scholarly journals Random Regression Forest Model using Technical Analysis Variables

2016 ◽  
Vol 5 (3) ◽  
pp. 85-102 ◽  
Author(s):  
Senol Emir ◽  
Hasan Dincer ◽  
Umit Hacioglu ◽  
Serhat Yuksel
Keyword(s):  
Random Forest ◽  
Banking Sector ◽  
Mean Absolute Error ◽  
Moving Average ◽  
Technical Analysis ◽  
Absolute Error ◽  
Important Variable ◽  
Random Regression ◽  
Random Forest Method ◽  
Technical Indicator

The purpose of this study is to explore the importance and ranking of technical analysis variables in Turkish banking sector. Random Forest method is used for determining importance scores of inputs for eight banks in Borsa Istanbul. Then two predictive models utilizing Random Forest (RF) and Artificial Neural Networks (ANN) are built for predicting BIST-100 index and bank closing prices. Results of the models are compared by three metrics namely Mean Absolute Error (MAE), Mean Square Error (MSE), Median Absolute Error (MedAE). Findings show that moving average (MAV-100) is the most important variable for both BIST -100 index and bank closing prices. Therefore, investors should follow this technical indicator with respect to Turkish banks. In addition ANN shows better performance for all metrics.

scholarly journals Technical Analysis and Malaysian Banking Sector during COVID-19 Pandemic

2020 ◽  
Vol 4 (1) ◽  
pp. 41-46
Author(s):  
Kelvin Yong Ming Lee
Keyword(s):  
Stock Prices ◽  
Stock Price ◽  
Banking Sector ◽  
Moving Average ◽  
Investment Decision ◽  
Movement Control ◽  
Technical Analysis ◽  
Price Movement ◽  
Technical Indicator ◽  
Control Order

The announcements of Movement Control Order and Loan Moratorium caused a significant impact on the stock prices of Malaysian banks during the COVID-19 pandemic. This study aims to investigate the effectiveness of technical analysis in predicting the stock price movement and the ability of the technical analysis in generating returns. In doing so, six moving average rules used as the proxy of technical analysis and tested in this study. Majority of the MA rules shown positive returns before the various announcements dates. Specifically, this study revealed that MA rules of (2,5) and (2,10) were among the best performing MA rules during the COVID-19 pandemic. This study also recommends the investors to use the signals emitted by the technical indicator as the reference for their investment decision in the banks’ stock.

scholarly journals Machine learning applied in the stock market through the Moving Average Convergence Divergence (MACD) indicator

2020 ◽  
Vol 17 (4) ◽  
pp. 44-60
Author(s):  
Alberto Antonio Agudelo Aguirre ◽  
Ricardo Alfredo Rojas Medina ◽  
Néstor Darío Duque Méndez
Keyword(s):  
Machine Learning ◽  
Genetic Algorithms ◽  
Stock Market ◽  
Moving Average ◽  
Asset Price ◽  
Technical Analysis ◽  
Investment Strategies ◽  
Historical Data Analysis ◽  
Financial Asset Returns ◽  
Technical Indicator

The implementation of tools such as Genetic Algorithms has not been exploited for asset price prediction despite their power, robustness, and potential application in the stock market. This paper aims to fill the gap existing in the literature on the use of Genetic Algorithms for predicting asset pricing of investment strategies into stock markets and investigate its advantages over its peers Buy & Hold and traditional technical analysis. The Genetic Algorithms strategy applied to the MACD was carried out in two different validation periods and sought to optimize the parameters that generate the buy-sell signals. The performance between the machine learning-based approach, technical analysis with the MACD and B&H was compared. The results suggest that it is possible to find optimal values of the technical indicator parameters that result in a higher return on investment through Genetic Algorithms, beating the traditional technical analysis and B&H by around 4%. This study offers a new insight for practitioners, traders, and finance researchers to take advantage of Genetic Algorithms for trading rules application in forecasting financial asset returns under a more efficient and robust methodology based on historical data analysis.

scholarly journals Detection of Tea Export Potentiality from Bangladesh in the World Market: An Autoregressive Integrated Moving Average (ARIMA) Approach

