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From Finance to ITS - Traffic Data Fusion based on Markowitz' Portfolio Theory

Neumann, Thorsten and Ebendt, Rüdiger and Kuhns, Günter (2015) From Finance to ITS - Traffic Data Fusion based on Markowitz' Portfolio Theory. Journal of Advanced Transportation, 50 (2), pp. 145-164. Wiley. doi: 10.1002/atr.1351. ISSN 0197-6729.

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Traffic data fusion has much to do with combining available or considered data sources in the best possible way. In this, it is very similar to optimizing a portfolio of financial assets in regard of return and risk. This article draws the analogy between these two mostly different scientific worlds, i.e. finance and engineering. Similarities and differences in context of weighted-mean data fusion based on numerical traffic flow measurements such as travel times or speeds are discussed. This, in particular, includes guessing the potential benefit of negative weights. Optimal weights are derived following a strict mathematical theory based on assumptions (parameters) about systematic bias and correlations of the considered data sources. Moreover, a specific way of reducing the systematic bias of the fusion results is proposed and compared to common methods. The whole approach is demonstrated based on position data from two independent vehicle fleets in Athens, Greece. In this context, the problem of parameter calibration is solved by applying an advanced tool for such floating car data systems, called "self-evaluation". The experiments show that the proposed methods reliably reduce the systematic bias and variance of the fusion results with regard to the original data as well as in comparison to the naive fusion approach that uses equal weights for all data sources.

Item URL in elib:https://elib.dlr.de/92865/
Document Type:Article
Title:From Finance to ITS - Traffic Data Fusion based on Markowitz' Portfolio Theory
AuthorsInstitution or Email of AuthorsAuthor's ORCID iDORCID Put Code
Neumann, ThorstenUNSPECIFIEDhttps://orcid.org/0000-0002-9236-0585UNSPECIFIED
Date:9 November 2015
Journal or Publication Title:Journal of Advanced Transportation
Refereed publication:Yes
Open Access:Yes
Gold Open Access:No
In ISI Web of Science:Yes
Page Range:pp. 145-164
Keywords:Data fusion, linear model, weighted mean, travel time, variance, systematic bias
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Transport
HGF - Program Themes:Traffic Management (old)
DLR - Research area:Transport
DLR - Program:V VM - Verkehrsmanagement
DLR - Research theme (Project):V - I.MoVe (old), V - MM2M - Mobilitätsmanagement für Morgen (old)
Location: Berlin-Adlershof
Institutes and Institutions:Institute of Transportation Systems > Qualität im Verkehr
Deposited By: Neumann, Dr.-Ing. Thorsten
Deposited On:02 Dec 2015 12:00
Last Modified:03 Nov 2023 08:11

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