PROCEEDINGS

January 6, 2014
A special workshop dedicated to recent
methodological developments in Business
Analytics and Intelligent Optimization
(BAIO 2014) will be held.
January 7 and 8, 2014
The conference will focus on Business
Analytics in Finance and Industry. All talks will
refer to methods and applications of business
analytics in different real settings.
Industry Day. January 9, 2014
Casapiedra
This activity will take place, with talks by
regulators, authorities, and recognized
practitioners, describing the future challenges
that the industry will face in the coming years
in the nancial industry. Some presentations
will be in Spanish without translation.
PROGRAM
Please check information on the conferences web site: www.ba.cl @bachile Contact: info@ba.cl
W|to|d edrycz
Monday 9:00 - 10:00
"Granu|ar Comput|ng and 8us|ness
Ana|yt|cs: kecent Deve|opments,
Cha||enges, and rospects"
8uslness analyLlcs dwells upon an
exLenslve usage of daLa leadlng Lo a
wealLh of approaches Lo explanaLory
and predlcLlve modellng whlle empha-
slzlng Lhe need Lo supporL human-
cenLrlc processes of declslon-maklng.
8uslness analyLlcs requlres bulldlng a
sulLable perspecLlve aL huge volumes
of dlverse daLa usually of subsLanLlally
varylng quallLy. ln llghL of Lhe chal-
lenges, lL becomes apparenL LhaL pro-
cesslng avallable daLa beneflLs from
poslLlonlng such pursulLs aL a cerLaln
level of absLracLlon belng dellvered ln
Lhe form of lnformaLlon granules and
wlLhln Lhe seLLlng of Cranular Compu-
Llng. ln a nuLshell, Cranular Compu-
Llng ls abouL lnformaLlon granules:
Lhelr ellclLaLlon, processlng, and faclll-
LaLlng communlcaLlon wlLh Lhelr usage.
We dlscuss a number of key formal-
lsms of represenLlng lnformaLlon
granules (seLs, lnLervals, fuzzy seLs,
rough seLs, shadowed seLs, eLc.), em-
phaslze Lhelr role ln Lhe formaLlon of
expllclLly expressed knowledge LldblLs,
and dlscuss ways of acqulrlng of l
formaLlon granules on a basls of avall-
able experlmenLal evldence. Clven Lhe
pleLhora of formal seLLlngs of lnfor-
maLlon granules, Lhere are several
prlnclples, whlch hold regardless of
Lhls dlverslLy and lead Lo a unlfled and
coheslve processlng plaLform: (l) Lhe
prlnclple of [usLlflable granularlLy, (ll)
an opLlmal allocaLlon of lnformaLlon
granularlLy, and (lll) emergence of
hlerarchles of layers of lnformaLlon
granules (formlng hlgher order and
hlgher Lype consLrucLs).
WlLh Lhls regard, lnformaLlon granules
(say, fuzzy seLs) of hlgher order and
hlgher Lype form one of Lhe lnLeresL-
lng concepLual and meLhodologlcal
avenues. We hlghllghL key moLlvaLlng
facLors behlnd Lhe emergence of Lype-
2 and order-2 of lnformaLlon granules
and reveal apparenL llnkages beLween
Lype-n lnformaLlon granules and hler-
archlcal archlLecLures of consLrucLed
models. SelecLed essenLlal lssues of
hlerarchy bulldlng, collaboraLlon for-
maLlon, and reconclllaLlon of flndlngs
are elaboraLed on. lL ls shown how Lhe
quallLy of daLa can be efflclenLly quan-
Llfled ln Lerms of lnformaLlon granules,
ln parLlcular we demonsLraLe how
lnformaLlon granules are engaged ln
daLa lmpuLaLlon.
1yrre|| kockafe||ar
Monday 16:03 - 17:03
"k|sk measures, ut|||ty and regret |n
f|nanc|a| mode||ng"
Measures of rlsk, especlally wlLh prop-
erLles such as Lhe coherency lnLro-
duced ln 1999 for appllcaLlons ln Lhe
banklng lndusLry, have aLLracLed wlde
aLLenLlon. A key example of a coherenL
measure ls condlLlonal value-aL-rlsk
(Cva8), ln conLrasL Lo Lhe much-used
value aL rlsk (va8), whlch lacks coher-
ency, buL many oLher posslblllLles have
come Lo llghL slnce Cva8 was dlscov-
ered. 1hese examples share Lhe lm-
porLanL feaLure LhaL Lhe rlsk ln a ran-
dom varlable represenLlng loss can be
compuLed Lhrough a one-dlmenslonal
mlnlmlzaLlon formula lnvolvlng a dlf-
ferenL quanLlLy, called regreL. 1he rlsk-
regreL formula ls lmporLanL ln porLfo-
llo opLlmlzaLlon problems lnvolvlng
rlsk ln consLralnLs as well as ob[ecLlves.
8egreL ln Lhls sense ls a sorL of mlrror
lmage of uLlllLy, Luned Lo mlnlmlzaLlon
lnsLead of maxlmlzaLlon, buL uLlllLy
relaLlve Lo a benchmark. 8lsk-based
modellng ln flnance can Lhereby be
unlfled wlLh uLlllLy-based modellng.
lurLhermore, surprlslng connecLlons
emerge beLween dlfferenL approaches
Lo rlsk and dlfferenL sLaLlsLlcal LreaL-
menLs of daLa.
8art 8aesens
1uesday 9:00 - 10:00
Soc|a| Network Ana|yt|cs for Iraud
Detect|on: Ins|ghts and Cha||enges
uaLa mlnlng algorlLhms are focused on
flndlng frequenLly occurrlng paLLerns
ln hlsLorlcal daLa. 1hese Lechnlques
are useful ln many domalns, buL for
fraud deLecLlon lL ls exacLly Lhe oppo-
slLe. 8aLher Lhan belng a paLLern re-
peaLedly popplng up ln a daLa seL,
fraud ls an uncommon, well-
consldered, lmpercepLlbly concealed,
Llme-evolvlng and ofLen carefully or-
ganlzed crlme whlch appears ln many
Lypes and forms. As LradlLlonal Lech-
nlques ofLen fall Lo ldenLlfy fraudulenL
behavlor, soclal neLwork analyLlcs
offers new lnslghLs ln Lhe propagaLlon
of fraud Lhrough a neLwork. lndeed,
fraud ls usually noL someLhlng an lndl-
vldual would commlL by hlmself, buL ls
ofLen organlzed by groups of people
loosely connecLed Lo each oLher. 1he
use of neLworked daLa ln fraud deLec-
Llon becomes lncreaslngly lmporLanL
Lo uncover fraudulenL paLLerns and Lo
deLecL ln real-Llme when cerLaln pro-
cesses show some characLerlsLlcs of
lrregular acLlvlLles. AlLhough many
analyses Lyplcally focus ln Lhe flrsL
place on fraud deLecLlon, Lhe empha-
sls should shlfL Lowards fraud preven-
Llon, l.e. deLecLlng fraud before lL ls
even commlLLed. As fraud ls a Llme-
evolvlng phenomenon, soclal neLwork
algorlLhms succeed Lo keep ahead of
new Lypes of fraud and Lo adapL Lo
changlng envlronmenLs and surround-
lng effecLs.
Sven Crone
Wednesday 9:00 - 10:00
"8eyond Iorecast|ng: 1|me Ser|es
Data M|n|ng for New 8us|ness App||-
cat|ons"
WlLh more daLa belng gaLhered aL
ever shorLer Llme lnLervals, forecasLlng
Lhousands of Llme serles recorded aL
ever shorLenlng Llme lnLervals has
become a reallLy for many buslnesses.
As Llme serles daLa seLs converge ln
slze Lo Lhose regularly faced by daLa
mlners, can forecasLers learn from
besL pracLlces and use algorlLhms and
Lools under developmenL ln daLa mln-
lng, compuLaLlonal lnLelllgence and
machlne learnlng? lrom Lhls Lalk you
wlll learn how Lo use Llme serles clus-
Lerlng and classlflcaLlon Lo ldenLlfy
mosL-slmllar and ouLller moLlfs ln
hourly call cenLer daLa, how Lo fore-
casL new producLs by auLomaLlcally
flndlng slmllar pasL producL launches,
and how Lo use new and slmple algo-
rlLhms from machlne learnlng ln fore-
casLlng hlgh-frequency Llme serles of
elecLrlclLy load daLa. WlLh slmllar algo-
rlLhms recenLly lnLroduced ln SAS Llme
serles explorer and SAS LnLerprlse
Mlner, all buslness cases lend Lhem-
selves Lo belng dlrecLly lmplemenLed
for lmproved forecasLlng performance.
Iaze| Iam|||
Wednesday 12:00 - 13:00
"Inte|||gent Cpt|m|zat|on |n the
nea|thcare Industry: A Case Study on
Intens|ve Care Un|t"
uevelopmenL of novel daLa analysls
meLhods ln healLhcare lndusLry are
aLLrlbuLed Lo Lhe compleLlon of human
genome and oLher achlevemenLs ln
daLa collecLlon and daLa undersLand-
lng ln llfe sclences. 1he real challenge
has been Lo develop compuLaLlonal
meLhods Lo flrsL lnLegraLe abundanL
and heLerogeneous forms of daLa for
lnvesLlgaLlon, and ulLlmaLely valldaLlon
of dlscoverles from varlous paradlgms
of llfe sclences. 1o undersLand Lhe real
value of Lhls huge amounL of daLa
from each paradlgm, several aLLempLs
have been made among whlch are: (l)
dlrecL lnLegraLlon of numerlc/symbollc
daLa, (ll) Landem analysls of mulLlple
daLa seLs and (lll) lnLegraLlon of dls-
covered knowledge for Lhe purpose of
valldaLlon, posL-processlng of paLLerns
and acLlonable appllcaLlons. Whlle Lhe
flrsL seems Lo be ldeal, Lhere are many
challenges LhaL are noL Lrlvlal, among
whlch are level of daLa granularlLy and
proper preprocesslng and undersLand-
lng of Lhe daLa.
ln Loday's healLh care lndusLry,
cllnlcal parameLers are normally col-
lecLed for all classes of paLlenLs, ln-
cludlng Lhe ones ln crlLlcal care. ln Lhls
Lalk, focuslng on Lhe ob[ecLlve of lden-
Llfylng lnLeresLlng paLLerns relaLed Lo
physlologlcal varlablllLy, we brlefly
reporL on our lnvesLlgaLlon ln search-
lng for useful paLLerns from cllnlcal
parameLers LhaL lnclude hearL raLe and
resplraLory raLe measuremenLs. We
reporL on our lnvesLlgaLlon ln under-
sLandlng Lhe domaln, Lhe breadLh and
depLh of daLa, whaL should be Lhe
rlghL daLa mlnlng paradlgm and how lL
ls relaLed Lo an acLlve and lncremenLal
opLlmlzaLlon ln healLhcare lndusLry.
We also descrlbe our aLLempLs for
deslgnlng a learnlng and declslon sys-
Lem wlLh appllcaLlons Lo healLh care
lndusLry.

!"#$%%&'()* ,-./ 0123
KEYNOTES

MCNDA, IANUAk 61n
SLSSICN M2: MCNDA 10:0S - 11:3S.
MAIN AUDI1CkIUM.
aper N 6: Iuzzy mode| of econom|c
|ot w|th quant|ty d|scounts
!"#$%&'()* ,&-.(#% /%-(%# 0.#1213
'4-56.&(5717 7. 8%( !-7.(9 :%3561&51-
0.;"<35= %> ?.-.@".31) 1-7 A1&B1
!-7&.5-1 4&<5-1 '4-56.&(5717 7. 8%(
!-7.(9 :%3561&51- 0.;"<35= %>
?.-.@".31)
C%&&.(;%-75-D !"#$%&* ,&-.(#% /%-(%#
';%-(%#E"31F6.)
1hls arLlcle Lransforms ln fuzzy Lhe
maLhemaLlcal model of economlc loL
wlLh quanLlLy dlscounLs. Applles maLh-
emaLlcal approach Lrlangular fuzzy
numbers Lo Lhe followlng concepLs:
demand, sLorage unlL cosL, unlL pur-
chase cosL, procuremenL unlL cosL,
order dellvery Llme, whlch dlffuse
expresslons are obLalned for economlc
loL slze raLe, demand, sLorage unlL cosL,
unlL cosL of supply, unlL purchase cosL,
cycle Llme of 8lsk surface approxlma-
Llons for opLlmal porLfollos supply,
average lnvenLory levels, supply fre-
quency, order lead Llme, reorder polnL
and LoLal cosL. Some developmenLs
are explalned Lo Lransform from
maLhemaLlcal Lo fuzzy-maLhemaLlcal
concepLs relevanL Lo Lhls lnvenLory
model.

aper N 7: k|sk surface approx|ma-
t|ons for opt|ma| portfo||os
!"#$%&'()* A1&=.3% 0%(G&5% H1 :1&&%(1
',(=%31 /%35#I=-5=1 71 4-56.&(5717. 7.
JK% /1"3%9 :&1@53)9 C.321 H. L356.5&1
05<.5&% ',(=%31 /%35#I=-5=1 71
4-56.&(5717. 7. JK% /1"3%9 :&1@53) 1-7
/.7&% M.-&5N". C1&613$% !&1"O%
',(=%31 /%35#I=-5=1 71 4-56.&(5717. 7.
JK% /1"3%9 :&1@53)F
C%&&.(;%-75-D !"#$%&* A1&=.3%
0%(G&5% H1 :1&&%(1 '71<1&&%P
(1E$%#2153F=%2)
orLfollo ManagemenL 1heory lnLro-
duced by markowlLz (1932) sLudles Lhe
problem of composlng an opLlmal
porLfollo of flnanclal asseLs. 1he ob[ec-
Llve ls Lo flnd a porLfollo wlLh mlnl-
mum rlsk, saLlsfylng consLralnLs on Lhe
expecLed reLurn.
MarkowlLz (1932) conslders Lhe varl-
ance of porLfollo reLurns as Lhe rlsk
measure, and Lhe rlsk funcLlon ls wrlL-
Len as !"#$!!! ! !
!
! ( ! Lhe co-
varlance of reLurns). 1hls leads Lo
quadraLlc funcLlon easlly opLlmlzed
uslng kuhn-1ucker Lechnlque. Ma[or
drawback ln Lhls model ls Lhe llmlLed
appllcaLlon Lo symmeLrlcal dlsLrlbu-
Llons of reLurns (Szego (2002)), noL
conslderlng lnformaLlon abouL Lall of
dlsLrlbuLlons.
8ecenL llLeraLure conslders oLher rlsk
measures, such as value aL 8lsk, de-
flned as Lhe greaLesL loss LhaL mlghL
occur wlLh !! of probablllLy ln a flxed
Llme horlzon. uesplLe lLs vasL appllca-
Llon ln pracLlce, especlally for regula-
Lory purposes, Lhe va8 does noL pro-
vlde lnformaLlon abouL Lhe Lall of Lhe
dlsLrlbuLlon of reLurns elLher.
8ockafellar (2000) proposed a new rlsk
measure LhaL overcomes Lhese llmlLa-
Llons, Lhe CondlLlonal value aL 8lsk.
CvA8 ls a coherenL rlsk measure
(ArLzner (1999)) deflned as Lhe aver-
age of values LhaL exceed Lhe vA8, for
a flxed confldence level. Accordlng Lo
CuA8An1A (2008), conslderlng
! ! ! ! !
!
a declslon vecLor repre-
senLlng a porLfollo! ! ! ! ! !
!
Lhe
fuLure reLurn of Lhe asseLs LhaL form a
porLfollo and ! ! !!!! !! Lhe funcLlon
of porLfollo losses, Lhe CvA8 ls wrlLLen
as !"#$!!! ! !"#$!!! !! !
!!!!!!!! !! ! !!, wlLh a Lhe vA8 of
Lhe porLfollo. 8ockafellar and uryasev
(2000) showed LhaL CvA8 can be wrlL-
Len as !
!
!!! !! ! !"#$!!! !! ! ! !
!
!!!
! !! ! ! !
!
!!!
!
!!!!!", wlLh
!
!
! !"#!!! !! and ! Lhe confl-
dence level. Moreover, 8ockafellar
(2002) proposed a formulaLlon LhaL
Lransforms Lhe problem of calculaLlng
Lhe CvA8 ln llnear programmlng, as-
sumlng Lhe dlscreLlzaLlon of Lhe prob-
ablllLy dlsLrlbuLlon!, generaLlng vec-
Lors!
!
! !! !
!
. Clven q scenarlos, Lhe
approxlmaLed funcLlon for !
!
!! !
becomes: !
!
!! ! ! !"#$ !! ! !
! !
!
! !!!
! !! !
!
! !
!
!
!!!
, and
llnear programmlng Lechnlques ls
applled. Clearly, Lhls leads Lo a func-
Llon wlLh several local mlnlmum and
dlsconLlnulLles, and Lhe resulLlng
model ls dlfflculL Lo solve (8lbelro
(2004)).
LCCA1ICNS
A15- !"75#%&5"2* 0.;Q<35=1 RRSF
0%%2 TT9 A15- <"5375-D U-7"(#&513
,-D5-..&5-D H.;1&#2.-#F 0.;Q<35=1
RVW9 .-#&X <X H%2.XY%F

