Wyniki wyszukiwania - Biblioteka Nauki

1

Comparison of capital markets in Bulgaria, Romania and Slovakia in years 2001-2009

100%

Kompa K.

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tom 13

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nr 2

48-59

EN

The aim of research is evaluation of the development of stock exchanges in Sofia, Bucharest and Bratislava in the years 2000-2009. The analysis is provided for the logarithmic rates of return of main stock indexes quoted in the investigated countries, employing central tendency, dispersion and skewness measures as well as statistical inference. The research is provided for the whole period and for the sub-periods that are distinguished due to the general tendency at capital markets.

2

Variations of temperature, salinity and oxygen of the Baltic Sea for the period 1950 to 2020

100%

Stockmayer V. , Lehmann A.

Oceanologia

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2023

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tom Vol. 65 (3)

466--483

EN

Variations of temperature, salinity and oxygen of the Baltic Sea on interannual to decadal timescales were studied for the period from 1950 to 2020. Both observational data and the output of a numerical circulation model of the Baltic Sea were analyzed. In addition, we investigated the influence of atmospheric parameters and river runoff on the observed hydrographic variations. Variability of sea surface temperature (SST) closely follows that of air temperature in the Baltic on all timescales examined. Interannual variations of SST are significantly correlated with the North Atlantic Oscillation in most parts of the sea in winter. The entire water column of the Baltic Sea has warmed over the period 1950 to 2020. The trend is strongest in the surface layer, which has warmed by 0.3–0.4°C decade−1, noticeably stronger since the mid-1980s. In the remaining water column, characterized by permanent salinity stratification in the Baltic Sea, warming trends are slightly weaker. A decadal variability is striking in surface salinity, which is highly correlated with river runoff into the Baltic Sea. Long-term trends over the period 1950–2020 show a noticeable freshening of the upper layer in the whole Baltic Sea and a significant salinity increase below the halocline in some regions. A decadal variability was also identified in the deep layer of the Baltic Sea. This can be associated with variations in saltwater import from the North Sea, which in turn are influenced by river runoff: fewer strong saltwater inflows were observed in periods of enhanced river runoff. Furthermore, our results suggest that changes in wind speed have an impact on water exchange with the North Sea. Interannual variations of surface oxygen are strongly anti-correlated with those of SST. Likewise, the positive SST trends are accompanied by a decrease in surface oxygen. In greater depths of the Baltic Sea, oxygen decrease is stronger, which is partly related to the observed increase of the vertical salinity gradient.

3

Identification of web platforms usage patterns with dynamic time series analysis methods

100%

Jankowski J.

Metody Ilościowe w Badaniach Ekonomicznych

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2011

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tom 12

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nr 1

77-86

EN

The paper proposes a new approach to modelling online social systems users’ behaviours based on dynamic time wrap algorithm integrated with online system’s databases. The proposed method can be applied in the field of community platforms, virtual worlds and massively multiplayer online systems to capture quantitative characteristic of usage patterns.

4

Krótkoterminowe prognozowanie wielkości popytu z wykorzystaniem klasycznych metod predykcji na przykładzie międzynarodowego przedsiębiorstwa produkcyjno-dystrybucyjnego

100%

Jurczyk K. , Gdowska K.

Logistyka

|

2015

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tom nr 4

9076--9084, CD3

PL

W pracy zaprezentowano wyniki badań polegających na doborze odpowiedniej metody do prognozowania wielkości popytu w międzynarodowym przedsiębiorstwie produkcyjno-dystrybucyjnym. Wykorzystane metody – naiwną, średniej ruchomej, wygładzania wykładniczego oraz wskaźników sezonowości – porównano ze sobą oraz zwrócono wagę co do zasadności ich stosowania. Obiektem badań było międzynarodowe przedsiębiorstwo produkcyjno-dystrybucyjne, którego nazwa została zakodowana jako Przedsiębiorstwo X. W badaniach przeanalizowano wielkość sprzedaży ośmiu wybranych produktów na rynku skandynawskim. Historyczne miesięczne dane sprzedaży pochodziły z lat 2005–2011.

EN

In the paper a short-term demand forecasting models for international production and distribution enterprise were compared. The object of analysis was an international production and distribution enterprise which brand name was coded as the “X Enterprise”. In the research eight chosen products’ sales volumes were analysed. Historical input data came from 2005–2011.

5

A hybrid setarx model for spikes in tight electricity markets

100%

Lucheroni C.

