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Full-Text Articles in Computer Engineering

Automatic Speech Recognition For Air Traffic Control Using Convolutional Lstm, Sakshi Nakashe May 2024

Automatic Speech Recognition For Air Traffic Control Using Convolutional Lstm, Sakshi Nakashe

Electronic Theses, Projects, and Dissertations

The need for automatic speech recognition in air traffic control is critical as it enhances the interaction between the computer and human. Speech recognition helps to automatically transcribe the communication between the pilots and the air traffic controllers, which reduces the time taken for administrative tasks. This project aims to provide improvement to the Automatic Speech Recognition (ASR) system for air traffic control by investigating the impact of convolution LSTM model on ASR as suggested by previous studies. The research questions are: (Q1) Comparing the performance of ConvLSTM with other conventional models, how does ConvLSTM perform with respect to recognizing …


Short-Term Bus Passenger Flow Prediction Based On Convolutional Long-Short-Term Memory Network, Jing Chen, Zhaochong Zhang, Linkai Wang, Mai An, Wei Wang Feb 2024

Short-Term Bus Passenger Flow Prediction Based On Convolutional Long-Short-Term Memory Network, Jing Chen, Zhaochong Zhang, Linkai Wang, Mai An, Wei Wang

Journal of System Simulation

Abstract: To address the problem that the traditional short-time passenger flow prediction method does not consider the temporal characteristics similarity between the inter-temporal passenger flows, a shorttime passenger flow prediction model k-CNN-LSTM is proposed by combining the improved k-means clustering algorithm with the CNN and the LSTM. The k-means is used to cluster the intertemporal timeseries data, the k-value is determined by using the gap-statistic, and a traffic flow matrix model is constructed. A CNN-LSTM network is used to process the short-time passenger flows with spatial and temporal characteristics. The model is tested and parameter tuned by the real dataset. …


Brain-Inspired Spatio-Temporal Learning With Application To Robotics, Thiago André Ferreira Medeiros Dec 2023

Brain-Inspired Spatio-Temporal Learning With Application To Robotics, Thiago André Ferreira Medeiros

USF Tampa Graduate Theses and Dissertations

The human brain still has many mysteries and one of them is how it encodes information. The following study intends to unravel at least one such mechanism. For this it will be demonstrated how a set of specialized neurons may use spatial and temporal information to encode information. These neurons, called Place Cells, become active when the animal enters a place in the environment, allowing it to build a cognitive map of the environment. In a recent paper by Scleidorovich et al. in 2022, it was demonstrated that it was possible to differentiate between two sequences of activations of a …


Neutrosophic Adaptive Lsb And Deep Learning Hybrid Framework For Ecg Signal Classification, Abdallah Rezk, Ahmed S. Sakr, H. M. Abdulkader Sep 2023

Neutrosophic Adaptive Lsb And Deep Learning Hybrid Framework For Ecg Signal Classification, Abdallah Rezk, Ahmed S. Sakr, H. M. Abdulkader

Applied Mathematics & Information Sciences

This paper proposes a novel hybrid framework for ECG signal classification and privacy preservation. The framework includes two phases: the first phase uses LSTM+CNN with attention gate for ECG classification, while the second phase utilizes adaptive least signal bit with neutrosophic for hiding important data during transmission. The proposed framework converts data into three sets of degrees (true, false, and intermediate) using neutrosophic and passes them to an embedding layer. In the sender part, the framework hides important data in ECG signal as true and false degrees, using the intermediate set as a shared dynamic key between sender and receiver. …


Proposed Mitigation Framework For The Internet Of Insecure Things, Mahmoud M. Elgindy, Sally M. Elghamrawy, Ali I. El-Desouky Apr 2023

Proposed Mitigation Framework For The Internet Of Insecure Things, Mahmoud M. Elgindy, Sally M. Elghamrawy, Ali I. El-Desouky

Mansoura Engineering Journal

Intrusion detection systems IDS are increasingly utilizing machine learning methods. IDSs are important tools for ensuring the security of network data and resources. The Internet of Things (IoT) is an expanding network of intelligent machines and sensors. However, they are vulnerable to attackers because of the ubiquitous and extensive IoT networks. Datasets from intrusion detection systems (IDS) have been analyzed deep learning methods such as Bidirectional long-short term memory (BiLSTM). This research presents an BiLSTM intrusion detection framework with Principal Component Analysis PCA (PCA-LSTM-IDS). The PCA-LSTM-IDS is comprised of two layers: extracting layer which using PCA, and the anomaly BiLSTM …