As more rlsk measures of elevaLed
complexlLy are lnLroduced Lo Lhe porL-
follo problem, general response sur-
face lnLerpolaLlon Lechnlques may play
an lmporLanL role boLh Lo undersLand
Lhese measures and Lo solve Lhe prob-
lem on a generallzed fashlon. 1hus,
Lhls sLudy proposes Lhe appllcaLlon of
general lnLerpolaLors, such as neural
neLworks and krlglng, Lo esLlmaLe Lhe
response surface of mulLlple rlsk
measures.
1he applled neural neLwork ls Lhe
MulLllayer ercepLron algorlLhm wlLh
Lhe slgmold Lhreshold funcLlon. 1he
sLrucLure of Lhe neLwork ls of four
lnpuLs, Lwo lnLernal layers of elghL
neurons each, and one ouLpuL. 1he
neLwork ls Lralned wlLh Lhe back-
propagaLlon meLhod, wlLh consLanL
progresslon raLe.
Clven q palrs ! !
!
! !
!
!!!
!
, wlLh
!
!
! !
!
and !
!
! !!!
!
! , Lhe
krlglng Model creaLes a polynomlal
approxlmaLlon of a funcLlon f ! !
!
!
!
!
!!! ! !!!!
!
!!!
. 1he random
errors !!!! are correlaLed, normally
dlsLrlbuLed, wlLh mean equal Lo zero
and varlance !
!
. 1he covarlance be-
Lween Lhe errors ls glven by
!"# ! !
!
! ! !
!
! !
!
!
!"
where
__l[ ls Lhe correlaLlon beLween Lwo
errors
!!
!"
! ! !! !
!
! !"##!!
!
! !
!
!!! An
unblased esLlmaLor of !!!
!
) ls glven
by 8lbelro (2002) and Lophaven (2002):
! !
!
!
!
!
!
!
! !
!!!
!!
!
! ! !
!
!
!!
!! ! !!
!
!
wlLh ! ! !
!
!
!!
!
!!
!
!
!
!!
! .
vecLor ! ls Lhe correlaLlon vecLor be-
Lween errors relaLed Lo !
!
and Lhe
oLher polnLs ln Lhe sample, ! ls Lhe
correlaLlon maLrlx beLween Lhe polnLs
ln Lhe sample, ! ls Lhe vecLor of Lhe
values observed for CvA8, and ! ls Lhe
maLrlx wlLh Lhe values calculaLed ln
Lhe polnLs of Lhe sample.
1o lllusLraLe Lhe appllcaLlon, Lhe pro-
posed Lechnlques are applled Lo opLl-
mlze a porLfollo composed of four
asseLs negoLlaLed ln 8CvLSA, uslng
boLh Lhe varlance and Lhe CvA8 as rlsk
measures. 8esulLs are compared Lo
Lhose obLalned by kuhn-1ucker and
8ockaffelar (2002), respecLlvely.
8eferences:
ArLzner, ., ualbaen, l., Lber, !.-M., &
PeaLh, u. (1999). CoherenL mesures of
rlsk. MaLhemaLlcal llnance, 9, 203-228.
Lophaven, S., nlelsen, P., & Sonder-
gaard, !. (2002). uACL: a maLlab
krlglng Lollbox. uenmark: lnformaLlcs
and MaLhemaLlcal Modelllng, 1ech-
nlcal unlverslLy of uenmark.
MarkowlLz, P. (1932). orLfollo Selec-
Llon. 1he !ournal of llnance, v.7, pp.
p.77-91.
CuaranLa, A. C., & Zaffaronl, A. (2008).
8obusL opLlmlzaLlon of condlLlon value
aL rlsk and porLfollo selecLlon. !ournal
of 8anklng and llnance, v.32, pp.
2046-2036.
8lbelro, C. C., & lerrelra, L. A. (2004).
uma conLrlbulo ao problema de
composlo de carLelras de mlnlmo
valor em rlsco. CesLo e roduo ,
v.12, pp. p.293-304.
8ockafellar, 8. 1., & uryasev, S. (2000).
CpLlmlzaLlon of CondlLlonal value-aL-
8lsk. !ournal of 8lsk , v. 2, pp. 21-41.
8ockafellar, 8. 1., & uryasev, S. (2002).
CondlLlonal value-aL-8lsk for general
loss dlsLrlbuLlons. !ournal of 8anklng
and llnance, v.26, pp. 1443-1471.
aper N 3S: 1op|c Iactor Mode|s:
Uncover|ng 1hemat|c Structure |n
Lqu|ty Market Data
!"#$%&'()* Z%. J#15-.( '4-56.&(5#X C%3P
3.D. 8%-7%-9 4[) 1-7 H1657 :1&<.&
'4-56.&(5#X C%33.D. 8%-7%-9 4[)
C%&&.(;%-75-D !"#$%&* Z%. J#15-.(
'O%.F(#15-.(ED2153F=%2)
ln flnance, decomposlLlon of Llme
serles lnLo Lhelr key drlvlng forces ls
commonplace. rlnclpal componenL
analysls and relaLed meLhods are used
Lo ldenLlfy feaLures of co-movemenL of
prlces. AlLernaLlvely, reLurns can be
aLLrlbuLed Lo some seL of economlc
varlables by regresslon. 1he resulLlng,
ublqulLous, probablllsLlc models of
reLurns are called facLor models (see,
for example lama and lrench, 1996).
We are noL aware of any prevlous
aLLempL aL a mlddle ground of auLo-
maLlcally deLecLlng Llme serles de-
composlLlon where Lhe componenLs
have economlc meanlng. We propose
uslng Loplc modelllng wlLh LexL and
Llme serles daLa Lo achleve [usL LhaL.
1here have been only llmlLed aLLempLs
Lo apply Loplc modelllng Lo flnanclal
daLa (uoy and Llkan, 2009, Shah and
SmlLh, 2010) and Lhese largely aLLempL
Lo work flnanclal daLa lnLo exlsLlng
models. We belleve Lhere exlsL oppor-
LunlLles Lo flnd beLLer models for Lhls
appllcaLlon.
8y exLenslon Lo Lhe above menLloned
meLhods we call our [olnL generaLlve
model for LexL and Llme serles daLa a
Loplc facLor model (or 1lM). Cur 1lM
ls an exLenslon of LaLenL ulrlchleL
AllocaLlon (LuA), a generaLlve process
for dlscreLe daLa (usually a bag-of-
words descrlpLlon of a documenL)
whlch assumes a dlmenslon-reduced
descrlpLlon of Lhe documenL ln Lerms
of a laLenL dlsLrlbuLlon over Loplcs (8lel,
ng and !ordan, 2003). 1o allow slmul-
Laneous emlsslon of Llme serles daLa
we also lnLerpreL Lhe dlsLrlbuLlon over
LexL Loplcs as a welghL vecLor ln a
facLor model. 1he graphlcal model we
use ls closely relaLed Lo supervlsed
laLenL ulrlchleL allocaLlon (8lel and
McAullffe, 2008). Lach Loplc ls repre-
senLed by boLh a dlsLrlbuLlon over Lhe
dlcLlonary, whlch dlcLaLes lLs semanLlc
conLenL, and a Llme serles whlch dlc-
LaLes lLs conLrlbuLlon Lo asseL prlce
movemenL Lhrough Llme. When Lhese
Loplcs are lnferred for real flnanclal
daLa Lhey are lnLerpreLable as Lhe
Lhemes of prlce senslLlvlLy of Lhe as-
seLs ln Lhe corpus.
lor an equlLy corpus Lhe LexL can be
made up of analysls of companles,
wlLh correspondlng Llme serles com-
prlslng Lhe log reLurns of shares ln Lhe
sLock of each company. 1oplcs ln-
ferred Lhen Lend Lo be assoclaLed wlLh,
for example, Lhe lndusLrles or geogra-
phles ln whlch Lhe companles operaLe.
1he modern day equlLy markeL covers
many Lhousands of companles so LhaL
no one analysL could hope Lo read all
Lhe analysls avallable. 1oplc modelllng
could Lhus be exLremely useful ln
summarlzlng or explorlng Lhe space of
equlLy producLs. 1lM provldes a de-
scrlpLlon of Lhe space of sLock prlce
Llme serles whlch ls rlcher Lhan LhaL
gleaned from uslng prlce daLa alone,
slnce lL uses human analysls as a fur-
Lher lnpuL. We show LhaL 1lM glves
rlse Lo a beLLer model of co-movemenL
Lhan Lhe emplrlcal correlaLlon and
comparable Lo oLher robusLlflcaLlon
meLhods. 1lM ls a numerlcal reallza-
Llon of Lhe adage of quanLlLaLlve fl-
nance: LhaL we can beLLer LrusL paL-
Lerns ln daLa lf Lhere ls an economlc
explanaLlon for Lhem. ln Lhls case, we
expecL LhaL equlLles whlch have corre-
laLed ln Lhe pasL are more llkely Lo
conLlnue Lo do so lf LexL wrlLLen abouL
Lhem has more LhemaLlc conLenL ln
common.
8eferences
u. 8lel and !. McAullffe. Supervlsed
Loplc models. ln Advances ln neural
lnformaLlon rocesslng SysLems 20,
pages 121-128. 2008.
u. 8lel, A. ng, and M. !ordan. LaLenL
ulrlchleL AllocaLlon. !ournal of Ma-
chlne Learnlng 8esearch, 3:993-1022,
2003.
C. uoyle and C. Llkan. llnanclal Loplc
models. ln nlS Workshop, Appllca-
Llons for 1oplc Models, 2009.
L. l. lama and k. 8. lrench. MulLlfac-
Lor explanaLlons of asseL prlclng
anomalles. 1he !ournal of llnance,
31(1):33-84, 1996.
n. Shah and n. A. SmlLh. redlcLlng rlsk
from flnanclal reporLs wlLh supervlsed
Loplc models. 1hesls, Carnegle Mellon
unlverslLy, 2010.

SLSSICN M3-A: MCNDA 12:00 -
13:30. MAIN AUDI1CkIUM.
aper N 20: Loss G|ven Defau|t Mod-
e|s by Lnsemb|es and SVk w|th Cus-
tom kerne|s
!"#$%&'()* Z"1- \&1-=5(=% ]%3.7%
'4-56.&(5717 7. ]13=1) 1-7 C&5(#5G-
:&16% '4-56.&(5717 7. C$53.)
C%&&.(;%-75-D !"#$%&* C&5(#5G- :&16%
'=<&16%E755F"=$53.F=3)
1hls work addresses Lhe problem of
measurlng Lhe Loss Clven uefaulL (LCu)
uslng ensembles of daLa mlnlng mod-
els.
1he problem arlses from Lhe dlfflcul-
Lles encounLered ln esLlmaLlng provl-
slons for flnanclal lnsLlLuLlons, whlch
conslsLs of Lhree crlLlcal values. 1he
flrsL ls Lhe LAu, Lhe Lxposure aL ue-
faulL correspondlng Lo Lhe LoLal
amounL Lhe cusLomer owes Lhe fl-
nance company when defaulL occurs,
Lhe second ls Lhe robablllLy of uefaulL
(u), correspondlng Lo an esLlmaLlon
of Lhe probablllLy LhaL a cusLomer
reLurns a prevlously glven loan, meas-
uremenL performed malnly by scorlng
models, and flnally Lhe LCu, or Loss
glven uefaulL, LhaL corresponds Lo Lhe
expecLed loss for Lhe lender ln Lhe
evenL of defaulL.
lL ls necessary Lo use daLa mlnlng Lo
address Lhls problem, as lL can make
predlcLlons based on Lhe analysls of
large daLabases, conslderlng hlsLorlcal
varlables abouL Lhe characLerlsLlcs and
Lhe behavlor of Lhe cusLomer, com-
plemenLed by macroeconomlc lndlca-
Lors of Lhe counLry.
1he meLhods lmplemenLed are non-
llnear models, such as 88l SupporL
vecLor 8egresslon (Sv8), Lnsembles
and Sv8 wlLh cusLom kernels. 1hese
models are compared wlLh Lhe currenL
llLeraLure, where models lnclude neu-
ral neLworks, 8egresslon 1rees and
8egresslon models wlLh fracLlonal
response.
A comparlson ls made by an appllca-
Llon Lo Lwo corporaLe daLaseLs wlLh 70
varlables, buL only 22 and 23 were
lmporLanL for Lhe work. Cne daLaseL
conslsLed of shorL-Lerm loans (up Lo
one year) and Lhe second one conslsL-
ed of long-Lerm loans (up Lo flve years).
1he ensemble models are consldered
Lo be Lhe mosL relevanL, slnce aL leasL
maLch Lhe besL currenL resulLs ob-
Lalned by neural neLworks, wlLh Lhe
ensemble by 8andom loresLs belng
Lhe one wlLh besL resulLs. lor Lhe
shorL-Lerm daLaseL, Lhe besL 8andom
loresL model was lmproved on aver-
age resulL by abouL 1, whlle for Lhe
long Lerm, Lhe besL ensemble model
had an lmprovemenL of 0.3 over Lhe
sLaLe of Lhe arL.
WlLh Lhese resulLs, lL ls lnLended Lo be
used ln measuremenLs of Lhe provl-
slons of flnanclal lnsLlLuLlons and ln
Lhe fuLure wlll be able Lo save a per-
cenLage of money LhaL have commlL-
Led prlor Lo LhaL.
aper N 27: Income Lst|mat|on
Mode| for 8ankar|zed ersons
!"#$%&'()* ^.&1&7% ^".&&.&% ':1-=%
:53<1% ?5@=1X1 !&D.-#1&519 ::?!9 C$53.)
C%&&.(;%-75-D !"#$%&* ^.&1&7%
^".&&.&% 'D".&&.&%FD2ED2153F=%2)
1o enhance buslness sLraLegles, flnan-
clal lnsLlLuLlons are focuslng Lo aLLracL
new cusLomers, people who are
bankarlzed buL noL belonglng Lo Lhe
lnsLlLuLlon, Lo evaluaLe Lhe besL pro-
specLs ls necessary Lo know Lhe cre-
dlLworLhlness of Lhe lndlvlduals whlch
ls dlrecLly proporLlonal Lo Lhelr lncome,
however Lhls hlghly relevanL daLa ls
noL publlc, whereby ls convenlenL use
a lncome esLlmaLors.
1hls paper presenLs a meLhodology
based on a supervlsed predlcLlve
model Lo esLlmaLe lncome for
bankarlzed lndlvlduals ln Chlle Lhrough
Lhe appllcaLlon of daLa mlnlng algo-
rlLhms on flnanclal lnformaLlon pro-
vlded by Lhe Chllean llnanclal SysLem
Cverseer (S8ll, for lLs acronym ln
Spanlsh).
ln Chlle, Lhe llnanclal SysLem ls com-
posed Lo a seL of flnanclal lnsLlLuLlons
LhaL are regulaLed by Lhe S8ll. 1hls
enLlLy perlodlcally consolldaLes and
publlshes a flle called 804 conLalnlng
lnformaLlon of all flnanclal debLs of
lndlvlduals and corporaLlons
bankarlzed ln Lhe counLry: consumer
credlL, commerclal credlL, morLgage
and leaslng, furLhermore credlL llnes
amounL avallable.
llnanclal lnsLlLuLlons are perlodlcally
audlLed and regulaLed, ln Lhls regard,
Lhey requlre predlcLlve behavlor mod-
els LransparenL Lo Lhe overseer, and
Lhls lmplles Lhe developmenL of super-
vlsed learnlng algorlLhms uslng decl-
slon Lrees.
lncome, such as supervlsed ouLpuL
varlable, has Lhe characLerlsLlc of be-
lng conLlnuous, Lhls allows use Lhe M3
algorlLhm whlch ls a Lree whose leaves
are llnear regresslon models Lo predlcL
Lhe response of each lnpuL varlable.
1he model was applled on a super-
vlsed daLa seL of 62,000 records. 1o
lmprove Lhe predlcLlon, Lhe supervlsed
varlable was Lransform, uslng Lhe
naLural logarlLhm. 1o choose Lhe besL
aLLrlbuLes of Lhe 804 flle LhaL should
be lncluded ln Lhe modellng based on
M3, lL was applled Lhe earson Corre-
laLlon CoefflclenL among lnpuLs and
Lhe supervlsed varlable. ulfferenL
scenarlos were modeled, flndlng LhaL
Lhe besL resulLs appeared when Lhere
was chosen Lhe slx aLLrlbuLes wlLh Lhe
greaLer correlaLlon
1he ouLpuL model ls a conLlnuous
varlable, for Lhe confuslon maLrlx
analysls, Lhe ouLcome was dlvlded ln
segmenLs by lncome. We found LhaL
supervlsed model wlLh M3 was able Lo
esLlmaLe Lhe lncome above 70 ln Lhe
Medlum, 1op and vl segmenLs.
ln addlLlon, Lhrough a comparaLlve
Causs charL, lL was noLlced LhaL Lhe
model lnfra esLlmaLes Lhe lncome,
whlch ls beneflclal for Lhe banklng rlsk
area because lL ensures prudence.
lurLhermore, Lhe predlcLlon has a
narrower sLandard devlaLlon Lhan Lhe
real lncome, whlch ensures effecLlve-
ness.
WlLh Lhe valldaLed model, Lhe predlc-
Llon was applled by commerclal area
of 88vA. lmprovlng segmenLs of non-
cusLomers and focuses Lhe approprl-
aLe sLraLegles Lo enhanclng Lhe asser-
Llveness by segmenL. Also, Lhe model
helped Lo updaLed lncome from 1-
producLs cllenLs and ex-cllenLs.
1he appllcaLlon of lncome LsLlmaLlon
Model was successful. SupporL Lhe
88vA Commerclal's area and has al-
lowed knowlng a-prlorl Lhe proflle
Lype of 88vA's non-cusLomers ln Lhe
markeL, and Lhus focuslng on Lhe Lar-
geL group mosL sulLed Lo Lhe buslness
sLraLegy of Lhe 8ank.
aper N 44: red|ct|ng 1ax Defau|t |n
the SML Sector
!"#$%&'()* ]&5-5717 0.##5D '4-56.&(5717
7. C$53.) 1-7 C&5(#51- :&16% '4-56.&P
(5717 7. C$53.)
C%&&.(;%-75-D !"#$%&* ]&5-5717 0.##5D
'#&5-5717F&.##5DED2153F=%2)

ln recenL years Lhe raLe of Lax evaslon
ln Chlle has lncreaslngly grown. Lach
percenLual polnL LhaL lncreases ln Lax
evaslon LranslaLes lnLo a revenue loss
of uSu 330 mllllon per year. Pavlng a
beLLer undersLandlng of Lhe behavlor
of Lhe Laxpayers who do noL declare
Lhelr monLhly value added Lax form
(l29) becomes cruclal Lo lncrease
efflclency ln Lhe supervlslon labor Lhe
lnLernal 8evenue Servlce has Lo make.
1hls sLudy conslsLed ln Lhe develop-
menL of a sLaLlsLlcal model LhaL pre-
dlcLs Lhe defaulL ln Lhe declaraLlon of
value added Lax, speclflcally for Lax-
payers of mlcro and small enLerprlses.
Conslderlng Lhe credlL scorlng Lheory
and Lhe experlence acqulred ln Lhe
banklng lndusLry, Lhree modellng
Lechnlques were used. lor each a LoLal
of 30 dlfferenL varlables were LesLed,
leadlng Lo a flnal model LhaL ldenLlfled
14 lnfluenLlal aLLrlbuLes and LhaL was
bullL wlLh loglsLlc regresslon, glven Lhe
good Lrade-off lL presenLs beLween
accuracy and lnLerpreLablllLy.
1he resulLs lndlcaLe LhaL Lhe mosL
lmporLanL varlable ln predlcLlng Lhe
Lax defaulL ls Lhe pasL behavlor of Lhe
Laxpayer, whlch ls conslsLenL wlLh
paLLerns observed ln Lhe banklng ln-
dusLry. lL was also deLecLed LhaL ln Lhe
norLh of Lhe counLry Laxpayers were
more llkely Lo commlL defaulL Lhan ln
Lhe souLh, among oLher dlsLlncL be-
havlors.

