Non-Linear and Non-parametric regression models for Stock Prices Time Series Data

2021 ◽  
Vol 8 (4) ◽  
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Regression Models ◽  
Time Series Data ◽  
Series Data ◽  
Parametric Regression ◽  
Non Linear ◽  
Parametric Regression Models ◽  
Non Parametric

Using linear and non-parametric regression models to describe the contribution of non-linear loads on the voltage harmonic distortions in the electrical grid

2016 ◽  
Vol 10 (8) ◽  
pp. 1825-1832 ◽  
Author(s):  
Edson Ortiz de Matos ◽  
Allan Rodrigo Arrifano Manito ◽  
Ubiratan Holanda Bezerra ◽  
Benjamim Cordeiro Costa ◽  
Thiago Mota Soares ◽  
...  
Keyword(s):  
Regression Models ◽  
Parametric Regression ◽  
Electrical Grid ◽  
Non Linear ◽  
Parametric Regression Models ◽  
Harmonic Distortions ◽  
Non Parametric

A non-parametric model for fuzzy forecasting time series data

2021 ◽  
Vol 40 (4) ◽  
Author(s):  
Gholamreza Hesamian ◽  
Mohammad Ghasem Akbari
Keyword(s):  
Time Series ◽  
Time Series Data ◽  
Parametric Model ◽  
Series Data ◽  
Non Parametric

scholarly journals Jonckheere–Terpstra–Kendall-based non-parametric analysis of temporal differential gene expression

2021 ◽  
Vol 3 (1) ◽  
Author(s):  
Hitoshi Iuchi ◽  
Michiaki Hamada
Keyword(s):  
Gene Expression ◽  
Time Series ◽  
Time Course ◽  
Time Series Data ◽  
Expression Patterns ◽  
Detection Methods ◽  
Series Data ◽  
Expression Levels ◽  
Over Time ◽  
Non Parametric

Abstract Time-course experiments using parallel sequencers have the potential to uncover gradual changes in cells over time that cannot be observed in a two-point comparison. An essential step in time-series data analysis is the identification of temporal differentially expressed genes (TEGs) under two conditions (e.g. control versus case). Model-based approaches, which are typical TEG detection methods, often set one parameter (e.g. degree or degree of freedom) for one dataset. This approach risks modeling of linearly increasing genes with higher-order functions, or fitting of cyclic gene expression with linear functions, thereby leading to false positives/negatives. Here, we present a Jonckheere–Terpstra–Kendall (JTK)-based non-parametric algorithm for TEG detection. Benchmarks, using simulation data, show that the JTK-based approach outperforms existing methods, especially in long time-series experiments. Additionally, application of JTK in the analysis of time-series RNA-seq data from seven tissue types, across developmental stages in mouse and rat, suggested that the wave pattern contributes to the TEG identification of JTK, not the difference in expression levels. This result suggests that JTK is a suitable algorithm when focusing on expression patterns over time rather than expression levels, such as comparisons between different species. These results show that JTK is an excellent candidate for TEG detection.

scholarly journals BLACK SWAN GLOBAL MARKET: ANALYSIS OF THE EFFECT OF THE COVID-19 DEATH RATE ON THE VOLATILITY OF EUROPEAN FOOTBALL CLUB STOCK PRICES (CASE STUDY OF JUVENTUS F.C., MANCHESTER UNITED, AJAX AMSTERDAM AND BORUSSIA DORTMUND)

2020 ◽  
Vol 7 (3) ◽  
Author(s):  
Franco Benony Limba ◽  
Jacobus Cliff Diky Rijoly ◽  
Margreath I Tarangi
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Time Series Data ◽  
Global Market ◽  
Bad News ◽  
Series Data ◽  
Black Swan ◽  
Financial Industry ◽  
Market Effect ◽  
European Football

