GARCH prediction using spline wavelet support vector machine

Clustered microcalcifications (MCs) in mammograms are an important early sign of breast cancer in women. Their accurate detection is important in computer-aided detection (CADe). In this paper, we integrated the possibilistic fuzzy c-means (PFCM) clustering algorithm and weighted support vector machine (WSVM) for the detection of MC clusters in full-field digital mammograms (FFDM). For each image, suspicious MC regions are extracted with region growing and active contour segmentation. Then geometry and texture features are extracted for each suspicious MC, a mutual information-based supervised criterion is used to select important features, and PFCM is applied to cluster the samples into two clusters. Weights of the samples are calculated based on possibilities and typicality values from the PFCM, and the ground truth labels. A weighted nonlinear SVM is trained. During the test process, when an unknown image is presented, suspicious regions are located with the segmentation step, selected features are extracted, and the suspicious MC regions are classified as containing MC or not by the trained weighted nonlinear SVM. Finally, the MC regions are analyzed with spatial information to locate MC clusters. The proposed method is evaluated using a database of 410 clinical mammograms and compared with a standard unweighted support vector machine (SVM) classifier. The detection performance is evaluated using response receiver operating (ROC) curves and free-response receiver operating characteristic (FROC) curves. The proposed method obtained an area under the ROC curve of 0.8676, while the standard SVM obtained an area of 0.8268 for MC detection. For MC cluster detection, the proposed method obtained a high sensitivity of 92 % with a false-positive rate of 2.3 clusters/image, and it is also better than standard SVM with 4.7 false-positive clusters/image at the same sensitivity.

The major topic investigates how classical methods (ARCH and GARCH) and well-known machine learning algorithms, support vector regression, and hybrid methods. This paper aims to predict and forecast volatility to develop a two-stage forecasting approach the volatility of the Amman Stock Exchange Index (ASE) effectively. Additionally, the effectiveness of the machine learning techniques’ selection and utilization of information in stock data is evaluated. Methods the semiparametric estimating technique known as support vector regression (SVR) has been widely used for the prediction of volatility in financial time series. By integrating SVR with the GARCH model (GARCH-SVR) application with various kernels (Radial Basis Kernel Function (RBF), Polynomial Kernel Function (PF), and linear Kernel Function (lF)). The suggested learning approaches are compared to two well-known statistical time series models, Autoregressive Conditional Heteroskedasticity (ARCH) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH), in order to assess the assertion that they can properly anticipate ASE volatility. To compare their results, RMSE is employed as an error metric. There is evidence that the GARCH-SVR model performs best for predicting volatility time series, and classical volatility model techniques have an enormous predictive performance better than machine learning models.

In this paper, we propose M-estimator based robust kernels for support vector machine. The main motivation for our proposed kernels is that the sum of squared difference in the widely used Gaussian radial basis function kernels is not robust to outlier or noise. In addition, inspired by using a robust loss function in support vector machine regression to control training error and the idea of robust template matching with M-estimator, we apply M-estimator techniques to Gaussian radial basis functions and form a new class of robust kernels for support vector machines. We test our proposed kernels in several classification benchmark datasets and experimental results show that SVM with proposed kernels are better than SVM with Gaussian radial basis function kernels.

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

We propose a method for improving the predictive ability of standard forecasting models used in financial economics. Our approach is based on the functional partial least squares (FPLS) model, which is capable of avoiding multicollinearity in regression by efficiently extracting information from the high‐dimensional market data. By using its well‐known ability, we can incorporate auxiliary variables that improve the predictive accuracy. We provide an empirical application of our proposed methodology in terms of its ability to predict the conditional average log return and the volatility of crude oil prices via exponential smoothing, Bayesian stochastic volatility, and GARCH (generalized autoregressive conditional heteroskedasticity) models, respectively. In particular, what we call functional data analysis (FDA) traces in this article are obtained via the FPLS regression from both the crude oil returns and auxiliary variables of the exchange rates of major currencies. For forecast performance evaluation, we compare out‐of‐sample forecasting accuracy of the standard models with FDA traces to the accuracy of the same forecasting models with the observed crude oil returns, principal component regression (PCR), and least absolute shrinkage and selection operator (LASSO) models. We find evidence that the standard models with FDA traces significantly outperform our competing models. Finally, they are also compared with the test for superior predictive ability and the reality check for data snooping. Our empirical results show that our new methodology significantly improves predictive ability of standard models in forecasting the latent average log return and the volatility of financial time series.