SLSSICN M3-8: MCNDA 12:00 -
13:00. koom 22.
aper N 23: Cpt|ons for pr|vate pen-
s|on funds: A formu|at|on for mu|t|-
per|od asset a||ocat|on w|th myop|c
and non-myop|c po||c|es through
8rown|an br|dge construct|on
!"#$%&'()* 85651 AF CF \"&#17% '\.7.&13
4-56.&(5#X %> A5-1( ^.&15(9 :&1@53) 1-7
8.%-1&7% /F J1-#51D% '\.7.&13 4-56.&P
(5#X %> A5-1( ^.&15(9 :&1@53)
C%&&.(;%-75-D !"#$%&* 85651 AF CF
\"&#17% '356512=>"&#17%ED2153F=%2)
1he declslons concernlng resource
allocaLlon ln a porLfollo of asseLs con-
Llnues Lo generaLe a subsLanLlal
amounL of research up unLll Lhe pre-
senL day. lor lnsLance, Lechnologlcal
developmenLs have enabled Lhe lm-
plemenLaLlon of Lools such as sLochas-
Llc dynamlc programmlng. When decl-
slon makers have dlsLlncL percepLlon
of porLfollo value and composlLlon
over a predeLermlned Llme horlzon,
we face a mulLlperlod declslon prob-
lem LhaL can be Lackled by means of
sLochasLlc dynamlc programmlng algo-
rlLhms. varlous researchers have re-
lled on MonLe Carlo Lechnlques ln
order Lo generaLe scenarlo Lrees as
complemenLaLlon Lo Lhe algorlLhm
because Lhey repllcaLe Lhe mulLlvarl-
aLe behavlor of Lhe asseL raLes of re-
Lurn.
Powever, as argued by lonseca and
8usLem (2012), dynamlc declslon-
maklng LradlLlonally represenLed by
scenarlo Lrees may become severally
lnLracLable and dlfflculL Lo compuLe
wlLh an lncreaslng number of Llme
perlods. ln facL, mulLlperlod problems
can be synLheslzed ln a slngle perlod ln
parLlcular cases usually referred Lo as
myoplc problems. 1hese cases are
usually capLured by Lhe cholce of spe-
clflc parameLers of some uLlllLy func-
Llons or when Lhe rlsk free raLe ls con-
sLanL and equal Lo 1. ln Lhls case, Lhe
lnvesLor lgnores Lhe opporLunlLy Lo
relnvesL hls wealLh and choose Lhe
same allocaLlon pollcy LhroughouL Lhe
declslon horlzon. ln llne wlLh Lhls class
of problem, 8rown and SmlLh (2011)
analyzed many heurlsLlcs of dlfferenL
Lradlng sLraLegles ln a mulLlperlod
problem wlLh a myoplc power uLlllLy.
AnoLher example ls Lhe approach of
8ranger and Pansls (2012), who exam-
lned Lhe lmpacL of premlum sLrucLure,
volaLlllLy and prlce [umps ln Lhe opLl-
mal porLfollo declslon of a consLanL
relaLlve rlsk averslon lnvesLor.
non-myoplc problems are Lhe focus of
compuLaLlonal efflclency research,
glven Lhe hlgher efforL necessary Lo
achleve Lhe opLlmal soluLlon. Several
sLudles developed llnear programmlng
formulaLlons Lo solve mulLlperlod
problems. Cne example ls Lhe work of
lonseca and 8usLem (2012), who used
a semldeflnlLe programmlng formula-
Llon Lo solve a non-myoplc mulLlperlod
problem. An alLernaLlve llne of lnqulre
has concenLraLed on deLermlnlng
upper and lower bounds Lo approxl-
maLe Lhe opLlmal soluLlon. 1hls ls Lhe
case of 8lomvall and Shaplro (2006),
who examlned Lhe amounL of sLages
and scenarlos necessary Lo successful-
ly solve Lhe non-myoplc mulLlperlod
problem.
Cur focus ln Lhls paper ls on mulLlperl-
od problems LhaL are noL orlglnally
myoplc buL, as Lhe horlzon becomes
lncreaslngly longer, Lhe pollcy ln Lhe
lnlLlal sLages approaches Lhe myoplc
one. ln parLlcular, aggregaLe, vla Mon-
Le Carlo slmulaLlon, Lhe scenarlo Lree
LhaL usually capLures Lhe perlods
where Lhe opLlmal pollcy approaches
Lhe myoplc pollcy. Lxamples of Lhls
class of problem lnclude prlclng and/or
allocaLlng resources ln prlvaLe penslon
funds and ln llfe lnsurance. lL ls worLh
noLlng LhaL Lhe allocaLlon proflle of
Lhese lnvesLmenL modallLles ls, ln
mosL cases, consLanL over almosL all
conLracL llfe. Cenerally, such flnanclal
producLs are offered Lo Lhe lnvesLors
characLerlzed by dlfferenL rlsk proflles
and Lherefore he/she chooses Lhe one
LhaL maLches hls/her proflle. Powever,
Lhe allocaLlon ls no longer myoplc ln
Lhe lasL perlods of conLracL, when
predeflned amounLs are regularly
wlLhdrawn from Lhese funds and reln-
vesLed ln rlsk free asseLs.
Cur maln conLrlbuLlon ls ln Lhe formu-
laLlon of a model Lo analyze flnanclal
producLs LhaL offers dlfferenL lnvesL-
menL opLlons ln Lhe laLLer perlods of
conLracL, as an alLernaLlve Lo Lhe ex-
cluslve relnvesLmenL ln rlsk free asseLs.
1hls approach becomes especlally
valuable when Lhe reLurn achleved by
Lhe funds by Lhe end of Lhe conLracL
horlzon dlffers from LhaL lnlLlally ex-
pecLed by Lhe lnvesLor. 1o llnk Lhls
lnLermedlary declslon maklng Lo Lhe
Lermlnal uLlllLy, Lhe 8rownlan brldge
consLrucLlon wlll be applled Lo Lhe
slmulaLlon. 1hls meLhod allows Lhe
varlance beLween Lhe lnlLlal and Ler-
mlnal sLage Lo be capLured ln some
lnLermedlary sLage and, from LhaL
momenL on, Lhe scenarlo Lree wlll be
formed.
aper N 42: 8enchmark proposa| for
ens|on Iunds |n Ch||e us|ng Smart
8etas and k|sk Measures
!"#$%&'()* ^5%&D5%D"535% /1&&1
'4-56.&(5717 7. C$53.9 C$53.) 1-7
J.<1(#5G- L&%@=% '4-56.&(5717 7. C$53.9
C$53.)
C%&&.(;%-75-D !"#$%&* ^5%&D5%D"535%
/1&&1 'D5%&D5%D"535%ED"5%&D5%D"535%F=3)
1he penslon fund managers ln Chlle
are mandaLed Lo follow an acLlve ad-
mlnlsLraLlon of Lhe funds. 1herefore,
an lmporLanL quesLlon ls how Lo know
lf Lhe fees charged by Lhe fund man-
agers are falr, glven Lhe proflLablllLy
and Lhe rlsk lnvolved. ln addlLlon,
accordlng Lo Lhe CLCu (2011), ln Chlle,
Lhe replacemenL raLe ls 48.4 (37.3)
for men (women). 1hls means LhaL lf
Lhe lasL salary of an lndlvldual before
reLlremenL ls $1,000, he (she) wlll
recelve a penslon of $484 ($373).
lurLhermore, 8addaLz & Schmukler
(2013) and SLeln eL al. (2011) show
LhaL penslon funds Lend Lo behave ln
Lhelr lnvesLmenL declslons as a herd,
malnly due Lo regulaLory lncenLlves,
and Lhey avold Laklng poslLlons over
markeL rlsk. Pence, ln Lhls sLudy we
seek Lo answer Lwo maln quesLlons:
Pow ls Lhe performance of Lhe sysLem,
conslderlng rlsk and cosLs? Are Lhe
currenL benchmarks approprlaLe Lo
compare Lhe reLurns and rlsks of Lhe
lndusLry? lf a new benchmark ls accu-
raLe for Lhls, due Lhe herd behavlor,
Lhe whole sysLem wlll move Lo a new
equlllbrlum wlLh beLLer rlsk-reLurn
proflle.
uslng daLa beLween !anuary 2001 and
!une 2013 for lund A (rlskler), we
propose dlfferenL porLfollo meLhodol-
ogles, wlLh rlsk measures and a new
benchmark meLhodology, generlcally
called SmarL-8eLas, Lo bulld an lnLe-
graLed benchmark procedure for Chll-
ean penslon funds. Clven Lhe rlsk-
reLurn proflle of Lhe evaluaLed fund of
any admlnlsLraLor, we can see LhaL
Lhelr lncenLlves are based on saLlsfylng
regulaLory consLralnLs, lnsLead of op-
Llmlzlng fund's rlsk-reLurns. 1haL ls a
posslble cause of Lhelr low real rlsk-
ad[usLed performance.
We esLlmaLe Lhe loss comparlng Lhe
acLual accumulaLed reLurn wlLh Lhe
reLurn of Lhe dlfferenL reference porL-
follos generaLed wlLh Lhe proposed
meLhodologles, showlng whaL Lhls
reLurn dlfference means for Lhe flnal
penslon. 1hls sLudy provldes evldence
for Lhe need of changlng Lhe sysLem Lo
anoLher one cenLered ln Lhe real ad-
mlnlsLraLlon of rlsk exposures.