2020 ◽  
pp. 21-29
Author(s):  
A. U. Noman ◽  
S. Majumder ◽  
M. F. Imam ◽  
M. J. Hossain ◽  
F. Elahi ◽  
...  
Keyword(s):  
Mean Absolute Error ◽  
Moving Average ◽  
Arima Model ◽  
Absolute Error ◽  
World Market ◽  
Information Criteria ◽  
Coefficient Of Determination ◽  
Percentage Error ◽  
Autoregressive Integrated Moving Average ◽  
The World

Export plays an important role in promoting economic growth and development. The study is conducted to make an efficient forecasting of tea export from Bangladesh for mitigating the risk of export in the world market. Forecasting has been done by fitting Box-Jenkins type autoregressive integrated moving average (ARIMA) model. The best ARIMA model is selected by comparing the criteria- coefficient of determination (R2), root mean square error (RMSE), mean absolute percentage error (MAPE), mean absolute error (MAE) and Bayesian information criteria (BIC). Among the Box-Jenkins ARIMA type models for tea export the ARIMA (1,1,3) model is the most appropriate one for forecasting and the forecast values in thousand kilogram for the year 2017-18, 2018-19, 2019-20, 2020-21 and 2021-22, are 1096.48, 812.83, 1122.02, 776.25 and 794.33 with upper limit 1819.70, 1348.96, 1862.09, 1288.25, 1318.26 and lower limit 660.69, 489.78, 676.08, 467.74, 478.63, respectively. So, the result of this model may be helpful for the policymaker to make an export development plan for the country.

scholarly journals Machine learning and geostatistical approaches for estimating aboveground biomass in Chinese subtropical forests

2020 ◽  
Author(s):  
huiyi su ◽  
Wenjuan Shen ◽  
Jingrui Wang ◽  
Arshad Ali ◽  
Mingshi Li
Keyword(s):  
Machine Learning ◽  
Forest Management ◽  
Random Forest ◽  
Aboveground Biomass ◽  
Ordinary Kriging ◽  
Temporal Dynamics ◽  
Mean Absolute Error ◽  
Absolute Error ◽  
Subtropical Forests ◽  
Management Actions

Abstract Background: Aboveground biomass (AGB) is a fundamental indicator of forest ecosystem productivity and health and hence plays an essential role in evaluating forest carbon reserves and supporting the development of targeted forest management plans. Methods: Here, we proposed a random forest/co-kriging framework that integrates the strengths of machine learning and geostatistical approaches to improve the mapping accuracies of AGB in northern Guangdong province of China. We used Landsat time-series observations, Advanced Land Observing Satellite (ALOS) Phased Array L-band Synthetic Aperture Radar (PALSAR) data, and National Forest Inventory (NFI) plot measurements, to generate the forest AGB maps at three time points (1992, 2002, and 2010) showing the spatio-temporal dynamics of AGB in the subtropical forests in Guangdong, China. Results: The proposed model provided excellent performance for mapping AGB using spectral, textural, and topographical variables, and the radar backscatter coefficients. The root mean square error of the plot-level AGB validation was between 15.62 and 53.78 (t/ha), the mean absolute error ranged from 6.54 to 32.32 t/ha, and the relative improvement over the random forest algorithm was between 3.8% and 17.7%. The highest coefficient of determination (0.81) and the lowest mean absolute error (6.54 t/ha) were observed in the 1992 AGB map. The spectral saturation effect was minimized by adding the PALSAR data to the modeling variable set in 2010. By adding elevation as a covariable, the co-kriging outperformed the ordinary kriging method for the prediction of the AGB residuals, because co-kriging resulted in better interpolation results in the valleys and plains of the study area. Conclusions: Validation of the three AGB maps with an independent dataset indicated that the random forest/co-kriging performed best for AGB prediction, followed by random forest coupled with ordinary kriging (random forest/ordinary kriging), and the random forest model. The proposed random forest/co-kriging framework provides an accurate and reliable method for AGB mapping in subtropical forest regions with complex topography. The resulting AGB maps are suitable for the targeted development of forest management actions to promote carbon sequestration and sustainable forest management in the context of climate change.

scholarly journals Effectiveness of Technical Analysis Signals Around the Earning Announcements in Malaysian Stock Market