Operations Research and Decisions

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2012

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tom Vol. 22, No. 1

13--49

EN

The paper discusses a simple looking but highly nonlinear regime-switching, self-excited threshold model for hourly electricity prices in continuous and discrete time. The regime structure of the model is linked to organizational features of the market. In continuous time, the model can include spikes without using jumps, by defining stochastic orbits. In passing from continuous time to discrete time, the stochastic orbits survive discretization and can be identified again as spikes. A calibration technique suitable for the discrete version of this model, which does not need deseasonalization or spike filtering, is developed, tested and applied to market data. The discussion of the properties of the model uses phase-space analysis, an approach uncommon in econometrics.

6

The application of the arima model in forecasting the passenger traffic on the example of border crossings between the subcarpathian province and Ukraine

100%

Dejniak D.

Information Systems in Management

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2018

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tom Vol. 7, No. 3

155--170

EN

Accession of Poland to the European Union meant that its eastern border became the external frontier of the Community. The next step in the European integration was joining the Schengen Zone by Poland. Polish citizens may freely travel throughout the Schengen Zone and the state was obliged to tighten its eastern border. Under these circumstances conducting research on passenger traffic has become a vital issue, with particular focus on the eastern frontier. In the article an attempt is made at examining the possibility of forecasting passenger traffic on the example of border crossing points between the Subcarpathian Province and Ukraine using the ARIMA models. Confirmation of these possibilities seems to be crucial as the number of people crossing the border is characterized by high variability and sensitivity to the political situation. The study is based on the information provided by the Polish Border Guard. The conducted time series analysis is of a multi-purpose character. It may be used to support decision making processes of investment, organizational, as well as socio-political nature.

7

A hybrid SETARX model for spikes in tight electricity markets

100%

LUCHERONI C.

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nr 1

13-49

EN

The paper discusses a simple looking but highly nonlinear regime-switching, self-excited threshold model for hourly electricity prices in continuous and discrete time. The regime structure of the model is linked to organizational features of the market. In continuous time, the model can include spikes without using jumps, by defining stochastic orbits. In passing from continuous time to discrete time, the stochastic orbits survive discretization and can be identified again as spikes. A calibration technique suitable for the discrete version of this model, which does not need deseasonalization or spike filtering, is developed, tested and applied to market data. The discussion of the properties of the model uses phase-space analysis, an approach uncommon in econometrics.

8

A method of non-linear time series prediction

100%

Bielińska E.

Systems Science

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2008

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tom Vol. 34, no 2

11-16

EN

The paper concerns time series modelling and prediction. Time series dynamics is described with the use of a hybrid linear-bilinear model. Then, a prediction algorithm that minimizes a variance of a prediction error is derived based on the hybrid linear-bilinear model, and the method of prediction strategy is proposed. The strategy is then applied to one of the most popular benchmark data -sunspot number series. Results obtained with the use of the model and the prediction algorithm proposed in the paper, are compared to the results obtained on the basis of a SETAR model proposed by Tong.

9

Temporal Disaggregation of Time Series with Regularization Term

100%

Wójcik S.

Barometr Regionalny. Analizy i prognozy

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2016

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nr 3(45)

183-188

EN

Methods of temporal disaggregation are used to obtain high frequency time series from the same low frequency time series — so-called disaggregation — with respect to some additional consistency conditions between low and high frequency series. Conditions depend on the nature of the data — e.g., stack, flow, average and may pertain to the sum, the last value and the average of the obtained high frequency series, respectively. Temporal disaggregation methods are widely used all-over the world to disaggregate for example quarterly GDP. These methods are usually two-stage methods which consist of regression and benchmarking. In this article we propose a method which performs regression and benchmarking at the same time and allows to set a trade-off between them.

PL

Metody dezagregacji czasowej są używane do uzyskania szeregów czasowych o wysokiej częstotliwości z tego samego szeregu czasowego niskiej częstotliwości przez procedurę tzw. dezagregacji przy założeniu pewnych dodatkowych warunków spójności pomiędzy szeregiem o niskiej i wysokiej częstotliwości. Warunki te zależą od rodzaju danych, np. stan, przepływ i mogą odnosić się odpowiednio do sumy lub ostatniej wartości otrzymanego szeregu wysokiej częstotliwości. Metody dezagregacji czasowej są szeroko stosowane na świecie do dezagregacji np. PKB. Metody te są zazwyczaj dwustopniowe i składają się z regresji oraz benchmarkingu. W tym artykule proponujemy metodę, która wykonuje regresję i benchmarking jednocześnie oraz umożliwia ustalenie relacji między nimi.

10

Matching Observed with Empirical Reality - What you see is what you get?

100%

Kurbalija V. , Ivanović M. , von Bernstorff C. , Nachtwei J. , Burkhard H.-D.