SLSSICN M4: MCNDA 14:30 - 16:00.
Aud|tor|um.
aper N 11: Secur|t|es ortfo||os k|sk
Lst|mat|on by the Use of 8ayes|an
Se|f-Crgan|z|ng Maps
!"#$%&'()* A5Y$153 ^&5($Y% '[1@1Y$
_1#5%-13 4-56.&(5#X9 [1@1Y$(#1-)9
!-"1& H"(.2<1.6 ']$. U-#.&-1#5%-13
U->%&21#5%- ].=$-%3%D5.( 4-56.&(5#X9
[1@1Y$(#1-) 1-7 /.#.& !-7&1( '4-56.&P
(5#X %> _.`=1(#3.9 4[)
C%&&.(;%-75-D !"#$%&* A5Y$153 ^&5($Y%
'D26abRE2153F&")
ln Lhls paper we propose an approach
Lo Lhe rlsk esLlmaLlon of Lhe securlLles
porLfollo. 1he classlc Lheory conslders
Lhe porLfollo rlsk as Lhe varlance of Lhe
porLfollo's value. 1hls Lheory has sev-
eral assumpLlons, a flrsL one ls Lhe
expecLaLlon LhaL securlLles reLurns are
normally dlsLrlbuLed random varlables.
1he mosL parL of emplrlcal observa-
Llons shows LhaL Lhe dlsLrlbuLlon of
securlLles reLurns have asymmeLry and
qulLe frequenL splkes. 1hese emplrlcal
daLa does noL lmply LhaL Lhese ran-
dom varlables would be normally
dlsLrlbuLed.
Cur approach ls based on Lhe esLlma-
Llon of Lhe mulLl-dlmenslonal [olnL
dlsLrlbuLlon of vecLors of porLfollo
componenL values. 1he [olnL dlsLrlbu-
Llon esLlmaLlon meLhod ls relaLed Lo
Lhe Causslan mlxLure esLlmaLlon. 1he
llnear mlxlng parameLers of Lhe Causs-
lans are deLermlned by uslng 8ayeslan
Self-Crganlzlng Maps (8SCM). 1hls
meLhod provldes a more robusL esLl-
maLlon of Lhe llnear mlxLure parame-
Lers Lhan oLher meLhods, such as ker-
nel denslLy esLlmaLlon. 1aklng lnLo
conslderaLlon LhaL our approach ex-
pllclLly conslders mulLl-componenL
correlaLlons we expecL LhaL we wlll
capLure Lhe lnner sLrucLure of Lhe
porLfollo more accuraLely Lhan oLher
meLhods based dlrecLly on Lhe consld-
eraLlon of Lhe dlsLrlbuLlon of porLfollo
values.
1o evaluaLe Lhe proposed meLhod we
use dally devlaLlons of porLfollo com-
ponenLs as Lhe lnpuL daLa for Lhe
8SCM. 1hen we learn Lhe mean vec-
Lors of Lhe mlxLure, Lhe correspondlng
covarlance maLrlces, and model hy-
perparameLers. 1he ouLpuL of Lhe
8SCM ls a llnear mlxLure of Causslans
LhaL approxlmaLes Lhe mulLl-
dlmenslonal dlsLrlbuLlon of porLfollo
componenL devlaLlons. 1o derlve from
Lhls Lhe rlsk of Lhe porLfollo we lnLe-
graLe numerlcally Lhe mulLl-
dlmenslonal Causslan mlxLure dlsLrl-
buLlon over hyperplanes correspond-
lng Lo posslble porLfollo devlaLlon
values. 1he parallel hyperplanes LhaL
we conslder are deLermlned by Lhe
welghLs of Lhe porLfollo componenLs
and Lhe correspondlng porLfollo devla-
Llon value ls Lhe dlsLance beLween Lhe
hyperplane and Lhe 0 vecLor ln Lhe
mulLl-dlmenslonal space.
1o compare Lhe approxlmaLlon and
predlcLlon ablllLles of Lhe 8SCM model
we consldered a selecLlon of alLerna-
Llve meLhods:
- PlsLogram esLlmaLlon: Lhe emplrl-
cal dlsLrlbuLlon of Lhe lmmedlaLely
prevlous perlod (e.g. 100 days) ls
used for esLlmaLlng Lhe currenL
and fuLure porLfollo devlaLlon dls-
LrlbuLlons assumlng LhaL Lhls dls-
LrlbuLlon wlll noL change,
- MarkowlLz model: we assume LhaL
Lhe porLfollo componenL devla-
Llons follow normal dlsLrlbuLlons
and conslder Lhe varlance and co-
varlances of Lhese dlsLrlbuLlons.
- Causslan approxlmaLlon: we as-
sume LhaL Lhe porLfollo devlaLlon
values follow a Causslan dlsLrlbu-
Llon and esLlmaLe Lhe parameLers
of Lhls uslng Lhe porLfollo devla-
Llon daLa from Lhe lmmedlaLely
prevlous perlod.
- kernel denslLy esLlmaLlon: we use
Lhe kernel denslLy esLlmaLlon
model of numxL (Splder llnanclal,
Chlcago, uS) wlLh Causslan ker-
nels and auLomaLlc varlance seL-
Llng for Lhe componenL Causslans.
ln Lhe emplrlcal parL of Lhls sLudy we
have consldered devlaLlon values of
Lhe porLfollo LhaL conslsLs of 3 shares:
Apple lnc, 8ank of Amerlca, Ceneral
LlecLrlc, Lxxon Mobll, flzer lnc. 1he
meLhods llsLed above were LesLed ln
Lhelr forecasLlng ablllLles for dlfferenL
Llme perlods from 10 days Llll 400 days.
1he porLfollo daLa was consldered for
Lhe perlod of 24 !anuary 2008 Lo 20
March 2013.
8esulLs of comparlsons show LhaL Lhe
shorL-perlod rlsk predlcLlon ls Lhe
worsL case for Lhe 8SCM and Lhe besL
case for Lhe hlsLogram esLlmaLlon. 1hls
ls conslsLenL wlLh Lhe assumpLlon LhaL
Lhe real daLa dlsLrlbuLlon does noL
change slgnlflcanLly over a shorL perl-
od of Llme. Powever, as Lhe forecasL-
lng Llme dlsLance lncreases Lhe accu-
racy of all meLhods geLs reduced, wlLh
Lhe excepLlon of Lhe 8SCM esLlmaLlon.
1he 8SCM model ls Lhe besL meLhod
for long-Lerm forecasLlng among com-
pared ones.
aper N 1S: Cpt|ma| r|c|ng and
8ehav|our of keta|| Gaso||ne Market
!"#$%&'()* H1.&% [52 'c.(#.&- 4-56.&P
(5#X9 C1-171)9 A1## H165(%- 'c.(#.&-
4-56.&(5#X9 C1-171) 1-7 \&.7&5Y d7.P
D11&7 'c.(#.&- 4-56.&(5#X9 C1-171)
C%&&.(;%-75-D !"#$%&* H1.&% [52
'7Y52eRE"`%F=1)
Pow a gasollne reLaller should seL lLs
prlces over Llme, ln response boLh Lo
changes ln Lhe commodlLy gasollne
prlce and Lo prlces seL by oLher nelgh-
borlng reLallers, ls an lnLeresLlng prob-
lem ln managemenL sclence. 8eLall
gasollne prlce daLa, boLh panel and
Llme serles, ls of greaL lnLeresL ln eco-
nomlcs, as lL allows Lhe LesLlng of
many Lheorles abouL prlce formaLlon,
ollgopollsLlc prlclng, and consumer
search.
1hls paper analyzes a rlch new Luro-
pean daLaseL Lo valldaLe or parLlally
valldaLe some of Lhe exlsLlng economlc
concluslons on gasollne prlclng, all of
whlch have been based on norLh
Amerlcan daLa. 1he economlc models
we examlne Lend Lo have a descrlpLlve
focus: how do consumers and reLallers
acL, ln addlLlon Lo valldaLlng Lhese
models we also Lake a sllghLly pro-
scrlpLlve approach: glven Lhe econom-
lc lnslghLs gleaned, how should Lhe
economlc agenLs acL. ln Lhls paper, we
presenL opLlmal prlclng meLhods and
resulLs for Lhe repeaLed slngle perlod
game and Lhe repeaLed sequenLlal
game. lndlvldual gasollne reLallers
have no conLrol over exLernal facLors
llke upsLream cosL changes and aver-
age compeLlLor's prlces. Clven Lhe
upsLream cosL and average compeLl-
Lor's prlce, we show LhaL reLallers may
opLlmlze Lhelr proflL uslng our sLraLegy
when Lhe sLraLegy ls pracLlced on a
small scale. AlLhough all models are
lncompleLe represenLaLlons of reallLy,
Lhe repeaLed sequenLlal game ls very
reallsLlc ln a sense. Conslder a markeL
ln whlch Lhere ls a leader and a fol-
lower. Cnce a reLaller has blg markeL
power wlLh a blg brand name and a
greaL locaLlon, Lhe reLaller wlll almosL
perpeLually be Lhe leader unLll a new
sLrong compeLlLor comes lnLo Lhe
markeL. Whlle Lhere are llmlLaLlons Lo
Lhese models, we have obLalned much
lnslghL from emplrlcally LesLlng Lhe
dlfferenLlaLed 8erLrand and lLs derlva-
Llve models. 1he emplrlcal daLa shows
lnlLlally compeLlLlve markeL behavlour
and raLher cooperaLlve markeL behav-
lour LhereafLer. 1hls suggesLs LhaL Lhe
reLall gasollne markeL may change lLs
behavlour over Llme.
We also presenL recenL resulLs from a
unlque norLh Amerlcan daLaseL whlch
lncludes a long Llme serles across
many reLall gasollne sLaLlons, orga-
nlzed by brand. 1he daLa supplled for
each sLaLlon lncludes, for each of flve
dlfferenL fuel Lypes, dally own prlce,
sales, cosL, and compeLlLor's prlce and
cosL daLa. 1hls daLa seL ls large enough
LhaL lLs exploraLlon beneflLs from
modern algorlLhms aL Lhe lnLersecLlon
of sLaLlsLlcs and machlne learnlng. We
exLracL lnformaLlon from a daLa seL
and Lransform lL lnLo a more under-
sLandable sLrucLure for furLher analy-
sls. WlLh Lhls daLa we are able Lo pro-
vlde an emplrlcal sLudy of Lhe lmpacL
of brand power on reLall gasollne prlce
and on markeL behavlor, and aLLempL
Lo esLlmaLe a 8eLall Casollne rlce
lndex (8Cl) LhaL measures real reLall
gasollne prlce lncludlng welghLed
brand power and locaLlon facLors. 1he
upsLream cosLs for lndlvldual gasollne
reLallers are qulLe dlfferenL, and Lhe
cosL dlfferenLlals lead Lo dlverse prlces,
as can be seen aL Lhe flgure below.
Lach lndlvldual gasollne reLallers also
seLs dlfferenL prlces for dlfferenL
grades of gasollne. We lnvesLlgaLe
wheLher reLallers seL a low prlce for
regular grade gasollne, buL a hlgh prlce
for premlum grade gasollne Lo explolL
Lhe facL LhaL only Lhe regular grade
prlce ls promlnenLly dlsplayed.
aper N 21: red|ct|ng 1urnover of
Sa|es Agents |n a Ca|| Center w|th
kandom Iorest and Na|ve 8ayes:
Lv|dence of Loss Avers|on |n 1urnover
Intent|ons
!"#$%&'()* A1"&5=5% ?133. '4-56.&(5717
\5-5( ].&&1.9 C$53.) 1-7 ^%-@13% 0"@
'4-56.&(5717 !7%3>% U<1f.@9 C$53.)
C%&&.(;%-75-D !"#$%&* A1"&5=5% ?133.
'21"6133.ED2153F=%2)
A call cenLer ls a sysLem deslgned Lo
llnk an agenL on behalf of Lhe flrm wlLh
a cllenL or poLenLlal cllenL. ln boLh
cases, Lhe agenL musL possess Lhe
skllls requlred Lo lnLeracL wlLh people,
wheLher for recepLlon of lnformaLlon
such as querles, complalnLs, or Lo
LransmlL lnformaLlon such as descrlp-
Llon and sales of producLs and servlces.
8ecause Lhe agenL's [ob lnvolves lnLer-
acLlng wlLh people, he or she musL
show cerLaln characLerlsLlcs LhaL ena-
ble Lhem Lo funcLlon effecLlvely ln an
aLmosphere of consLanL hosLlllLy and
re[ecLlon. Plgh sLress, perslsLenL re-
fusal, dlrecL supervlslon and monoLony
can frusLraLe Lhe agenL and sLarL a
process of Lurnover. CuLbound cam-
palgns Lyplcally Lry Lo maxlmlze Lhe
volume of calls and Lherefore, causlng
faLlgue Lo Lhe employee and causlng
some corporaLe lmage damage be-
cause of Lhe repeLlLlve naLure of Lhe
calls. 1he emoLlonal burnouL also plays
an lmporLanL role. CusLomer com-
plalnLs and repeaLed denlals of cus-
Lomers Lo accepL an offer may lnflu-
ence Lhe agenL's moLlvaLlon. lor Lhls
Lype of [ob, personallLy characLerlsLlcs
are needed LhaL allow Lhe agenL Lo
have a sLrong reslllence and Lolerance
Lo re[ecLlon. 1he call cenLer agenL
consLanLly performs emoLlonal labor
by suppresslng emoLlons lnduced by
oLhers Lo malnLaln physlcal and emo-
Llonal sLablllLy (1aylor and 8aln, 1999).
1he appllcaLlon of daLa mlnlng Lech-
nlques Lo Lhe problem of employee
Lurnover could asslsL ln dlscoverlng
paLLerns ln Lhe daLa of operaLlonal
acLlvlLles of Lhe sales campalgns. 1he-
se paLLerns can help ln maklng decl-
slons regardlng Lhe necessary assls-
Lance Lo Lhe sales agenL by Lhe organl-
zaLlon Lo lmprove hls performance or
deLecL early agenLs who do noL pos-
sess Lhe skllls needed for Lhe [ob.
Call cenLers are unlque examples of
servlces LhaL are characLerlzed by
excellenL operaLlonal records of Lele-
markeLlng acLlvlLles performed by
each employee. 1hls makes lL posslble
Lo access daLabases wlLh sufflclenL
deLall Lo flnd recurrlng paLLerns Lo
deLecL posslble cases of volunLary
reslgnaLlons. valle eL al. (2012) Lralned
a nalve 8ayes classlfler Lo predlcL Lhe
performance of sales agenLs ln a call
cenLer flndlng saLlsfacLory resulLs.
Powever, Lhey dld noL address Lhe
lssue of employee Lurnover dlrecLly,
buL lndlrecLly Lhrough Lhe lncome LhaL
Lhe agenLs achleve ln a glven perlod. ln
Lhls sLudy, we Lake a sLep forward ln
formulaLlng a model Lo predlcL dlrecLly
Lhe Lurnover. A sample of Lhe operaL-
lng performance of Lhe sales agenLs of
an ouLbound call cenLer dedlcaLed Lo
Lhe sales of lnsurances was Laken.
lrom Lhls sample, a daLabase ls ob-
Lalned wlLh operaLlng resulLs recorded
durlng Lhe recrulLlng and hlrlng pro-
cess of Lhe sales agenLs, lncludlng
performance varlables descrlblng
acLlvlLy and dally operaLlon of Lhe
agenL ln hls [ob. WlLh Lhls daLa Lwo
classlflers, Lhe 8andom loresL (8l) and
Lhe nalve 8ayes (n8), were Lralned
and Lhen used Lo predlcL Lurnover for
Lhe flrsL Lhree monLhs of work of Lhe
agenLs. 1he resulLs on 2407 sales
agenLs operaLlonal performance rec-
ords, showed LhaL, alLhough Lhe n8 ls
much more slmpler Lhan 8l, boLh
classlflers performed slmllarly achlev-
lng lnLeresLlng accuracy raLes ln Lurno-
ver predlcLlon. Moreover, evldence
was found LhaL lncorporaLlng perfor-
mance dlfferences over Llme, lncreas-
es slgnlflcanLly Lhe accuracy of Lhe
predlcLlve models up Lo 83. 1he
resulLs obLalned ln Lhls paper could be
useful for managemenL declslon mak-
lng Lo monlLor and ldenLlfy poLenLlal
Lurnover due Lo poor performance,
and Lherefore, Lake a prevenLlve ac-
Llon.
8eferences:
valle, M. A., 8uz, C. A., varas, S. (2012).
!ob performance predlcLlon ln a call
cenLer uslng a nalve 8ayes classlfler.
LxperL SysLem wlLh AppllcaLlons,
vol.39(11), 9939-9943.
1aylor, ., 8aln, . (1999) An assembly
llne ln Lhe head: work and employee
relaLlons ln Lhe call cenLre. lndusLrlal
8elaLlons !ournal, vol. 30:2, 101-117.



















































