A Kalman filter-based hybridization model of statistical and intelligent approaches for exchange rate forecasting

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Mehdi Khashei ◽  
Bahareh Mahdavi Sharif
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Exchange Rate ◽  
Kalman Filter ◽  
Arima Model ◽  
Exchange Rate Forecasting ◽  
Forecasting Accuracy ◽  
Content Type ◽  
Proposed Model ◽  
Linear And Nonlinear

Purpose The purpose of this paper is to propose a comprehensive version of a hybrid autoregressive integrated moving average (ARIMA), and artificial neural networks (ANNs) in order to yield a more general and more accurate hybrid model for exchange rates forecasting. For this purpose, the Kalman filter technique is used in the proposed model to preprocess and detect the trend of raw data. It is basically done to reduce the existing noise in the underlying data and better modeling, respectively. Design/methodology/approach In this paper, ARIMA models are applied to construct a new hybrid model to overcome the above-mentioned limitations of ANNs and to yield a more general and more accurate model than traditional hybrid ARIMA and ANNs models. In our proposed model, a time series is considered as a function of a linear and nonlinear component, so, in the first phase, an ARIMA model is first used to identify and magnify the existing linear structures in data. In the second phase, a multilayer perceptron is used as a nonlinear neural network to model the preprocessed data, in which the existing linear structures are identified and magnified by ARIMA and to predict the future value of time series. Findings In this paper, a new Kalman filter based hybrid artificial neural network and ARIMA model are proposed as an alternate forecasting technique to the traditional hybrid ARIMA/ANNs models. In the proposed model, similar to the traditional hybrid ARIMA/ANNs models, the unique strengths of ARIMA and ANN in linear and nonlinear modeling are jointly used, aiming to capture different forms of relationship in the data; especially, in complex problems that have both linear and nonlinear correlation structures. However, there are no aforementioned assumptions in the modeling process of the proposed model. Therefore, in the proposed model, in contrast to the traditional hybrid ARIMA/ANNs, it can be generally guaranteed that the performance of the proposed model will not be worse than either of their components used separately. In addition, empirical results in both weekly and daily exchange rate forecasting indicate that the proposed model can be an effective way to improve forecasting accuracy achieved by traditional hybrid ARIMA/ANNs models. Originality/value In the proposed model, in contrast to the traditional hybrid ARIMA/ANNs, it can be guaranteed that the performance of the proposed model will not be worse than either of the components used separately. In addition, empirical results in exchange rate forecasting indicate that the proposed model can be an effective way to improve forecasting accuracy achieved by traditional hybrid ARIMA/ANNs models. Therefore, it can be used as an appropriate alternate model for forecasting in exchange ratemarkets, especially when higher forecasting accuracy is needed.

Multiscale convolutional neural network and decision fusion for rolling bearing fault diagnosis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Defeng Lv ◽  
Huawei Wang ◽  
Changchang Che
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Fault Diagnosis ◽  
Convolutional Neural Network ◽  
Rolling Bearing ◽  
Decision Fusion ◽  
Fusion Model ◽  
Vibration Signals ◽  
Content Type ◽  
Proposed Model

Purpose The purpose of this study is to achieve an accurate intelligent fault diagnosis of rolling bearing. Design/methodology/approach To extract deep features of the original vibration signal and improve the generalization ability and robustness of the fault diagnosis model, this paper proposes a fault diagnosis method of rolling bearing based on multiscale convolutional neural network (MCNN) and decision fusion. The original vibration signals are normalized and matrixed to form grayscale image samples. In addition, multiscale samples can be achieved by convoluting these samples with different convolution kernels. Subsequently, MCNN is constructed for fault diagnosis. The results of MCNN are put into a data fusion model to obtain comprehensive fault diagnosis results. Findings The bearing data sets with multiple multivariate time series are used to testify the effectiveness of the proposed method. The proposed model can achieve 99.8% accuracy of fault diagnosis. Based on MCNN and decision fusion, the accuracy can be improved by 0.7%–3.4% compared with other models. Originality/value The proposed model can extract deep general features of vibration signals by MCNN and obtained robust fault diagnosis results based on the decision fusion model. For a long time series of vibration signals with noise, the proposed model can still achieve accurate fault diagnosis.

