scholarly journals Forecasting RMB Exchange Rate Based on a Nonlinear Combination Model of ARFIMA, SVM, and BPNN

2015 ◽  
Vol 2015 ◽  
pp. 1-10 ◽  
Author(s):  
Chi Xie ◽  
Zhou Mao ◽  
Gang-Jin Wang
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Financial Time Series ◽  
Moving Average ◽  
Back Propagation ◽  
Back Propagation Neural Network ◽  
Support Vector ◽  
Rmb Exchange Rate ◽  
Combination Model ◽  
Arfima Model

There are various models to predict financial time series like the RMB exchange rate. In this paper, considering the complex characteristics of RMB exchange rate, we build a nonlinear combination model of the autoregressive fractionally integrated moving average (ARFIMA) model, the support vector machine (SVM) model, and the back-propagation neural network (BPNN) model to forecast the RMB exchange rate. The basic idea of the nonlinear combination model (NCM) is to make the prediction more effective by combining different models’ advantages, and the weight of the combination model is determined by a nonlinear weighted mechanism. The RMB exchange rate against US dollar (RMB/USD) and the RMB exchange rate against Euro (RMB/EUR) are used as the empirical examples to evaluate the performance of NCM. The results show that the prediction performance of the nonlinear combination model is better than the single models and the linear combination models, and the nonlinear combination model is suitable for the prediction of the special time series, such as the RMB exchange rate.

A hybrid approach for short-term traffic flow forecasting based on similarity identification

2021 ◽  
pp. 2150212
Author(s):  
Wenjun Li ◽  
Si Chen ◽  
Xiaoquan Wang ◽  
Chaoying Yin ◽  
Zhaoguo Huang
Keyword(s):  
Traffic Flow ◽  
Intelligent Transportation System ◽  
Moving Average ◽  
Hybrid Approach ◽  
Back Propagation ◽  
Back Propagation Neural Network ◽  
Support Vector ◽  
Short Term ◽  
Traffic Flow Forecasting ◽  
Gray Relation Analysis

Short-term traffic flow forecasting is a key component of intelligent transportation system, yet difficult to be forecasted reliably, and accurately. A novel hybrid forecasting model is proposed by combining three predictors, namely, the autoregressive integrated moving average (ARIMA), back propagation neural network (BPNN) and support vector regression (SVR). First, it is assumed that all previous intervals can have influence on the predicted interval and then the entropy-based gray relation analysis method is applied to analyze the correlation and determine the length of time constrain window. Second, an improved Euclidean distance is employed to identify the similarity. Furthermore, the rank-exponent method is utilized to rank the results according to the similarity and fuse the predicted values of the predictors. Finally, a numerical experiment is implemented, which indicates that the performance of forecasting results is superior to the conventional ones.

Volatility Behaviors of Financial Time Series by Percolation System on Sierpinski Carpet Lattice

2015 ◽  
Vol 14 (02) ◽  
pp. 1550015 ◽  
Author(s):  
Anqi Pei ◽  
Jun Wang
Keyword(s):  
Time Series ◽  
Financial Time Series ◽  
Moving Average ◽  
Composite Index ◽  
Stock Index ◽  
Sierpinski Carpet ◽  
Financial Model ◽  
Financial Time ◽  
Arfima Model ◽  
Sierpiński Carpet

The financial time series is simulated and investigated by the percolation system on the Sierpinski carpet lattice, where percolation is usually employed to describe the behavior of connected clusters in a random graph, and the Sierpinski carpet lattice is a graph which corresponds the fractal — Sierpinski carpet. To study the fluctuation behavior of returns for the financial model and the Shanghai Composite Index, we establish a daily volatility measure — multifractal volatility (MFV) measure to obtain MFV series, which have long-range cross-correlations with squared daily return series. The autoregressive fractionally integrated moving average (ARFIMA) model is used to analyze the MFV series, which performs better when compared to other volatility series. By a comparative study of the multifractality and volatility analysis of the data, the simulation data of the proposed model exhibits very similar behaviors to those of the real stock index, which indicates somewhat rationality of the model to the market application.

scholarly journals Forecasting of Short-Term Metro Ridership with Support Vector Machine Online Model

2018 ◽  
Vol 2018 ◽  
pp. 1-13 ◽  
Author(s):  
Xuemei Wang ◽  
Ning Zhang ◽  
Yunlong Zhang ◽  
Zhuangbin Shi
Keyword(s):  
Support Vector Machine ◽  
Prediction Models ◽  
Moving Average ◽  
Back Propagation ◽  
Back Propagation Neural Network ◽  
Support Vector ◽  
Time Interval ◽  
Short Term ◽  
Nonlinear Characteristics ◽  
Predicted Values