1ULSDA, IANUAk 71n
SLSSICN 12-A: 1ULSDA 10:0S - 11:3S.
Aud|tor|um.
aper N 13: Churn pred|ct|on mode|s
us|ng Support Vector Mach|nes and
Ieature Se|ect|on 1echn|ques
!"#$%&'()* J.<1(#5G- A137%-17%
'4-56.&(5717 7. 8%( !-7.(9 C$53.)
C%&&.(;%-75-D !"#$%&* J.<1(#5G-
A137%-17% '(2137%-17%E"1-7.(F=3)
CusLomer churn predlcLlon ls an lm-
porLanL Lask for mosL servlce lndusLry
companles, glven Lhe lncreaslng num-
ber of cusLomers and Lhe compeLlLlon
ln aLLracLlng new ones. Pence, Lhere ls
a presslng need Lo develop models
whlch can ldenLlfy exlsLlng cusLomers
who wlll noL reLurn. 1he process of
churn predlcLlon ls lmporLanL for de-
veloplng pollcles regardlng cusLomer
reLenLlon by creaLlng cusLomer loyalLy
vla LargeLlng and aggresslve markeLlng
campalgns.
ClasslflcaLlon models can be devel-
oped for ldenLlfylng fuLure churners.
SupporL vecLor Machlne (SvM) ls an
effecLlve approach LhaL provldes sev-
eral advanLages, such as an adequaLe
generallzaLlon Lo new ob[ecLs and a
convex formulaLlon whlch assures LhaL
Lhe meLhod does noL geL sLuck ln local
mlnlma of Lhe parLlcular model. Pow-
ever, SvM do noL deLermlne Lhe fea-
Lures' lmporLance wlLhln Lhe respec-
Llve model, and lL requlres addlLlonal
feaLure selecLlon Lechnlques Lo obLaln
and adequaLe classlfler. leaLure selec-
Llon ls an lmporLanL Loplc ln daLa mln-
lng, slnce lL reduces Lhe rlsk of overflL-
Llng, lmprovlng Lhe model's generallza-
Llon ablllLy. lurLhermore, a low-
dlmenslonal represenLaLlon allows a
beLLer lnLerpreLaLlon of Lhe classlfler.
1hls ls parLlcularly lmporLanL ln busl-
ness analyLlcs, slnce machlne learnlng
approaches are consldered as black
boxes" by pracLlLloners, and Lherefore
Lhey Lend Lo be reLlcenL Lo use Lhese
Lechnlques.
ln Lhe conLexL of blnary classlflcaLlon,
Lhe class lmbalance problem arlses
when Lhe class dlsLrlbuLlon ls Loo
skewed. When Lhls slLuaLlon happens,
sLandard classlflcaLlon meLhods such
as SupporL vecLor Machlne (SvM) wlll
generaLe a Lrlvlal model by predlcLlng
everyLhlng Lo Lhe ma[orlLy class, l.e.,
Lhe negaLlve class. Slnce Lhe churn
predlcLlon problem ls consldered as
hlghly lmbalanced, we also employ a
dlfferenL Lechnlque for classlflcaLlon,
namely SupporL vecLor uaLa uescrlp-
Llon (Svuu). 1hls meLhod aLLempLs Lo
flnd a sphere wlLh 8adlus 8 wlLh mln-
lmum volume, conLalnlng mosL of Lhe
daLa ob[ecLs. CuLllers ln Lhe Lralnlng
seL resulL ln a very large sphere whlch
wlll noL represenL Lhe daLa very well,
Lherefore slack varlables are lnLro-
duced.
AlLernaLlvely Lo face Lhe class lmbal-
anced problem dlrecLly, several meLh-
ods exlsL regardlng daLa resampllng. ln
Lhls work we sLudy random under-
sampllng and SMC1L. 8andom under-
sampllng dlscards lnsLances from Lhe
ma[orlLy class randomly, downslzlng
Lhls class. 1hls approach, however,
may lead Lo Lhe loss of lmporLanL
lnformaLlon. SMC1L, an lnLelllgenL
oversampllng meLhod can be used ln
comblnaLlon wlLh random under-
sampllng Lo reduce Lhls loss of ma[orl-
Ly lnsLances. 1hls approach generaLes
new examples for Lhe mlnorlLy class,
whlch are creaLed arLlflclally by lnLer-
polaLlng Lhe preexlsLlng mlnorlLy ln-
sLances, lmprovlng classlflcaLlon per-
formance on unbalanced daLa seLs.
1radlLlonally, Lhe mosL frequenLly used
meLrlc for blnary classlflcaLlon ls Lhe
accuracy, compuLed as Lhe proporLlon
of Lrue resulLs. 1hls measure, however,
ls noL approprlaLe for classlflcaLlon of
lmbalanced daLa. AlLernaLlvely, several
assessmenL meLrlcs are frequenLly
adopLed ln Lhe research communlLy
for lmbalanced learnlng problems. ln
Lhls work we use Lhe AuC as Lhe maln
performance meLrlc.
1he maln goal of Lhls work ls Lo assess
Lhe predlcLlve performance of sLand-
ard SvM for blnary classlflcaLlon and
Svuu, comblned wlLh dlfferenL feaLure
selecLlon Lechnlques, over dlfferenL
churn predlcLlon problems. We per-
formed experlmenLs on Lhree Lurope-
an LelecommunlcaLlon companles and
one Chllean flnanclal enLlLy, conslder-
lng a credlL card churn problem.
aper N 18: Cbta|n|ng Corporate
Customer Ins|ghts for 8anks 8ased on
ayment 1ransact|on Ana|ys|s
!"#$%&'()* M%-D>.5 85 'U:A 0.(.1&=$9
4-5#.7 J#1#.()9 :"X". g51- 'U:A 0.P
(.1&=$9 4-5#.7 J#1#.()9 M%-D351-D \.5
'U:A 0.(.1&=$9 4-5#.7 J#1#.()9 0%<5-
8%"D.. 'U:A 0.(.1&=$9 4-5#.7 J#1#.()9
1-7 !&"- M12;1;"& 'U:A 0.(.1&=$9
4-5#.7 J#1#.()
C%&&.(;%-75-D !"#$%&* M%-D>.5 85 '35P
$%E"(F5<2F=%2)
SLudylng and galnlng lnslghLs based on
corporaLe cllenL paymenL LransacLlons
allows banks Lo dellver speclflc cus-
Lomer communlcaLlons based on Lhe
lndlvldual cllenL's LransacLlon paLLerns,
helplng Lo lncrease loyalLy and lm-
prove cusLomer reLenLlon. ln addlLlon,
an lnslghLful vlew of cllenL LransacLlon
behavlors wlll help banks Lo under-
sLand how acLlons Laken by Lhe bank
affecLed Lhelr cusLomer's behavlor,
and also allow for predlcLlons of cus-
Lomer reacLlon Lo proposed changes.
Powever, Loday's banks lack a clear
vlew of large corporaLe cllenLs' pay-
menL LransacLlon behavlors. 8anks are
challenged wlLh slloed operaLlons and
laLency from legacy sysLems. Legacy
back-end sysLems Lyplcally resolve
LransacLlons afLer Lhe close of Lhe
buslness day. ulsLlncL paymenL sys-
Lems are used based on Lhe paymenL
Lype, for example, ACP or Wl8L. Mul-
Llple deparLmenLs ln a bank lnLeracL
wlLh dlfferenL organlzaLlons wlLhln a
large cusLomer's enLerprlse maklng ln-
conLexL declslons dlfflculL for any one
bank enLlLy. 1here ls a need Lo galn a
hollsLlc vlew of cusLomer LransacLlon
behavlors based on Lhelr paymenL
LransacLlon paLLerns.
ln Lhls research, we reporL on an en-
deavor wlLh a large bank ln norLh
Amerlca. 1he daLa are collecLed from
flfLy cllenLs lncludlng more Lhan Lwo
hundred accounLs coverlng more Lhan
3 years hlsLory. ln addlLlon Lo Lhe dally
cllenL cash flow hlsLory, Lhe daLa con-
Laln accounL and cllenL properLles,
such as accounL balance, cllenL lndus-
Lry classlflcaLlon code and cllenL bor-
rowlng rlsk score. 1o demonsLraLe Lhe
work, we make some Lweak on Lhe
daLa by addlng some randomness ln
order Lo anonymlze confldenLlal ln-
formaLlon. We apply sLaLlsLlcal analy-
sls and machlne learnlng Lechnlques Lo
examlne cllenL LransacLlon behavlors
and explore cllenL hlsLorlcal cash flows,
credlL and deblLs over Llme from sev-
eral dlfferenL perspecLlves, lncludlng
Lhe followlng.
Cverall Lrend. 1he overall Lrend of
cash flows over Llme ls esLlmaLed.
lncreaslng Lrend lndlcaLes growlng
cusLomers wlLh more LransacLlons
and acLlvlLles. uecreaslng Lrend
lndlcaLes oLherwlse. no slgnlflcanL
lncreaslng or decreaslng Lrend re-
fers Lo a group of cusLomers wlLh
sLable LransacLlon buslness wlLh
Lhe bank. 1he overall Lrend paL-
Lern recognlLlon can help banks
lnlLlaLe dlfferenLlal servlces or
producLs Lo dlfferenL groups of
cusLomers based on Lhelr overall
Lrendlng acLlvlLles.
Level change. ln some slLuaLlons,
a cllenLs' cash flow level changes
aL a parLlcular Llme polnL. 1hls can
be caused by a change ln Lhe cll-
enL's buslness or slmply by Lhe
loss of a cllenL. 1hese Lypes of
changes are lnLeresLlng Lo banks
because Lhey can be used Lo lden-
Llfy losL cllenLs and Lo explore Lhe
facLors LhaL cause Lhe slLuaLlon ln
order Lo prevenL lL happenlng ln
Lhe fuLure.
SeasonallLy paLLern. Many corpo-
raLe cllenLs experlence seasonal
cycles ln cash flows. 1he seasonal
paLLerns can be presenL elLher
monLh by monLh, week by week,
or day by day. lor example, we
observe some cllenLs wlLh hlgh
cash flow ouLs aL Lhe end of Lhe
monLhs compared Lo lower cash
flow ouLs on Lhe oLher days. ln
addlLlon, some cllenLs demon-
sLraLe sLrong dally paLLerns, such
as hlgh cash flows on lrldays
compared Lo 1uesdays and
Wednesdays. undersLandlng Lhe
seasonallLy paLLern wlll help banks
wlLh more efflclenL cash man-
agemenL.
Lxplorlng cash flow paLLerns wlll help
banks segmenL cusLomers based on
Lhelr dlfferenL LransacLlon paLLerns
and Lhus ldenLlfy cusLomer and prod-
ucL/servlce relaLlonshlps Lo beLLer
undersLand Lhe mosL proflLable cus-
Lomer producL comblnaLlons. ln addl-
Llon, cash flow paLLern recognlLlon wlll
faclllLaLe cllenL cash flow predlcLlon for
more efflclenL cash managemenL.
aper N 30: red|ct|on of Lmp|oyee
Churn us|ng nybr|d Data M|n|ng
Mode|s for a M|n|ng Serv|ce D|str|bu-
t|on Company
!"#$%&'()* Z152. A5&1-71 /5-% '4-5P
6.&(5717 7. C$53.9 C$53.)9 H1-5.3
c15-#&"< '4-56.&(5717 7. C$53.9 C$53.)
1-7 A1#B1( JG-=$.@ C1<&.&1 '4-56.&P
(5717 7. C$53.9 C$53.)
C%&&.(;%-75-D !"#$%&* Z152. A5&1-71
/5-% 'O25&1-71;E>.-F"=$53.F=3)
1he growlng concern of LalenLed em-
ployee churn, wlLh greaL experLlse on
buslness operaLlons, has propelled
several lnlLlaLlves for Lhelr reLenLlon ln
Lhe companles. Cne way Lo address
Lhls lssue ls Lo ldenLlfy slgns LhaL em-
ployees wlLh hlgh probablllLy of leav-
lng Lhe company send, and generaLe
Lhe approprlaLe reLenLlon mechanlsms.
8ecenL sLudles have develop classlflca-
Llon supporL vecLor machlnes models
ln order Lo forecasL employee churn
based on Lhelr work performance
(Pong, al, Puang, and ?ang, 2003)
and classlflcaLlon declslon Lrees mod-
els Lo deLermlne Lhe mosL lmporLanL
varlables lnvolved ln forecasLlng a
poLenLlal churn (Al-8adaleh, and Al
nagl, 2012). 1hls Lype of sLudles have
led Lo sLudles LhaL search Lhe relaLlon-
shlp beLween absenLeelsm, workload
and soclo-demographlc varlables ln
order Lo predlcL employee churn (na-
gadevara, v., eL. Al. 2008, Pong, W.
2007, LadsLaLLer, l., Carrosa, L., 8adea,
C., Moreno, 8., 2010).
1hls arLlcle provldes a uaLa Mlnlng
approach Lo solve Lhe lssue of em-
ployee churn Lhrough uaLa Mlnlng
hybrld models predlcLlons concernlng
Lhe poLenclal churn declslon ln em-
ployees of a mlnlng servlce dlsLrlbu-
Llon company, whose managemenL
concern ls Lhe Lechnlcal experL
knowledge loss when employee churn
occurs.
1he meLhodology used ln Lhls sLudy
lnvolves Lhe use of lndlvldual and
hybrld daLa mlnlng models uslng Lhe
lnformaLlon of Lhe employees (!!!!)
and Lhelr respecLlve class ( !!!! ),
churn or no churn. lndlvldual daLa
mlnlng models use ueclslon 1rees (u1),
neural neLs (nn) and SupporL vecLor
Machlnes (SvM) Lo predlcL Lhe class of
each employee. 1wo Lypes of hybrld
daLa mlnlng models were used, se-
quenLlal daLa mlnlng models and voL-
lng models. 1he enLlre process was
gulded by Lhe knowledge ulscovery ln
uaLabases (kuu) framework.
ln Lhe lndlvldual daLa mlnlng model
approach, varlous daLa mlnlng models
were LesLed and Lhe besL one was
selecLed based on Lhe classlflcaLlon
error.
1he sequenLlal daLa mlnlng models
conslsLs of Lwo sLages, Lhe flrsL sLage
selecLs Lhe mosL lmporLanL varlables
LhaL affecL employee churn and Lhe
second sLage predlcL Lhe class of each
employee based on Lhe selecLed varl-
ables. 1he flrsL sLage ls Lralned by
ueclslon 1rees and ln Lhe second sLage
neural neLs and SupporL vecLor Ma-
chlnes were LesLed.
ln Lhe voLlng approach, several lndl-
vldual daLa mlnlng models are used Lo
predlcL employee churn lndlvldually.
1hese predlcLlons are comblned ln
order Lo generaLe a unlque predlcLlon
for each employee based on Lhe mosL
repeaLed ouLpuL.
1he LesLed daLa seL conslsLs of 4.696
employees of a mlnlng servlce dlsLrl-
buLlon company. 34 employees were
classlfled as churn and 4.662 were
classlfled as no churn. 1en daLa seLs
samples were developed ln order Lo
avold Lhe oversampllng problem ln Lhe
class dlsLrlbuLlon. 1hls daLa seL sam-
ples were consLrucLed by randomly
selecLlng employees from Lhe LesLed
daLa seL and leavlng 80-20 class
dlsLrlbuLlon ln Lhe classes no churn
and churn respecLlvely. lndlvldual,
sequenLlal and voLlng daLa mlnlng
were Lralned by Lhls daLa seL samples,
and Lhelr performance was LesLed ln
Lhe wlLh Lhe whole daLa seL.
Comparlng lndlvlduals uaLa Mlnlng
models wlLh hybrld daLa mlnlng mod-
els, lL ls posslble Lo flnd Lhe besL solu-
Llon Lo Lhls problem ln Lhe voLlng daLa
mlnlng models, among Lhe LesLed. As a
resulL, Lhe company lnvolved ln Lhls
sLudy can anLlclpaLe whlch employees
wlll be more prone Lo churn, so LhaL ln
a fuLure, human resources pollcles can
be developed Lo reLaln Lhe mosL valu-
able employees, whlle malnLalnlng Lhe
experL knowledge lnslde Lhe organlza-
Llon and lncrease employee moLlva-
Llon.

SLSSICN 12-8: 1ULSDA 10:0S - 11:3S.
koom 22.
aper N 2S: Segmentat|on of 8raz|||-
an Iederat|ve Un|ts by Act|v|ty r|nc|-
pa| of the Lmp|oyed opu|at|on: A
Data M|n|ng Approach
!"#$%&'()* ^31"=% :1&<%(1 'C.-#&% 7.
!-G35(.( 7. J5(#.21( _1615(9 :&1@53)
1-7 M.37.& ^%2.( C%(#1 '4-56.&(5717.
\.7.&13 \3"25-.-(.9 :&1@53)
C%&&.(;%-75-D !"#$%&* ^31"=% :1&<%(1
'D31"=%<1&E$%#2153F=%2)
1he characLerlsLlcs of Lhe economlcally
acLlve populaLlon all over 8razll are
lnvesLlgaLed from a sLaLlsLlcal opera-
Llon, Lhe census, and lL ls an lmporLanL
reference Lo learn from Lhe llvlng con-
dlLlons of Lhe populaLlon. uue Lo Lhe
complexlLy and amounL of daLa of Lhls
research, Lhe resulLs are usually ana-
lyzed by geographlc reglons, whlch
may noL represenL Lhe mosL approprl-
aLe way Lo hlghllghL Lhe slmllarlLles
and dlsslmllarlLles of Lhe lederaLlve
unlLs (ul).
1he clusLerlng conslsLs of a process of
parLlLlonlng daLa arranged lnLo dls-
[olnLed groups (clusLers) ln a way LhaL
slmllar ob[ecLs remaln ln Lhe same
clusLer, and Lhe k-Means algorlLhm ls
wldely used ln Lhls daLa process. 1he
goal of Lhls research ls Lo obLaln a
segmenLaLlon of ul Lhrough Lhe appll-
caLlon of k-Means algorlLhm, enabllng
Lhe clusLerlng of economlc acLlvlLles
wlLh ul slmllar Lo exLend beyond Lhe
boundarles of macro-reglons.
As a resulL, Lhe segmenLaLlon Lech-
nlques from daLa mlnlng have proven
Lo be very approprlaLe Lo furLher Lhe
characLerlsLlcs of exlsLlng daLa. lrom
Lhe appllcaLlon of algorlLhm k-means
was posslble Lo group Lhe ul lnLo
characLerlsLlcs economlc acLlvlLles of
Lhe populaLlon. lL ls posslble Lo ldenLl-
fy sLrong slmllarlLles ln some groups
and some weaknesses ln oLhers. 1hls
lmplles Lhe need for new rounds, afLer
ad[usLlng for ouLllers and varlaLlon ln
Lhe number of clusLers.
aper N 28: I|nanc|a| cost a||ocat|on
mode| reso|ut|on us|ng Markov cha|ns
!"#$%&'()* ^.&1&7% ^".&&.&% '::?!9
C$53.) 1-7 A1-".3 H51@ '::?!9 C$53.)
C%&&.(;%-75-D !"#$%&* ^.&1&7% ^".&P
&.&% 'D".&&.&%FD2ED2153F=%2)
Lxpenses are lnherenL Lo any company,
ln llLeraLure Lhere are several Lypes,
belng for Lhls documenL Lhe besL clas-
slflcaLlon Lhe dlrecL and lndlrecL cosLs.
knowlng boLh wlll help us Lo deflne
Lhe acLual expendlLure.
llnanclally, Lhls asslgnmenL lmplles Lo
dlsLrlbuLe expenses from Lhe cenLral
areas (non-buslness unlLs) Lo commer-
clal areas (buslness unlLs). 1hls ls
called CosL AllocaLlon.
ln accounLancy, for proper allocaLlon,
one of Lhe mosL wldely known meLh-
ods ls Lhe AcLlvlLy 8ased CosL (A8C).
1hls meLhodology ls developed ln 3
sLages:
1. CuanLlfy Lhe lndlrecL expense per
unlL.
2. Analyze Lhe acLlvlLles and servlces
beLween unlLs Lo allocaLe Lhelr
expenses accordlng Lo Lhe lnLerac-
Llon beLween Lhem.
3. 8eallocaLe Lhe resulLlng expenses
Lo Lhe buslness unlLs.
ln oLher words, whaL Lhe A8C meLhod
does ls LhaL non-buslness unlLs asslgn
Lhelr LoLal expenses Lo buslness unlLs.
1he dlsLrlbuLlon beLween unlLs can be
modeled as an lrreduclble, aperlodlc
and absorblng Markov chaln. non
8uslness unlLs allocaLe Lhelr expenses
Lo Lhe 8uslness unlLs, buL also allocaLe
Lo oLher non-8uslness unlLs. 1hls be-
havlor explalns Lhe exlsLence of lnLer-
acLlon beLween Lhese unlLs.
ln Markov chalns Lerms, relaLlons
beLween unlLs are deflned as 1ransl-
Llon probablllLles. 1hen, for a process
wlLh ! unlLs, aL any Llme !, Lhe prob-
ablllLy of golng from ! Lo ! ln Lhe nexL
sLaLe ls !
!"
! ! !
!!!
!
!
! ! !!! ! !
!! !! ! ! ! ! !
!
.
As a resulL, lL ls posslble Lo descrlbe a
sLochasLlc maLrlx of LranslLlon (1) of
!!! unlLs. 1hls maLrlx ls a Markov
Chaln condlLloned by hls absorblng
buslness unlLs.
MaLrlx Lheory glves us Lhe deflnlLlon of
ulagonallzable maLrlx: An !!! ma-
Lrlx 1 ls dlagonallzable lf Lhere ls a non-
slngular maLrlx such LhaL !
!!
!" ls
dlagonal. 1hls relaLlonshlp ls also
demonsLraLed by Lhe Cayley-PamllLon
Lheorem whlch descrlbes Lhe exlsL-
ence of a characLerlsLlc polynomlal
LhaL can prove Lhe followlng:
! ! !!
!
! !
Where ! are Lhe elgenvecLors and !
!

Lhe ldenLlLy maLrlx of slze !.

ln pracLlce, Lhe cosL allocaLlon can
descrlbe a Markov Chalns wlLh unlLs
lnsLead of sLaLes. 1hen, uslng Lhe pre-
vlous equaLlon exLrapolaLed Lo Lhe n-
Lh sLaLe brlngs us a LranslLlon maLrlx of
sLaLe n. !
!"
!!!
! !
!
! !
!!
!" . Con-
sequenLly, Lhe flnal cosL allocaLlon ls
Lhe resoluLlon !
!
wlLh ! aL lnflnlLy.
!"#
!!!
!
!
! !"#
!!!
!
!!
!"
1he meLhodology of resoluLlon uslng
Markov chalns was lmplemenLed ln
Lhe flnanclal dlvlslon of 88vA. 1he
lnpuL was Lhe dlsLrlbuLlon percenLages
beLween cosL cenLers (non 8uslness
and 8uslness unlLs) deflned by Lhe
bank's sLraLeglc areas.
WlLh Lhls deflnlLlon, Lhe 1ranslLlon
maLrlx (1) can be consLrucLed and
solved by Lhe prevlous equaLlon. llnal-
ly, Lo geL Lhe cosL !!
!
! asslgned Lo each
8uslness unlL applled:
!
!
! !
!
!
!"
!!!
!
!!!