A parallel-series hybridization of seasonal intelligent based statistical model for demand forecasting

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Maryam Bahrami ◽  
Mehdi Khashei ◽  
Atefeh Amindoust
Keyword(s):  
Time Series ◽  
Hybrid Model ◽  
Time Series Forecasting ◽  
Series Data ◽  
Forecasting Accuracy ◽  
Content Type ◽  
Seasonal Time Series ◽  
Proposed Model ◽  
First Time ◽  
Parallel Series

Purpose The purpose of this paper, because of the complexity of demand time series and the need to construct a more accurate hybrid model that can model all relationships in data, is to propose a parallel-series hybridization of seasonal neural networks and statistical models for demand time series forecasting. Design/methodology/approach The main idea of proposed model is centered around combining parallel and series hybrid methodologies to use the benefit of unique advantages of both hybrid strategies as well as intelligent and classic seasonal time series models simultaneously for achieving results that are more accurate for the first time. In the proposed model, in contrast of traditional parallel and series hybrid strategies, it can be generally shown that the performance of the proposed model will not be worse than components. Findings Empirical results of forecasting two well-known seasonal time series data sets, including the total production value of the Taiwan machinery industry and the sales volume of soft drinks, indicate that the proposed model can effectively improve the forecasting accuracy achieved by either of their components used in isolation. In addition, the proposed model can achieve more accurate results than parallel and series hybrid model with same components. Therefore, the proposed model can be used as an appropriate alternative model for seasonal time series forecasting, especially when higher forecasting accuracy is needed. Originality/value To the best of the authors’ knowledge, the proposed model, for first time and in contrast of traditional parallel and series hybrid strategies, is developed.

Sensitivity Analysis Applied to Artificial Neural Networks for Forecasting Time Series

Methodology ◽  
2008 ◽  
Vol 4 (2) ◽  
pp. 80-86 ◽  
Author(s):  
A. Palmer ◽  
J.J. Montaño ◽  
F.J. Franconetti
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Sensitivity Analysis ◽  
Network Model ◽  
Arima Model ◽  
Balearic Islands ◽  
Forecasting Accuracy ◽  
Traditional Procedure ◽  
The Neural Network ◽  
In Transit

This paper presents a novel procedure known as sensitivity analysis applied to a multilayer perceptron (MLP), which allows the most relevant lagged terms in time series forecasting to be identified. Second, this paper conducts a comparison of forecasting accuracy between the neural network model resulting from applying the sensitivity analysis to the network model derived from the traditional procedure and the classic ARIMA model – using the time series corresponding to the number of passengers in transit through the Balearic Islands. Our findings demonstrate that a neural network derived from sensitivity analysis provides the greatest forecasting accuracy.

scholarly journals Hybrid Model for Time Series of Complex Structure with ARIMA Components

Mathematics ◽  
2021 ◽  
Vol 9 (10) ◽  
pp. 1122
Author(s):  
Oksana Mandrikova ◽  
Nadezhda Fetisova ◽  
Yuriy Polozov
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Hybrid Model ◽  
Complex Structure ◽  
Arima Model ◽  
Ionospheric Parameter ◽  
Arima Models ◽  
Complicated Structure ◽  
Threshold Functions ◽  
Anomalous Component

A hybrid model for the time series of complex structure (HMTS) was proposed. It is based on the combination of function expansions in a wavelet series with ARIMA models. HMTS has regular and anomalous components. The time series components, obtained after expansion, have a simpler structure that makes it possible to identify the ARIMA model if the components are stationary. This allows us to obtain a more accurate ARIMA model for a time series of complicated structure and to extend the area for application. To identify the HMTS anomalous component, threshold functions are applied. This paper describes a technique to identify HMTS and proposes operations to detect anomalies. With the example of an ionospheric parameter time series, we show the HMTS efficiency, describe the results and their application in detecting ionospheric anomalies. The HMTS was compared with the nonlinear autoregression neural network NARX, which confirmed HMTS efficiency.

Towards optimal ATM cash replenishment using time series analysis

2021 ◽  
pp. 1-13
Author(s):  
Muhammad Rafi ◽  
Mohammad Taha Wahab ◽  
Muhammad Bilal Khan ◽  
Hani Raza
Keyword(s):  
Time Series ◽  
Moving Average ◽  
Arima Model ◽  
Mean Absolute Percentage Error ◽  
Percentage Error ◽  
Absolute Percentage Error ◽  
Automatic Teller Machine ◽  
Proposed Model ◽  
Auto Regressive ◽  
Specific Amount