2018 ◽  
Vol 7 (3.21) ◽  
pp. 109
Author(s):  
Kelvin Lee Yong Ming ◽  
Mohamad Jais
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Moving Average ◽  
Technical Analysis ◽  
Relative Strength ◽  
Kuala Lumpur ◽  
Earning Announcement ◽  
Strength Index ◽  
Corporate Announcements ◽  
Technical Indicator

Technical analysis is an analysis that widely applied by the investor in the stock market. However, various corporate announcements could cause the market to react, and the most significant corporate announcement is the earnings announcement (1). Thus, this study examines the effectiveness of technical analysis signals around the earning announcements dates in Malaysian stock market. In doing so, this study applied and tested four technical indicators, namely Simple Moving Average (SMA), Relative Strength Index (RSI), Stochastic (K line), and Moving Average Convergence/Divergence (MACD) in Malaysian stock market. The sample of this study consisted of 30 largest capitalization companies from the main market of Kuala Lumpur Stock Exchange (KLSE). Meanwhile, the sample period covered from 2nd January 2014 to 31st March 2016. This study found that Moving Average Convergence/Divergence (MACD) significantly produced higher returns as compared to the other technical indicator before the earning announcement dates in financial year 2014 and 2015. The combined indicator of MA-MACD also found to have higher return in financial year 2015. The findings conclude that the technical analysis signals can be used to generate returns before earning announcement dates.  

scholarly journals Forecasting New Student Candidates Using the Random Forest Method

2020 ◽  
Vol 11 (1) ◽  
pp. 44
Author(s):  
Rahmat Robi Waliyansyah ◽  
Nugroho Dwi Saputro
Keyword(s):  
Random Forest ◽  
Mean Squared Error ◽  
College Education ◽  
Absolute Error ◽  
Coefficient Of Determination ◽  
Squared Error ◽  
Random Forest Method ◽  
Study Programs ◽  
New Students ◽  
New Student

College education institutions regularly hold new student admissions activities, and the number of new students can increase and can also decrease. University of PGRI Semarang (UPGRIS) on the development of new student admissions for the 2014/2015 academic year up to 2018/2019 with so many admissions selection stages. To meet the minimum comparison requirements between the number of students with the development of human resources, facilities, and infrastructure, it is necessary to predict how much the number of students increases each year. To make a prediction system or forecasting, the number of prospective new students required a good forecasting method and sufficiently precise calculations to predict the number of prospective students who register. In this study, the method to be taken is the Random Forest method. For the evaluation of forecasting models used Random Sampling and Cross-validation. The parameter used is Mean Absolute Error (MAE), Mean Squared Error (MSE), Root Mean Squared Error (RMSE), and Coefficient of Determination (R2). The results of this study obtained the five highest and lowest study programs in the admission of new students. Therefore, UPGRIS will make a new strategy for the five lowest study programs so that the desired number of new students is achieved

scholarly journals Analysis of Data Mining for Forecasting Total Goods Delivery with Moving Average Method

2017 ◽  
Vol 2 (1) ◽  
pp. 7 ◽  
Author(s):  
M. Azman Maricar ◽  
Putu Widiadnyana ◽  
I Wayan Arta Wijaya
Keyword(s):  
Data Mining ◽  
Average Method ◽  
Mean Absolute Error ◽  
Moving Average ◽  
Absolute Error ◽  
Test Method ◽  
Period Data ◽  
Strong Attachment ◽  
Forecasting Techniques

In the logistics and distribution of goods, the expedition service is necessary, because the expedition is an important part of a business that has a strong attachment to the distribution. The number of deliveries from an expedition per period is uncertain, sometimes the number increases or decreases. This may result in an imbalance between existing facilities and employees and the number of shipments from customers or company policies. To overcome this, required forecasting techniques that are able to predict total shipments, as well as predict which goods and products are the most widely sent. The moving average method using the last 5 period data is used as a way of forecasting. MAPE (Mean Absolute % Error) is used as a test method, and a result of 34 %, indicates that the method is feasible to use.

scholarly journals Time series prediction of under-five mortality rates for Nigeria: comparative analysis of artificial neural networks, Holt-Winters exponential smoothing and autoregressive integrated moving average models