As a Lool for flnanclal supporL, Lhe
sLochasLlc resoluLlon was successful.
lor sLraLegy: WlLh Lhe LranslLlon ma-
Lrlx aL n-Lh sLaLe ls posslble known Lhe
fuLure asslgnmenL for esLlmaLed cosLs.
lor lnLernal audlLlng: 1he compuLer
algorlLhm was valldaLed. 1he lmple-
menLed cosL allocaLlon ls a process
correcL, demonsLrable and LransparenL.
aper N 41: Lst|mat|ng the Attrac-
t|veness of ub||c |aces for Cr|m|na|
Act|v|t|es - An Approach based on a
n|dden Markov Mode|
!"#$%&'()* /1@ L<&.=$# '4-56.&(5717 7.
C$53.9 C$53.) 1-7 05=$1&7 c.<.& '4-5P
6.&(5717 7. C$53.9 C$53.)
C%&&.(;%-75-D !"#$%&* /1@ L<&.=$#
';1@F%<&.=$#ED2153F=%2)
lollowlng Lhe envlronmenLal and ra-
Llonal cholces Lheorles, a crlmlnal
commlLs a crlme when Lhe expecLed
proflL lnvolvlng Lhe acL ls greaLer Lhan
Lhe expecLed cosL. 1he chances Lo
succeed ln such an llllclL acLlvlLy can be
enhanced or reduced by Lhe envlron-
menLal condlLlons, and so are Lhe
expecLed proflL and rlsk. 1hls way, Lhe
feaLures and characLerlsLlcs of a spe-
clflc place play a relevanL role for
crlme occurrence, e.g. bulldlngs, sur-
velllance, flow of people and Lhelr
rouLlne acLlvlLles, eLc. Crlme evenLs
Lend Lo concenLraLe ln speclflc zones
ln a clLy, Lhe ones LhaL provlde beLLer
rlsk condlLlons and proflL. 1hese zones
can be deplcLed llke an aLLracLlveness
layer over a clLy, presenLlng Lhe con-
venlence of each of lLs places Lo com-
mlL a speclflc crlme, followlng Lhe
offenders' preferences, expecLaLlons
and experlence.
1hls aLLracLlveness layer, lLs evoluLlon
over Llme and, mosL lmporLanLly, Lhe
effecL of pollce survelllance could
provlde lnslghLs Lo generaLe beLLer
pollclng sLraLegles for crlme preven-
Llon.
1he offenders percepLlon regardlng
Lhe aLLracLlveness of cerLaln places Lo
commlL crlme ls a vague concepL, hard
Lo measure and Lherefore consldered
Lo be unobservable. 1hls percepLlon ls
also dynamlc, and follows an updaLlng
process based on lLs prevlous sLaLe
and Lhe new lnformaLlon gaLhered by
Lhe offender. We propose Lo model
Lhe percelved aLLracLlveness as a Mar-
kov rocess, conslderlng a dlscreLe and
flnlLe number of sLaLe of aLLracLlve-
ness for each place, where Lhe proba-
blllLy Lo be ln a glven sLaLe ln one perl-
od of Llme only depends on Lhe sLaLe
aL Lhe prevlous perlod. So, Lhe aLLrac-
Llveness of a place follows an unob-
servable Markov rocess.

neverLheless, Lhe number of crlmes
reglsLered aL a place - a varlable LhaL
ls readlly avallable ln crlme reporLs -
depends on lLs aLLracLlveness. 1hls
observaLlon moLlvaLes Lhe use of a
Pldden Markov Model (PMM) for
crlme predlcLlon. ln Lhe proposed
model Lhe number of crlmes ln a place
follows a olsson dlsLrlbuLlon whose
raLe depends on Lhe aLLracLlveness of
Lhe respecLlve place. ollce survell-
lance and oLher lnLervenLlons are
lncluded ln Lhe model so Lhey affecL
dlrecLly Lhe LranslLlon probablllLles and
also Lhe crlme raLe ln each of Lhe
sLaLes.
1he lnLervenLlons can be classlfled ln
Lwo caLegorles: long and shorL Lerm
effecLs. 1he former lnclude all Lhose
measures LhaL can lead Lo a change ln
Lhe sLaLe of percelved aLLracLlveness.
1he second caLegory lncludes all Lhose
lnLervenLlons LhaL can be seen ln Lhe
same perlod of Llme, changlng [usL Lhe
crlme raLe aL Lhe respecLlve place, buL
noL Lhe aLLracLlveness.
As a resulL, Lhe model provldes Lhe
probablllLles Lo change from one sLaLe
Lo anoLher and Lhe crlme raLes ln each
of Lhese sLaLes, sub[ecL Lo Lhe lnLer-
venLlons. lL also reLurns Lhe effecL of
Lhe prevenLlon measures. We callbraL-
ed a PMM wlLh crlme daLa for SanLla-
go. 8esulLs show LhaL Lhe proposed
model could reconsLrucL Lhe observed
phenomenon and performed well on
Lhe LesL daLa.

SLSSICN 13: 1ULSDA 12:00 - 13:30.
Aud|tor|um.
Inv|ted Sess|on: ane| on Serv|ce
Ana|yt|cs and Industry App||cat|ons
J.((5%- C$15&(* H1657 HB1@ '4-56.&(5717
7. C$53.9 C$53.) 1-7 :1<5( ]$.%7%"3575(
'A1-=$.(#.& :"(5-.(( J=$%%39 4-5#.7
[5-D7%2)
WlLh Lhe lncreaslng lmporLance of
servlces ln Lhe global economy, re-
searchers have been advocaLlng Lhe
developmenL of a new dlsclpllne, ser-
vlce sclence, Lo address Lhe challenges
ln undersLandlng Lhe fundamenLals of
buslness and publlc admlnlsLraLlon
servlces and developlng approprlaLe
Lheorles, Lechnlques and Lools.
1he lmpacL of Lhe lnLerneL and Lhe
Lechnologlcal lnnovaLlons ln lnLelllgenL
devlces has lncreased dramaLlcally Lhe
amounL of avallable daLa abouL how
servlces are produced, Lransferred and
consumed. WhllsL, ln cerLaln servlce
areas Lhe lmpacL has been relaLlvely
small, Lhere are a number of servlce
acLlvlLles and processes where Lhe
lmpacL has been subsLanLlal.
1he Servlce AnalyLlcs sesslon wlll ad-
dress Lhe challenges of uncoverlng
useful lnformaLlon from servlce-
relaLed daLa Lhrough Lhe use of Lech-
nlques from knowledge dlscovery
areas such as daLa mlnlng, LexL mlnlng,
web mlnlng eLc. Servlce analyLlcs ls a
relaLlvely new research area buL lL ls
expecLed Lo play a very lmporLanL role
ln Lhe developmenL of servlce sclence
ln Lhe conLexL of developed counLrles
as ln LaLln Amerlca buL also globally.
1he Servlce AnalyLlcs panel wlll dlscuss
emplrlcal flndlngs, meLhodologlcal
approaches, and LheoreLlcal and con-
cepLual lnslghLs relaLed Lo knowledge
dlscovery ln buslness and publlc ad-
mlnlsLraLlon servlces.







































WLDNLSDA, IANUAk 81n
SLSSICN W2-A: WLDNLSDA 10:0S -
11:3S. Aud|tor|um.
aper N 3: C|ass|f|cat|on A|gor|thms
for Lst|mat|ng Conta|ners Dwe|| 1|me
|n Ar|ca ort
!"#$%&'()* A1&=.31 ^%-@G3.@P!&1X1
'4-56.&(5717 7. ]13=19 C$53.)9 AX&512
^1.#. '4-56.&(5717 7. ]13=19 C$53.)9
CI(1& !F !(#"7533% '4-56.&(5717 7.
]13=19 C$53.) 1-7 0%(1 ^"1713";.
^%-@G3.@ 012B&.@ '/%-#5>5=51
4-56.&(5717 C1#h35=1 7. ?13;1&1B(%9
C$53.)
C%&&.(;%-75-D !"#$%&* A1&=.31
^%-@G3.@P!&1X1 '2D%-@13.@E"#13=1F=3)
1he Arlca orL ls one of Lhe maln porLs
ln Lhe norLh reglon of Chlle. 1hls porL
ls characLerlzed Lo be managed ac-
cordlng Lhe peace LreaLy among Chlle
and 8ollvla, whlch esLabllshes LhaL
8ollvlan load can be sLored free of
charge up Lo 363 days, for exporLaLlon
load, and up Lo 90 days, for lmporLa-
Llon load. uue Lo Lhls LreaLy, Lhe porL
has an lmporLaLlon conLalners dwell
Llme superlor Lhan oLher Chllean porLs.
ln consequence, whlle lmporLaLlon
load of Arlca orL has an average dwell
Llme of 8.3 days, Lhe valparalso orL
has an average dwell Llme of 4.7 days.
1hls facL lmplles LhaL Arlca orL has
reLalned sLorage spaces for more Llme.
ln addlLlon, lf greaLer ls dwell Llme,
greaLer wlll be Lhe conLalners move-
menLs carrled ouL ln porL operaLlons,
causlng an lncrease of operaLlon cosLs.
1hls research seeks Lo esLlmaLe dwell
Llme of exporLaLlon conLalners ln Arlca
orL, based on common characLerlsLlcs,
almlng Lo group Lhem and sLore Lo-
geLher conLalners wlLh slmllar feaLures.
ln Lhls way, offllne and onllne uaLa
Mlnlng classlflcaLlon algorlLhms for
dlscreeL aLLrlbuLes are used Lo analyze
daLa from conLalners facLors.
8efore applylng Lhese algorlLhms, Lhe
maln facLors LhaL lnfluence dwell Llme
are deflned, and, wlLh Lhem, uaLa
Mlnlng classlflcaLlon algorlLhms are
used. llnally, a slmulaLlon for verlfylng
classlflcaLlon effecLlveness ls carrled
ouL.
8ased on relaLed llLeraLure, Lhe facLors
LhaL could lnfluence dwell Llme and
esLabllshed for Lhls research are Lhe
followlng: conLalner slze, conLalner
Lype (reefer or open Lop), conLalner
sLaLe (empLy or full), conLalner gross
welghL, assoclaLed cllenL and shlp.
uslng Lhe facLors daLa obLalned from
Arlca orL, Lhe offllne classlflcaLlon
algorlLhms nalve 8ayes and declslon
Lree C4.3, as well as Lhe onllne classlfl-
caLlon algorlLhm Cn8, are execuLed.
1he classlflers selecLlon was done
conslderlng Lhe varlables naLure Lo be
used (dlscreLe daLa), slnce conLlnuous
varlables have been Lransformed lnLo
dlscreLe varlables ln order Lo homoge-
nlze daLabase. 1hls ls Lhe case of dwell
Llme ln lmporLaLlon paLlo, whlch daLa
were Lransformed lnLo one day lnLer-
vals.
uslng a 30,000 conLalners daLabase
from Arlca orL, Lhe resulLs show LhaL
naive 8ayes algorlLhm ls able Lo accu-
raLely classlfy abouL 41.3 of lnsLanc-
es, whlle C4.3 algorlLhm classlfles
correcLly around 33.0 of lnsLances.
Cn Lhe oLher hand, even dolng a com-
pleLe scan of parameLers, Cn8 algo-
rlLhm ls noL able Lo lmprove Lhe re-
sulLs of classlflcaLlon algorlLhm C4.3.
1hls algorlLhm classlfles correcLly
abouL 43.3 of lnsLances. 1herefore,
accordlng Lo dwell Llme, Lhe algorlLhm
C4.3 obLalns beLLer conLalners classlfl-
caLlon, wlLh an esLlmaLed error of 3
days.
aper N 14: red|ct|ng drop-out w|th
data m|n|ng techn|ques
!"#$%&'()* C31"751 A13=h- C.&6.&1
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C%&&.(;%-75-D !"#$%&* C31"751 A13=h-
C.&6.&1 '=31"751F213=%-E";1.;F2i)
uaLa mlnlng has aLLracLed a greaL deal
of aLLenLlon ln Lhe lnformaLlon lndus-
Lry and ln socleLy as a whole ln recenL
years, due Lo Lhe wlde avallablllLy of
huge amounLs of daLa. uaLa mlnlng ls
a process conslsLlng of daLa gaLherlng
and analysls, developmenL of lnducLlve
learnlng models and adopLlon of prac-
Llcal declslons and consequenL acLlons
based on Lhe knowledge acqulred
(vercellls, 2010).
uaLa mlnlng meLhodologles can be
applled Lo a varleLy of domalns, such
as knowledge and loyalLy cusLomers,
opLlmlze markeLlng campalgns, fraud
deLecLlon, churn-aLLrlLlon manage-
menL, rlsk facLors ln medlcal dlagnosls,
Lo name a few. ln Lhe educaLlon lndus-
Lry, Lhe hlgher educaLlon lnsLlLuLlons
have many sLudenL daLa, useful for
sLraLeglc declslons Lowards Lhem. An
area of opporLunlLy ln Lhese lnsLlLu-
Llons ls Lhe early deLecLlon of school
dropouLs. A loL of efforLs have been
made Lo combaL Lhls problem, such as
LuLorlng, menLorlng, workshops, eLc.
ln Lhls paper, Lhe flrsL parL of a real llfe
pro[ecL ls presenLed. 1he pro[ecL con-
slsLs on Lo predlcL whlch sLudenLs,
currenLly enrolled ln a undergraduaLe
program of Lhe 8uslness School aL Lhe
unlversldad opular AuLnoma del
LsLado de uebla (Mexlco), are aL rlsk
of dropplng ouL ln order Lo lnLervene
and asslsL ln Lhe hope of reLalnlng
Lhem.
8ecause a hlgh dropouL raLe occurs ln
Lhe flrsL school Lerm, Lhls sLudy wlll
flrsL explore hlsLorlcal daLa obLalned
from Lhe CLnLvAL (naLlonal LnLrance
LxamlnaLlon Lo Plgher LducaLlon) from
2009 Lo 2011. AfLer LhaL, Lhe sLudy wlll
also explore academlc daLa sLored ln
Lhe unlSCl1 (educaLlonal daLa sysLem)
from Lhe same perlod of Llme. 8ased
on daLa mlnlng Lechnlques (unsuper-
vlsed and supervlsed) a predlcLlon
drop-ouL model wlll be developmenL.
LaLer, daLa from 2012 Lo 2013 wlll be
used Lo deLecL whlch sLudenLs are
presenLlng facLors of dropplng ouL
Lhelr undergraduaLe program, ln order
Lo offer some klnd of aLLenLlon or help
Lo reduce or avold Lhe school lnLerrup-
Llon.
1hls pro[ecL wlll glve Lhe unlverslLy Lhe
ablllLy Lo galn deeper undersLandlng of
Lhe dropplng ouL paLLerns, whlch pro-
vlde Lhe opporLunlLy of sLudenL reLen-
Llon (Luan, 2002).
8eferences
Luan, !. (2002). uaLa Mlnlng and
knowledge ManagemenL ln Plgher
LducaLlon - oLenLlal AppllcaLlons. ln
Lhe roceedlngs of 42nd Annual lo-
rum for Lhe AssoclaLlon for lnsLlLuLlon-
al 8esearch. !une 2 - 3, 1oronLo,
CnLarlo, Canada.
vercellls, C. (2010). 8uslness lnLelll-
gence. uaLa Mlnlng and CpLlmlzaLlon
for ueclslon Maklng. lLaly: Wlley.
aper N 16: Us|ng C|ass|f|er to Detect
Cred|t Iraud
!"#$%&'()* A525 C$%-D 'c.(#.&- 4-5P
6.&(5#X9 C1-171) 1-7 A1## H165(%-
'c.(#.&- 4-56.&(5#X9 C1-171)
C%&&.(;%-75-D !"#$%&* A525 C$%-D
'2=$%-DSE"`%F=1)
CredlL scorlng ls an auLomaLed, ob[ec-
Llve and conslsLenL Lool whlch helps
lenders Lo provlde qulck loan declslons.
lL can replace some of Lhe more me-
chanlcal work done by experlenced
loan offlcers whose declslons are lnLul-
Llve buL sub[ecL Lo blas. CredlL scorlng
models have been wldely used ln dlf-
ferenL lendlng lndusLrles. CharacLerls-
Llcs of borrowers are collecLed and
lnLegraLed lnLo values whlch can be
comblned, lnLerpreLed and classlfled.
1he model wlll Lhen analyze all Lhe
lnformaLlon and provlde an esLlmaLe
of Lhe defaulL probablllLy of borrowers.
8orrowers learn abouL Lhe characLerls-
Llcs LhaL are used Lo bulld credlL scor-
lng models. 1hey flgure ouL how Lo
alLer Lhelr answers on Lhe appllcaLlon
form ln order Lo lmprove Lhelr chance
of loan approval. So far few auLomaL-
ed credlL scorlng models have consld-
ered falslfled lnformaLlon from bor-
rowers. We wlll show Lhe Lradeoff
beLween Lhe amounL of efforL and
money flnanclal lnsLlLuLlons have Lo
spend Lo reduce borrower fraud wlLh
Lhe correspondlng lmprovemenL ln
classlflcaLlon accuracy. lurLhermore,
we wlll show LhaL clusLerlng dlshonesL
cusLomers can enormously reduce rlsk,
and Lhus lncrease Lhe amounL of proflL
LhaL Lhe bank wlll earn from glvlng ouL
loans.
1hls research uses dlscrlmlnanL analy-
sls, a well-known meLhod ln Lhe area
of credlL scorlng. A unlvarlaLe model
whlch classlfles cusLomers lnLo Lwo
groups of good and bad borrowers has
been bullL. We use slmulaLed daLa Lo
lllusLraLe our proposed lssue. We use a
8ernoulll random varlable Lo dlsLln-
gulsh wheLher Lhe borrower ls a good
or bad payer. Cood borrowers repay
Lhelr loans on Llme, whlle bad borrow-
ers defaulL. lf Lhe borrower ls a good
payer, we slmulaLe Lhe correspondlng
characLerlsLlcs !
!
, normally dlsLrlbuL-
ed wlLh mean !
!
and sLandard devla-
Llon !
!
. Cn Lhe oLher hand, lf Lhe bor-
rower ls a bad payer, we slmulaLe Lhe
correspondlng characLerlsLlcs !
!
,
normally dlsLrlbuLed wlLh mean !
!

and sLandard devlaLlon . Slnce we
assume only bad borrowers wlll lle
abouL Lhelr characLerlsLlcs, we only
added lles Lo bad borrowers. We used
anoLher 8ernoulll random varlable
wlLh parameLer !
!
, Lo conLrol Lhe
amounL of lles added Lo Lhe daLa.
We varled !
!
from 0.1 Lo 0.8 wlLh sLep
slze 0.03. lor each !
!
, we slmulaLed
100 daLaseLs each wlLh 300 borrowers
and rerun Lhe program 100 Llmes. We
used a unlvarlaLe model Lo flnd Lhe
accuracy of Lhe classlflcaLlon and Lhe
loan book proflL LhaL resulLs from
lendlng Lo Lhose borrowers classlfled
as good. We show LhaL Lhe classlfler
becomes more accuraLe as lles are
squeezed ouL of Lhe process, wlLh a
correspondlng lncrease ln proflLablllLy.
ldenLlfylng llars from Lhe daLaseL can
boLh reduce rlsk and lmprove accuracy.
More efforL should be expended on
examlnlng Lhe daLa Lo deLecL fraud.
1hls research supporLs Lhe hypoLhesls
LhaL reduclng lles can help lendlng
flnanclal lnsLlLuLlons Lo quanLlfy rlsk,
and Lhus maxlmlze proflL ln dlfferenL
loan acLlvlLles.

