Time Series Features Extraction and Forecast from Multi-feature Stocks with Hybrid Deep Neural Networks.

2020 ◽  
Vol 13 ◽  
Author(s):  
Ye Xu ◽  
Xun Yuan
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Hybrid Model ◽  
Deep Neural Networks ◽  
Arima Model ◽  
Forecast Accuracy ◽  
Forecast Model ◽  
Closing Price ◽  
Massive Information ◽  
Better Than

Background: Forecasting of time series stock data is important in financial related works. Stock data usually have multifeatures such as opening price, closing price and so on. The traditional forecast methods, however, is mainly applied to one feature – closing price, or a few, like four or five features. The massive information hidden in the multi-feature data is not thoroughly discovered and used. Objective: Find a method to make used of all information of multi-features and get a forecast model. Method: LSTM based models are introduced in this paper. For comparison, three models are used and they are single LSTM model, hybrid model of LSTM-CNN, and traditional ARIMA model. Results: Experiments with different models are performed on stock data with 50 and 230 features, respectively. Results show that MSE of single LSTM model is 2.4% lower than ARIMA model and MSE of LSTM-CNN model is 12.57% lower than that of single LSTM model on 50 features data. On 230 features data, LSTM-CNN model is found to be improved by 23.41% in forecast accuracy. Conclusion: In this paper, we use three different models – ARIMA, single LSTM and LSTM-CNN hybrid model – to forecast rise and fall of multi-features stock data. It’s found that single LSTM model is better than traditional ARIMA model on the average, and LSTM-CNN hybrid model is better than single LSTM model on 50-feature stock data. What’s more, we use LSTM-CNN model to perform experiments on stock data with 50 and 230 features, respectively. And is found that results of the same model on 230 features data is better than that on 50 features data. It’s proved in our work that the LSTM-CNN hybrid model is better than other models and experiments on stock data with more features could result in better outcomes. We’ll do more works on hybrid models next.

scholarly journals Comparison of autoregressive integrated moving average model and generalised regression neural network model for prediction of haemorrhagic fever with renal syndrome in China: a time-series study

BMJ Open ◽  
2019 ◽  
Vol 9 (6) ◽  
pp. e025773 ◽  
Author(s):  
Ya-wen Wang ◽  
Zhong-zhou Shen ◽  
Yu Jiang
Keyword(s):  
Time Series ◽  
Hybrid Model ◽  
Moving Average ◽  
Arima Model ◽  
Haemorrhagic Fever ◽  
Autoregressive Integrated Moving Average ◽  
Time Series Study ◽  
Series Study ◽  
Monthly Incidence ◽  
Better Than

ObjectivesHaemorrhagic fever with renal syndrome (HFRS) is a serious threat to public health in China, accounting for almost 90% cases reported globally. Infectious disease prediction may help in disease prevention despite some uncontrollable influence factors. This study conducted a comparison between a hybrid model and two single models in forecasting the monthly incidence of HFRS in China.DesignTime-series study.SettingThe People’s Republic of China.MethodsAutoregressive integrated moving average (ARIMA) model, generalised regression neural network (GRNN) model and hybrid ARIMA-GRNN model were constructed by R V.3.4.3 software. The monthly reported incidence of HFRS from January 2011 to May 2018 were adopted to evaluate models’ performance. Root mean square error (RMSE), mean absolute error (MAE) and mean absolute percentage error (MAPE) were adopted to evaluate these models’ effectiveness. Spatial stratified heterogeneity of the time series was tested by month and another GRNN model was built with a new series.ResultsThe monthly incidence of HFRS in the past several years showed a slight downtrend and obvious seasonal variation. A total of four plausible ARIMA models were built and ARIMA(2,1,1) (2,1,1)12model was selected as the optimal model in HFRS fitting. The smooth factors of the basic GRNN model and the hybrid model were 0.027 and 0.043, respectively. The single ARIMA model was the best in fitting part (MAPE=9.1154, MAE=89.0302, RMSE=138.8356) while the hybrid model was the best in prediction (MAPE=17.8335, MAE=152.3013, RMSE=196.4682). GRNN model was revised by building model with new series and the forecasting performance of revised model (MAPE=17.6095, MAE=163.8000, RMSE=169.4751) was better than original GRNN model (MAPE=19.2029, MAE=177.0356, RMSE=202.1684).ConclusionsThe hybrid ARIMA-GRNN model was better than single ARIMA and basic GRNN model in forecasting monthly incidence of HFRS in China. It could be considered as a decision-making tool in HFRS prevention and control.

