Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models

The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from naïve models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the autoregressive model ranks first using the RMSE and MAPE criteria. We also examine three nonlinear models. These models are GARCH-M, EGARCH, and ESTAR. We find that nonlinear GARCH models dominate linear models utilizing the RMSE and the MAPE error statistics and EGARCH appears to be the best model for forecasting stock index futures price volatility.     

A critical appraisal of the reporting quality of published randomized controlled trials in the fall injuries

To evaluate the quality of reporting in published randomized controlled trials (RTCs) in the field of fall injuries. The 188 RTCs published between 2001 and 2011, indexed in EMBASE and Medline databases were extracted through searching by appropriate keywords and EMTree classification terms. The evaluation trustworthiness was assured through parallel evaluations of two experts in epidemiology and biostatistics. About 40%–75% of papers had problems in reporting random allocation method, allocation concealment, random allocation implementation, blinding and similarity among groups, intention to treat and balancing benefits and harms. Moreover, at least 10% of papers inappropriately/not reported the design, protocol violations, sample size justification, subgroup/adjusted analyses, presenting flow diagram, drop outs, recruitment time, baseline data, suitable effect size on outcome, ancillary analyses, limitations and generalizability. Considering the shortcomings found and due to the importance of the RCTs for fall injury prevention programmes, their reporting quality should be improved.     

Modelling Energy Dissipation Over Stepped-gabion Weirs by Artificial Intelligence

The hydraulics of energy dissipation over stepped-gabion weirs is investigated by carrying out a series of laboratory experiments, building models to explain the experimental data, and testing their robustness by using the data reported by other researchers. The experiments comprise: six different stepped-gabion weirs tested in a horizontal laboratory flume, a wide range of discharge values, two weir slopes (V:H): 1:1 and 1:2, and gabion filling material gravel size (porosity equal to 38 %, 40 % and 42 %). These experimental setups were selected to ensure the development of both the nappe and skimming flow regimes within the measured dataset. The models developed for computing energy dissipation over stepped-gabion weirs comprise: multiple regression equations based on dimensional analysis theory, Artificial Neural Network (ANN) and Gene Expression Programming (GEP). The analysis shows that the measured data capture both flow regimes and the transition in between them and above all, and by using all of the data, it may be possible to identify the range of each regime. Energy dissipation modelled by the ANN formulation is successful and may be recommended for reliable estimates but those by GEP and regression analysis can still serve for rough-and-ready estimates in engineering applications.     

Multi- Objective Optimal Design of on- Demand Pressurized Irrigation Networks

In the context of water as an economic good, from the use of water, one can derive a value, which can be affected by the reliability of supply. On-demand irrigation systems provide valuable water to skilled farmers who have the capacity to maximize economic value of water. In this study, simultaneous optimization of on-demand irrigation network layout and pipe sizes is considered taking into account both investment and annual energy costs. The optimization problem is formulated as a problem of searching for the upstream head value, which minimizes the total cost (investment and energy costs) of the system. The investment and annual energy costs are obtained in two separate phases. Max–Min ant system (MMAS) algorithm is used to obtain the minimum cost design considering layout and pipe diameters of the network simultaneously. Clement methodology is used to determine flow rates of pipelines at the peak period of irrigation requirements. The applicability of the proposed method is showed by re-designing a real world example from literature.     

Modular Wavelet–Extreme Learning Machine: a New Approach for Forecasting Daily Rainfall

Water Resources Management - A rainfall forecasting method based on coupling wavelet analysis and a novel artificial neural network technique called extreme learning machine (ELM) is proposed. In...     

Stability Analysis of Stakeholders’ Cooperation in Inter-Basin Water Transfer Projects: a Case Study

Water Resources Management - This study investigates the conflict resolution among different stakeholders in a water transfer project. The portion of the Beheshtabad Water Transfer Project in Iran...     

