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George Kapetanios's research on macroeconomic modelling and forecasting has influenced both the operational practices of the Bank of England and its conduct of UK monetary policy. His work has:
The School of Mathematics at Cardiff University has developed important statistical and mathematical models for forecasting consumer buying behaviour. Enhancements to classical models, inspired by extensively studying their statistical properties, have allowed us to exploit their vast potential to benefit the sales and marketing strategies of manufacturing and retail organisations. The research has been endorsed and applied by Nielsen, the #1 global market research organisation that provides services to clients in 100 countries. Nielsen has utilised the models to augment profits and retain their globally leading corporate position. This has led to a US$30 million investment and been used to benefit major consumer goods manufacturers such as Pepsi, Kraft, Unilever, Nestlé and Procter & Gamble. Therefore the impact claimed is financial. Moreover, impact is also measurable in terms of public engagement since the work has been disseminated at a wide range of national and international corporate events and conferences. Beneficiaries include Tesco, Sainsbury's, GlaxoSmithKline and Mindshare WW.
Now-casting is the prediction of the present, the very near future, and the very recent past. It has been developed within a research programme led by Lucrezia Reichlin at LBS. It is relevant because key economic statistics, particularly quarterly measures such as GDP, are available only with a delay. Now-casting exploits information which is published early and at higher frequencies than the target variable and generates early estimates before the offb01cial fb01gures become available.
Now-casting has signifb01cant infb02uence and impact. The techniques reported in this case study are in widespread use by central banks and policy institutions. Furthermore, this research has achieved successful commercial impact via Now-Casting Economics Limited.
Ocean circulation accounts for much of the energy that drives weather and climate systems; errors in the representation of the ocean circulation in computational models affect the validity of forecasts of the dynamics of the ocean and atmosphere on daily, seasonal and decadal time scales. Research undertaken by the University of Reading investigated systematic model errors that resulted from data assimilation schemes embedded in the key processes used to predict ocean circulation. The researchers developed a new bias correction technique for use in ocean data assimilation that alleviates these errors. This has led to significant improvements in the accuracy of the forecasts of ocean dynamics. The technique has been implemented by the Met Office and by the European Centre for Medium Range Weather Forecasting (ECMWF) in their forecasting systems, resulting in major improvements to the prediction of the weather and climate from oceanic and atmospheric models. The assimilation technique is also leading to better use of expensively acquired satellite and in-situ data and improving ocean and atmosphere forecasts used by shipping and civil aviation, energy providers, insurance companies, the agriculture and fishing communities, food suppliers and the general public. The impact of the correction procedure is also important for anticipating and mitigating hazardous weather conditions and the effects of long-term climate change.
Research by Professor Leonard Smith and the LSE Centre for the Analysis of Time Series (CATS) on forecasting in non-linear and often chaotic systems, with particular attention to weather, has led to advances in three areas: 1) national and international weather industry products and services that are built upon state-of-the-art research and knowledge, 2) dissemination of state-of-the-art practice in forecast production and verification to national, regional and local weather centres around the world, and 3) the introduction of, and new applications in, state-of-the-art forecasting methods in industries facing high uncertainty and risk, e.g. insurance and energy.
This impact case is based on economic impact through improved forecasting technology. It shows how research in pattern recognition by Professor Henry Wu at the School of Electrical Engineering and Computer Science led to significantly improved accuracy of daily national gas demand forecasting by National Grid plc. The underpinning research on predicting non-linear time series began around 2002 and the resulting new prediction methodology is applied on a daily basis by National Grid plc since December 2011. The main beneficiaries from the improved accuracy (by 0.5 to 1 million cubic meters per day) are UK gas shippers, who by conservative estimates save approximately £3.5M per year. Savings made by gas shippers benefit the whole economy since they reduce the energy bills of end users.
Data assimilation is playing an ever increasing role in weather forecasting. Implementing four- dimensional variational data assimilation (4DVAR) is part of the long term strategy of the UK Met Office.
In this case study, an idealised 4DVAR scheme, developed by a team from the Universities of Surrey and Reading working with the UK Met Office, based on the integration of Hamiltonian dynamics and nonlinearity into data assimilation, has now been taken up by the Met Office. It is being used to evaluate options for improving operational 4DVAR. The simplicity of the scheme developed by this team has facilitated careful analyses of some generic problems with the operational model. The outcome includes direct impact on the environment and indirect impact on the economy, both through improvements in weather forecasting.
In response to the deficiencies in bank risk management revealed following the 2008 financial crisis, one of the mandated requirements under the Basel III regulatory framework is for banks to backtest the internal models they use to price their assets and to calculate how much capital they require should a counterparty default. Qiwei Yao worked with the Quantitative Analyst — Exposure team at Barclays Bank, which is responsible for constructing the Barclays Counterpart Credit Risk (CCR) backtesting methodology. They made use of several statistical methods from Yao's research to construct the newly developed backtesting methodology which is now in operation at Barclays Bank. This puts the CCR assessment and management at Barclays in line with the Basel III regulatory capital framework.
An innovative method enabling firms to improve the accuracy of their demand forecasting has resulted from research analysing data from 70,000 company sales forecasts. It was concluded that, although judgmental adjustments to statistical forecasts were common, they often wasted management time, reduced accuracy and introduced bias. University of Bath led research, which determined how computer-based systems could support more effective forecasting adjustments, has informed the design of a new commercial product, ForecastQT™. This product is now being marketed globally. Early applications of the product suggest estimated savings of 2% of total revenue for one multinational company and $200m for another. The research has also influenced the development of software and services for clients at SAS, the world's largest privately owned software company.
The Northern Doctors Urgent Care Group, a not-for-profit organisation that delivers out-of-hours urgent medical services for the NHS, achieved significant efficiency savings and improvements in-patient care as a result of adopting statistical assessment and forecasting processes, developed by Durham University. These improved processes also featured in the Group's successful competitive bids for two new contracts worth £9.2M per year. In addition, the Durham methodology was adapted to assess the results of a Government programme to encourage cycling in six UK towns, producing data on cycle use that helped to influence subsequent allocations of about £700M for sustainable transport projects.