scholarly journals Application of Deep Learning Methods to Forecasting Changes in Short-Term Currency Trends

2020 ◽  
Vol 7 (2) ◽  
pp. 75-86
Author(s):  
Vasily D. Derbentsev ◽  
Vitalii S. Bezkorovainyi ◽  
Iryna V. Luniak
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Deep Learning ◽  
Deep Neural Networks ◽  
Short Term Memory ◽  
Learning Models ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory ◽  
Better Than

This study investigates the issues of forecasting changes in short-term currency trends using deep learning models, which is relevant for both the scientific community and for traders and investors. The purpose of this study is to build a model for forecasting the direction of change in the prices of currency quotes based on deep neural networks. The developed architecture was based on the model of valve recurrent node, which is a modification of the model of “Long Short-Term Memory”, but is simpler in terms of the number of parameters and learning time. The forecast calculations of the dynamics of quotations of the currency pair euro/dollar and the most capitalised cryptocurrency Bitcoin/dollar were performed using daily, four-hour and hourly datasets. The obtained results of binary classification (forecast of the direction of trend change) when applying daily and hourly quotations turned out to be generally better than those of time series models or models of neural networks of other architecture (in particular, multilayer perceptron or “Long Short-Term Memory” models). According to the study results, the highest accuracy of classification was for the model of daily quotations for both euro/dollar – about 72%, and for Bitcoin/ dollar – about 69%. For four-hour and hourly time series, the accuracy of classification decreased, which can be explained both by the increase in the impact of “market noise” and the probable overfitting. Computer simulation has demonstrated that models predict a rising trend better than a declining one. The study confirmed the prospects for the application of deep learning models for short-term forecasting of time series of currency quotes. The use of the developed models proved to be effective for both fiat and cryptocurrencies. The proposed system of models based on deep neural networks can be used as a basis for developing an automated trading system in the foreign exchange market

scholarly journals COMPARING THE PREDICTION ACCURACY OF LSTM AND ARIMA MODELS FOR TIME-SERIES WITH PERMANENT FLUCTUATION

2020 ◽  
Vol 9 (2) ◽  
Author(s):  
Ghahreman Abdoli ◽  
Mohsen MehrAra ◽  
Mohammad Ebrahim Ardalani
Keyword(s):  
Time Series ◽  
Economic System ◽  
Short Term Memory ◽  
Stock Exchange ◽  
Moving Average ◽  
Arima Model ◽  
Forecast Accuracy ◽  
Forecast Model ◽  
Economic Time Series ◽  
Intraday Data

In developing countries with an unstable economic system, permanent fluctuation in historical data is always a concern. Recognizing dependency and independency of variables are vague and proceeding a reliable forecast model is more complex than other countries. Although linearization of nonlinear multivariate economic time-series to predict, may give a result, the nature of data which shows irregularities in the economic system, should be ignored. New approaches of artificial neural network (ANN) help to make a prediction model with keeping data attributes. In this paper, we used the Tehran Stock Exchange (TSE) intraday data in 10 years to forecast the next 2 months. Long Short-Term Memory (LSTM) from ANN chooses and outputs compared with the autoregressive integrated moving average (ARIMA) model. The results show, although, in long term prediction, the forecast accuracy of both models reduce, LSTM outperforms ARIMA, in terms of error of accuracy, significantly.

