scholarly journals Bitcoin Analysis and Forecasting through Fuzzy Transform

Axioms ◽  
2020 ◽  
Vol 9 (4) ◽  
pp. 139
Author(s):  
Maria Letizia Guerra ◽  
Laerte Sorini ◽  
Luciano Stefanini
Keyword(s):  
Time Series ◽  
Sentiment Analysis ◽  
Test Statistics ◽  
Local Smoothing ◽  
Fuzzy Transform ◽  
Short Term ◽  
Stylized Facts ◽  
Lp Norm ◽  
Daily Data ◽  
Short Term Forecasting

Sentiment analysis to characterize the properties of Bitcoin prices and their forecasting is here developed thanks to the capability of the Fuzzy Transform (F-transform for short) to capture stylized facts and mutual connections between time series with different natures. The recently proposed Lp-norm F-transform is a powerful and flexible methodology for data analysis, non-parametric smoothing and for fitting and forecasting. Its capabilities are illustrated by empirical analyses concerning Bitcoin prices and Google Trend scores (six years of daily data): we apply the (inverse) F-transform to both time series and, using clustering techniques, we identify stylized facts for Bitcoin prices, based on (local) smoothing and fitting F-transform, and we study their time evolution in terms of a transition matrix. Finally, we examine the dependence of Bitcoin prices on Google Trend scores and we estimate short-term forecasting models; the Diebold–Mariano (DM) test statistics, applied for their significance, shows that sentiment analysis is useful in short-term forecasting of Bitcoin cryptocurrency.

scholarly journals Bitcoin Analysis and Forecasting Through Fuzzy Transform

2020 ◽  
Author(s):  
Maria Letizia Guerra ◽  
Laerte Sorini ◽  
Luciano Stefanini
Keyword(s):  
Time Series ◽  
Sentiment Analysis ◽  
Google Trends ◽  
Fuzzy Transform ◽  
Stylized Facts

Sentiment analysis to characterize properties of Bitcoin prices and their forecasting is here developed thanks to the capability of the Fuzzy transform to capture stylized facts and mutual connections between time series having different nature. Six years of daily Bitcoin Prices and Google Trends are analyzed in order to establish new perspectives in the management of their dynamics.

scholarly journals Improving short-term forecasting during ramp events by means of Regime-Switching Artificial Neural Networks

2011 ◽  
Vol 6 (1) ◽  
pp. 55-58 ◽  
Author(s):  
C. Gallego ◽  
A. Costa ◽  
A. Cuerva
Keyword(s):  
Time Series ◽  
Wind Power ◽  
Regime Switching ◽  
Neural Nets ◽  
Ann Model ◽  
Short Term ◽  
Explanatory Variables ◽  
Ramp Events ◽  
Artificial Neural ◽  
Short Term Forecasting

Abstract. Ramp events are large rapid variations within wind power time series. Ramp forecasting can benefit from specific strategies so as to particularly take into account these shifts in the wind power output dynamic. In the short-term context (characterized by prediction horizons from minutes to a few days), a Regime-Switching (RS) model based on Artificial Neural Nets (ANN) is proposed. The objective is to identify three regimes in the wind power time series: Ramp-up, Ramp-down and No-ramp regime. An on-line regime assessment methodology is also proposed, based on a local gradient criterion. The RS-ANN model is compared to a single-ANN model (without regime discrimination), concluding that the regime-switching strategy leads to significant improvements for one-hour ahead forecasts, mainly due to the improvements obtained during ramp-up events. Including other explanatory variables (NWP outputs, local measurements) during the regime assessment could eventually improve forecasts for further horizons.

scholarly journals ANALYSIS OF METHODS OF INCREASING DATA RELIABILITY FOR PROBLEMS OF SHORT TERM FORECASTING OF NODAL LOAD

