The Operations Research Society of South Africa (ORSSA), the first Operations Research (OR) society in Africa, celebrated its 50th anniversary at its annual conference in 2019. To commemorate the occasion a book, covering the history of the society, was launched at the conference. One area that was not covered in this book was the contribution of South Africans to the international OR literature. This paper endeavors to fill that void through a bibliographic analysis of papers published by South Africans over the 50-year period. A list of over 100 journals were used for this analysis. General empirical results are derived while a visual analysis of top author research networks is presented. The analysis demonstrates the contribution to the international OR/MS knowledge base of a small but vibrant national OR society at the most southern point of Africa.
{"title":"Celebrating 50-years of OR in South Africa – a Bibliometric Analysis of contributions to International OR Literature","authors":"H. Ittmann","doi":"10.5784/39-1-744","DOIUrl":"https://doi.org/10.5784/39-1-744","url":null,"abstract":"The Operations Research Society of South Africa (ORSSA), the first Operations Research (OR) society in Africa, celebrated its 50th anniversary at its annual conference in 2019. To commemorate the occasion a book, covering the history of the society, was launched at the conference. One area that was not covered in this book was the contribution of South Africans to the international OR literature. This paper endeavors to fill that void through a bibliographic analysis of papers published by South Africans over the 50-year period. A list of over 100 journals were used for this analysis. General empirical results are derived while a visual analysis of top author research networks is presented. The analysis demonstrates the contribution to the international OR/MS knowledge base of a small but vibrant national OR society at the most southern point of Africa.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"70 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"85676443","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
In this study different metrics to perform order batching for a unidirectional cyclical picking system are investigated. Batches must be formed to minimise walking distance that is measured as the total number of cycles traversed by pickers.Route overlap metrics are developed to approximate walking distance before picker routing. Thereby, information about route similarity is added to identify orders that are compatible for batching.A span is the length of a section of picking line that a picker walks to collect the items in an order. Three metrics based on the concept of a span are developed, namely the stops non-identical spans, the non-identical stops-spans and the stops-spans ratio metric.Numerical experiments are carried out to determine the best combination between route overlap metric and batching method. A prominent South African retailer's distribution centre provides (50)~sample picking waves for an experimental set up with real-life data. The stops non-identical spans metric used together with greedy smallest entry heuristic to perform the batching consistently leads to a low number of cycles traversed to complete a picking wave relative to the other methods.
{"title":"Route overlap metrics to batch orders","authors":"Stephan E Visagie, F. Hofmann","doi":"10.5784/39-1-712","DOIUrl":"https://doi.org/10.5784/39-1-712","url":null,"abstract":"In this study different metrics to perform order batching for a unidirectional cyclical picking system are investigated. Batches must be formed to minimise walking distance that is measured as the total number of cycles traversed by pickers.Route overlap metrics are developed to approximate walking distance before picker routing. Thereby, information about route similarity is added to identify orders that are compatible for batching.A span is the length of a section of picking line that a picker walks to collect the items in an order. Three metrics based on the concept of a span are developed, namely the stops non-identical spans, the non-identical stops-spans and the stops-spans ratio metric.Numerical experiments are carried out to determine the best combination between route overlap metric and batching method. A prominent South African retailer's distribution centre provides (50)~sample picking waves for an experimental set up with real-life data. The stops non-identical spans metric used together with greedy smallest entry heuristic to perform the batching consistently leads to a low number of cycles traversed to complete a picking wave relative to the other methods.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"35 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72874743","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
It is widely noted that the Heston stochastic volatility model fails to capture the fat tails often observed in daily equity returns. Adding random jumps improves the model’s ability to capture extreme events. This extension is known as the Bates stochastic volatility jump (SVJ) model. The model parameters for the Heston and Bates SVJ models are generally calibrated to option prices inducing the so-called risk-neutral measure. However, in the absence of a sufficiently liquid options market, one has to resort to calibration under the realworld measure. In this paper, we calibrate the Heston and Bates SVJ models to historical equity returns in the United States and South Africa using the efficient method of moments(EMM). We then show how a real-world stochastic volatility model can be used in practice to test a simple volatility targeting strategy. Our findings suggest that stochastic volatility and jumps are both required to characterise equity returns in South Africa. Furthermore, volatility targeting is an effective strategy that allows investors to manage the downside risk of a portfolio.