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.

scholarly journals A Simple Method of Residential Electricity Load Forecasting by Improved Bayesian Neural Networks

2018 ◽  
Vol 2018 ◽  
pp. 1-16 ◽  
Author(s):  
Shubin Zheng ◽  
Qianwen Zhong ◽  
Lele Peng ◽  
Xiaodong Chai
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Load Forecasting ◽  
Forecast Model ◽  
Time Range ◽  
Simple Method ◽  
Load Forecast ◽  
Bayesian Neural Networks ◽  
Electricity Load ◽  
Electricity Load Forecasting

Electricity load forecasting is becoming one of the key issues to solve energy crisis problem, and time-series Bayesian Neural Network is one popular method used in load forecast models. However, it has long running time and relatively strong dependence on time and weather factors at a residential level. To solve these problems, this article presents an improved Bayesian Neural Networks (IBNN) forecast model by augmenting historical load data as inputs based on simple feedforward structure. From the load time delays correlations and impact factors analysis, containing different inputs, number of hidden neurons, historic period of data, forecasting time range, and range requirement of sample data, some advices are given on how to better choose these factors. To validate the performance of improved Bayesian Neural Networks model, several residential sample datasets of one whole year from Ausgrid have been selected to build the improved Bayesian Neural Networks model. The results compared with the time-series load forecast model show that the improved Bayesian Neural Networks model can significantly reduce calculating time by more than 30 times and even when the time or meteorological factors are missing, it can still predict the load with a high accuracy. Compared with other widely used prediction methods, the IBNN also performs a better accuracy and relatively shorter computing time. This improved Bayesian Neural Networks forecasting method can be applied in residential energy management.

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%.

scholarly journals Forecasting Reservoir Water Levels Using Deep Neural Networks: A Case Study of Angat Dam in the Philippines

Water ◽  
2021 ◽  
Vol 14 (1) ◽  
pp. 34
Author(s):  
Sebastian C. Ibañez ◽  
Carlo Vincienzo G. Dajac ◽  
Marissa P. Liponhay ◽  
Erika Fille T. Legara ◽  
Jon Michael H. Esteban ◽  
...  
Keyword(s):  
Neural Networks ◽  
Time Series ◽  
Deep Neural Networks ◽  
Cross Validation ◽  
The Philippines ◽  
Water Levels ◽  
Short Term ◽  
Exogenous Variables ◽  
Reservoir Water ◽  
Forecasting Performance

Forecasting reservoir water levels is essential in water supply management, impacting both operations and intervention strategies. This paper examines the short-term and long-term forecasting performance of several statistical and machine learning-based methods for predicting the water levels of the Angat Dam in the Philippines. A total of six forecasting methods are compared: naïve/persistence; seasonal mean; autoregressive integrated moving average (ARIMA); gradient boosting machines (GBM); and two deep neural networks (DNN) using a long short-term memory-based (LSTM) encoder-decoder architecture: a univariate model (DNN-U) and a multivariate model (DNN-M). Daily historical water levels from 2001 to 2021 are used in predicting future water levels. In addition, we include meteorological data (rainfall and the Oceanic Niño Index) and irrigation data as exogenous variables. To evaluate the forecast accuracy of our methods, we use a time series cross-validation approach to establish a more robust estimate of the error statistics. Our results show that our DNN-U model has the best accuracy in the 1-day-ahead scenario with a mean absolute error (MAE) and root mean square error (RMSE) of 0.2 m. In the 30-day-, 90-day-, and 180-day-ahead scenarios, the DNN-M shows the best performance with MAE (RMSE) scores of 2.9 (3.3), 5.1 (6.0), and 6.7 (8.1) meters, respectively. Additionally, we demonstrate that further improvements in performance are possible by scanning over all possible combinations of the exogenous variables and only using a subset of them as features. In summary, we provide a comprehensive framework for evaluating water level forecasting by defining a baseline accuracy, analyzing performance across multiple prediction horizons, using time series cross-validation to assess accuracy and uncertainty, and examining the effects of exogenous variables on forecasting performance. In the process, our work addresses several notable gaps in the methodologies of previous works.

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