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Forecasting asset volatility using autoregressive support vector regression model incorporating the intraday range measure and price information

Volatility is a measure of the instantaneous variability of a financial asset. High-volatility assets is often associated with high risk, highlighting the importance of precisely estimating the volatility. This paper proposes an autoregressive support vector regression (SVR) model integrating the lagged range-based Parkinson volatility measure and four lagged logarithmic prices ( SVR LagPK _ LagPrices ) jointly as predictor variables to capture the dynamics of volatility of asset returns. An empirical analysis based on the Standard and Poor’s 500 was adopted. We performed extensive comparisons among SVR models to determine the significance of integrating the predictor variables encompassing the lagged range-based Parkinson volatility measure and four lagged logarithmic prices, both jointly and singly in the autoregressive SVR models with different kernel settings. Additionally, the conditional autoregressive range (CARR) models were also evaluated. The in-sample results based on the two realised volatility measures that act as proxies for the unobserved true volatility, revealed two important findings: (i) Although the volatility estimates based on CARR models outperformed other SVR models in terms of root mean squared error (RMSE) and mean absolute error (MAE), the goodness-of-fit analysis results show that these models did not fulfil the underlying model assumptions, (ii) The SVR LagPK _ LagPrices model generally predominates other SVR models for the in-sample model fit based on the RMSE and MAE. An examination of the SVR LagPK _ LagPrices model with linear kernel yielded the best out-of-sample forecasts, characterised by the smallest RMSE and MAE which were tested based on the mean squared error loss function using Hansen’s model confidence set.

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Application of Neural Network Variations for Determining the Best Architecture for Data Prediction

Abstract 
 This study focuses on the application and comparison of the epoch, time, performance/MSE training, and performance/MSE testing of variations of the Backpropagation algorithm. The main problem in this study is that the Backpropagation algorithm tends to be slow to reach convergence in obtaining optimum accuracy, requires extensive training data, and the optimization used is less efficient and has performance/MSE which can still be improved to produce better performance/MSE in this research—data prediction process. Determination of the best model for data prediction is seen from the performance/MSE test. This data prediction uses five variations of the Backpropagation algorithm: standard Backpropagation, Resistant Backpropagation, Conjugate Gradient, Fletcher Reeves, and Powell Beale. The research stage begins with processing the avocado production dataset in Indonesia by province from 2016 to 2021. The dataset is first normalized to a value between 0 to 1. The test in this study was carried out using Matlab 2011a. The dataset is divided into two, namely training data and test data. This research's benefit is producing the best model of the Backpropagation algorithm in predicting data with five methods in the Backpropagation algorithm. The test results show that the Resilient Backpropagation method is the best model with a test performance of 0.00543829, training epochs of 1000, training time of 12 seconds, and training performance of 0.00012667.

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Urban community perception on social vulnerability to disaster: the case of Bukit Antarabangsa, Malaysia

This article aims to determine the perception of urban communities living in Bukit Antarabangsa regarding the issue of social vulnerability (SV) to landslide and landslide-related disasters. Bukit Antarabangsa is widely known as one of the highly urbanized areas near the metropolitan of Kuala Lumpur which are highly susceptible to landslides. Few communities which currently under the SeDAR project (i.e., a join-community-based disaster risk reduction/CBDRR program between Selangor State Disaster Management Centre – JICA – Local NGO: SlopeWatch Bukit Antarabangsa) were selected as a case study. Focus Group Discussion (FGD) and household surveys were conducted during Conditional Movement Order (CMCO) on March 27th 2021 and April 11th 2021 to gather relevant information on the researched topic. The questionnaire for the survey was formulated based on the proposed detailed list of SV components, indicators, sub-indicators and weightage which was derived from a review of the literature and internal consultation among disaster experts. The data analysis process in this study served to achieve the objective of social and economic vulnerability assessment in general based on the usage of sub-indicators to point out the score value and level of performance of each sub-indicator based on the survey of local stakeholders. Results from data analysis were translated into spatial context through the production of an SV map of the study area. In summary, the integrated approach to the assessment of SV involving data analysis and mapping/spatial representation has offered some valuable insights towards strengthening local community resilient to disaster and should be considered for inclusion into the establishment of a long-term community-based disaster risk reduction (CBDRR) planning and assessment, and in formulating DRR strategies at local and/or municipal context.

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Cannabis use and effect of cannabis abstinence on cognitive functioning in young people — an observational case-control follow-up study from rehabilitation centre in Andhra Pradesh

BackgroundCannabis is the most commonly used illicit substance globally, in India particularly. In recent times, younger people started abusing cannabis, resulting in academic decline and psychological disorders. Research from developed countries had shown that abstinence from cannabis reverses cognitive decline in the young population to a certain extent. Studies on this topic have been very few in India. We intended to assess the effects of cannabis use and abstinence from cannabis on the cognitive functioning of young adults.The study was an observational study including 50 consecutive young male patients, who got admitted to our rehabilitation centre with cannabis use disorder (group A). The Montreal Cognitive Assessment (MoCA) test was used to assess the baseline cognitive functioning of these patients initially after 1 week of abstinence and compared with 50 graduate students with no history of cannabis use (group B). The MoCA test was re-administered to group A subjects after 3 months of strict abstinence from cannabis use.ResultsThere was a statistically significant difference between the baseline MoCA score of cannabis users and the controls (P < 0.001). Both the duration (r = −0.296, P = 0.036) and the quantity (r= −0.491, P < 0.001) of cannabis use had a negative correlation with the MoCA score. When the MoCA test was re-administered after 3 months of abstinence, we found a statistically significant improvement in cognitive functioning in cannabis users (P < 0.001), but the mean score was still less than the mean score of the control group (24.08 ± 2.66 vs 28.62 ± 0.85, P < 0.001) showing only partial improvement.ConclusionThis study showed that cognitive deficits were seen in cannabis users as compared to nonusers. It also had shown that abstinence from cannabis had partially reversed the impairment, but still some deficits were remaining. There is an urgent need for primary prevention strategies at community level to decrease the prevalence of cannabis use.

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