scholarly journals Financial Time Series Image Algorithm Based on Wavelet Analysis and Data Fusion

2021 ◽  
Vol 2021 ◽  
pp. 1-11
Author(s):  
Wuwei Liu ◽  
Jingdong Yan
Keyword(s):  
Time Series ◽  
Wavelet Transform ◽  
Mean Square Error ◽  
Financial Time Series ◽  
Prediction Method ◽  
Mean Square ◽  
Rbf Network ◽  
Network Prediction ◽  
The Mean ◽  
Hidden Layer

In recent years, people are more and more interested in time series modeling and its application in prediction. This paper mainly discusses a financial time series image algorithm based on wavelet analysis and data fusion. In this research, we conducted an in-depth study on the scale decomposition sequence and wavelet transform sequence in different scale domains of wavelet transform according to the scale change rule based on wavelet transform. We use wavelet neural network with different input neurons and hidden neurons to predict, respectively. Finally, the prediction results are integrated into the final prediction results based on the original time series by using wavelet reconstruction technology. Using RBF algorithm in neural network and SPSS Clementine, the wavelet transform sequences on five scales are modeled. Each network model has three layers: one input layer, one hidden layer, and one output layer, and each output layer has only one output element. In order to compare the prediction effect of the model proposed in this study, the ordinary RBF network is used to model and predict the log yield itself. When the input sample is 5, the minimum mean square error is obtained when the hidden layer is 6, and the mean square error is 1.6349. The mean square error of the training phase is 0.0209, and the validation error is 1.6141. The results show that the prediction results of the wavelet prediction method combined with the RBF network prediction method are better than those of wavelet prediction or RBF network prediction.

scholarly journals The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)

2006 ◽  
Vol 36 (02) ◽  
pp. 521-542 ◽  
Author(s):  
Markus Buchwalder ◽  
Hans Bühlmann ◽  
Michael Merz ◽  
Mario V. Wüthrich
Keyword(s):  
Time Series ◽  
Mean Square Error ◽  
Time Series Model ◽  
Mean Square ◽  
Chain Ladder Method ◽  
The Mean ◽  
Chain Ladder

We revisit the famous Mack formula [2], which gives an estimate for the mean square error of prediction MSEP of the chain ladder claims reserving method: We define a time series model for the chain ladder method. In this time series framework we give an approach for the estimation of the conditional MSEP. It turns out that our approach leads to results that differ from the Mack formula. But we also see that our derivation leads to the same formulas for the MSEP estimate as the ones given in Murphy [4]. We discuss the differences and similarities of these derivations.

Prediction of Financial Time-Series Signals Using á Trous Wavelet Transform

2015 ◽  
Vol 781 ◽  
pp. 523-526 ◽  
Author(s):  
Wassanun Sangjun ◽  
Supawat Supakwong ◽  
Suttipong Thajchayapong
Keyword(s):  
Time Series ◽  
Wavelet Transform ◽  
Polynomial Regression ◽  
Financial Time Series ◽  
Time Series Prediction ◽  
Prediction Method ◽  
Real World Data ◽  
Financial Time ◽  
The Past ◽  
Significant Performance

This paper proposes a financial time-series prediction method consisting of á Trous wavelet transform and polynomial regression. The main purpose of employing á Trous wavelet transform is to decompose financial time-series signals into different resolutions where only relevant signal components are used for prediction. Also, á Trous wavelet transform is used to avoid the edge problem where only the past and present components of the time-series signal are taken into account. The decomposed time-series signals are then fed into the polynomial regression part to obtain predicted time-series signals. Using real-world data, performance evaluation is conducted based on total benefit and profit/loss where it is shown that á Trous wavelet transform contributes to a significant performance improvement.

scholarly journals Prediksi Kedatangan Turis Asing ke Indonesia Menggunakan Backpropagation Neural Networks

2016 ◽  
Vol 4 (4) ◽  
pp. 485
Author(s):  
Haviluddin Haviluddin ◽  
Zainal Arifin ◽  
Awang Harsa Kridalaksana ◽  
Dedy Cahyadi
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Mean Square Error ◽  
Time Series Data ◽  
Alternative Methods ◽  
Series Data ◽  
Mean Square ◽  
Backpropagation Neural Network ◽  
Forecasting Accuracy ◽  
The Mean