Automatic Teller Machine (ATM) are still largely used to dispense cash to the customers. ATM cash replenishment is a process of refilling ATM machine with a specific amount of cash. Due to vacillating users demands and seasonal patterns, it is a very challenging problem for the financial institutions to keep the optimal amount of cash for each ATM. In this paper, we present a time series model based on Auto Regressive Integrated Moving Average (ARIMA) technique called Time Series ARIMA Model for ATM (TASM4ATM). This study used ATM back-end refilling historical data from 6 different financial organizations in Pakistan. There are 2040 distinct ATMs and 18 month of replenishment data from these ATMs are used to train the proposed model. The model is compared with the state-of- the-art models like Recurrent Neural Network (RNN) and Amazon’s DeepAR model. Two approaches are used for forecasting (i) Single ATM and (ii) clusters of ATMs (In which ATMs are clustered with similar cash-demands). The Mean Absolute Percentage Error (MAPE) and Symmetric Mean Absolute Percentage Error (SMAPE) are used to evaluate the models. The suggested model produces far better forecasting as compared to the models in comparison and produced an average of 7.86/7.99 values for MAPE/SMAPE errors on individual ATMs and average of 6.57/6.64 values for MAPE/SMAPE errors on clusters of ATMs.

Linear and nonlinear relationships: a hybrid SEM-neural network approach to verify the links of online experience with luxury hotel branding

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Menglong Xia ◽  
Yang Zhang
Keyword(s):  
Neural Network ◽  
Brand Image ◽  
Mobile Apps ◽  
Image Formation ◽  
Perceived Usefulness ◽  
Equation Modeling ◽  
Content Type ◽  
Nonlinear Relationships ◽  
Linear And Nonlinear ◽  
Online Experience

PurposeMobile technologies have recently come to serve as the primary reservation option for the hospitality industry. This study examines the role of online experience in determining potential consumers' perceived hotel brand image, through a three-stage model based on the stimulus–organism–response (SOR) framework.Design/methodology/approachA dual-stage analytical procedure, including structural equation modeling (SEM) and an artificial neural network (ANN) approach, was adopted to test the hypotheses.FindingsOnline experience of mobile applications (apps) can be influenced by perceived usefulness. As the indivisible component of consumers' cognitive beliefs, perceived ease of use exerts a positive impact on online experience. The online experience of mobile apps positively influenced brand awareness and satisfaction, further contributing to potential consumers' brand image formation.Research limitations/implicationsThis study empirically verified the relationships among potential hotel consumers' perceptions of official hotel mobile app quality, online experience and brand image.Practical implicationsThis study reiterates the importance of official hotel apps in implementing online marketing strategies, suggesting that hoteliers should pay attention to enhancing the quality of their official apps.Originality/valueThis study is one of the first to combine machine learning techniques with the traditional SEM approach to assess linear and nonlinear relationships in consumers' perceptual models. Additionally, the findings provide theoretical insights into the online experience of mobile apps and reveal the perceived brand image formation process of potential consumers.

scholarly journals Research on GDP Forecast Analysis Combining BP Neural Network and ARIMA Model

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Shaobo Lu
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Prediction Model ◽  
Error Correction ◽  
Relative Error ◽  
Bp Neural Network ◽  
Arima Model ◽  
Forecast Model ◽  
Price Prediction ◽  
The Neural Network

Based on the BP neural network and the ARIMA model, this paper predicts the nonlinear residual of GDP and adds the predicted values of the two models to obtain the final predicted value of the model. First, the focus is on the ARMA model in the univariate time series. However, in real life, forecasts are often affected by many factors, so the following introduces the ARIMAX model in the multivariate time series. In the prediction process, the network structure and various parameters of the neural network are not given in a systematic way, so the operation of the neural network is affected by many factors. Each forecasting method has its scope of application and also has its own weaknesses caused by the characteristics of its own model. Secondly, this paper proposes an effective combination method according to the GDP characteristics and builds an improved algorithm BP neural network price prediction model, the research on the combination of GDP prediction model is currently mostly focused on the weighted form, and this article proposes another combination, namely, error correction. According to the price characteristics, we determine the appropriate number of hidden layer nodes and build a BP neural network price prediction model based on the improved algorithm. Validation of examples shows that the error-corrected GDP forecast model is also better than the weighted GDP forecast model, which shows that error correction is also a better combination of forecasting methods. The forecast results of BP neural network have lower errors and monthly prices. The relative error of prediction is about 2.5%. Through comparison with the prediction results of the ARIMA model, in the daily price prediction, the relative error of the BP neural network prediction is 1.5%, which is lower than the relative error of the ARIMA model of 2%.

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