Fundamenta Informaticae

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2014

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tom Vol. 129, nr 1/2

133--147

EN

This paper outlines the primary steps to investigate if artificial agents can be considered as true substitutes of humans. Based on a Socially augmented microworld (SAM) human tracking behavior was analyzed using time series. SAM involves a team of navigators jointly steering a driving object along different virtual tracks containing obstacles and forks. Speed and deviances from track are logged, producing high-resolution time series of individual (training) and cooperative tracking behavior. In the current study 52 time series of individual tracking behavior on training tracks were clustered according to different similarity measures. Resulting clusters were used to predict cooperative tracking behavior in fork situations. Results showed that prediction was well for tracking behavior shown at the first and, moderately well at the third fork of the cooperative track: navigators switched from their trained to a different tracking style and then back to their trained behavior. This matches with earlier identified navigator types, which were identified on visual examination. Our findings on navigator types will serve as a basis for the development of artificial agents, which can be compared later to behavior of human navigators.

11

Market efficiency and non-linear dependence in the Czech crown/US dollar foreign exchange market

100%

Chappell D. , Eldridge R.

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nr 1-2

27-35

EN

We examine the Czech Crown/US Dollar exchange rate for evidence of market efficiency during the period May, 1997, to September, 1998. The Czech Crown was floated on the world's foreign exchange markets in May, 1997, and it is of interest to examine the behaviour of this new market. We show that this foreign exchange market satisfied the criteria for weak form efficiency during the first part of the period under investigation but there is evidence of non-linear dependence during the second part of the period. This is successfully modelled using a GARCH-M(1,1) representation.

12

Computational intensive methods for prediction and imputation in time series analysis

100%

Neves M. , Cordeiro C.

Discussiones Mathematicae Probability and Statistics

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2011

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tom 31

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nr 1-2

121-139

EN

One of the main goals in times series analysis is to forecast future values. Many forecasting methods have been developed and the most successful are based on the concept of exponential smoothing, based on the principle of obtaining forecasts as weighted combinations of past observations. Classical procedures to obtain forecast intervals assume a known distribution for the error process, what is not true in many situations. A bootstrap methodology can be used to compute distribution free forecast intervals. First an adequately chosen model is fitted to the data series. Afterwards, and inspired on sieve bootstrap, an AR(p) is used to filter the series of the random component, under the stationarity hypothesis. The centered residuals are then resampled and the initial series is reconstructed. This methodology will be used to obtain forecasting intervals and for treating missing data, which often appear in a real time series. An automatic procedure was developed in R language and will be applied in simulation studies as well as in real examples.

13

Application of the vector-autoregression VAR model in the analysis of unemployment hysteresis in the context of Okun’s Law

88%

Kołbyko P.

Research Papers in Economics and Finance

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2022

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tom 6

|

nr 2

68-85

EN

Unemployment is an important macroeconomic issue both in theoretical terms and for economic reality. On the theoretical ground, the unemployment rate, which is a measure of the share of unemployed units of the labour supply in the economy, determines the output gap at a certain adjustment parameter determined by the marginal productivity of labour. One of the causes of rising or persistent unemployment in the economy is the phenomenon of unemployment hysteresis, which occurs as a result of changes in the marginal disutility of labour, the strength of the wage bargain and other exogenous conditions arising in previous periods. The purpose of the study conducted in the following paper is to investigate the phenomenon of hysteresis in the labour market by analysing the significance of the impact of the unemployment rate in previous periods. In addition, the work aims to study Okun’s Law as an effect of production dynamics on the unemployment rate. The study of the dependence was carried out through the estimation of a macroeconometric time series model-vector-autoregression (VAR) on the example of statistical data for Poland obtained from Statistics Poland (Stat.gov.pl) and complied raports about national accounts in the quarterly sequence for the years 2015–2021. The period of the study was arbitrarily selected with the observation of business cycle fluctuations in the above time frame. Empirical analysis of selected structural parameters through estimation of the vector-autore- gression model showed a significant influence of the time series in the formation of the unemployment rate, which confirms the influence of the analysed phenomenon of hysteresis in the labour market. In addition, the vector-autoregression model for inter- val forecasting through the use of dynamic prediction proved to be a posteriori accurate forecasting model of the unemployment rate in the Polish economy.

14

Identyfikacja spekulacji na rynkach terminowych towarów rolnych

88%

Malik G.