2020 ◽  
Vol 20 (1) ◽  
Author(s):  
Daniel Adedayo Adeyinka ◽  
Nazeem Muhajarine
Keyword(s):  
Neural Network ◽  
Time Series ◽  
Mean Absolute Error ◽  
Moving Average ◽  
Absolute Error ◽  
Mortality Rates ◽  
Childhood Mortality ◽  
Autoregressive Integrated Moving Average ◽  
Under Five ◽  
Deming Regression

Abstract Background Accurate forecasting model for under-five mortality rate (U5MR) is essential for policy actions and planning. While studies have used traditional time series modeling techniques (e.g., autoregressive integrated moving average (ARIMA) and Holt-Winters smoothing exponential methods), their appropriateness to predict noisy and non-linear data (such as childhood mortality) has been debated. The objective of this study was to model long-term U5MR with group method of data handling (GMDH)-type artificial neural network (ANN), and compare the forecasts with the commonly used conventional statistical methods—ARIMA regression and Holt-Winters exponential smoothing models. Methods The historical dataset of annual U5MR in Nigeria from 1964 to 2017 was obtained from the official website of World Bank. The optimal models for each forecasting methods were used for forecasting mortality rates to 2030 (ending of Sustainable Development Goal era). The predictive performances of the three methods were evaluated, based on root mean squared errors (RMSE), root mean absolute error (RMAE) and modified Nash-Sutcliffe efficiency (NSE) coefficient. Statistically significant differences in loss function between forecasts of GMDH-type ANN model compared to each of the ARIMA and Holt-Winters models were assessed with Diebold-Mariano (DM) test and Deming regression. Results The modified NSE coefficient was slightly lower for Holt-Winters methods (96.7%), compared to GMDH-type ANN (99.8%) and ARIMA (99.6%). The RMSE of GMDH-type ANN (0.09) was lower than ARIMA (0.23) and Holt-Winters (2.87). Similarly, RMAE was lowest for GMDH-type ANN (0.25), compared with ARIMA (0.41) and Holt-Winters (1.20). From the DM test, the mean absolute error (MAE) was significantly lower for GMDH-type ANN, compared with ARIMA (difference = 0.11, p-value = 0.0003), and Holt-Winters model (difference = 0.62, p-value< 0.001). Based on the intercepts from Deming regression, the predictions from GMDH-type ANN were more accurate (β0 = 0.004 ± standard error: 0.06; 95% confidence interval: − 0.113 to 0.122). Conclusions GMDH-type neural network performed better in predicting and forecasting of under-five mortality rates for Nigeria, compared to the ARIMA and Holt-Winters models. Therefore, GMDH-type ANN might be more suitable for data with non-linear or unknown distribution, such as childhood mortality. GMDH-type ANN increases forecasting accuracy of childhood mortalities in order to inform policy actions in Nigeria.

scholarly journals Machine learning and geostatistical approaches for estimating aboveground biomass in Chinese subtropical forests

2020 ◽  
Author(s):  
Huiyi Su ◽  
Wenjuan Shen ◽  
Jingrui Wang ◽  
Arshad Ali ◽  
Mingshi Li
Keyword(s):  
Machine Learning ◽  
Forest Management ◽  
Random Forest ◽  
Aboveground Biomass ◽  
Ordinary Kriging ◽  
Temporal Dynamics ◽  
Mean Absolute Error ◽  
Absolute Error ◽  
Subtropical Forests ◽  
Management Actions

