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Directions in Information Systems and Data Analysis:
Opportunities and Challenges
from a personal perspective
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Outline● Applications● Problems & Challenges● Solutions
– R Framework (Business Model)
– Reproducible Research
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Applications
Analysis ofInvestment Strategies
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Analysis of Investment Strategies
● Data sources:
– Accounting
– Macro economics
– Financial markets
– Reports, etc...● Techniques:
– Technical Analysis
– Statistics (econometrics, TSA, VaR, MCMC/bootstrap simulations)
– Data Mining (classifiers, neural networks, ...)
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Reasons for studying IS
● Financial– Reduce risk (market, operational, human)
– Improve return
● Monitoring / Auditing / Rating● HRM
– Renumeration schemes
– Training
● ICT (alignment, usability)
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Application 1
Rating ofInvestment Strategies and Hedge Funds
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Example: market neutral IS
● Hedge funds often use a market neutral IS:– Define a Universe of tradable items (stocks)
– Define a investment horizon (2 – 30 days)
– Create a discrimination model that makes 3 piles:● Neutral pile (no position)● Long pile (buy stocks = long position)● Short pile (sell stocks = short position)
– Hold short and long positions simultaneously during horizon period
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Example: conclusion
● The hedge fund managers are unable to adequately demonstrate the qualities of their investment approach and the clients have no information about the risk they are actually taking by using the hedge fund investment vehicle.
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Hypothesis
● real stock market time series exhibit fundamental, testable differences when compared to the Random-Walk (Fama-efficient)
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Rating Procedure
● Rating is a function of the Expert's ability to discriminate between Real and Random-Walk time series
This equally applies to Experts using:– Technical analysis
– Statistical models
– No model or technique at all
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Fundamental Problem
● This procedure does not take into account exogenous factors such as:– Temporal properties of the market (volatility, ...)
– Geographical properties of the market
– IS-related restrictions imposed by senior management or by law
● Therefore the rating can only be used for a single case (we cannot compare Experts)
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Solution
● Statistical model that discriminates well(low alpha and beta errors)
● The discrimination quality of the model is used as a benchmark to create a relative rating
● This is possible if the model's performance is not too sensitive to external factors (time, place, ...)
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Model
● Quasi Random-Walk (Airoldi, 2001)● P. Cizeau, M. Potters, J.P. Bouchaud, Correlation Structure of
Extreme Stock Returns, Quantitative Finance, 1, 217-222 (2001)● Marco Airoldi, Correlation Structure and Fat Tails in Finance: a New
Mechanism, Risk Management & Research, Intesa-Bci Bank, Milan, Italy (July 30, 2001)
●
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Simple Logistic Regression
● I expand on this idea and introduce the logistic relationshipf = exp(gamma + delta X) where P(h=1) = f / (1+f)and where X is a “discriminating statistic”
● Estimation: Bias Reduced Logistic Regression:➢ Firth, D. (1993) Bias reduction of maximum likelihood estimates.
Biometrika 80, 27-38.
➢ Firth, D. (1992) Bias reduction, the Jeffreys prior and GLIM. In Advances in GLIM and Statistical Modelling, Eds. L Fahrmeir, B J Francis, R Gilchrist and G Tutz, pp91-100. New York: Springer.
➢ Heinze, G. and Schemper, M. (2002) A solution to the problem of separation in logistic regression. Statistics in Medicine 21, 2409-2419.
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Best discriminating factor?
● Based on preliminary investigation we identified the p-value of the small sample Kurtosis
as the best factor (Vandervorst, Wessa, 2005).
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Conclusions
● “Do real stock market time series exhibit fundamental, testable differences when compared to the Random-Walk?”-> Yes (Kurtosis p-value works great)
● Bias-Reduced Logistic Regression = non-linear transformation of probabilities
● We can use the model as a benchmark=> it looks like we can make “fair” comparisons:
– it only requires re-estimation of the model parameters
– the model's performance promises to be good over time and place (and other factors?)
● The autocorrelation-based measure requires 4 times more observations to reach the same discrimination quality
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Application 2
Analysis and Parameter Estimation oftrend-following Investment Strategies
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“tKMACD”
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“Alexander’s Filterrule”
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par3 = lambda_1par4 = lambda_2
Expected Return (P50)
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par3 = lambda_1par4 = lambda_2
VaR 99% (P01)
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tKMACD
Morgan Stanley Standard & Poors
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Expected Return (P50)
par1 = delta_1par2 = delta_2
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par1 = delta_1par2 = delta_2
VaR 99% (P01)
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Alexander’s Filterrule
Morgan Stanley Standard & Poors
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Application 3
Profit Density Forecasting
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Application 4
Portfolio AnalysisDiversification = f(IS)
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Problems & Challenges
So how can things go wrong?
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Risks are not independent
Market Operational
HumanThe interaction between human and operational risks are often neglected
(solution: reproducibility)
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ICT creates problems● Investment parameters change
– Horizon & timing
– Style (large caps, markets, ...)
– Importance of different types of analysis
but is ICT able to cope with rapid changes?● Algorithms change
● Features are added/changed (mostly undocumented)
● Data availability changes
● Do users make adequate use of the Information System?
● How to learn from past mistakes?
