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Full-Text Articles in Engineering
Improving Vix Futures Forecasts Using Machine Learning Methods, James Hosker, Slobodan Djurdjevic, Hieu Nguyen, Robert Slater
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 …
Comparative Study Of Deep Learning Models For Network Intrusion Detection, Brian Lee, Sandhya Amaresh, Clifford Green, Daniel Engels
Comparative Study Of Deep Learning Models For Network Intrusion Detection, Brian Lee, Sandhya Amaresh, Clifford Green, Daniel Engels
SMU Data Science Review
In this paper, we present a comparative evaluation of deep learning approaches to network intrusion detection. A Network Intrusion Detection System (NIDS) is a critical component of every Internet connected system due to likely attacks from both external and internal sources. A NIDS is used to detect network born attacks such as Denial of Service (DoS) attacks, malware replication, and intruders that are operating within the system. Multiple deep learning approaches have been proposed for intrusion detection systems. We evaluate three models, a vanilla deep neural net (DNN), self-taught learning (STL) approach, and Recurrent Neural Network (RNN) based Long Short …