Abstract Background: Aboveground biomass (AGB) is a fundamental indicator of forest ecosystem productivity and health and hence plays an essential role in evaluating forest carbon reserves and supporting the development of targeted forest management plans.Methods: Here, we proposed a random forest/co-kriging framework that integrates the strengths of machine learning and geostatistical approaches to improve the mapping accuracies of AGB in northern Guangdong province of China. We used Landsat time-series observations, Advanced Land Observing Satellite (ALOS) Phased Array L-band Synthetic Aperture Radar (PALSAR) data, and National Forest Inventory (NFI) plot measurements, to generate the forest AGB maps at three time points (1992, 2002, and 2010) showing the spatio-temporal dynamics of AGB in the subtropical forests in Guangdong, China.Results: The proposed model was capable of mapping forest AGB using spectral, textural, topographical variables and the radar backscatter coefficients in an effective and reliable manner. The root mean square error of the plot-level AGB validation was between 15.62 and 53.78 (t/ha), the mean absolute error ranged from 6.54 to 32.32 t/ha, the bias ranged from -2.14 to 1.07 t/ha, and the relative improvement over the random forest algorithm was between 3.8% and 17.7%. The largest coefficient of determination (0.81) and the smallest mean absolute error (6.54 t/ha) were observed in the 1992 AGB map. The spectral saturation effect was minimized by adding the PALSAR data to the modeling variable set in 2010. By adding elevation as a covariable, the co-kriging outperformed the ordinary kriging method for the prediction of the AGB residuals, because co-kriging resulted in better interpolation results in the valleys and plains of the study area.Conclusions: Validation of the three AGB maps with an independent dataset indicated that the random forest/co-kriging performed best for AGB prediction, followed by random forest coupled with ordinary kriging (random forest/ordinary kriging), and the random forest model. The proposed random forest/co-kriging framework provides an accurate and reliable method for AGB mapping in subtropical forest regions with complex topography. The resulting AGB maps are suitable for the targeted development of forest management actions to promote carbon sequestration and sustainable forest management in the context of climate change.

scholarly journals AZƏRBAYCANDA COVID-19 KORONAVİRUSUNA YOLUXMANIN PROQNOZLAŞDIRILMASI ÜÇÜN ARIMA MODELLƏRİNİN TƏTBİQİ

2021 ◽  
Vol 12 (1) ◽  
pp. 95-104
Author(s):  
Firəngiz Sadıyeva ◽  
Keyword(s):  
Root Mean Square Error ◽  
Mean Square Error ◽  
Root Mean Square ◽  
Mean Absolute Error ◽  
Moving Average ◽  
Absolute Error ◽  
Mean Square ◽  
Autoregressive Integrated Moving Average

Məqalədə COVID-19 pandemiyasını proqnozlaşdırmaq üçün avtoreqressiv inteqrasiya edilmiş hərəkətli ortalama (ing. ARIMA. Autoregressive İntegrated Moving Average) modeli təklif edilmişdir. COVID-19 dünyada sürətlə yayılan və hazırda davam edən yeni növ pandemiyadır. Son dövrlərdə pandemiyaya yoluxanların sayı Azərbaycanda rekord həddə çatmışdır. Məhz bu səbəbdən COVID-19 pandemiyasının proqnozu məsələsinə baxılmışdır və bir neçə ayı əhatə edən real verilənlərlə eksperimentlərdə təklif edilmiş ARIMA modelinin COVID-19 zaman sıralarının proqnozlaşdırılması üçün müxtəlif parametrlərlə tətbiq edilmişdir. Verilənlər dedikdə, 22.01.2020 – 22.10.2020 tarixləri arasında Azərbaycan Respublikasının Səhiyyə Nazirliyi (www.sehiyye.gov.az) tərəfindən rəsmi olaraq qeydiyyata alınan gündəlik yoluxma hallarının sayı nəzərdə tutulur. Bu verilənlərdən istifadə etməklə, növbəti zaman aralığında ölkəmizdə baş verəcək yoluxma halları proqnoz edilmişdir. Bunun üçün ARIMA modelinə müxtəlif parametrlər verilmiş və uyğun olaraq hər bir modelin səhv dərəcəsi qiymətləndirilmişdir. Səhvin qiymətləndirilməsi üçün MAPE (Mean Absolute Persentace Error), MAE (Mean Absolute Error) və RMSE (Root Mean Square Error) funksiyaları istifadə edilib. Müqayisələr nəticəsində ən uyğun model seçilmişdir. Alınmış nəticələr ölkəmizdə pandemiya dövründə həm səhiyyə sistemi, həm də adi vətəndaşlar üçün vacib amildir. Əldə edilmiş nəticələr statistik metodların koronavirusa aid qeyri-stasionar zaman sıralarının proqnozlaşdırılmasının digər məsələlərə tətbiqində də məhsuldar ola biləcəyini təsdiqləyir.

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