Probabilistic Event Based Rainfall-Runoff Modeling Using Copula Functions

Multivariate probability analysis of hydrological elements using copula functions can significantly improve the modeling of complex phenomena by considering several dependent variables simultaneously. The main objectives of this study were to: (i) develop a stand-alone and event-based rainfall-runoff (RR) model using the common bivariate copula functions (i.e. the BCRR model); (ii) improve the structure of the developed copula-based RR model by using a trivariate version of fully-nested Archimedean copulas (i.e. the FCRR model); and (iii) compare the performance of the developed copula-based RR models in an Iranian watershed. Results showed that both of the developed models had acceptable performance. However, the FCRR model outperformed the BCRR model and provided more reliable estimations, especially for lower joint probabilities. For example, when joint probabilities were increased from 0.5 to 0.8 for the peak discharge (q_p) variable, the reliability criteria value increased from 0.0039 to 0.8000 in the FCRR model, but only from 0.0010 to 0.6400 in the BCRR model. This is likely because the FCRR considers more than one rainfall predictor, while the BCRR considers only one.

     

Process Mining Approach of a New Water Quality Index for Long-Term Assessment under Uncertainty Using Consensus-Based Fuzzy Decision Support System

One of the biggest challenges in water quality monitoring is how to optimize big Data gathered from a wide range of resources. This paper presented a new software-based pathway of process mining approach for extending a flexible WQI (Water Quality Index) that would deal with uncertainties derived from missing data occurrence in short- and long-term assessments. The methodology is based on integration of four multi-criteria group decision-making models coupled with fuzzy simulation including AHP (Analytical Hierarchy Process), fuzzy OWA (Ordered Weighting Average), TOPSIS (Technique for Order Preference by Similarity to Ideal Solution), and fuzzy TOPSIS that were used for data mining and group consensus evaluation.. Examining the methodology on groundwater resources being supplied for drinking in Shiraz, Iran showed high integrity, accuracy, and proximity-to-real interpretation of water quality. This was the first study where decision-making risks such as Decision Makers’ risk-prone or risk-aversion attitudes (optimistic degree), DMs’ power, and consensus degree of each water quality parameter have been considered in WQI research. The proposed index offered a flexible choice in defining the intended project duration, stakeholders’ judgments, types of water use and water resource, standards, as well as type and number of water quality parameters. Thus, beside sustaining the unity in structure, this methodology could be suggested as a potentially WQI for other regions. The presented methodology would help more efficient monitoring of water resources for drinking purpose with respect to water quality.

     

Risk-Based Evaluation for Meeting Future Water Demand of the Brahmaputra Floodplain Within Bangladesh

A risk-based evaluation is performed for meeting future water demands in the Brahmaputra Floodplain Area within Bangladesh (BFA). This evaluation is carried out using three risk-based performance indicators: reliability, resiliency and vulnerability. The vulnerability indicator has been redefined incorporating the aspect of a supply failure. The analysis includes the impacts of climate change on both water demands and resources, and the generation of synthetic flows of the Brahmaputra River using time series models. The simulated values of the indicators reveal that the expected demand of the BFA up to the year 2050 can be supplied with the proposed Brahmaputra Barrage inside Bangladesh under the ‘no change’ in climatic condition, provided that the groundwater remains usable. However, if groundwater becomes unusable due to widespread arsenic contamination and/or a climate change occurs, it would not be possible to meet the future water demand of the region with high reliability, moderate resiliency and low vulnerability.     

Groundwater Model Calibration by Meta-Heuristic Algorithms

Groundwater models are computer models that simulate or predict aquifer conditions by using input data sets and hydraulic parameters. Commonly, hydraulic parameters are extracted by calibration, using observed and simulated aquifer conditions. The accuracy of calibration affects other modeling processes, especially the hydraulic head simulation. Meta-heuristic algorithms are good candidates to determine optimal/near-optimal parameters in groundwater models. In this paper, two meta-heuristic algorithms: (1) particle swarm optimization (PSO) and (2) pattern search (PS) are applied and compared in the Ghaen aquifer, by considering the sum of the squared deviation (SSD) between observed and simulated hydraulic heads and the sum of the absolute value of deviation (SAD) between observed and simulated hydraulic heads as the objective functions. Results show that obtained values of the objective function are enhanced significantly by using the PS algorithm. Accordingly, PS improves (decreases) the SSD and SAD by 0.20 and 2.36 percent, respectively, compared to results reported by using the PSO algorithm. Results also indicate that the proposed PS optimization tool is effective in the calibration of aquifer parameters.