SLSSICN W2-8: WLDNLSDA 10:0S -
11:3S. koom 22.
aper N 24: Stock Market Ana|ys|s of
8SL-SLNSLk us|ng kohonen SCM
Network and Ieed Iorward Network
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U-751)9 1-7 !O5# H$%<13. ':5#( /531-5 [Y
:5&31 ^%1 C12;"(9 U-751)
C%&&.(;%-75-D !"#$%&* !O5# H$%<13.
'1(7F7$%<13.ED2153F=%2)
SLock MarkeLs are Lhe ma[or drlvlng
forces of all economles. Many maLhe-
maLlcal Lechnlques and algorlLhms llke
regresslon analysls, sLaLlsLlcal model-
lng, ML, Ann have been developed
whlch ls muLually beneflclal Lo boLh
maLhemaLlcal and research aspecLs as
well as lL ls Lo ald Lhe [udgmenL of
people lnvolved ln buslness.
ln our paper we aLLempL Lo address
Lhe problem of sLock markeL predlc-
Llon and analysls Lhrough a dlfferenL
approach. We alm Lo predlcL and
analyze Lhe behavlor of 8SL-SLnSLx,
lndla. Cur approach lncludes analyzlng
pasL paLLerns ln performance of ma[or
companles ln sLock markeL and segre-
gaLlng Lhem ln dlfferenL classes based
on Lhelr effecL on sLock markeL reLurns.
8ased on Lhls segregaLlon we Lry Lo flL
ln Lhe currenL markeL scenarlo ln one
of Lhe classes and along wlLh presenL
facLors and performance of nelghbor-
lng markeLs we aLLempL Lo analyze and
predlcL behavlor of 8SL-SLnSLx.
We lncorporaLe Lhe pasL daLa of Lhe
ma[or companles ln 8SL LhaL form Lhe
SLnSLx. 1he daLa lncludes reLurn val-
ues for each day for pasL 9 years. We
also Lake lnLo accounL Lhe daLa from
Lhe sLock exchanges of lnfluenLlal
counLrles llke uSA, Aslan markeLs llke
Chlna, !apan eLc.
1he Lechnlque we use ls a comblnaLlon
of Lwo arLlflclal neural neLworks. 1he
flrsL belng Lhe Self Crganlzlng Maps
also known as kohonen Maps or ko-
honen neLworks. Self-Crganlzlng Maps
are Lralned uslng unsupervlsed learn-
lng and are used ln appllcaLlons whlch
lnvolve dlfferenLlaLlon and characLerl-
zaLlon of lnpuL lnLo varlous group or
classes. 1he second neLwork ls a feed-
forward neural neLwork. 1he lnfor-
maLlon flow ln feed forward neural
neLwork ls ln one dlrecLlon only. lL
Lakes lnpuL from SCM neLwork aL one
end and produces resulL on ouLpuL
nodes. leed lorward neural neLwork
ls Lralned by backpropagaLlon learnlng
algorlLhm.
1he 8SL sLock markeL ls noL lnforma-
Llonally efflclenL. 1here are behavloral
blases, calendar effecLs (8ef: "ls 1here
SeasonallLy ln Lhe Sensex MonLhly
8eLurns?" l M andey) and oLher
sLrucLural facLors due Lo whlch lL ls
weakly lnefflclenL. CLher references
whlch reflecL slmllar ldea are:
1) "An Lmplrlcal SLudy on Weak-lorm
of MarkeL Lfflclency of SelecLed Aslan
SLock MarkeLs",nlkun[ 8. aLel, nlLesh
8adadla, !uhl uhawan
2) unlL 8ooL 1esL, hllllps-erron LesLs
augmenLed ulckey-luller (Aul), k
Mlshra and 8 8 radhan, 2009: 1he
sLudy provldes Lhe evldence of weak
form lnefflclency of lndlan caplLal
markeL durlng 2001-2009
3) unlL 8ooL LesL, CA8CP Model, k
Mlshra, 2010: lL represenLs lnefflclen-
cy of lndlan caplLal markeL durlng
1991-2009.
1he proposed algorlLhm ls based on
evenL sLudles of Lhe pasL. Slnce 8SL ls
weak-form lnefflclenL, Lhe dlrecLlon ln
whlch Lhe reLurns wlll move can be
predlcLed. Cur algorlLhm can predlcL
Lhe lncrease/decrease ln Sensex wlLh
abouL 70 accuracy. 1he same algo-
rlLhm can also analyze Lhe flucLuaLlons
ln Lhe reLurns wlLh much hlgher accu-
racy.
ln concluslon, Lhe paper alms aL learn-
lng from Lhe pasL experlences of mar-
keL, and predlcLlng Lhe near fuLure
behavlor.
aper N 29: Des|gn and deve|opment
of a I|nanc|a| Management Infor-
mat|on System (MIS - I) for dec|s|on-
mak|ng |n f|nanc|a| |nst|tut|ons
!"#$%&'()* ^.&1&7% ^".&&.&% ':1-=%
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A1-".3 H51@ ':1-=% :53<1% ?5@=1X1
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A.75-1 ':1-=% :53<1% ?5@=1X1
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!&D.-#1&519 ::?!9 C$53.)
C%&&.(;%-75-D !"#$%&* ^.&1&7%
^".&&.&% 'D".&&.&%FD2ED2153F=%2)
WlLh a markeL ln consLanL change and
fasL evoluLlon, due Lo hlgh levels of
lnformaLlon, companles are beglnnlng
Lo adopL a new sLraLeglc vlslon:
Change. 1hls means Lo analyze Lhe
sLaLe of Lhe buslness ofLen and con-
sLanLly Lake declslons.
1he flnanclal buslness ls no excepLlon
Lo change and requlres new Lools Lo
supporL declslon-maklng. LfflclenL and
flexlble sysLems LhaL can Lrack busl-
ness changes are called ueclslon Sup-
porL SysLems (uSS).
1he uSS ls a buslness lnLelllgence Lool
focused on organlzaLlonal daLa analy-
sls wlLh Lhe alm of supporLlng declslon
maklng by descrlblng Lhe seLLlng and
evaluaLlon of varlous declslon scenarl-
os. Accordlng Lo Lhe user experLlse,
Lhe uSS can be of varlous Lypes, Lhls
paper wlll focus on Lhe ManagemenL
lnformaLlon SysLem (MlS).
1he MlS ls a uSS orlenLed Lo buslness
declslon and sLraLeglc vlslon. 1he ln-
formaLlon provlded musL follow a seL
of guldellnes relaLed Lo Lhe plannlng
and conLrol: CC81unl1?, aL Lhe
rlghL momenL, CuAn1l1? necessary
volume, and 8LLLvAnCL, ls relaLed Lo
Lhe scope of Lhe declslon.
lrom a flnance polnL of vlew, Lhe decl-
slon-maklng ls focused on proflLablllLy.
ln Lhe case of Lhe banks, Lhls ls sum-
marlzed ln Lhe knowledge of Lrade
flow (lnvesLmenLs, loans) and Lhe
spread assoclaLed Lo each LransacLlon.
Moreover, banks musL be allgned Lo
annual sales budgeLs and markeL
shares. 1hls means knowlng lncome
SLaLemenL and 8alance SheeL lndlca-
Lors.
MlS was developed for 88vA, wlLh Lhe
baslc requlremenL Lo lmplemenL a
comprehenslve sysLem for all bank's
dlvlslons: reLall banklng, SMLs, corpo-
raLe and global markeLs, as well as
speclflc wlLhln Lhelr hlerarchles: 8ank-
lng, LerrlLory, area, offlce, execuLlve,
holdlng and cllenL.
1he MlS developmenL was followed
Lhe pro[ecL meLhodology LhaL ls Lar-
geLed Lo end-users: 1he process ls
cycllcal, Lhe resulLs are consLanLly
revlewed ln each sLage, ensurlng
Lhereby, flexlblllLy.
Allgned Lo Lhe CC81unl1? and
8LLLvAnCL of Lhe lnformaLlon, lL was
deflned LhaL access Lo reporLs ls asso-
claLed wlLh each user proflle. 1hls
means LhaL sLraLeglc managers can see
Lhe bank as a whole, whlle Lhe opera-
Llve level only vlews Lhe offlce. roflle
dlfferenLlaLlon ls assoclaLed wlLh Lhe
lu of Lhe user compuLer, whlch avolds
users Lo remember addlLlonal pass-
words for uslng Lhe MlS. 1he flnal
producL was named as lCCnC whlch
has perlodlcal acLuallzaLlons (dally or
monLhly) accordlng Lo Lhe Lype of
reporL.
1he developmenL of Lhe sysLem was
successful. CurrenLly, 88vA used lL as a
reporLlng servlces and Lool for decl-
slons-maklng. AL operaLlve level, lL has
allowed Lhe offlcers managers Lo be
allgned wlLh Lhe budgeL asslgned,
whlle aL Lhe sLraLeglc level, lL has al-
lowed Lhe evoluLlon of Lhe buslness as
a whole. lL has been lmplemenLed Lhe
web verslon of lCCnC 88vA uslng Lhe
MlcroSLraLegy Lechnology.
ACknCWLLuCLMLn1: 1hanks Lo Lhe
manager of MlS and ManagemenL
ConLrol of 88vA, Marla Llena Morales
Ayala for allowlng Lhe parLlal publlca-
Llon of Lhe lCCnC.
aper N 43: Nove| Lmp|r|ca| System
for Dec|s|on Mak|ng |n the Stock Mar-
ket
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6.&(5717 7. C$53.9 C$53.) 9 C&5(#51- :&1P
6% '4-56.&(5717 7. C$53.9 C$53.) 1-7
05=$1&7 c.<.& '4-56.&(5717 7. C$53.9
C$53.)
C%&&.(;%-75-D !"#$%&* 8"5( UD-1=5%
A%&.-%
'3"5(F5D-1=5%F2%&.-%ED2153F=%2)
usually Lhe declslons abouL sLock as-
seLs are based on fundamenLal analy-
sls for a long basls comblned wlLh
Lechnlcal lndlcaLors Lo flnd Lhe besL
markeL enLry/exlL.
WlLh Lhe hlgh lncrease of compuLer
performance, daLa mlnlng has been
wldely sLudled and shown greaL suc-
cess predlcLlng uslng supervlsed learn-
lng algorlLhms. 1he classlc approach Lo
Llme serles forecasL uses prevlous
prlces Lo predlcL Lhe fuLure prlces
sLepwlse or uslng flxed Llmes (Lxample:
30 or 90 days).
A novel approach ls sLudled, where Lhe
ob[ecLlve varlable lnsLead of belng
proflLs or a flxed Llme wlndow, lL cor-
responds Lo a LransformaLlon of Lhe
Zlg-Zag lndlcaLor reLracLlons, com-
blned wlLh non-causal Llme exLenslons
Lo flnd Lhe besL enLry/exlL sLraLegy
LhaL slmulLaneously avolds Llme over-
flLLlng, 1he approach uses varlables
exLracLed from lnslders daLa and Lech-
nlcal lndlcaLor (ulvergences, crosses
and exhausLlon) Lo maLch Lhe deslred
paLLerns.
8ased on Lhe hypoLhesls LhaL, ln par-
Llcular cases, Lhe markeL ls noL random,
buL chaoLlc wlLh some hldden sLruc-
Lure, we show LhaL, by uslng daLa
mlnlng Lools, lL ls posslble Lo obLaln
some advanLage when Lradlng.

SLSSICN W4-A: WLDNLSDA 14:30 -
16:00. Aud|tor|um.
aper N 33: kobust mode| pred|ct|ve
contro| for short term management
of energy portfo||os
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_1=5%-13 7. C%3%2<51 P J.7. A.7.335-9
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C%&&.(;%-75-D !"#$%&* /1<3% H.%((1
';17.%((1E"-13F.7"F=%)
1he evoluLlon of lnformaLlon 1echnol-
ogy LogeLher wlLh Lhe appearlng of a
full seL of renewable energy sources
and auLomaLlon, Lhe so-called SmarL
grld", whlch, accordlng Lo Lnergy ue-
parLmenL of Amerlca, smarL grld ls: A
class of Lechnology people ls uslng Lo
brlng uLlllLy elecLrlclLy dellvery sysLems
lnLo Lhe 21sL cenLury, uslng compuLer-
based remoLe conLrol and auLoma-
Llon". ln Lhls sense, parLlcular ele-
menLs of Lhe elecLrlc power sysLems,
llke Lhe energy markeLs became more
complex due Lo Lhe lncreased lnLerac-
Llons among acLors lnvolved ln Lhe
markeL. Moreover, Lhe dlverslLy of Lhe
elemenLs lnvolved ln Lhe smarL grld
lncreases Lhe number of lnvesLmenL
posslblllLy, generaLlng Lhe need of
more efflclenL meLhodologles for en-
ergy porLfollo managemenL. ln order
Lo geL beLLer performlng soluLlons Lhe
use of flnanclal models wlLh conLrol
soluLlons has grown. 1hese sLraLegles
have become more complex maklng
Lhe formulaLlon of analyLlc soluLlons a
very dlfflculL Lask, ln Lhls way, compu-
LaLlonal soluLlons are Lhe maln Lool Lo
Lhe currenL researched quesLlons.
Among Lhe compuLaLlonal soluLlons
we propose Lhe use of opLlmal conLrol
Lheory based of dlfferenL Lypes of
models lncludlng boLh deLermlnlsLlc
and sLochasLlc models, and even hy-
brld models.
1he sLrong uncerLalnLles of Lhe elecLrl-
cal markeL lncludlng Lhe weaLher con-
dlLlons, load forecasLlng and oLher
flnanclal varlables relaLed Lo energy
markeLs makes Lhe shorL Lerm energy
porLfollo managemenL a hard Lask.
Conslderlng LhaL Lhe elecLrlcal sysLem
has an lnelasLlc demand and any fall-
ure by Lhe dlsLrlbuLors and generaLors
Lo dellver conLracLed power Lo Lhe
consumers lnvolve heavy penalLles
and could even generaLe a blackouL ln
Lhe reglon of lnLeresL. 1herefore shorL
Lerm energy porLfollo requlres Lools
LhaL guaranLee opLlmal and rellable
soluLlons. ln order Lo solve Lhese prob-
lems, Lhe robusL model predlcLlve
conLrol (8MC) provldes a soluLlon
LhaL allows Lhe use of llnear and non-
llnear models Lo perform Lhe forecasL
of Lhe sLaLe Lra[ecLorles along a predlc-
Llon horlzon and opLlmlzes Lhe conLrol
varlables assumlng Lhe worsL case
scenarlo ln Lhe model uncerLalnLy.
Assumlng an energy Lrader porLfollo,
LhaL buys energy Lo Lhe generaLors
and Lo Lhe spoL markeL and sells Lo Lhe
regulaLed and no regulaLed consumers,
Lhe 8MC guaranLee Lhe energy re-
qulred Lo saLlsfy Lhe load of Lhe sysLem
Lradlng energy beLween Lhe spoL mar-
keL and energy agreemenLs maxlmlz-
lng Lhe proflL of Lhe energy Lrader. 1hls
paper uses a kalman lllLer based on
Lhe PolL-WlnLers forecasLlng meLhod
Lo esLlmaLe Lhe load and energy spoL
prlce and Lhe 8MC based ln convex
programmlng Lo perform Lhe energy
Lrader porLfollo managemenL.
aper N 34: Mode||ng sp|ke occur-
rences |n Austra||an e|ectr|c|ty spot
pr|ces: A po|nt process and GAMLSS
approach
!"#$%&'()* 0%7&5D% M.&&.&1 '4-56.&P
(5717 7. ]13=19 C$53.) 1-7 !712 C3.2P
.-#( 'g"..-(31-7 4-56.&(5#X %> ].=$P
-%3%DX9 !"(#&1351)
C%&&.(;%-75-D !"#$%&* 0%7&5D% M.&&.P
&1 '&%7&5$.&&.&1E"#13=1F=3)
Some prlmary concerns for Lraders
slnce Lhe deregulaLlon of AusLrallan
elecLrlclLy markeL have been boLh Lhe
selecLlon of opLlmal Lradlng llmlLs and
Lhe rlsk quanLlflcaLlon, as a conse-
quence of unlque sLyllzed facLs exhlb-
lLed by elecLrlclLy spoL prlces. ln par-
Llcular, Lhe occurrence of exLreme
movemenLs ln spoL prlces of elecLrlclLy
markeLs represenLs a slgnlflcanL
source of rlsk. 1wo maln approaches
have been consldered wlLh respecL Lo
modellng elecLrlclLy prlces, Lhe predlc-
Llon of Lhe Lra[ecLory of spoL prlces
and Lhe predlcLlon of splkes speclflcal-
ly. 1hese models however, have relled
on classlcal Llme serles analyses of
asseL markeLs, whlch Lyplcally use
resLrlcLlve approaches under some
adapLaLlons.
1hls paper develops an alLernaLlve, a
new mulLlvarlaLe self-exclLlng marked
polnL process model whlch capLures
Lhese feaLures uslng dlfferenL covarl-
aLes. 1here are many ways of LreaLlng
marked self-exclLlng marked polnL
processes. ln Lhls paper we wlll ex-
plore one approach based on Lhe so-
called condlLlonal lnLenslLy funcLlon.
Self-exclLlng marked polnL processes
have been used Lo model varlous phe-
nomena lncludlng earLhquakes, neural
acLlvlLles, crlmes such as such as bur-
glary and gang vlolence, unA model-
lng, epldemlology, rellablllLy, and
more recenLly ln flnance. 1he model
conslsL of Lwo maln parLs, modellng of
Lhe lnLenslLy or frequency of Lhese
splkes by polnL process, whlch ls esLl-
maLed by maxlmum llkellhood, and
Lhe slze of Lhese splkes LhaL ls esLl-
maLed uslng generallzed addlLlve
models for locaLlon, scale and shape
(CAMLSS). Lmplrlcal resulLs for elec-
LrlclLy spoL markeLs ln AusLralla show
evldence of dependence beLween
occurrence Llmes of Lhese splkes. 1hls
flndlng ls dlrecLly relaLed Lo Lhe fuLure
behavlor of Lhe sLochasLlc lnLenslLy
process for prlce splkes.