2021 ◽  
Vol 2021 (60) ◽  
pp. 51-57
Author(s):  
P.V. Shymaniuk ◽  
◽  
V.O. Miroshnyk ◽  
Keyword(s):  
United States ◽  
Time Series ◽  
Comparative Analysis ◽  
Decomposition Methods ◽  
The United States ◽  
Data Validation ◽  
Clustering Methods ◽  
Short Term ◽  
Northwestern Region ◽  
Short Term Forecasting

A comparative analysis of clustering methods was performed to identify gaps and anomalous values in the data. Data from the northwestern region of the United States were used for evaluation. According to the analysis results, it was found that the use of the DBSCAN method leads to a much smaller number of false positives. An algorithm for two-stage data validation using clustering and time series decomposition methods is proposed. Ref.9, fig. 3, tables 3.

scholarly journals Application of GARCH Forecasting Method in Predicting The Number of Rail Passengers (Thousands of People) in Jabodetabek Region

2022 ◽  
Vol 18 (2) ◽  
pp. 198-223
Author(s):  
Farin Cyntiya Garini ◽  
Warosatul Anbiya
Keyword(s):  
Time Series ◽  
Public Transportation ◽  
Time Series Data ◽  
Series Data ◽  
Analysis Method ◽  
Short Term ◽  
Seasonal Factors ◽  
Forecasting Method ◽  
Short Term Forecasting ◽  
Over Time

PT. Kereta Api Indonesia and PT. KAI Commuter Jabodetabek records time series data in the form of the number of train passengers (thousand people) in Jabodetabek Region in 2011-2020. One of the time series methods that can be used to predict the number of train passengers (thousand people) in Jabodetabek area is ARIMA method. ARIMA or also known as Box-Jenkins time series analysis method is used for short-term forecasting and does not accommodate seasonal factors. If the assumption of residual homoscedasticity is violated, the ARCH / GARCH method can be used, which explicitly models changes in residual variety over time. This study aims to model and forecast the number of train passengers (thousand people) in Jabodetabek area in 2021. Based on data analysis and processing using ARIMA method, the best model is ARIMA (1,1,1) with an AIC value of 2,159.87 and with ARCH / GARCH method, the best model is GARCH (1,1) with an AIC value of 18.314. Forecasting results obtained based on the best model can be used as a reference for related parties in managing and providing public transportation facilities, especially trains.

Models of Short-Term Forecasting of Economic Indicators on the Basis of Time Series

2019 ◽  
pp. 76-82
Author(s):  
I.V. Gaidamakina ◽  
A.A. Muzalevskaya ◽  
O.O. Shiryaeva ◽  
◽  
◽  
...  
Keyword(s):  
Time Series ◽  
Economic Indicators ◽  
Short Term ◽  
Short Term Forecasting

Traffic Speed Time Series Short Term Forecasting Using Aggregated Model

2014 ◽  
Vol 587-589 ◽  
pp. 2057-2062
Author(s):  
Jian Gu ◽  
Shu Yan Chen
Keyword(s):  
Time Series ◽  
Support Vector Machine ◽  
Least Square ◽  
Support Vector ◽  
Short Term ◽  
Support Vector Machine Regression ◽  
Prediction Ability ◽  
Aggregated Model ◽  
Traffic Speed ◽  
Short Term Forecasting

This paper integrated superiority from time series model and least square support vector machine regression model with data aggregation for traffic speed short term forecasting. Based on the results of traffic data variations analysis, the practicability that speed data can be aggregated to several periods was confirmed, and aggregated model can be developed to forecast the speed with auto regression (AR) model and support vector machine regression (SVR). Then the speed data in case study were integrated to 4 periods at the location of Remote Traffic Microwave Sensors (RTMS) 2047 on 2ndRing Road Expressway in Beijing. Arguments with coefficients from AR models then act as the independent variables of LSSVR in aggregated model. Short term traffic speed was predicted by aggregated model, and the results indicated that taking advantages of time periods variation rule inside the aggregated model would help save the model running time cost under the premise of accuracy with better prediction ability than LSSVR in certain conditions.

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