In this paper, a backpropagation neural network (BPNN) method with time series data have been explored. The BPNN method to predict the foreign tourist’s arrival to Indonesia datasets have been implemented. The foreign tourist’s arrival datasets were taken from the center agency on statistics (BPS) Indonesia. The experimental results showed that the BPNN method with two hidden layers were able to forecast foreign tourist’s arrival to Indonesia. Where, the mean square error (MSE) as forecasting accuracy has been indicated. In this study, the BPNN method is able and recommended to be alternative methods for predicting time series datasets. Also, the BPNN method showed that effective and easy to use. In other words, BPNN method is capable to producing good value of forecasting.Keywords - BPNN; foreign tourists; BPS; MSEPemanfaatan backpropagation neural network (BPNN) dengan data deret waktu telah digunakan dalam paper ini. Metode BPNN telah digunakan untuk memprediksi data kedatangan turis asing ke Indonesia, dimana data turis tersebut diambil dari badan pusat statistik Indonesia (BPS). Hasil pengujian menunjukkan bahwa metode BPNN dengan dua lapisan tersembunyi mampu memodelkan dan meramalkan data kedatangan turis asing ke Indonesia yang diindikasikan dengan nilai mean square error (MSE). Penelitian ini merekomendasikan bahwa metode BPNN mampu menjadi alternative metode dalam memprediksi data yang berjenis deret waktu karena metode BPNN efektif dan lebih mudah digunakan serta mampu menghasilkan akurasi nilai peramalan yang baik.

scholarly journals A Comparison Study on Fuzzy Time Series and Holt-Winter Model in Forecasting Tourist Arrival in Langkawi, Kedah

2020 ◽  
Vol 5 (1) ◽  
pp. 34-43
Author(s):  
Nur Fatihah Fauzi ◽  
Nurul Shahiera Ahmadi ◽  
Nor Hayati Shafii ◽  
Huda Zuhrah Ab Halim
Keyword(s):  
Time Series ◽  
Mean Square Error ◽  
Tourism Industry ◽  
Fuzzy Time Series ◽  
Mean Square ◽  
Comparison Study ◽  
Microsoft Excel ◽  
A Value ◽  
The Mean ◽  
Major Donors

The tourism industry in Malaysia has been growing significantly over the years. Tourism has been one of the major donors to Malaysia’s economy. Based on the report from the Department of Statistics, a total of domestic visitors in Malaysia were recorded at about 221.3 million in 2018 with an increase of 7.7% alongside a higher record in visitor arrivals and tourism expenditure.  This study aims to make a comparison between two methods, which are Fuzzy Time Series and Holt-Winter in forecasting the number of tourist arrival in Langkawi based on the monthly tourist arrival data from January 2015 to December 2019. Both models were generated using Microsoft Excel in obtaining the forecast value.  The Mean Square Error (MSE) has been calculated in this study to get the best model by looking at the lowest value. The result found that Holt-Winter has the lowest value that is 713524285 compared to the Fuzzy Time Series with a value of 2625517469. Thus, the Holt-Winter model is the best method and has been used to forecast the tourist arrival for the next 2 years. The forecast value for the years 2020 and 2021 are displayed by month.

scholarly journals AUTOREGRESSION MODELS OF SPACE OBJECTS MOVEMENT REPRESENTED BY TLE ELEMENTS

2020 ◽  
Vol 2 (127) ◽  
pp. 103-116
Author(s):  
Aleksandr Sarichev ◽  
Bogdan Perviy
Keyword(s):  
Time Series ◽  
Mean Square Error ◽  
Autoregressive Model ◽  
Autoregressive Models ◽  
Mean Square ◽  
Element Determination ◽  
Training Samples ◽  
Space Objects ◽  
The Mean

The developed method, which is a modification of the previously developed methods for constructing autoregressive models, is used to simulate the motion of space objects in the time series of their TLE elements. The modeling system has been developed that includes: determining the optimal volume of training samples in modeling time series of TLE elements; determination of the autoregression order for each variable (TLE element); determination of the optimal structure and identification of the parameters of the autoregressive model for each variable; identification of patterns of evolution of the mean square error of autoregressive models in time based on the modeling of time series of TLE elements according to the principle of "moving interval".

scholarly journals A Time Series Prediction Model of Foundation Pit Deformation Based on Empirical Wavelet Transform and NARX Network

