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Exchange Rate Forecasting, Time
Exchange Rate Forecasting, Time Series Model
Introduction
Auto-Regression Moving-Average Models (ARMA)
Definitions
Definition of Residuals
Minimization of Residuals of ARMA Models
Optimization of AR parameters
Optimization of MA parameters
Predicting "Next-Day" Rate
Evaluation of ARMA Prediction Errors
External Factors
Missing Data
Applying ARMA to External Factors
Artificial Neural Networks Models (ANN)
Involving Auto Regression (AR) into ANN
Bilinear Models (BL)
Auto-Regression Fractionally-Integrated Moving-Average Models (ARFIMA)
Definitions
Minimization of Residuals
Discussions
Multi-Step Prediction
Structural Stabilization
Stabilization of Structures of Time Series
Simple Example
Example of Structural Optimization Including External Factors
Examples of Squared Residuals Minimization
Multi-Modality Examples
Optimization Results
Software Example
Multi-Factor ARMA Software
Illustrative Example of ARMA Software: Stock Rate Prediction
Illustrative Example of ARMA Software: Simple Test File
ANN Software
Call Center Model.
Introduction
Outline
Assumptions, Notations, and Objectives
Calculation of Stationary Probabilities
Asymptotic Expressions
"Surrogate" Services
Call Rate Estimation
Optimization of Number of Servers
Monte Carlo Simulation (MCS)
Event Generation
Monte Carlo Errors
Stopping Monte Carlo
Common Waiting
Analytical Approximation: Reservation Model
Statistical Approximation: Monte Carlo Model
Estimating Call Rates
Testing Analytical Approximation
Time-Dependant Cases
Simple Example
Call Rate Prediction
Introduction
Call Rate Prediction by Estimation of Scales
Expert Model, Event Scale Version
Definition of Special Events
Estimation Procedures
Scalar Prediction
Method of Least Squares
Vector Prediction, Event Scale Version
Method of Least Squares
Time Scale Version, Vector Prediction
Estimation Procedures
Daily Vector Prediction
Method of Least Squares
Remarks
Time Series Model (ARMA)
Scalar Prediction
Vector Prediction
Application Examples
Call Center Scheduling
Bibliography
About this document ...
mockus 2008-06-21