{"title":"On the calibration of stochastic volatility models to estimate the real-world measure used in option pricing","authors":"A. Levendis","doi":"10.5784/39-1-747","DOIUrl":"https://doi.org/10.5784/39-1-747","url":null,"abstract":"It is widely noted that the Heston stochastic volatility model fails to capture the fat tails often observed in daily equity returns. Adding random jumps improves the model’s ability to capture extreme events. This extension is known as the Bates stochastic volatility jump (SVJ) model. The model parameters for the Heston and Bates SVJ models are generally calibrated to option prices inducing the so-called risk-neutral measure. However, in the absence of a sufficiently liquid options market, one has to resort to calibration under the realworld measure. In this paper, we calibrate the Heston and Bates SVJ models to historical equity returns in the United States and South Africa using the efficient method of moments(EMM). We then show how a real-world stochastic volatility model can be used in practice to test a simple volatility targeting strategy. Our findings suggest that stochastic volatility and jumps are both required to characterise equity returns in South Africa. Furthermore, volatility targeting is an effective strategy that allows investors to manage the downside risk of a portfolio.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"53 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79682684","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Fraudulent activity within a financial ecosystem often involves the coordinated efforts of several bad actors. Expressing the interactions between participants in a system as a mathematical graph allows researchers to apply social network analysis to understand the nature of these relationships better. This article proposes and extends a unified approach using an autoencoder to detect anomalies in a transactional setting. The methodology begins with a neural architecture search to determine a best autoencoder model architecture configuration. This is followed by a threshold optimisation process to find a reconstruction error that best discriminates between normal and anomalous classes. Gaussian scaling is applied to the raw anomaly scores in order to represent the output in an interpretable and universally transferable form. The unified approach is extended by selecting and including network metrics as features, for the purposes of producing a model that can detect anomalies from both standard transactional data and network data representing the relationships between users within a financial system. Applying SHAP on the model output highlighted the strongest contributing or offsetting network metric features for all anomalies detected. The PageRank and degree centrality network metrics were most significant in detecting anomalous instances within the data. Including network metrics in the feature space generated encouraging model performance results, leading to a potential low operational cost of fraud.
{"title":"Anomaly detection using autoencoders with network analysis features","authors":"Richard Ball, L. Drevin","doi":"10.5784/39-1-711","DOIUrl":"https://doi.org/10.5784/39-1-711","url":null,"abstract":"Fraudulent activity within a financial ecosystem often involves the coordinated efforts of several bad actors. Expressing the interactions between participants in a system as a mathematical graph allows researchers to apply social network analysis to understand the nature of these relationships better. This article proposes and extends a unified approach using an autoencoder to detect anomalies in a transactional setting. The methodology begins with a neural architecture search to determine a best autoencoder model architecture configuration. This is followed by a threshold optimisation process to find a reconstruction error that best discriminates between normal and anomalous classes. Gaussian scaling is applied to the raw anomaly scores in order to represent the output in an interpretable and universally transferable form. The unified approach is extended by selecting and including network metrics as features, for the purposes of producing a model that can detect anomalies from both standard transactional data and network data representing the relationships between users within a financial system. Applying SHAP on the model output highlighted the strongest contributing or offsetting network metric features for all anomalies detected. The PageRank and degree centrality network metrics were most significant in detecting anomalous instances within the data. Including network metrics in the feature space generated encouraging model performance results, leading to a potential low operational cost of fraud.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"41 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73733606","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The authors are commended for highlighting a South African university system problem that has grown steadily over recent years. Much has been written about the dearth of academic statistical expertise in South Africa. In her Presidential address at the 2010 South African Statistical Association conference (see [1]), Ms Yoko Chhana, highlighted two reasons why statistical capacity building was severely restricted in South Africa. Retaining statisticians in academia was highlighted as a key concern, a point which lends support to the crux of this paper. The shortage of experienced staff to mentor and train the next generation of academic statisticians is a result of poor retention policies which therefore impacts on the development of early career supervision skills.
{"title":"Comments: Development of an early career academic supervisor in Statistics - a discussion on a guiding rubric","authors":"G. Sharp","doi":"10.5784/38-1-736","DOIUrl":"https://doi.org/10.5784/38-1-736","url":null,"abstract":"The authors are commended for highlighting a South African university system problem that has grown steadily over recent years. Much has been written about the dearth of academic statistical expertise in South Africa. In her Presidential address at the 2010 South African Statistical Association conference (see [1]), Ms Yoko Chhana, highlighted two reasons why statistical capacity building was severely restricted in South Africa. Retaining statisticians in academia was highlighted as a key concern, a point which lends support to the crux of this paper. The shortage of experienced staff to mentor and train the next generation of academic statisticians is a result of poor retention policies which therefore impacts on the development of early career supervision skills.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"28 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78192918","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This discussant paper provides commentary on the “Development of an early career academic supervisor in Statistics - A discussion on a guiding rubric”. Later in this discussant paper, we refer to the original work as the “discussion paper”. Our perspective is that of academic actuaries involved in undergraduate and postgraduate professional training programmes. We commend the authors on a well researched and carefully argued paper, and fully support the renewed attention that has been drawn to the crisis in statistics in South Africa. Actuarial and financial risk management programmes rely heavily on strong teaching capabilities in mathematical statistics. The local crisis in statistics could therefore also be regarded as a crisis for actuarial science and other professional statistics-based programmes, such as the qualifications offered by the Centre for Business Mathematics and Informatics (BMI) at the North-West University (NWU).
