In the current study, the efficiency of Wavelet-based Least Square Support Vector Machine （WLSSVM） model was examined for prediction of daily and monthly Suspended Sediment Load （SSL） of the Mississippi River. For...In the current study, the efficiency of Wavelet-based Least Square Support Vector Machine （WLSSVM） model was examined for prediction of daily and monthly Suspended Sediment Load （SSL） of the Mississippi River. For this purpose, in the first step, SSL was predicted via ad hoc LSSVM and Artificial Neural Network （ANN） models; then, streamflow and SSL data were decomposed into sub- signals via wavelet, and these decomposed sub-time series were imposed to LSSVM and ANN to simulate discharge-SSL relationship. Finally, the ability of WLSSVM was compared with other models in multi- step-ahead SSL predictions. The results showed that in daily SSL prediction, LSSVM has better outcomes with Determination Coefficient （DC）=o.92 than ad hoc ANN with DC=o.88. However unlike daily SSL, in monthly modeling, ANN has a bit accurate upshot. WLSSVM and wavelet-based ANN （WANN） models showed same consequences in daily and different in monthly SSL predictions, and adding wavelet led to more accuracy of LSSVM and ANN. Furthermore, conjunction of wavelet to LSSVM and ANN evaluated via multi-step-ahead SSL predictions and, e.g., DCLssVM=0.4 was increased to the DCwLsSVM=0.71 in 7- day ahead SSL prediction. In addition, WLSSVM outperformed WANN by increment of time horizon prediction.展开更多
Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by ...Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by market regulators who restrict price changes of a stock to a pre-specified range during a trading day or a single trading session. The primary aim of price limit rules is to stabilize the markets during panic trading, to moderate vitality by repressing excessive speculation, and to allow stocks to be traded at prices close to their fair value. However, their impact on the market is a somewhat unresolved issue （Harris, 1998）. Using a methodology of comparing volatility based on the extreme value technique, the authors empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. The empirical results support price limits advocates, suggesting that price limits rules moderate stock price volatility.展开更多
基金supported by the University of Tabriz under grant No. 1117394325
文摘In the current study, the efficiency of Wavelet-based Least Square Support Vector Machine （WLSSVM） model was examined for prediction of daily and monthly Suspended Sediment Load （SSL） of the Mississippi River. For this purpose, in the first step, SSL was predicted via ad hoc LSSVM and Artificial Neural Network （ANN） models; then, streamflow and SSL data were decomposed into sub- signals via wavelet, and these decomposed sub-time series were imposed to LSSVM and ANN to simulate discharge-SSL relationship. Finally, the ability of WLSSVM was compared with other models in multi- step-ahead SSL predictions. The results showed that in daily SSL prediction, LSSVM has better outcomes with Determination Coefficient （DC）=o.92 than ad hoc ANN with DC=o.88. However unlike daily SSL, in monthly modeling, ANN has a bit accurate upshot. WLSSVM and wavelet-based ANN （WANN） models showed same consequences in daily and different in monthly SSL predictions, and adding wavelet led to more accuracy of LSSVM and ANN. Furthermore, conjunction of wavelet to LSSVM and ANN evaluated via multi-step-ahead SSL predictions and, e.g., DCLssVM=0.4 was increased to the DCwLsSVM=0.71 in 7- day ahead SSL prediction. In addition, WLSSVM outperformed WANN by increment of time horizon prediction.
文摘Many stock exchanges around the world enforcing daily price limits on the amount asset prices can change to prevent the market from overreacting and to reduce volatility. Price limits are artificial boundaries set by market regulators who restrict price changes of a stock to a pre-specified range during a trading day or a single trading session. The primary aim of price limit rules is to stabilize the markets during panic trading, to moderate vitality by repressing excessive speculation, and to allow stocks to be traded at prices close to their fair value. However, their impact on the market is a somewhat unresolved issue （Harris, 1998）. Using a methodology of comparing volatility based on the extreme value technique, the authors empirically investigate the impact of price limits on the volatility of the Stock Exchange of Thailand. The empirical results support price limits advocates, suggesting that price limits rules moderate stock price volatility.