Econometrics. Ekonometria. Advances in Applied Data Analytics

|

2013

|

nr 4(42)

140-152

EN

The purpose of this article is to identify speculative activities on the futures commodity market of the CME and to investigate the tendencies of such activities by classifying them according to whether their impact on the market is stabilizing or destabilizing. That goal was accomplished by generating one-step-forecasts for the monthly returns of the future contracts with the shortest time left to expiration, and then examining tendencies in the forecast error series. The mentioned-above predictions were obtained by means of the ARIMA model for which best parameterization was identified based upon the value of AIC. Tendencies in the prediction errors were quantified using the linear trend formula, estimated in the sub-periods. The predictions of tendencies in the error series, covering three years staring at the end of the sample, were calculated after fitted the best ARIMA model in order to catch the dynamic structure of the series under consideration.

15

Time Series Approach To Athletes Motor Potential

88%

Maszczyk A. , Roczniok R. , Pietraszewski P. , Stanula A. , Zając A. , Gołaś A.

Polish Journal of Sport and Tourism

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2012

|

tom 19

|

nr 2

103-106

EN

Introduction. The aim of this study was to determine the dynamics of changes in selected motor abilities of javelin throwers and to determine predictors of javelin throw distances. Material and methods. Research material included the results obtained from a group of 60 competitors from the Silesia Region of Poland, aged 14 - 15 years. In order to answer the research question, the following statistical analysis were employed: Pearson's linear correlation coefficients, vectors R0 and R1, time series analysis, distributed lag analysis and Almon distributed lag analysis and coefficient of concordance φ2Results. The correlation analyzes allowed for a selection of two variables for further analyses: specific strength of arms and trunk (SSAT) and specific strength of shoulders girdle and trunk (SSGT). Calculated indexes revealed that the level of SSAT showed a constant upward tendency (+15%). The highest rise in SSAT level was recorded in the 4th and 5th quarter (+9%). The level of SSGT showed an upward tendency nearly (+6%). In this case, the highest rise was observed in the 7th and 8th quarter (+4.5%). Conclusions. The standardized regression analysis revealed that the variable of specific power of arms and trunk (SOBT) is the most important predictor for javelin throw distance with a full approach run.

16

Evaluation of the displacements of the permanent GPS stations of Beni Haroun Dam geodetic network (Algeria)

75%

Khelifa S. , Dekkiche H. , Kahlouche S. , Boudina S.

Acta Geophysica

|

2021

|

tom Vol. 69, no. 6

2129--2143

EN

The purpose of this paper is the analysis of the daily coordinate time series of the five permanent GPS (Global Positioning System) stations of the geodetic monitoring network of the Beni-Haroun Dam (Algeria), in order to assess the spectral content of the dam displacements. The coordinate time series analysis was based on the singular spectrum analysis to assess their principal components (trend, seasonal components and noise in phase space), the spectral analysis to identify their noise spectrum (white or colored) and the wavelet thresholding method to determine their noise in frequency space. The results showed that the primary signal present in the analyzed time series is mainly composed of a trend and an annual component. The trend and the annual signal explain more than 95% of the total signal in the three coordinates (x, y, z) for all studied stations. The analyzed time series in the three coordinates (x, y, z) are characterized by a linear drift less than 1 mm/year, their annual amplitudes are in the range of 0.5–2 mm, and the amplitudes of their semiannual, four-monthly and quarterly signals are in the range of 0–0.5 mm. The noise spectrum in the analyzed time series is flicker noise, and the noise level is in the range of 0.2–0.7 mm, 0.3–0.5 mm and 0.5–1.2 mm in, respectively, x-, y- and z-coordinates. The low values of trend and noise level in the analyzed station coordinates indicate that the Beni-Haroun Dam is qualified as stable.

17

Real time search algorithm for observation outliers during monitoring engineering constructions

75%

Latos D. , Kolanowski B. , Pachelski W. , Sołoducha R.

Reports on Geodesy and Geoinformatics

|

2017

|

tom Vol. 104

103--114

EN

Real time monitoring of engineering structures in case of an emergency of disaster requires collection of a large amount of data to be processed by specific analytical techniques. A quick and accurate assessment of the state of the object is crucial for a probable rescue action. One of the more significant evaluation methods of large sets of data, either collected during a specified interval of time or permanently, is the time series analysis. In this paper presented is a search algorithm for those time series elements which deviate from their values expected during monitoring. Quick and proper detection of observations indicating anomalous behavior of the structure allows to take a variety of preventive actions. In the algorithm, the mathematical formulae used provide maximal sensitivity to detect even minimal changes in the object’s behavior. The sensitivity analyses were conducted for the algorithm of moving average as well as for the Douglas-Peucker algorithm used in generalization of linear objects in GIS. In addition to determining the size of deviations from the average it was used the so-called Hausdorff distance. The carried out simulation and verification of laboratory survey data showed that the approach provides sufficient sensitivity for automatic real time analysis of large amount of data obtained from different and various sensors (total stations, leveling, camera, radar).