The modeling of high-frequency volatility is of utmost importance in comprehending market dynamics and the characteristics of risk. The adoption of high-frequency volatility modeling in the agricultural sector has the potential to enhance risk management for food production enterprises through the utilization of hedging strategies to mitigate the impact of food price changes. The GARCH (Generalized Autoregressive Conditional Heteroskedasticity) class of models is well-suited for the analysis and prediction of volatility in financial time series. These models effectively capture the highest level of volatility observed in the time series data. Therefore, this research utilizes one-minute trade data of the Wind Agriculture Index (886045.WI) to examine the efficacy and predictability of several GARCH class volatility models. When it comes to fitting the data within the sample, the TGARCH model demonstrates superior performance compared to both the GARCH and EGARCH models. The fluctuations in the price changes of the Wind Agriculture Index exhibit characteristics of time variability and clustering, which can be attributed to the relatively low barriers for entry and exit in the agricultural planting sector. Simultaneously, within the agricultural market, an imbalance is observed whereby the influence of positive information on price volatility surpasses that of negative information.

Summary We propose a new generalized autoregressive conditional heteroscedastic (GARCH) model with tree-structured multiple thresholds for the estimation of volatility in financial time series. The approach relies on the idea of a binary tree where every terminal node parameterizes a (local) GARCH model for a partition cell of the predictor space. The fitting of such trees is constructed within the likelihood framework for non-Gaussian observations: it is very different from the well-known regression tree procedure which is based on residual sums of squares. Our strategy includes the classical GARCH model as a special case and allows us to increase model complexity in a systematic and flexible way. We derive a consistency result and conclude from simulation and real data analysis that the new method has better predictive potential than other approaches.

A Bayesian conditional autoregressive geometric process model for range data

In this paper, we propose M-estimator based robust kernels for support vector machine. The main motivation for our proposed kernels is that the sum of squared difference in the widely used Gaussian radial basis function kernels is not robust to outlier or noise. In addition, inspired by using a robust loss function in support vector machine regression to control training error and the idea of robust template matching with M-estimator, we apply M-estimator techniques to Gaussian radial basis functions and form a new class of robust kernels for support vector machines. We test our proposed kernels in several classification benchmark datasets and experimental results show that SVM with proposed kernels are better than SVM with Gaussian radial basis function kernels.

Support vector machine (SVM) is a supervised machine learning approach that was recognized as a statistical learning apotheosis for the small-sample database. SVM has shown its excellent learning and generalization ability and has been extensively employed in many areas. This paper presents a performance analysis of six types of SVMs for the diagnosis of the classical Wisconsin breast cancer problem from a statistical point of view. The classification performance of standard SVM (St-SVM) is analyzed and compared with those of the other modified classifiers such as proximal support vector machine (PSVM) classifiers, Lagrangian support vector machines (LSVM), finite Newton method for Lagrangian support vector machine (NSVM), Linear programming support vector machines (LPSVM), and smooth support vector machine (SSVM). The experimental results reveal that these SVM classifiers achieve very fast, simple, and efficient breast cancer diagnosis. The training results indicated that LSVM has the lowest accuracy of 95.6107 %, while St-SVM performed better than other methods for all performance indices (accuracy = 97.71 %) and is closely followed by LPSVM (accuracy = 97.3282). However, in the validation phase, the overall accuracies of LPSVM achieved 97.1429 %, which was superior to LSVM (95.4286 %), SSVM (96.5714 %), PSVM (96 %), NSVM (96.5714 %), and St-SVM (94.86 %). Value of ROC and MCC for LPSVM achieved 0.9938 and 0.9369, respectively, which outperformed other classifiers. The results strongly suggest that LPSVM can aid in the diagnosis of breast cancer.