Forecasting for short-term ridership is the foundation of metro operation and management. A prediction model is necessary to seize the weekly periodicity and nonlinearity characteristics of short-term ridership in real-time. First, this research captures the inherent periodicity of ridership via seasonal autoregressive integrated moving average model (SARIMA) and proposes a support vector machine overall online model (SVMOOL) which insets the weekly periodic characteristics and trains the updated data day by day. Then, this research captures the nonlinear characteristics of the ridership via successive ridership value inputs and proposes a support vector machine partial online model (SVMPOL) which insets the nonlinear characteristics and trains the updated data of the predicted day by time interval (such as 5-min). Afterwards, to avoid the drawbacks and to take advantages of the strengths of the two individual online models, this research takes the average predicted values of two models as the final predicted values, which are called support vector machine combined online model (SVMCOL). Finally, this research uses the 5-min ridership at Zhujianglu and Sanshanjie Stations of Nanjing Metro to compare the SVMCOL model with three well-known prediction models including SARIMA, back-propagation neural network (BPNN), and SVM models. The resultant performance comparisons suggest that SARIMA is superior for the stable weekday ridership to other models. Yet the SVMCOL model is the best performer for the unstable weekend ridership and holiday ridership. It shows that for metro operation manager that gear toward timely response to real-world unstable and abnormal situations, the SVMCOL may be a better tool than the three well-known models.

scholarly journals Comparison of GARCH & ARMA Models to Forecasting Exchange Rate

2021 ◽  
Vol 8 (6) ◽  
pp. 979-983
Author(s):  
Meshal Harbi Odah
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Time Series Analysis ◽  
Financial Time Series ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Arma Models ◽  
Series Analysis ◽  
Homogeneity Of Variance ◽  
The Garch Model

Financial time series are defined by their fluctuations, which are characterized by instability or uncertainty, implying that there are periods of volatility followed by periods of relative calm. Therefore, time series analysis requires homogeneity of variance. In this paper, some models used in time series analysis have been studied and applied. Comparison between Autoregressive Moving Average (ARMA) and Generalized Autoregressive Conditionally Heteroscedastic (GARCH) models to identify the efficient model through (MAE, MASE) measures to determine the best forecasting model is studied. The findings show that the models of Generalised Autoregressive Conditional Heteroscedastic are more efficient in forecasting time series of financial. In addition, the GARCH model (1,1) is the best to forecasting exchange rate.

scholarly journals Identification of Pilots’ Fatigue Status Based on Electrocardiogram Signals

Sensors ◽  
2021 ◽  
Vol 21 (9) ◽  
pp. 3003
Author(s):  
Ting Pan ◽  
Haibo Wang ◽  
Haiqing Si ◽  
Yao Li ◽  
Lei Shang
Keyword(s):  
Back Propagation ◽  
Principal Component ◽  
Back Propagation Neural Network ◽  
Practical Significance ◽  
Support Vector ◽  
State Identification ◽  
Feature Parameter ◽  
The Time Domain ◽  
Pilot Fatigue ◽  
Identification Model

Fatigue is an important factor affecting modern flight safety. It can easily lead to a decline in pilots’ operational ability, misjudgments, and flight illusions. Moreover, it can even trigger serious flight accidents. In this paper, a wearable wireless physiological device was used to obtain pilots’ electrocardiogram (ECG) data in a simulated flight experiment, and 1440 effective samples were determined. The Friedman test was adopted to select the characteristic indexes that reflect the fatigue state of the pilot from the time domain, frequency domain, and non-linear characteristics of the effective samples. Furthermore, the variation rules of the characteristic indexes were analyzed. Principal component analysis (PCA) was utilized to extract the features of the selected feature indexes, and the feature parameter set representing the fatigue state of the pilot was established. For the study on pilots’ fatigue state identification, the feature parameter set was used as the input of the learning vector quantization (LVQ) algorithm to train the pilots’ fatigue state identification model. Results show that the recognition accuracy of the LVQ model reached 81.94%, which is 12.84% and 9.02% higher than that of traditional back propagation neural network (BPNN) and support vector machine (SVM) model, respectively. The identification model based on the LVQ established in this paper is suitable for identifying pilots’ fatigue states. This is of great practical significance to reduce flight accidents caused by pilot fatigue, thus providing a theoretical foundation for pilot fatigue risk management and the development of intelligent aircraft autopilot systems.

