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New approaches to prediction using functional data analysis
(Indian Institute of Management, Ahmedabad, 2017-08-10)
In this paper we address the problem of prediction with functional data. We discuss several new methods for predicting the future values of a partially observed curve when it can be assumed that the data is coming from an ...
Travel time prediction for gps taxi data streams
(Indian Institute of Management Ahmedabad, 2017-03-31)
The analysis of data streams offers a great opportunity for development of new methodologies and applications in the area of Intelligent Transportation Systems. In this paper, we propose a new incremental learning approach ...
Are the temperature of indian cities increasing? : Some insights using change point analysis with functional data
(Indian Institute of Management Ahmedabad, 2017-08-10)
In recent years there has been considerable concern expressed worldwide re-
garding increase in temperature popularly called the global warming problem.
In this paper we examine monthly temperature data of nine Indian ...
Assessment of density forecast for energy commodities in post-financialization era
(Indian Institute of Management Ahmedabad, 2017-07-31)
Probability density for the future price of an asset can be estimated from historical asset prices or exchange-traded derivatives. In this paper, prices of futures and options contracts that embed the forward-looking ...
Pricing option on commodity futures under string shock
(Indian Institute of Management Ahmedabad, 2017-07-26)
Forward curve movements, particularly of industrial and energy commodities, suggests that futures price do not move in tandem with the spot price, and not all futures contracts move in the same direction. We incorporate ...