{"title":"Comments: Development of an early career academic supervisor in Statistics - a discussion on a guiding rubric","authors":"Janette Larney","doi":"10.5784/38-1-732","DOIUrl":"https://doi.org/10.5784/38-1-732","url":null,"abstract":"This discussant paper provides commentary on the “Development of an early career academic supervisor in Statistics - A discussion on a guiding rubric”. Later in this discussant paper, we refer to the original work as the “discussion paper”. Our perspective is that of academic actuaries involved in undergraduate and postgraduate professional training programmes. We commend the authors on a well researched and carefully argued paper, and fully support the renewed attention that has been drawn to the crisis in statistics in South Africa. Actuarial and financial risk management programmes rely heavily on strong teaching capabilities in mathematical statistics. The local crisis in statistics could therefore also be regarded as a crisis for actuarial science and other professional statistics-based programmes, such as the qualifications offered by the Centre for Business Mathematics and Informatics (BMI) at the North-West University (NWU).","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"226 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73636373","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
I thank the editor for inviting me to comment on this fascinating paper. The authors must be commended for their detailed and engaging article on the well-known crisis in academic Statistics. What differentiates their discussion are its aspects regarding the challenges many early-career academics face and the consequences for research and postgraduate supervision capacity in South Africa. Next, I will summarise and elaborate on what I believe are the most pertinent aspects.
{"title":"Comments: Development of an early career academic supervisor in Statistics - a discussion on a guiding rubric","authors":"Jacques van Appel","doi":"10.5784/38-1-737","DOIUrl":"https://doi.org/10.5784/38-1-737","url":null,"abstract":"I thank the editor for inviting me to comment on this fascinating paper. The authors must be commended for their detailed and engaging article on the well-known crisis in academic Statistics. What differentiates their discussion are its aspects regarding the challenges many early-career academics face and the consequences for research and postgraduate supervision capacity in South Africa. Next, I will summarise and elaborate on what I believe are the most pertinent aspects.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"16 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"91291628","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We thank the authors for the well thought out and interesting paper; one can clearly see that a great deal of research, diligence, and time went into this atypically non-mathematical exploration of the world of post-graduate supervision in the Mathematical Sciences. The authors mention that funding is a challenge, especially for young academics. In this respect, we would like to point out that the university capacity development programme (UCDP) has gone to great lengths to provide funding for graduate academics that are busy with their PhDs (or within 5 years after completing their PhDs). Their funding extends to conference attendance, staff time buy-out, and research visits, to name but a few funding opportunities that they provide.
{"title":"Comments: Development of an early career academic supervisor in Statistics - a discussion on a guiding rubric","authors":"James Allison","doi":"10.5784/38-1-718","DOIUrl":"https://doi.org/10.5784/38-1-718","url":null,"abstract":"We thank the authors for the well thought out and interesting paper; one can clearly see that a great deal of research, diligence, and time went into this atypically non-mathematical exploration of the world of post-graduate supervision in the Mathematical Sciences. The authors mention that funding is a challenge, especially for young academics. In this respect, we would like to point out that the university capacity development programme (UCDP) has gone to great lengths to provide funding for graduate academics that are busy with their PhDs (or within 5 years after completing their PhDs). Their funding extends to conference attendance, staff time buy-out, and research visits, to name but a few funding opportunities that they provide.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"275 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76754849","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This discussion paper delves into the current state of academic Statistics in South Africa, specifically the development of an early career academic supervisor in Statistics. The discussions held by the authors on this topic since 2020 have resulted in clear need for action by early career academics in Statistics. This discussion paper motivates a solution involving a guiding rubric for the doctoral thesis coupled with an active early career supervisor network across South Africa.
{"title":"Development of an early career academic supervisor in Statistics - a discussion on a guiding rubric","authors":"I. Fabris-Rotelli","doi":"10.5784/38-1-738","DOIUrl":"https://doi.org/10.5784/38-1-738","url":null,"abstract":"This discussion paper delves into the current state of academic Statistics in South Africa, specifically the development of an early career academic supervisor in Statistics. The discussions held by the authors on this topic since 2020 have resulted in clear need for action by early career academics in Statistics. This discussion paper motivates a solution involving a guiding rubric for the doctoral thesis coupled with an active early career supervisor network across South Africa.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"275 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75420548","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We would like to congratulate the authors on an insightful and interesting paper, addressing a contemporary topic for the continued existence of Statistics as an independent discipline in South Africa. In this commentary we express our support of the need of a guiding rubric, with some important additional views. We specifically and briefly focus on the identity crisis of Statistics, the need for mentoring networks of academics, funding of PhD students and concluding with some thoughts on guiding rubrics.
{"title":"Comments: Development of an early career academic supervisor in Statistics - a discussion on a guiding rubric","authors":"S. Millard","doi":"10.5784/38-1-733","DOIUrl":"https://doi.org/10.5784/38-1-733","url":null,"abstract":"We would like to congratulate the authors on an insightful and interesting paper, addressing a contemporary topic for the continued existence of Statistics as an independent discipline in South Africa. In this commentary we express our support of the need of a guiding rubric, with some important additional views. We specifically and briefly focus on the identity crisis of Statistics, the need for mentoring networks of academics, funding of PhD students and concluding with some thoughts on guiding rubrics.","PeriodicalId":30587,"journal":{"name":"ORiON","volume":"22 1","pages":""},"PeriodicalIF":0.0,"publicationDate":"2022-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83484849","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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