Trajectory Control Of Crawler Robot Based On Lstm And Smc, Dongyang Liu, Wenwen Zha, Liang Tao, Cheng Zhu, Lichuan Gu, Jun Jiao Apr 2023

Trajectory Control Of Crawler Robot Based On Lstm And Smc, Dongyang Liu, Wenwen Zha, Liang Tao, Cheng Zhu, Lichuan Gu, Jun Jiao

Journal of System Simulation

Abstract: Trajectory tracking is an important part of mobile robot control technology and possesses prospect. Highly nonlinear dynamic characteristics are the main obstacles of controller design. A SMC method based on LSTM and quasi-sliding mode is proposed. The kinematics model and dynamics model of the tracked vehicle are given, and the sliding mode control system is established based on the dynamics model. LSTM network based on deep learning method is designed to control and compensate the unknown interference items, reduce the influence of external interference, and reduce the tremor phenomenon by combining the advantages of LSTM network and quasi-sliding …


Comprehensive Wind Speed Forecasting-Based Analysis Of Stacked Stateful & Stateless Models, Swayamjit Saha, Amogu Uduka, Hunter Walt, James Lucore Feb 2023

Comprehensive Wind Speed Forecasting-Based Analysis Of Stacked Stateful & Stateless Models, Swayamjit Saha, Amogu Uduka, Hunter Walt, James Lucore

Graduate Research Symposium

Wind speed is a powerful source of renewable energy, which can be used as an alternative to the non-renewable resources for production of electricity. Renewable sources are clean, infinite and do not impact the environment negatively during production of electrical energy. However, while eliciting electrical energy from renewable resources viz. solar irradiance, wind speed, hydro should require special planning failing which may result in huge loss of labour and money for setting up the system. In this poster, we discuss four deep recurrent neural networks viz. Stacked Stateless LSTM, Stacked Stateless GRU, Stacked Stateful LSTM and Statcked Stateful GRU which …


Bilstm−Bigru: A Fusion Deep Neural Network For Predicting Air Pollutant Concentration, Prasanjit Dey, Soumyabrata Dev, Bianca Schoen-Phelan Jan 2023

Bilstm−Bigru: A Fusion Deep Neural Network For Predicting Air Pollutant Concentration, Prasanjit Dey, Soumyabrata Dev, Bianca Schoen-Phelan

Conference papers

Predicting air pollutant concentrations is an efficient way to prevent incidents by providing early warnings of harmful air pollutants. A precise prediction of air pollutant concentrations is an important factor in controlling and preventing air pollution. In this paper, we develop a bidirectional long-short-term memory and a bidirectional gated recurrent unit (BiLSTM−BiGRU) to predict PM 2.5 concentrations in a target city for different lead times. The BiLSTM extracts preliminary features, and the BiGRU further extracts deep features from air pollutant and meteorological data. The fully connected (FC) layer receives the output and makes an accurate prediction of the PM 2.5 …


Incorporating Novel Sensors For Reading Human Health State And Motion Intent Into Real-Time Computing Systems, Adam Sawyer Jan 2023

Incorporating Novel Sensors For Reading Human Health State And Motion Intent Into Real-Time Computing Systems, Adam Sawyer

Masters Theses

"Integrating sensors that read states of the human body into everyday life is an increasing desire, especially with the rise of deep learning which requires vast stores of data to make predictions. This work explores integrating these sensors into the human experience through two methods and recording the results. The first of these methods integrates a MXene based field-effect transistor sensor for the 2019-nCov spike protein with a mobile app. This allows the user to read how saturated their breath is with Covid-19. The second method integrates 3D-printed pressure sensors, and a motion capture system, into a glove to read …


Machine Learning Approach To Investigate Ev Battery Characteristics, Shayan Falahatdoost Dec 2022

Machine Learning Approach To Investigate Ev Battery Characteristics, Shayan Falahatdoost

Major Papers

The main factor influencing an electric vehicle’s range is its battery. Battery electric vehicles experience driving range reduction in low temperatures. This range reduction results from the heating demand for the cabin and recuperation limits by the braking system. Due to the lack of an internal combustion engine-style heat source, electric vehicles' heating system demands a significant amount of energy. This energy is supplied by the battery and results in driving range reduction. Moreover, Due to the battery's low temperature in cold weather, the charging process through recuperation is limited. This limitation of recuperation is caused by the low reaction …