18

New methods for the identification of nonlinear model structures based upon genetic programming techniques

75%

Winkler S. , Affenzeller M. , Wagner S.

Systems Science

|

2005

|

tom Vol. 31, no 1

5-13

EN

Identifying nonlinear model structures as a part of analyzing a physical system means trying to generate an algebraic expression as a part of an equation that describes the physical representation of a dynamic system. Many existing system identification methods are based on parameter identification. In this paper, we describe a method using genetic programming to evolve an algebraic representation of measured input-output response data. The main advantage of the presented approach is that unlike many other identification methods, it does not restrict the set of models that can be identified but can be applied to any kind of data sets representing a system's observed or simulated input and output signals. This paper describes research that was done for the project "Specification, Design and Implementation of a Genetic Programming Approach for Identifying Nonlinear Models of Mechatronic Systems". The goal of the project is to find models for mechatronic systems; our task was to examine whether the methods of Genetic Programming are suitable for determining the structures of physical systems by analyzing a system's measured behaviour or not.

19

Microseismic signal denoising using simple bandpass filtering based on normal time–frequency transform

75%

Yao Y. , Wang G. , Liu L.

|

2023

|

tom Vol. 71, no. 5

2217--2232

EN

In active underground mining environments, monitoring mine vibrations has important implications for both safety and productivity. Microseismic data processing is crucial for subsurface real-time monitoring during mineral mining processes. Microseismic events are difficult to detect due to their small magnitudes and low signal-to-noise ratios (SNRs). Useful microseismic signals are usually obscured by long-period microseisms, random noise and artificial strong noise. We propose a useful microseismic denoising algorithm based on the normal time–frequency transform (NTFT) to determine the instantaneous frequency, amplitude and phase information from useful microseismic signals. The energy difference in the time–frequency domain between useful microseismic signals and strong noise is small. Therefore, based on the different phase characteristics of microseismic signals and noise in the NTFT phase spectrum, noise can be filtered out by reconstructing the microseismic signals in useful real-time frequency bands. The proposed simple bandpass filtering (SBPF) method is advantageous because the denoising result does not produce phase shifts, energy leakage or artefacts. The only parameter of the proposed method that needs to be defined is the instantaneous cutoff frequency; thus, the denoising operation is simple. We use both synthetic and real data to demonstrate the feasibility of the method for denoising complicated microseismic datasets.

20

Links between the price of butter in Poland and in selected foreign markets

75%

Domagała J.

|

nr 3

13-25

PL

Celem artykułu jest określenie powiązań między cenami masła w Polsce a cenami masła w wybranych krajach. Wykorzystano dane wtórne dotyczące miesięcznych cen masła na poziomie państw, gromadzone przez EU Milk Market Observatory oraz portal CLAL.IT za lata 2000-2017. Analizowany okres podzielono na dwa podokresy: 2000-2007 i 2008-2017. Do analizy powiązań zastosowano testy kointegracji Johansena oraz analizę przyczynowości Grangera. W pierwszym etapie badań przeanalizowano powiązania między ceną masła w Polsce a cenami w Europie Zachodniej, USA i Oceanii. W ramach drugiego etapu badań przeanalizowano powiązania między cenami masła w Polsce i w wybranych krajach UE. Uzyskane wyniki badań potwierdziły silniejsze powiązanie cen masła w Polsce z cenami masła w Europie Zachodniej i Oceanii, szczególnie w drugim podokresie, czyli po globalnym kryzysie finansowym. Biorąc pod uwagę ceny w UE, należy stwierdzić, że największe powiązania z cenami masła w Polsce miały ceny w Belgii, Czechach, Niemczech, Irlandii oraz Holandii.

EN

The aim of the paper was to determine the links between price of butter in Poland and in other selected countries. The article used secondary data for the monthly price of butter at country level collected by the Milk Market Observatory and the Italian Dairy Economic Consulting Portal for 2000-2017. The analyses covered two periods: 2000-2007 and 2008-2017. The article used the Johansen cointegration tests, and Granger's causality analysis. The analyses in the first stage concerned the links between butter prices in Poland and those in Western Europe, the USA and Oceania. In the second stage, the links between butter prices in Poland and selected EU countries were identified. The results confirmed the stronger link between the price of butter in Poland and in Western Europe and Oceania. It is worth noting that this occurred mainly in the period after the financial crisis. Within the EU, butter prices in Belgium, the Czech Republic, Germany, Ireland and the Netherlands were strongly related to the price in Poland.