aper N 40: Mu|t|var|ate k-Nearest
Ne|ghbour kegress|on for 1|me Ser|es
data - an emp|r|ca| eva|uat|on |n
Iorecast|ng Uk L|ectr|c|ty Demand
!"#$%&'()* \1$17 M !3Pg1$#1-5 '81-P
=1(#.& 4-56.&(5#X9 4-5#.7 [5-D7%2) 1-7
J6.- C&%-. '81-=1(#.& 4-56.&(5#X9
4-5#.7 [5-D7%2)
C%&&.(;%-75-D !"#$%&* J6.- C&%-.
'(F=&%-.E31-=1(#.&F1=F"Y)
ln compeLlLlve elecLrlclLy markeLs, Lhe
lmporLance of accuraLe load forecasL-
lng ls essenLlal for Lhe plannlng and
operaLlons of uLlllLy companles. Cver-
esLlmaLlon of Lhe demand wlll lead Lo
provldlng excess energy aL unneces-
sary operaLlonal cosL, whlle underes-
LlmaLlon resulLs ln Lhe deploymenL of
addlLlonal peak capaclLy or Lhe pur-
chase, resulLlng ln generaLlon aL a
subsLanLlally hlgher cosL. As a resulL of
Lhls vlclous Lrade-off, lL was esLlmaLed
LhaL an exLra 1 ln forecasL error ln-
creases Lhe operaLlng cosL of a uk
power uLlllLy by 10 mllllon ln 1983,
wlLh cosLs rlslng. As a resulL, dlfferenL
approaches of forecasLlng shorL Lerm,
hourly elecLrlclLy demand of 24 up Lo
36 hours ahead have been proposed,
ranglng from LradlLlonal sLaLlsLlcal
meLhods of llnear mulLlvarlaLe regres-
slon, A8lMA and LxponenLlal SmooLh-
lng Lo more sophlsLlcaLed, nonllnear
meLhods of compuLaLlonal lnLelllgence,
wlLh arLlflclal neural neLworks belng
Lhe mosL promlnenL.
As anoLher conLender of compuLaLlon-
al lnLelllgence, Lhe famlly of k-nearesL
nelghbour (k-nn) algorlLhms ls one of
Lhe mosL wldely used Lechnlques ln
classlflcaLlon, due Lo lLs slmpllclLy,
lnLulLlveness, and ease of lmplemenLa-
Llon, and regularly serves as a bench-
mark algorlLhm. AlLhough flrsL lnLro-
duced ln paLLern classlflcaLlon, k-nn
have been successfully exLended Lo
8egresslon, and applled Lo Llme serles
forecasLlng, mosL noLably ln Lhe areas
of flnance, buL also ln Pydrology and
LarLh Sclence, and CllmaLology. ue-
splLe Lhe relevance of load forecasLlng
as an appllcaLlon domaln, only few
sLudles have assessed k-nn 8egresslon
on predlcLlng Llme serles of elecLrlclLy
load daLa. Cnly four [ournal papers
assess k-nn regresslon ln load fore-
casLlng, ln addlLlon Lo elghL conference
conLrlbuLlons. Powever, desplLe Lhe
frequenL use of mulLlvarlaLe k-nns ln
classlflcaLlon, Lhelr appllcaLlon ln re-
gresslon and forecasLlng has recelved
no aLLenLlon, consLralnlng all appllca-
Llons Lo unlvarlLaLe approaches Lo k-
nn 8egresslon, uslng only Lhe shape of
Lhe load curve of lagged reallsaLlons Lo
ldenLlfy slmllar nearesL nelghbours ln
Lhe pasL. Powever, even ln Lhe ab-
sence of exogenous varlables such as
LemperaLure can explanaLory varlables
yleld addlLlonal lnslghL. ln 8egresslon,
modellers regularly encode addlLlonal
lnformaLlon by consLrucLlng blnary
dummy varlables whlch e.g. ldenLlfy
Lhe day Lo be predlcLed as a worklng
day, weekend day or publlc hollday, or
Lo lle wlLhln a parLlcular season,
Lhereby exLendlng Lhe lnpuL vecLor
from a unlvarlaLe Lo a mulLlvarlaLe
model and enhanclng predlcLlve accu-
racy. MulLlvarlaLe exLenslons Lo k-nn
8egresslon have so far been lgnored
for load forecasLlng, whlch Lhls paper
seeks Lo remedy. We propose a meLh-
od for forecasLlng Lhe elecLrlclLy de-
mand ln Lhe uk uslng mulLlvarlaLe k-
nn 8egresslon, codlng worklng days
versus non-worklng and weekend days
as blnary dummy varlables, almlng Lo
lncrease Lhe robusLness and generallLy
of Lhe algorlLhm. 1he proposed mulLl-
varlaLe exLenslon Lo k-nn ls compared
boLh Lo unlvarlaLe k-nn and sLaLlsLlcal
benchmark models Lo assess Lhelr
relaLlve accuracy ln shorL Lerm fore-
casLlng of hourly uk elecLrlclLy load.

SLSSICN W4-A: WLDNLSDA 14:30 -
16:00. Aud|tor|um.
aper N 19: Lvo|ut|onary Mu|t|ob[ec-
t|ve Des|gn of Iuzzy ku|e-8ased C|as-
s|f|ers w|th Lxp|anat|on Ab|||ty
!"#$%&'()* M5(1% U($5<"=$5 'L(1Y1 /&.P
>.=#"&. 4-56.&(5#X9 Z1;1-)9 A1(1Y1@"
j121-. 'L(1Y1 /&.>.=#"&. 4-56.&(5#X9
Z1;1-)9 1-7 j"("Y. _%O521 'L(1Y1
/&.>.=#"&. 4-56.&(5#X9 Z1;1-)
C%&&.(;%-75-D !"#$%&* M5(1% U($5<"=$5
'$5(1%5E=(F%(1Y1>"P"F1=FO;)
Cne advanLage of fuzzy rule-based
classlflers over non-llnear black-box
models such as neural neLworks and
supporL vecLor machlnes ls Lhelr lln-
gulsLlc lnLerpreLablllLy. luzzy rules are
usually llngulsLlcally lnLerpreLable.
Powever, due Lo Lhe exlsLence of an
accuracy-lnLerpreLablllLy Lradeoff
relaLlon, lL ls lmposslble Lo deslgn Lhe
absoluLely besL classlfler wlLh Lhe
hlghesL accuracy and Lhe hlghesL ln-
LerpreLablllLy. LvoluLlonary mulLlob[ec-
Llve opLlmlzaLlon (LMC) algorlLhms are
ofLen used Lo search for non-
domlnaLed fuzzy rule-based classlflers
along Lhe accuracy-lnLerpreLablllLy
Lradeoff curve, whlch ranges from
compllcaLed classlflers wlLh hlgh accu-
racy Lo slmple classlflers wlLh hlgh
lnLerpreLablllLy. lL ls lmpllclLly assumed
LhaL a slngle classlfler ls chosen from a
large number of obLalned non-
domlnaLed classlflers by a human user
based on hls/her preference wlLh
respecL Lo accuracy and lnLerpreLabll-
lLy.
When a fuzzy rule-based classlfler ls
used as a declslon supporL sysLem ln
an appllcaLlon area such as buslness
and flnance where a human user ls a
flnal declslon maker, lL ls deslrable
LhaL Lhe reason for Lhe classlflcaLlon of
each lnpuL paLLern should be ex-
plalned clearly. 1hls ls because human
users wanL Lo know why an lnpuL paL-
Lern ls classlfled as a parLlcular class by
a declslon supporL sysLem. no human
users are wllllng Lo accepL Lhe sug-
gesLed class lf no clear explanaLlon ls
glven. 1haL ls, fuzzy rule-based classlfl-
ers should have hlgh explanaLlon abll-
lLy as well as hlgh accuracy and hlgh
lnLerpreLablllLy. lnLerpreLablllLy and
explanaLlon ablllLy are slmllar Lo each
oLher. Powever, Lhey are dlfferenL
concepLs. lnLerpreLablllLy ls relaLed Lo
Lhe undersLandlng of a whole fuzzy
rule-based classlfler whlle explanaLlon
ablllLy ls relaLed Lo Lhe classlflcaLlon
resulL of each lnpuL paLLern.
ln Lhls sLudy, we propose evoluLlonary
mulLlob[ecLlve deslgn of fuzzy rule-
based classlflers wlLh hlgh accuracy,
hlgh lnLerpreLablllLy and hlgh explana-
Llon ablllLy. We use fuzzy rules wlLh
llngulsLlc condlLlons, a consequenL
class and a rule welghL such as "lf x1 ls
small and x3 ls small Lhen Class 1 wlLh
a rule welghL 0.3" and "lf x3 ls large
and x4 ls large and x7 ls medlum Lhen
Class 2 wlLh a rule welghL 0.9". Llnguls-
Llc values such as small" and large"
are speclfled by Lhelr membershlp
funcLlons. 8ule welghLs are used Lo
ad[usL Lhe sLrengLh of each fuzzy rule
ln fuzzy reasonlng. More speclflcally,
an lnpuL paLLern ls classlfled by a sln-
gle wlnner rule, whlch ls chosen based
on Lhe producL of Lhe compaLlblllLy
grade of Lhe lnpuL paLLern wlLh Lhe
anLecedenL parL and Lhe rule welghL of
each fuzzy rule.
We assume LhaL a seL of llngulsLlc
values ls glven LogeLher wlLh Lhelr
membershlp funcLlons for each aLLrlb-
uLe. We also assume LhaL Lralnlng
paLLerns are glven for Lhe deslgn of
fuzzy rule-based classlflers. Cur goal ls
Lo deslgn fuzzy rule-based classlflers
wlLh hlgh accuracy, hlgh lnLerpreLabll-
lLy and hlgh explanaLlon ablllLy. We
formulaLe a Lhree-ob[ecLlve problem
wlLh accuracy maxlmlzaLlon, lnLer-
preLablllLy maxlmlzaLlon and explana-
Llon ablllLy maxlmlzaLlon. 1he accuracy
ls evaluaLed by Lhe error raLe on Lhe
glven Lralnlng paLLerns. As an lnLer-
preLablllLy measure, we formulaLe a
welghLed sum of Lhe number of fuzzy
rules and Lhe LoLal number of anLe-
cedenL condlLlons. LxplanaLlon ablllLy
ls formulaLed uslng Lhe rule lengLh, Lhe
rule welghL and Lhe compaLlblllLy of
Lhe wlnner rule for each lnpuL paLLern.
When an lnpuL paLLern ls correcLly
classlfled, Lhe producL of Lhe followlng
Lhree values of Lhe wlnner rule ls add-
ed Lo an explanaLlon ablllLy measure:
1/(lLs rule lengLh), lLs compaLlblllLy
grade, and lLs rule welghL. An LMC
algorlLhm ls used Lo search for non-
domlnaLed fuzzy rule-based classlflers
wlLh respecL Lo accuracy maxlmlzaLlon,
lnLerpreLablllLy maxlmlzaLlon, and
explanaLlon ablllLy maxlmlzaLlon.
aper N 36: A CA aproach to com-
mon r|sk exposures |n the Ch||ean
bank|ng system
!"#$%&'()* H5.D% !61-@5-5 'C.-#&13
:1-Y %> C$53.9 C$53.) 1-7 !3.O1-7&% Z1&1
'C.-#&13 :1-Y %> C$53.9 C$53.)
C%&&.(;%-75-D !"#$%&* H5.D% !61-@5-5
'7161-@5-5E<=.-#&13F=3)
ln Lhls paper, we sLudy Lhree relaLed
aspecLs of Lhe Chllean banklng's sys-
Lemlc rlsk: (l) Lo whaL exLenL Lhe de-
gree of common rlsk exposure has
changed over Lhe pasL decades, (ll)
durlng whlch perlods Lhls exposure
lncreased Lhe mosL, and (lll) based on
predeflned Lhresholds, when Lhls
commonallLy has become sysLemlcally
relevanL. AddlLlonally, we ldenLlfy
sysLemlcally lmporLanL flnanclal lnsLl-
LuLlons (Sllls) based on Lhelr conLrlbu-
Llon Lo Lhe degree of common rlsk
exposure durlng perlods of hlgher
sysLemlc rlsk.
1he key aspecL of our approach ls Lo
measure Lhe degree of commonallLy
(Landem behavlor of banks"). lollow-
lng krlLzman eL al. (2011) and klnlaw
eL al. (2011), we: (l) assess Lhe dynam-
lcs of common rlsk exposures ln Lhe
banklng sysLem, (ll) ldenLlfy Lhose
perlods ln whlch co-movemenLs across
banks' performance become parLlcu-
larly hlgh, and (lll) compuLe Lhe conLrl-
buLlons of each bank Lo Lhe aggregaLe
commonallLy, ranklng banks accordlng
Lo Lhelr sysLemlc rlsk lmporLance. We
do so by applylng prlnclpal componenL
analysls and a seL of relaLed Lools (Lhe
absorpLlon raLlo, A8, and Lhe cenLrallLy
score, CS) Lo Lwo accounLlng lndlcaLors
of banks' performance: Lhe reLurn on
asseLs (8CA) and Lhe lnLeresL raLe
margln over LoLal asseLs (l8M).
ln parLlcular, Lhe A8 capLures Lhe ex-
LenL Lo whlch a markeL ls unlfled. lnLu-
lLlvely, a hlgher A8 can be lnLerpreLed
as flnanclal lnsLlLuLlons acLlng ln Lan-
dem", lncreaslng Lhe rlsk of flnanclal
conLaglon. 1echnlcally, Lhe A8 repre-
senLs Lhe fracLlon of Lhe LoLal varlance
of a seL of asseLs reLurns explalned by
a flnlLe number of elgenvecLors. lor-
mally, conslder a markeL wlLh n banks
durlng a Llmespan endlng ln L. 1he A8
ls deflned as:
!!
!
!
!
!
!
! !
!!!
!
!
!
! !
!!!

where ! ls Lhe number of elgenvecLors,
!
!
!
!
ls Lhe varlance of elgenvecLor ! ,
and !
!
!
!
ls Lhe varlance of asseL reLurn
of bank !.
1he CS measures Lhe degree Lo whlch
a parLlcular asseL reLurns drlve aggre-
gaLe markeL varlance, and measures
Lhe conLrlbuLlon of an speclflc bank Lo
sysLemlc rlsk. AfLer ldenLlfylng Lhose
perlods of lmplled hlgh sysLemlc rlsk,
Lhe CS can be used Lo rank banks ac-
cordlng Lo Lhelr conLrlbuLlon Lo sys-
Lemlc rlsk. lormally, Lhe CS of a bank !
aL Llme ! ls glven by:
!!
!"
!
!!
!
! !
!
!!!
!
!!
!"
!
!!
!"
! !
!
!!!
!!
!
! !
!
!!!

where !!
!
!
ls Lhe absorpLlon raLlo of
Lhe !
!!
elgenvecLor, !!
!"
!
ls Lhe expo-
sure of Lhe !
!!
bank wlLhln Lhe !
!!

elgenvecLor, !
!
ls Lhe number of el-
genvecLors ln Lhe numeraLor of Lhe !",
and !
!
ls Lhe LoLal number of banks.
1hls meLhodology has aL leasL Lwo
lmporLanL advanLages. llrsL, lL does
noL rely on Lhe exlsLence of a sysLemlc
evenL as a way Lo measure sysLemlc
rlsk or ldenLlfy Sllls. 1herefore, lL may
be parLlcularly sulLable for Lhose coun-
Lrles LhaL have noL experlenced re-
cenLly banklng crlses, whlch comes as
an advanLage compared Lo oLher ap-
proaches based on counLerfacLual
exerclses. Second, alLhough uslng
accounLlng daLa ls sub[ecL Lo crlLlclsm,
lL ls a reasonable alLernaLlve for less
advanced economles where markeL
lnformaLlon ls llmlLed or even nonex-
lsLenL.
We flnd LhaL Lhe degree of common
rlsk exposures changed over Llme. ln
parLlcular, we are able Lo ldenLlfy Lhe
perlod prlor Lo Lhe 2008-2009 global
flnanclal crlsls as a perlod when com-
mon exposures Lo rlsk lncreased Lhe
mosL, as banks' performance became
hlghly LlghLen. We also flnd LhaL Sllls
do noL necessarlly relaLe Lo Lhelr slze,
as measured by Lhelr LoLal asseLs share
ln Lhe banklng sysLem.







8eferences
klnlaw, W., krlLzman, M., 1urklngLon,
u. (2011). 1oward deLermlnlng sys-
Lemlc lmporLance. !ournal of orLfollo
ManagemenL, 38(4):100-111.
krlLzman, M., Ll, ?., age, S., and
8lgobon, 8. (2011). rlnclpal compo-
nenLs as a measure of sysLemlc rlsk.
!ournal of orLfollo ManagemenL,
37(4):112-126.