Browsing by Author "Tilakaratne, C.D."

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Comparison of support vector regression and artificial neural network models to forecast daily Colombo Stock Exchange
(Proceedings of the International Statistics Conference, Institute of Applied Statistics, Sri Lanka, 2011) Rangana, D.L.M.; Chandrasekara, N.V.; Tilakaratne, C.D.
Determining and Comparing Multivariate Distributions: An Application to AORD and GSPC with their related financial markets
(2016) Chandrasekara, N.V.; Mammadov, M.; Tilakaratne, C.D.
Many real world applications are associated with more than one variable and hence, identifying multivariate distributions associated with real world problems portrays great importance today. Many studies can be found in the literature in this aspect and most of them are associated with two variables/dimensions and the maximum dimension of multivariate distribution found in the literature is four. Different optimization techniques have been used by researchers to find multivariate distributions in their studies. Numerical methods can be identified as more preferable than analytical methods when the dimension of the problem is high. The main objective of this study is to identify the multivariate distribution associated with the return series of Australian all ordinary index (AORD) and those of the related financial markets and compare it with the multivariate distribution of return series of the US GSPC index and its related financial markets. No research were found in the literature which were aimed at finding aforesaid multivariate distribution and comparisons. Moreover no evidence found for identifying a multivariate distribution with six dimensions. Five financial markets: Amex oil index, Amex gold index, world cocoa index, exchange rate of Australian dollar to United States dollar and US GSPC index were found to be associated with AORD. Hence the attempt was to derive the multivariate distribution of return series of AORD and these five return series and therefore the optimization problem of the study is a six dimension problem which associated with forty three parameters need to be estimated. A local optimization technique and a global optimization technique were used to estimate the parameters of the multivariate distribution. Results exhibit that the parameter estimates obtained from the global optimization technique are better than the parameter estimates obtained from the local optimization technique. The multivariate distribution of return series of AORD and related financial markets is central, less peaked and have fat tails. A comparison was done with another multivariate distribution of a return series of a leading stock market index: GSPC and return series of its associated financial markets and found that both distributions are alike in shape. Two periods were identified in the AORD series and found that the shape of the multivariate distribution of one period is similar to the shape of the multivariate distribution of full data set while the shape of the multivariate distribution of the other period is dissimilar to that of full data set.
An Ensemble Technique For Multi Class Imbalanced Problem Using Probabilistic Neural Networks
(Advances and Applications in Statistics, 2018) Chandrasekara, N.V.; Tilakaratne, C.D.; Mammadov, M.A.
The class imbalanced problem is one of the major difficulties encountered by many researchers when using classification tools. Multi class problems are especially severe in this regard. The main objective of this study is to propose a suitable technique to handle multi class imbalanced problem. Probabilistic neural network (PNN) is used as the classification tool and the directional prediction of Australian, United States and Srilankan stock market indices is considered as the application. We propose an ensemble technique to handle multi class imbalanced problem that is called multi class undersampling based bagging (MCUB) technique. This is a new initiative that has not been considered in the literature to handle multi class imbalanced problem by employing PNN. The results obtained demonstrate that the proposed MCUB technique is capable of handling multi class imbalanced problem. Therefore, the PNN with the proposed ensemble technique can be used effectively in data classification. As a further study, other classification tools can be used to investigate the performance of the proposed MCUB technique in solving class imbalanced problems.
Modelling real world problems with Multivariate Distributions: An application to All Share Price Index and related financial indices
(Faculty of Graduate Studies, University of Kelaniya, 2015) Chandrasekara, N.V.; Mammadov, M.A.; Tilakaratne, C.D.
Modelling real world scenarios using statistical distributions became an important research area nowadays. Many real world applications associate with more than one variable. Therefore, when modelling these problems, finding the most suitable multivariate distributions reveals vast interest among scholars. This study focuses on finding the multivariate distribution of All Share Price Index (ASPI) of Colombo stock exchange and related financial indices. Findings of this study will lead to improve the accuracy of stock market prediction models and hence important for many parties in the financial sector. Analytical methods and Numerical methods can be identified in the literature which were used to find multivariate distributions. Analytical methods exhibit difficulties when the number of variables increases, as they involve heavy mathematical calculations. Numerical methods have been used by many scholars to find multivariate distributions and many were limited to combination of two or three variables. Four related financial indices can be identified with respect to ASPI as Amex Oil Index, Amex Gold Index, World Cocoa Index and GSPC index of U.S.A. stock market. Daily data from 1st August 2007 to 31st July 2012 of above mentioned financial indices were considered for the study. As all marginal distributions of aforesaid financial indices are Scaled t distributions, multivariate Scaled t distribution was considered in the study. A local optimization method with Matlab 'fmincon' function and a global optimization method with DSO algorithm were used to solve the corresponding optimization problem that involves twenty one parameters related to five dimensions of the multivariate Scaled t distribution. The results obtained for the maximum function values exhibit that the global optimization method provides substantially better estimates for the parameters of the multivariate Scaled t distribution than the local optimization method. The identified multivariate distribution of All Share Price Index and related financial indices is central, less peaked and has fat tails.