Mathematics ◽  
2020 ◽  
Vol 8 (9) ◽  
pp. 1535
Author(s):  
Qingwen Ma ◽  
Sihan Liu ◽  
Xinyu Fan ◽  
Chen Chai ◽  
Yangyang Wang ◽  
...  
Keyword(s):  
Wavelet Transform ◽  
Prediction Model ◽  
Mean Square Error ◽  
External Input ◽  
Mean Square ◽  
Foundation Pit ◽  
Empirical Wavelet Transform ◽  
The Mean ◽  
Nonlinear Autoregressive ◽  
Narx Model

Large deep foundation pits are usually in a complex environment, so their surface deformation tends to show a stable rising trend with a small range of fluctuation, which brings certain difficulty to the prediction work. Therefore, in this study we proposed a nonlinear autoregressive exogenous (NARX) prediction method based on empirical wavelet transform (EWT) pretreatment is proposed for this feature. Firstly, EWT is used to conduct adaptive decomposition of the measured deformation data and extract the modal signal components with characteristic differences. Secondly, the main components affecting the deformation of the foundation pit are analyzed as a part of the external input. Then, we established a NARX prediction model for different components. Finally, all predicted values are superpositioned to obtain a total value, and the result is compared with the predicted results of the nonlinear autoregressive (NAR) model, empirical mode decomposition-nonlinear autoregressive (EMD-NAR) model, EWT-NAR model, NARX model, EMD-NARX model and EWT-NARX model. The results showed that, compared with the EWT-NAR and EWT-NARX models, the EWT-NARX model reduced the mean square error of KD25 by 91.35%, indicating that the feature of introducing external input makes NARX more suitable for combining with the EWT method. Meanwhile, compared with the EMD-NAR and EWT-NAR models, the introduction of the NARX model reduced the mean square error of KD25 by 78.58% and 95.71%, indicating that EWT had better modal decomposition capability than EMD.

scholarly journals Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles

2007 ◽  
Vol 2 (1) ◽  
pp. 25-50 ◽  
Author(s):  
M. Merz ◽  
M. V. Wüthrich
Keyword(s):  
Time Series ◽  
Mean Square Error ◽  
Prediction Error ◽  
Time Series Model ◽  
Mean Square ◽  
Run Off ◽  
Chain Ladder Method ◽  
The Mean ◽  
Chain Ladder ◽  
Special Case

ABSTRACTIn Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs in the special case N = 2 from the estimate given by Braun (2004). We discuss the differences between the estimates.

scholarly journals The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)

2006 ◽  
Vol 36 (2) ◽  
pp. 521-542 ◽  
Author(s):  
Markus Buchwalder ◽  
Hans Bühlmann ◽  
Michael Merz ◽  
Mario V. Wüthrich
Keyword(s):  
Time Series ◽  
Mean Square Error ◽  
Time Series Model ◽  
Mean Square ◽  
Chain Ladder Method ◽  
The Mean ◽  
Chain Ladder

We revisit the famous Mack formula [2], which gives an estimate for the mean square error of prediction MSEP of the chain ladder claims reserving method: We define a time series model for the chain ladder method. In this time series framework we give an approach for the estimation of the conditional MSEP. It turns out that our approach leads to results that differ from the Mack formula. But we also see that our derivation leads to the same formulas for the MSEP estimate as the ones given in Murphy [4]. We discuss the differences and similarities of these derivations.

scholarly journals Prediction of hydrological time-series using extreme learning machine

2015 ◽  
Vol 18 (2) ◽  
pp. 345-353 ◽  
Author(s):  
Md Atiquzzaman ◽  
Jaya Kandasamy
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Root Mean Square Error ◽  
Mean Square Error ◽  
Root Mean Square ◽  
Extreme Learning Machine ◽  
Mean Square ◽  
Feed Forward Neural Networks ◽  
Learning Machine ◽  
Hidden Layer

Applying feed-forward neural networks has been limited due to the use of conventional gradient-based slow learning algorithms in training and iterative determination of network parameters. This paper demonstrates a method that partly overcomes these problems by using an extreme learning machine (ELM) which predicts the hydrological time-series very quickly. ELMs, also called single-hidden layer feed-forward neural networks (SLFNs), are able to well generalize the performance for extremely complex problems. ELM randomly chooses a single hidden layer and analytically determines the weights to predict the output. The ELM method was applied to predict hydrological flow series for the Tryggevælde Catchment, Denmark and for the Mississippi River at Vicksburg, USA. The results confirmed that ELM's performance was similar or better in terms of root mean square error (RMSE) and normalized root mean square error (NRMSE) compared to ANN and other previously published techniques, namely evolutionary computation based support vector machine (EC-SVM), standard chaotic approach and inverse approach.

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