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Changepoint detection on financial data using deep learning approach
Computer Research and Modeling, 2024, v. 16, no. 2, pp. 555-575The purpose of this study is to develop a methodology for change points detection in time series, including financial data. The theoretical basis of the study is based on the pieces of research devoted to the analysis of structural changes in financial markets, description of the proposed algorithms for detecting change points and peculiarities of building classical and deep machine learning models for solving this type of problems. The development of such tools is of interest to investors and other stakeholders, providing them with additional approaches to the effective analysis of financial markets and interpretation of available data.
To address the research objective, a neural network was trained. In the course of the study several ways of training sample formation were considered, differing in the nature of statistical parameters. In order to improve the quality of training and obtain more accurate results, a methodology for feature generation was developed for the formation of features that serve as input data for the neural network. These features, in turn, were derived from an analysis of mathematical expectations and standard deviations of time series data over specific intervals. The potential for combining these features to achieve more stable results is also under investigation.
The results of model experiments were analyzed to compare the effectiveness of the proposed model with other existing changepoint detection algorithms that have gained widespread usage in practical applications. A specially generated dataset, developed using proprietary methods, was utilized as both training and testing data. Furthermore, the model, trained on various features, was tested on daily data from the S&P 500 index to assess its effectiveness in a real financial context.
As the principles of the model’s operation are described, possibilities for its further improvement are considered, including the modernization of the proposed model’s structure, optimization of training data generation, and feature formation. Additionally, the authors are tasked with advancing existing concepts for real-time changepoint detection.
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Estimation of probabilistic model of employee labor process
Computer Research and Modeling, 2012, v. 4, no. 4, pp. 969-975Views (last year): 1.The mathematical estimation model for employee labor process, built on the basis of Bayesian network is presented in the article. The great attention is given to the estimation of qualitative characteristics of labor product. Usage of described model is supposed in the companies with the management employee workflows system.
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Defining volunteer computing: a formal approach
Computer Research and Modeling, 2015, v. 7, no. 3, pp. 565-571Volunteer computing resembles private desktop grids whereas desktop grids are not fully equivalent to volunteer computing. There are several attempts to distinguish and categorize them using informal and formal methods. However, most formal approaches model a particular middleware and do not focus on the general notion of volunteer or desktop grid computing. This work makes an attempt to formalize their characteristics and relationship. To this end formal modeling is applied that tries to grasp the semantic of their functionalities — as opposed to comparisons based on properties, features, etc. We apply this modeling method to formalize the Berkeley Open Infrastructure for Network Computing (BOINC) [Anderson D. P., 2004] volunteer computing system.
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Allocation of steinerpoints in euclidean Steiner tree problem by means of MatLab package
Computer Research and Modeling, 2015, v. 7, no. 3, pp. 707-713Views (last year): 4.The problem of allocation of Steiner points in Euclidean Steiner Tree is considered. The cost of network is sum of building costs and cost of the information transportation. Euclidean Steiner tree problem in the form of topological network design is a good model of this problem.
The package MatLab has the way to solve the second part of this problem — allocate Steiner points under condition that the adjacency matrix is set. The method to get solution has been worked out. The Steiner tree is formed by means of solving of the sequence of "three points" Steiner
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Views (last year): 7.
Nowadays cloud computing is an important topic in the field of information technology and computer system. Several companies and educational institutes have deployed cloud infrastructures to overcome their problems such as easy data access, software updates with minimal cost, large or unlimited storage, efficient cost factor, backup storage and disaster recovery, and some other benefits if compare with the traditional network infrastructures. The paper present the study of cloud computing technology for marine environmental data and processing. Cloud computing of marine environment information is proposed for the integration and sharing of marine information resources. It is highly desirable to perform empirical requiring numerous interactions with web servers and transfers of very large archival data files without affecting operational information system infrastructure. In this paper, we consider the cloud computing for virtual testbed to minimize the cost. That is related to real time infrastructure.
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