scholarly journals HKF-SVR Optimized by Krill Herd Algorithm for Coaxial Bearings Performance Degradation Prediction

Sensors ◽  
2020 ◽  
Vol 20 (3) ◽  
pp. 660 ◽  
Author(s):  
Fang Liu ◽  
Liubin Li ◽  
Yongbin Liu ◽  
Zheng Cao ◽  
Hui Yang ◽  
...  
Keyword(s):  
Kernel Method ◽  
Back Propagation ◽  
Vibration Signal ◽  
Back Propagation Neural Network ◽  
Industrial Applications ◽  
Performance Degradation ◽  
Support Vector ◽  
Krill Herd Algorithm ◽  
Krill Herd ◽  
Learning Machine

In real industrial applications, bearings in pairs or even more are often mounted on the same shaft. So the collected vibration signal is actually a mixed signal from multiple bearings. In this study, a method based on Hybrid Kernel Function-Support Vector Regression (HKF–SVR) whose parameters are optimized by Krill Herd (KH) algorithm was introduced for bearing performance degradation prediction in this situation. First, multi-domain statistical features are extracted from the bearing vibration signals and then fused into sensitive features using Kernel Joint Approximate Diagonalization of Eigen-matrices (KJADE) algorithm which is developed recently by our group. Due to the nonlinear mapping capability of the kernel method and the blind source separation ability of the JADE algorithm, the KJADE could extract latent source features that accurately reflecting the performance degradation from the mixed vibration signal. Then, the between-class and within-class scatters (SS) of the health-stage data sample and the current monitored data sample is calculated as the performance degradation index. Second, the parameters of the HKF–SVR are optimized by the KH (Krill Herd) algorithm to obtain the optimal performance degradation prediction model. Finally, the performance degradation trend of the bearing is predicted using the optimized HKF–SVR. Compared with the traditional methods of Back Propagation Neural Network (BPNN), Extreme Learning Machine (ELM) and traditional SVR, the results show that the proposed method has a better performance. The proposed method has a good application prospect in life prediction of coaxial bearings.

scholarly journals Thin Cap Fibroatheroma Detection in Virtual Histology Images Using Geometric and Texture Features

2018 ◽  
Vol 8 (9) ◽  
pp. 1632 ◽  
Author(s):  
Zahra Rezaei ◽  
Ali Selamat ◽  
Arash Taki ◽  
Mohd Mohd Rahim ◽  
Mohammed Abdul Kadir ◽  
...  
Keyword(s):  
Vulnerable Plaque ◽  
Plaque Rupture ◽  
Back Propagation ◽  
Texture Features ◽  
Local Binary Patterns ◽  
Relevant Information ◽  
Back Propagation Neural Network ◽  
Common Mechanism ◽  
Support Vector ◽  
Virtual Histology

Atherosclerotic plaque rupture is the most common mechanism responsible for a majority of sudden coronary deaths. The precursor lesion of plaque rupture is thought to be a thin cap fibroatheroma (TCFA), or “vulnerable plaque”. Virtual Histology-Intravascular Ultrasound (VH-IVUS) images are clinically available for visualising colour-coded coronary artery tissue. However, it has limitations in terms of providing clinically relevant information for identifying vulnerable plaque. The aim of this research is to improve the identification of TCFA using VH-IVUS images. To more accurately segment VH-IVUS images, a semi-supervised model is developed by means of hybrid K-means with Particle Swarm Optimisation (PSO) and a minimum Euclidean distance algorithm (KMPSO-mED). Another novelty of the proposed method is fusion of different geometric and informative texture features to capture the varying heterogeneity of plaque components and compute a discriminative index for TCFA plaque, while the existing research on TCFA detection has only focused on the geometric features. Three commonly used statistical texture features are extracted from VH-IVUS images: Local Binary Patterns (LBP), Grey Level Co-occurrence Matrix (GLCM), and Modified Run Length (MRL). Geometric and texture features are concatenated in order to generate complex descriptors. Finally, Back Propagation Neural Network (BPNN), kNN (K-Nearest Neighbour), and Support Vector Machine (SVM) classifiers are applied to select the best classifier for classifying plaque into TCFA and Non-TCFA. The present study proposes a fast and accurate computer-aided method for plaque type classification. The proposed method is applied to 588 VH-IVUS images obtained from 10 patients. The results prove the superiority of the proposed method, with accuracy rates of 98.61% for TCFA plaque.

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