Diacritics Correction In Turkish With Context-Aware Sequence To Sequence Modeling, Asi̇ye Tuba Özge, Özge Bozal, Umut Özge Sep 2022

Diacritics Correction In Turkish With Context-Aware Sequence To Sequence Modeling, Asi̇ye Tuba Özge, Özge Bozal, Umut Özge

Turkish Journal of Electrical Engineering and Computer Sciences

Digital texts in many languages have examples of missing or misused diacritics which makes it hard for natural language processing applications to disambiguate the meaning of words. Therefore, diacritics restoration is a crucial step in natural language processing applications for many languages. In this study we approach this problem as bidirectional transformation of diacritical letters and their ASCII counterparts, rather than unidirectional diacritic restoration. We propose a context-aware character-level sequence to sequence model for this transformation. The model is language independent in the sense that no language-specific feature extraction is necessary other than the utilization of word embeddings and is …


A New Approach For Congestive Heart Failure And Arrhythmia Classification Using Downsampling Local Binary Patterns With Lstm, Süleyman Akdağ, Fatma Kuncan, Yilmaz Kaya Sep 2022

A New Approach For Congestive Heart Failure And Arrhythmia Classification Using Downsampling Local Binary Patterns With Lstm, Süleyman Akdağ, Fatma Kuncan, Yilmaz Kaya

Turkish Journal of Electrical Engineering and Computer Sciences

Electrocardiogram (ECG) is a vital diagnosis approach for the rapid explication and detection of various heart diseases, especially cardiac arrest, sinus rhythms, and heart failure. For this purpose, in this study, a different perspective based on downsampling one-dimensional-local binary pattern (1D-DS-LBP) and long short-term memory (LSTM) is presented for the categorization of Electrocardiogram (ECG) signals. A transformation method named 1DDS-LBP has been presented for Electrocardiogram signals. The 1D-DS-LBP method processes the bigness smallness relationship between neighbors. According to the proposed method, by downsampling the signal, the histograms of 1D local binary patterns (1D-LBP) calculated from the obtained signal groups are …


Adding Temporal Information To Lidar Semantic Segmentation For Autonomous Vehicles, Mohammed Anany Jan 2022

Adding Temporal Information To Lidar Semantic Segmentation For Autonomous Vehicles, Mohammed Anany

Theses and Dissertations

Semantic segmentation is an essential technique to achieve scene understanding for various domains and applications. Particularly, it is of crucial importance in autonomous driving applications. Autonomous vehicles usually rely on cameras and light detection and ranging (LiDAR) sensors to gain contextual information from the environment. Semantic segmentation has been employed to process images and point clouds that were captured from cameras and LiDAR sensors respectively. One important research direction to consider is investigating the impact of utilizing temporal information in the domain of semantic segmentation. Many contributions exist in the field with regards to utilizing temporal information for semantic segmentation …


Agent-Based Semantic Role Mining For Intelligent Access Control In Multi-Domain Collaborative Applications Of Smart Cities, Rubina Ghazal, Ahmad Kamran Malik, Basit Raza, Nauman Qadeer, Nafees Qamar, Sajal Bhatia Jun 2021

Agent-Based Semantic Role Mining For Intelligent Access Control In Multi-Domain Collaborative Applications Of Smart Cities, Rubina Ghazal, Ahmad Kamran Malik, Basit Raza, Nauman Qadeer, Nafees Qamar, Sajal Bhatia

School of Computer Science & Engineering Faculty Publications

Significance and popularity of Role-Based Access Control (RBAC) is inevitable; however, its application is highly challenging in multi-domain collaborative smart city environments. The reason is its limitations in adapting the dynamically changing information of users, tasks, access policies and resources in such applications. It also does not incorporate semantically meaningful business roles, which could have a diverse impact upon access decisions in such multi-domain collaborative business environments. We propose an Intelligent Role-based Access Control (I-RBAC) model that uses intelligent software agents for achieving intelligent access control in such highly dynamic multi-domain environments. The novelty of this model lies in using …


A Bibliometric Survey On The Use Of Long Short-Term Memory Networks For Multivariate Time Series Forecasting, Vidur Sood Mr., Manobhav Mehta Mr., Vedansh Mishra Mr., Akash Upadhyay Mr., Shilpa Hudnurkar, Shilpa Gite Dr., Neela Rayavarapu Dr. May 2021

A Bibliometric Survey On The Use Of Long Short-Term Memory Networks For Multivariate Time Series Forecasting, Vidur Sood Mr., Manobhav Mehta Mr., Vedansh Mishra Mr., Akash Upadhyay Mr., Shilpa Hudnurkar, Shilpa Gite Dr., Neela Rayavarapu Dr.