Abstract: The Covid-19 pandemic that hit the world also directly affected financial markets and global stock markets; this condition in economic terminology is known as the Black Swann Global Market Effect. Black Swan Global Market Effect is also experienced by sports industries in the financial industry, the football industry. The purpose of this paper is to see whether there is an influence between the Covid-19 pandemic conditions on the share value of several major European football clubs, namely Ajax Amsterdam, Borussia Dortmund, Juventus F.C., and Manchester United, as a result of the Black Swan Global Market Effect. The data used in this paper is time-series data from March 2020 to August 2020. Meanwhile, to answer the black swan effect phenomenon, the Threshold Generalized Autoregressive Conditional Heteroskedasticity (TGARCH) method is used. The results showed that stocks that were the object of research (Ajax, Borussia Dortmund, Juventus, and Machester United) showed a large response to bad News (an increase in deaths due to covid-19). Abstrak:Pandemic covid-19 yang mengantam dunia juga secara langsung mempengaruhi pasar keuangan serta pasar saham global, kondisi ini dalam terminology ekonomi dikenal sebagai Black Swann Global Markert Effect. Black Swan Global Market Effect hal ini juga dialami industry-industri olahraga yang berada dalam industry keuangan tersebut salah satunya industry sepakbola.Tujuan penulisan ini adalah untuk melihat apakah terdapat pengaruh antara kondisi pandemic covid-19 terhadap nilai saham beberapa klub sepakbola besar eropa yaitu Ajax Amsterdam, Borussia Dortmund, Juventus FC, dan Manchester United sebagai akibat dari Black Swan Global Market Effect.Data yang digunakan dalam penulisan ini adalah data time series dari bulan maret 2020 hingga agustus 2020. Sementara untuk menjawab fenomoena black swan effect ini digunakan metode Threshold Generalized Autoregressive Conditional Heteroskedacity (TGARCH). Hasil Penelitian menunjukkan bahwa, saham-saham yang menjadi objek penelitian (Ajax, Borussia Dortmund, Juventus, dan Machester United) menunjukan respons yang besar terhadap bad news (peningkatan jumlah kematian akibat covid-19). Black Swan Global Market, Pandemi Covid-19, TGARCH Models

scholarly journals Time series forecasting for the adobe software company’s stock prices using ARIMA (BOX-JENKIN’) model

2021 ◽  
Vol 2115 (1) ◽  
pp. 012044
Author(s):  
R. Vaibhava Lakshmi ◽  
S. Radha
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Time Series Data ◽  
Arima Model ◽  
Time Series Forecasting ◽  
Series Data ◽  
Auto Correlation ◽  
Correlation Plot ◽  
Best Fitting ◽  
Fitting Model

Abstract The time series forecasting strategy, Auto-Regressive Integrated Moving Average (ARIMA) model, is applied on the time series data consisting of Adobe stock prices, in order to forecast the future prices for a period of one year. ARIMA model is used due to its simple and flexible implementation for short term predictions of future stock prices. In order to achieve stationarity, the time series data requires second-order differencing. The comparison and parameterization of the ARIMA model has been done using auto-correlation plot, partial auto-correlation plot and auto.arima() function provided in R (which automatically finds the best fitting model based on the AIC and BIC values). The ARIMA (0, 2, 1) (0, 0, 2) [12] is chosen as the best fitting model, with a very less MAPE (Mean Absolute Percentage Error) of 3.854958%.

scholarly journals Implementation of Long Short-Term Memory and Gated Recurrent Units on Grouped Time-Series Data to Predict Stock Prices Accurately

2021 ◽  
Author(s):  
Armin Lawi ◽  
Hendra Mesra ◽  
Supri Amir
Keyword(s):  
Time Series ◽  
Stock Prices ◽  
Stock Price ◽  
Time Series Data ◽  
Short Term Memory ◽  
Series Data ◽  
Percentage Error ◽  
Short Term ◽  
Term Memory ◽  
Long Short Term Memory

Abstract Stocks are an attractive investment option since they can generate large profits compared to other businesses. The movement of stock price patterns on the stock market is very dynamic; thus it requires accurate data modeling to forecast stock prices with a low error rate. Forecasting models using Deep Learning are believed to be able to accurately predict stock price movements using time-series data, especially the Long Short-Term Memory (LSTM) and Gated Recurrent Unit (GRU) algorithms. However, several previous implementation studies have not been able to obtain convincing accuracy results. This paper proposes the implementation of the forecasting method by classifying the movement of time-series data on company stock prices into three groups using LSTM and GRU. The accuracy of the built model is evaluated using loss functions of Rooted Mean Squared Error (RMSE) and Mean Absolute Percentage Error (MAPE). The results showed that the performance evaluation of both architectures is accurate in which GRU is always superior to LSTM. The highest validation for GRU was 98.73% (RMSE) and 98.54% (MAPE), while the LSTM validation was 98.26% (RMSE) and 97.71% (MAPE).

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