● How do we collaborate?
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Process
The black box problem
Decision by theAgent
Evaluation by thePrincipal
Assignment Result
Unknown factors
We cannot attributethe Result to theIndividual
The reward mechanism is not always transparent
Information SystemThe Inf. System makes thingsworse
Market
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PsychologicalSociological
Incentive Scheme
Reproducibilityand Reusability
Responsibility
Experimentation
Communication
Collaboration “Innovation”
“Reliability”
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ChallengesWe would like to
– produce new
– maintain existing
– publish/implement
applications
– quickly & cheaply (Costs)
– with dissemination in mind (Marketing)
– with usability, scalability, security, flexibility... in mind (Infrastructure)
that generate
– reproducible
– reusable
research.
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R Framework (wessa.net)
R Framework for Statistical Software Development, Maintenance, and Publishing within an Open-Access Business Model
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Business Model● Open Source / Open Access
(Johnson 2001, Edwards 2005, Välimäki 2005)● Business & Marketing Models
(Osterwalder 2004, Constantinides 2004)● A Framework for Statistical Software Development,
Maintenance, and Publishing within an OpenAccess Business Model(DSC 2007 Auckland NZ)(published in Computational Statistics)
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Structure
Operating System
R Language
R package
R wrapper
R Framework (wessa.net) Meta-data
Distributed Computing & Queue Manager
Compendium Platform (www.freestatistics.org)
Education & Research Publishing … … …
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Example
● We build an R module that computes Bivariate Kernel Density Estimation
Lucy, D. Aykroyd, R.G. & Pollard, A.M.(2002) Nonparametric calibration for age estimation. Applied Statistics 51(2): 183196
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Meta Information
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R codeWe include:● type conversion● input validation● actual analysis
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R code produces HTML output
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Metatags, links, citations
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R Version, Category, Author
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Editor
The R Framework creates the R module when the Editorclicks the Publish link
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“Descriptive Statistics”
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Bivariate KDE (R Module)
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Handling Requests
• Find R module (Google)• User submits request (html form, HTTP POST)• Webserver loads R module• R module creates pre-processed R code• Webserver directs request to R server (callback)• R server invokes R engine, stores output• Webserver gets output parses through template • Webserver sends html reply to user• User fetches pictures/logfiles from R server
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Computational Result
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Pictures: png and postscript
Postscript (herschaalbaar, exporteerbaar)Png formaat
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R Modules …
• are “indexable”, hence “findable”– hierarchy of hyperlinks– meta tags, titles, descriptions– archive of old versions– fast loading, pure html
• make “Business/Marketing Sense”• are “flexible” (the underlying R code can be
changed on the fly)• have “impact”
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R modules have impact● Millions of unique users [Borghers,Wessa, 2005]
● Citations: Neuroscience, BMC Genomics, European Food Research and Technology, Journal of Electronic Resources in Medical Libraries, Functional Ecology, Journal of Animal Science, Nature, Ornis Fennica, Journal of Field Ornithology, Folia Zool., Journal of Animal Breeding and Genetics, Journal of Molecular Evolution, Annales Zoologici Fennici, Journal of Structural Geology, Journal of Statistics Education, Genes, Brain and Behavior, Journal of Lipid Research, PLoS Pathogens, IEEE Transactions on Knowledge and Data Engineering, Col. Vol. Sci. Pap. ICCAT, Applied Mathematics and Computation, Nucleic Acids Research, Informs, IEEE Transactions on Nuclear Science, arXiv:0704.0655v1 [astroph], etc..
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Advantages
● Distributed computing– Scalability
– Robustness
– Shared resources
● Thin client– No incompatibilities (unlike DIE software)
– Client-side security
– Easy/cheap maintentance
● Flexibility● etc...
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Reproducible Research (freestatistics.org)
Archive of Computational R Objects that support reproducibility and reusability
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Compendium
• Original definition:An electronic collection of Data and Software that is needed to reproduce the results in a text text (c.q. Article)
• New definition:A document with (open-access) references to archived Computations (including Data, Meta-data, and Software) that allow us to reproduce, and reuse the underlying analysis
=> the compendium platform is a tool for collaboration, dissemination, and monitoring.
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Blogging Results
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Archive of Computational R Objects
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Object properties● Date, computing time, links, sources, etc...
● GUUID
● R code
● Parameters
● Data
● Comments, keywords, tags, etc...
● R output
● HTML output
● Pictures (png, postscript)
● etc...
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Objects on the web
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Demo (screenshots)
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Demo (screenshots)
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Demo (screenshots)
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Demo (screenshots)
Every archived computation can be recomputed, changed, and re-archived!=>Archived Computation=Collaborative Software
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Examples of Compendia
http://www.wessa.net/download/tutorial1.pdf (Time Series Analysis - Introduction)
http://www.wessa.net/download/tutorial.pdf(Descriptive Statistics – Central Tendency)
Note: both documents are “work in progress”Please, send corrections & suggestions to [email protected]
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Queue Manager
(not freely available)
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Time Series
Simulations&
Quantiles
PermanentParallel
SimulationAlgorithm
Aggregation
Query & Analysis(R Framework)
Browser:HTML
Query Interface
DataProvider
Data Collector
DataProviderData
Providers