Library Philosophy and Practice (e-journal)

In this paper, we aim to review and analyze the publications related to the utilization of Long Short-Term Memory (LSTM) networks for multivariate time series forecasting. The purpose of this bibliometric survey was to study how technology in the field of LSTM has evolved over the years. There were 242 research papers published, by over 50 researchers, over 6 years, on the topic of “Multivariate time series forecasting using LSTM”. The majority of these papers were published between the years 2018 and 2020. The Scopus database was utilized for analyzing recent trends in this area and to determine the …


Artificial Intelligence-Driven Remaining Useful Life Prediction Of A Machinery-A Review, Dvij Barot, Honey Sharma, Mahika Yadav, Pooja Kamat Apr 2021

Artificial Intelligence-Driven Remaining Useful Life Prediction Of A Machinery-A Review, Dvij Barot, Honey Sharma, Mahika Yadav, Pooja Kamat

Library Philosophy and Practice (e-journal)

The Remaining Useful Life of a machine is very useful statistical information for the operator and manufacturer. It provides a very clear perspective to the user how long the machine can be operated and if any faults are detected how can they be prevented and ultimately increase the Remaining Useful Life. If the operators are aware of the forthcoming issues of the machine the downtime caused in the inspection, part delivery and eventually replacing parts is significantly reduced.

The paper presents a study on the remaining useful life of machinery as it is an emerging technique, starting from the year …


Spatio-Temporal Data Mining For Aviation Delay Prediction, Kai Zhang, Houbing Song, Yushan Jiang, Dahai Liu Mar 2021

Spatio-Temporal Data Mining For Aviation Delay Prediction, Kai Zhang, Houbing Song, Yushan Jiang, Dahai Liu

Publications

To accommodate the unprecedented increase of commercial airlines over the next ten years, the Next Generation Air Transportation System (NextGen) has been implemented in the USA that records large-scale Air Traffic Management (ATM) data to make air travel safer, more efficient, and more economical. A key role of collaborative decision making for air traffic scheduling and airspace resource management is the accurate prediction of flight delay. There has been a lot of attempts to apply data-driven methods such as machine learning to forecast flight delay situation using air traffic data of departures and arrivals. However, most of them omit en-route …


Adequately Generating Captions For An Image Using Adaptive And Global Attention Mechanisms., Shravan Kumar Talanki Venkatarathanaiahsetty Jan 2021

Adequately Generating Captions For An Image Using Adaptive And Global Attention Mechanisms., Shravan Kumar Talanki Venkatarathanaiahsetty

Dissertations

Generating description to images is a recent surge and with latest developments in the field of Artificial Intelligence, it can be one of the prominent applications to bridge the gap between Computer vision and Natural language processing fields. In terms of the learning curve, Deep learning has become the main backbone in driving many new applications. Image Captioning is one such application where the usage of Deep learning methods enhanced the performance of the captioning accuracy. The introduction of the Encoder-Decoder framework was a breakthrough in Image captioning. But as the sequences got longer the performance of captions was affected. …


Covid-19 Prediction Using Lstm Algorithm: Gcc Case Study, Kareem Kamal A. Ghany, Hossam Zawbaa, Heba M. Sabri Jan 2021

Covid-19 Prediction Using Lstm Algorithm: Gcc Case Study, Kareem Kamal A. Ghany, Hossam Zawbaa, Heba M. Sabri

Articles

Coronavirus-19 (COVID-19) is the black swan of 2020. Still, the human response to restrain the virus is also creating massive ripples through different systems, such as health, economy, education, and tourism. This paper focuses on research and applying Artificial Intelligence (AI) algorithms to predict COVID-19 propagation using the available time-series data and study the effect of the quality of life, the number of tests performed, and the awareness of citizens on the virus in the Gulf Cooperation Council (GCC) countries at the Gulf area. So we focused on cases in the Kingdom of Saudi Arabia (KSA), United Arab of Emirates …


Short Term Energy Forecasting For A Microgird Load Using Lstm Rnn, Akhil Soman Sep 2020

Short Term Energy Forecasting For A Microgird Load Using Lstm Rnn, Akhil Soman

Masters Theses

Decentralization of the electric grid can increase resiliency (during natural disasters) and can reduce T&D energy losses and emissions. Microgrids and DERs can enable this to happen. It is important to optimally control microgrids and DERs to extract the greatest economic, environmental and resiliency benefits. This is enabled by robust forecasting to optimally control loads and energy sources. An integral part of microgrid control is power side and load side demand forecasting.

