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Full-Text Articles in Operations Research, Systems Engineering and Industrial Engineering
Application Of An Artificial Neural Network To Predict Graduation Success At The United States Military Academy, Gene Lesinski, Steven Corns, Cihan H. Dagli
Application Of An Artificial Neural Network To Predict Graduation Success At The United States Military Academy, Gene Lesinski, Steven Corns, Cihan H. Dagli
Engineering Management and Systems Engineering Faculty Research & Creative Works
This paper presents a neural network approach to classify student graduation status based upon selected academic, demographic, and other indicators. A multi-layer feedforward network with backpropagation learning is used as the model framework. The model is trained, tested, and validated using 5100 student samples with data compiled from admissions records and institutional research databases. Nine input variables consist of categorical and numeric data elements including: high school rank, high school quality, standardized test scores, high school faculty assessments, extra-curricular activity score, parent's education status, and time since high school graduation. These inputs and the multi-layer neural network model are used …
Evaluating Forecasting Methods By Considering Different Accuracy Measures, Nijat Mehdiyev, David Lee Enke, Peter Fettke, Peter Loos
Evaluating Forecasting Methods By Considering Different Accuracy Measures, Nijat Mehdiyev, David Lee Enke, Peter Fettke, Peter Loos
Engineering Management and Systems Engineering Faculty Research & Creative Works
Choosing the appropriate forecasting technique to employ is a challenging issue and requires a comprehensive analysis of empirical results. Recent research findings reveal that the performance evaluation of forecasting models depends on the accuracy measures adopted. Some methods indicate superior performance when error based metrics are used, while others perform better when precision values are adopted as accuracy measures. As scholars tend to use a smaller subset of accuracy metrics to assess the performance of forecasting models, there is a need for a concept of multiple accuracy dimensions to assure the robustness of evaluation. Therefore, the main purpose of this …
Using Neural Networks To Forecast Volatility For An Asset Allocation Strategy Based On The Target Volatility, Youngmin Kim, David Lee Enke
Using Neural Networks To Forecast Volatility For An Asset Allocation Strategy Based On The Target Volatility, Youngmin Kim, David Lee Enke
Engineering Management and Systems Engineering Faculty Research & Creative Works
The objective of this study is to use artificial neural networks for volatility forecasting to enhance the ability of an asset allocation strategy based on the target volatility. The target volatility level is achieved by dynamically allocating between a risky asset and a risk-free cash position. However, a challenge to data-driven approaches is the limited availability of data since periods of high volatility, such as during financial crises, are relatively rare. To resolve this issue, we apply a stability-oriented approach to compare data for the current period to a past set of data for a period of low volatility, providing …
Noise Canceling In Volatility Forecasting Using An Adaptive Neural Network Filter, Soheil Almasi Monfared, David Lee Enke
Noise Canceling In Volatility Forecasting Using An Adaptive Neural Network Filter, Soheil Almasi Monfared, David Lee Enke
Engineering Management and Systems Engineering Faculty Research & Creative Works
Volatility forecasting models are becoming more accurate, but noise looks to be an inseparable part of these forecasts. Nonetheless, using adaptive filters to cancel the noise should help improve the performance of the forecasting models. Adaptive filters have the advantage of changing based on the environment. This feature is vital when they are used along with a model for volatility forecasting and error cancellation in the financial markets. Nonlinear Autoregressive (NAR) neural networks have simple structures, but they are efficient tools in error cancelation systems when working with non-stationary and random walk noise processes. For this research, an adaptive threshold …