This paper will study insurance data clustering using Support Vector Machine (SVM) approaches. It investigates the optimum condition employing the three most popular kernels of SVM, i.e., linear, polynomial, and radial basis kernel. To explore sum insured datasets, kernel comparisons for Root Mean Square Error (RMSE) and density analysis have been provided. It employs these kernels to classify based on sum insured datasets. The objective of this research is to demonstrate to industrial researchers that data grouping may be accomplished in an organized, error-free, and efficient manner utilizing R programming and the SVM approach. In this study, we check the insurance data for the sum insured with statistical methods in the form of Model Performance Evaluation (MPE), Receiver Operating Characteristics (ROC), Area Under Curve (AUC), partial AUC (pAUC), smoothing, confidence intervals, and thresholds. Then, sum insured data are followed up to classify using SVM kernels. This paper finds new ideas for evaluating insurance data using the SVM approach with multiple kernels. This novel research emphasizes the statistical analysis methods for insurance data and uses the SVM method for more accurate data classification. Finally, it informs that this research is a pure finding, and there has never been any research on this subject. This research was conducted using the sum insured data as a sample from the Office of the Insurance Commission (OIC) in Thailand as an independent insurance institution providing actual data. Doi: 10.28991/ESJ-2022-06-04-014 Full Text: PDF

Introduction Intrinsically disordered proteins occur when the deformations happen in the tertiary structure of a protein. Disordered proteins play an important role in DNA/RNA/protein recognition, modulation of specificity/affinity of protein binding, molecular threading, activation by cleavage. The aim of the study is the identification of ordered-disordered protein which is a very challenging problem in bioinformatics. Methods In this paper, this kind of proteins is classified by using linear and kernel (nonlinear) support vector machines (SVM). Results Overall accuracy rate of linear SVM and kernel SVM in identifying the ordered-disordered proteins are 86.54% and 94.23%, respectively. Discussion and conclusion Since kernel SVM gives the best discriminating scheme, it can be referred that it is a very satisfying method to identify ordered-disordered structures of proteins.

In the past two decades, Support Vector Machine (SVM) has become one of the most famous classification techniques. The optimal parameters in an SVM kernel are normally obtained by cross validation, which is a time-consuming process. In this paper, we propose to learn the parameters in an SVM kernel while solving the dual optimization problem. The new optimization problem can be solved iteratively as follows: (a) Fix the parameters in an SVM kernel; solve the variables αi in the dual optimization problem. (b) Fix the variables αi; solve the parameters in an SVM kernel by using the Newton-Raphson method. It can be shown that (a) can be optimized by using standard methods in training the SVM, while (b) can be solved iteratively by using the Newton-Raphson method. Experimental results conducted in this paper show that our proposed technique is feasible in practical pattern recognition applications.

This study aims at designing an efficient combinatorial classifier, which fuses linear discriminant analysis (LDA) and kernel support vector machine (SVM) classifiers. The proposed method is called kernel SVM-LDA which benefits from global property of LDA, simultaneous with localized capability of SVM along with mapping ability of RBF kernel to project input data into a more separable high dimensional space. To assess the proposed scheme, Kernel SVM-LDA was applied to some standard datasets derived from UCI database and then compared to standard LDA and kernel SVM classifiers. Kernel SVM-LDA was also employed in cue-based brain computer interface to classify the left and right imagery movements. The results indicate that the introduced method is more superior to that of LDA and kernel SVM because it surpasses the counterparts in terms of robustness, complexity and performance.

SummaryWe propose a flexible generalized auto-regressive conditional heteroscedasticity type of model for the prediction of volatility in financial time series. The approach relies on the idea of using multivariate B-splines of lagged observations and volatilities. Estimation of such a B-spline basis expansion is constructed within the likelihood framework for non-Gaussian observations. As the dimension of the B-spline basis is large, i.e. many parameters, we use regularized and sparse model fitting with a boosting algorithm. Our method is computationally attractive and feasible for large dimensions. We demonstrate its strong predictive potential for financial volatility on simulated and real data, and also in comparison with other approaches, and we present some supporting asymptotic arguments.