In this thesis, we look at the ability of a powerful neural network algorithm to forecast the load side demand for a microgrid using the UMass campus as …


Travel Time Prediction Of Urban Road Based On Deep Learning, Weiwei Zhang, Ruimin Li, Zhongjiao Xie Jun 2020

Travel Time Prediction Of Urban Road Based On Deep Learning, Weiwei Zhang, Ruimin Li, Zhongjiao Xie

Journal of System Simulation

Abstract: Travel time prediction of urban road is a significant support for urban intelligent transportation system. Four types of LSTM neural network architecture were selected to predict the urban road travel time. The number of nodes in the LSTM hidden layer was fixed to determine the optimal input length of the model. The input length of the model was fixed and the predictive performance of the four LSTM models under different hidden layer nodes and considering spatial correlation were tested respectively. The performance of spatial LSTM model was compared with four traditional models, for example, BP neural network. The results …


Minet Magnetic Indoor Localization, Michael Drake Apr 2020

Minet Magnetic Indoor Localization, Michael Drake

Honors Theses

Indoor localization is a modern problem of computer science that has no unified solution, as there are significant trade-offs involved with every technique. Magnetic localization, though less popular than WiFi signal based localization, is a sub-field that is rooted in infrastructure-free design, which can allow universal setup. Magnetic localization is also often paired with probabilistic programming, which provides a powerful method of estimation, given a limited understanding of the environment. This thesis presents Minet, which is a particle filter based localization system using the Earth's geomagnetic field. It explores the novel idea of state space limitation as a method of …


Brain Disease Detection From Eegs: Comparing Spiking And Recurrent Neural Networks For Non-Stationary Time Series Classification, Hristo Stoev Jan 2020

Brain Disease Detection From Eegs: Comparing Spiking And Recurrent Neural Networks For Non-Stationary Time Series Classification, Hristo Stoev

Dissertations

Modeling non-stationary time series data is a difficult problem area in AI, due to the fact that the statistical properties of the data change as the time series progresses. This complicates the classification of non-stationary time series, which is a method used in the detection of brain diseases from EEGs. Various techniques have been developed in the field of deep learning for tackling this problem, with recurrent neural networks (RNN) approaches utilising Long short-term memory (LSTM) architectures achieving a high degree of success. This study implements a new, spiking neural network-based approach to time series classification for the purpose of …


Drug Reviews: Cross-Condition And Cross-Source Analysis By Review Quantification Using Regional Cnn-Lstm Models, Ajith Mathew Thoomkuzhy Jan 2020

Drug Reviews: Cross-Condition And Cross-Source Analysis By Review Quantification Using Regional Cnn-Lstm Models, Ajith Mathew Thoomkuzhy

Dissertations

Pharmaceutical drugs are usually rated by customers or patients (i.e. in a scale from 1 to 10). Often, they also give reviews or comments on the drug and its side effects. It is desirable to quantify the reviews to help analyze drug favorability in the market, in the absence of ratings. Since these reviews are in the form of text, we should use lexical methods for the analysis. The intent of this study was two-fold: First, to understand how better the efficiency will be if CNN-LSTM models are used to predict ratings or sentiment from reviews. These models are known …


Time Series Forecasting On Multivariate Solar Radiation Data Using Deep Learning (Lstm), Murat Ci̇han Sorkun, Özlem Durmaz İncel, Christophe Paoli Jan 2020

Time Series Forecasting On Multivariate Solar Radiation Data Using Deep Learning (Lstm), Murat Ci̇han Sorkun, Özlem Durmaz İncel, Christophe Paoli

Turkish Journal of Electrical Engineering and Computer Sciences

Energy management is an emerging problem nowadays and utilization of renewable energy sources is an efficient solution. Solar radiation is an important source for electricity generation. For effective utilization, it is important to know precisely the amount from different sources and at different horizons: minutes, hours, and days. Depending on the horizon, two main classes of methods can be used to forecast the solar radiation: statistical time series forecasting methods for short to midterm horizons and numerical weather prediction methods for medium- to long-term horizons. Although statistical time series forecasting methods are utilized in the literature, there are a limited …


