplitude of the clusters of volatility into account. This variation is modelled by a positive-valued deterministic component. A novelty in specification of the model is that the deterministic component is specified before estimating the multiplicative conditional variance component. The resulting model is subjected to misspecification tests and its forecasting performance is compared with that of commonly applied models of conditional heteroskedasticity.
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Abstract

Forecasting and analysis SWOT are helping tools in the business activity, because under conditions of dynamic changes in both closer and more distant surroundings, reliable, forward-looking information and trends analysis are playing a decisive role. At present, the ability to use available data in forecasting and other analyzes according with changes in business environment are the key managerial skills required, since both forecasting and SWOT analysis are a integral part of the management process, and the appropriate level of forecasting knowledge is increasingly appreciated. Examples of practical use of some forecasting methods in optimization of the procurement, production and distribution processes in foundries are given. The possibilities of using conventional quantitative forecasting methods based on econometric and adaptive models applying the creep trend and harmonic weights are presented. The econometric models were additionally supplemented with the presentation of error estimation methodology, quality assessment and statistical verification of the forecast. The possibility of using qualitative forecasts based on SWOT analysis was also mentioned.
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Abstract

Conducting reliable and credible evaluation and statistical interpretation of empirical results related to the operation of production systems in foundries is for most managers complicated and labour-intensive. Additionally, in many cases, statistical evaluation is either ignored and considered a necessary evil, or is completely useless because of improper selection of methods and subsequent misinterpretation of the results. In this article, after discussing the key elements necessary for the proper selection of statistical methods, a wide spectrum of these methods has been presented, including regression analysis, uni- and multivariate correlation, one-way analysis of variance for factorial designs, and selected forecasting methods. Each statistical method has been illustrated with numerous examples related to the foundry practice.
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Abstract

The aim of the study was to evaluate the possibility of applying different methods of data mining to model the inflow of sewage into the municipal sewage treatment plant. Prediction models were elaborated using methods of support vector machines (SVM), random forests (RF), k-nearest neighbour (k-NN) and of Kernel regression (K). Data consisted of the time series of daily rainfalls, water level measurements in the clarified sewage recipient and the wastewater inflow into the Rzeszow city plant. Results indicate that the best models with one input delayed by 1 day were obtained using the k-NN method while the worst with the K method. For the models with two input variables and one explanatory one the smallest errors were obtained if model inputs were sewage inflow and rainfall data delayed by 1 day and the best fit is provided using RF method while the worst with the K method. In the case of models with three inputs and two explanatory variables, the best results were reported for the SVM and the worst for the K method. In the most of the modelling runs the smallest prediction errors are obtained using the SVM method and the biggest ones with the K method. In the case of the simplest model with one input delayed by 1 day the best results are provided using k-NN method and by the models with two inputs in two modelling runs the RF method appeared as the best.
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Abstract

Accurate prediction of power load plays a crucial role in the power industry and provides economic operation decisions for the power operation department. Due to the unpredictability and periodicity of power load, an improved method to deal with complex nonlinear relation was adopted, and a short-term load forecasting model combining FEW (fuzzy exponential weighting) and IHS (improved harmonic search) algorithms was proposed. Firstly, the domain space was defined, the harmony memory base was initialized, and the fuzzy logic relation was identified. Then the optimal interval length was calculated using the training sample data, and local and global optimum were updated by optimization criteria and judging criteria. Finally, the optimized parameters obtained by an IHS algorithm were applied to the FEW model and the load data of the Huludao region (2013) in Northeast China in May. The accuracy of the proposed model was verified using an evaluation criterion as the fitness function. The results of error analysis show that the model can effectively predict short-term power load data and has high stability and accuracy, which provides a reference for application of short-term prediction in other industrial fields.
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