{"title":"Mean-Reverting Portfolio Optimization via a Surrogate Risk Measure - Conditional Desirability Value at Risk","authors":"I. Boduroglu, Bartu Köksal","doi":"10.1007/978-3-030-92604-5_14","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_14","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129914527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Channel State Information Variability in BLE Positioning Measurements","authors":"Daniel Marek, K. Grochla, J. Duda","doi":"10.1007/978-3-030-92604-5_26","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_26","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117229230","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Blockchain-Based Smart Contracts Use for Photovoltaic Energy Trade Transactions","authors":"Chol Hyun Park, G. Chmaj, H. Selvaraj","doi":"10.1007/978-3-030-92604-5_15","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_15","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134604978","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Chaotic Chua’s Circuit’s Parameter Estimation Using Composite Identifier and Indirect Adaptive Output Regulation","authors":"Keum W. Lee, Sahjendra N. Singh","doi":"10.1007/978-3-030-92604-5_16","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_16","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"110 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131323461","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Mathematical Model of Multi-wave Pandemic COVID-19","authors":"S. Barton","doi":"10.1007/978-3-030-92604-5_33","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_33","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123944006","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Reducing Compound Degree for Optimum Linear Decomposition of Symmetric Index Generation Function","authors":"T. Mazurkiewicz","doi":"10.1007/978-3-030-92604-5_1","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_1","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125163519","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Investigating the Closer Running of Rail Vehicles for Better Network Utilisation","authors":"James E. Pickering, George Gerrish, K. Burnham","doi":"10.1007/978-3-030-92604-5_21","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_21","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121977506","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Towards an Extension and Normalization of the Random Vector Anisotropy Magnitude","authors":"K. Chernyshov","doi":"10.1007/978-3-030-92604-5_18","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_18","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125946471","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"SBQP: Towards a Semantic-Based Query Processing for Efficient Mediation Caching","authors":"Ouafa Ajarroud, A. Zellou","doi":"10.1007/978-3-030-92604-5_42","DOIUrl":"https://doi.org/10.1007/978-3-030-92604-5_42","url":null,"abstract":"","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125906137","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
L. Jakaite, M. Ciemny, Stanislav Selitskiy, V. Schetinin
{"title":"GMDH-type Neural Networks for Predicting Financial Time Series: A Study of Informational Efficiency of Stock Markets","authors":"L. Jakaite, M. Ciemny, Stanislav Selitskiy, V. Schetinin","doi":"10.21203/rs.3.rs-1017105/v1","DOIUrl":"https://doi.org/10.21203/rs.3.rs-1017105/v1","url":null,"abstract":"\u0000 A theory of Efficient Market Hypothesis (EMH) has been introduced by Fama to analyse financial markets. In particular the EMH theory has been proven in real cases under different conditions, including financial crises and frauds. The EMH assumes to examine the prediction accuracy of models designed on retrospective data. Such prediction models could be designed in different ways that motivated us to explore Machine Learning (ML) methods known for building models providing a high prediction performance. In this study we propose a ``deep'' learning method for building high-performance prediction models. The proposed method is based on the Group Method of Data Handling (GMDH) that is the deep learning paradigm capable of building multilayer neural-network models of a near-optimal complexity on given data. We show that the developed GMDH-type neural network has outperformed the models built by the conventional ML methods on the Warsaw Stock Exchange data. It is important that the complexity of the designed GMDH-type neural-networks is defined by the number of layers and connections between neurons. The performances of models were compared in terms of the prediction errors. We report a significantly smaller prediction error of the proposed method than that of the conventional autoregressive and \"shallow’’ neural-network models. This finally allows us to conclude that traders will be advantaged by the proposed method.","PeriodicalId":193620,"journal":{"name":"Advances in Systems Engineering","volume":"46 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-11-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115658760","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}