Lstm Model For Trajectory Design Of Missile-Borne Bfsar Imaging Guidance, Bohao Li, Yunjie Wu Dec 2019

Lstm Model For Trajectory Design Of Missile-Borne Bfsar Imaging Guidance, Bohao Li, Yunjie Wu

Journal of System Simulation

Abstract: In the multi-platform path planning of multi-missile cooperative guidance algorithm used for missile-borne Bi-static Forward-looking Synthetic Aperture Radar (BFSAR) imaging, it is necessary to plan and adjust the transmitter trajectory according to the space state of the receiver and the path constraints between the receiver and the transmitter.An effective LSTM model is constructed to study and train the trajectory path generated by the existing algorithms, and the direct mapping relationship between the receiver space state, path constraint and the trajectory of the transmitter is obtained. The simulation results not only show that LSTM is feasible in multi-missile path …


An Lstm-Based Motion Recognition Method For Power Operation And Maintenance, Peizhen Liu, Yuxiang Jia, Shihong Xia Dec 2019

An Lstm-Based Motion Recognition Method For Power Operation And Maintenance, Peizhen Liu, Yuxiang Jia, Shihong Xia

Journal of System Simulation

Abstract: The security of power operation and maintenance has always been a subject of great social concern. In order to avoid serious consequences caused by the fault of staffs, a motion recognition method for power operation and maintenance jobs based on LSTM (Long Short-Term Memory) is proposed, which covers the whole process from data collection, data processing to motion classification and recognition, then it can recognise and supervise the behavior of staffs who are at work. In addition, a simulation experiment is conducted between the deep learning algorithm LSTM and the traditional machine learning algorithm KNN based on the newly …


Aws Ec2 Instance Spot Price Forecasting Using Lstm Networks, Jeffrey Lancon, Yejur Kunwar, David Stroud, Monnie Mcgee, Robert Slater Aug 2019

Aws Ec2 Instance Spot Price Forecasting Using Lstm Networks, Jeffrey Lancon, Yejur Kunwar, David Stroud, Monnie Mcgee, Robert Slater

SMU Data Science Review

Cloud computing is a network of remote computing resources hosted on the Internet that allow users to utilize cloud resources on demand. As such, it represents a paradigm shift in the way businesses and industries think about digital infrastructure. With the shift from IT resources being a capital expenditure to a managed service, companies must rethink how they approach utilizing and optimizing these resources in order to maximize productivity and minimize costs. With proper resource management, cloud resources can be instrumental in reducing computing expenses.

Cloud resources are perishable commodities; therefore, cloud service providers have developed strategies to maximize utilization …


Forecasting Building Energy Consumption With Deep Learning: A Sequence To Sequence Approach, Ljubisa Sehovac, Cornelius Nesen, Katarina Grolinger Jun 2019

Forecasting Building Energy Consumption With Deep Learning: A Sequence To Sequence Approach, Ljubisa Sehovac, Cornelius Nesen, Katarina Grolinger

Electrical and Computer Engineering Publications

Energy Consumption has been continuously increasing due to the rapid expansion of high-density cities, and growth in the industrial and commercial sectors. To reduce the negative impact on the environment and improve sustainability, it is crucial to efficiently manage energy consumption. Internet of Things (IoT) devices, including widely used smart meters, have created possibilities for energy monitoring as well as for sensor based energy forecasting. Machine learning algorithms commonly used for energy forecasting such as feedforward neural networks are not well-suited for interpreting the time dimensionality of a signal. Consequently, this paper uses Recurrent Neural Networks (RNN) to capture time …


Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater Jan 2019

Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater

SMU Data Science Review

The problem of forecasting market volatility is a difficult task for most fund managers. Volatility forecasts are used for risk management, alpha (risk) trading, and the reduction of trading friction. Improving the forecasts of future market volatility assists fund managers in adding or reducing risk in their portfolios as well as in increasing hedges to protect their portfolios in anticipation of a market sell-off event. Our analysis compares three existing financial models that forecast future market volatility using the Chicago Board Options Exchange Volatility Index (VIX) to six machine/deep learning supervised regression methods. This analysis determines which models provide best …