APPLING GREY FORECASTING METHOD TO FORECAST THE PORTFOLIO’S RATE OF RETURN IN STOCK MARKET OF IRAN

2012 ◽  
Vol 01 (07) ◽  
pp. 01-16
Author(s):  
Ali Mohammadi ◽  
Sara Zeinodin Zade
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Predictive Ability ◽  
Grey Model ◽  
Rate Of Return ◽  
Forecasting Accuracy ◽  
Grey Forecasting ◽  
Best Value ◽  
Forecasting Method ◽  
Time Series Method

Stock market is one of the most important investment market, which influenced by many factors, therefore it needs a robust and accurate forecasting. In this study ,grey model used as a forecasting method and examined if it is the most reliable forecasting method in comparison of time series method. The information of portfolio’s rate of return is gathered from 50 accepted companies in Tehran stock market, which were announced as the best companies last year. Mean Square of the errors (MSE) is computed by different value of α in grey model which could be varied between .1 to .9 ,to examined if α=.5 is the best value that our model could take .Then the predictive ability of the model is compared with different type of time series based forecasting methods Experimental results confirm forecasting accuracy of grey model. Tracking signal is computed for grey model to see whether grey model forecasting is in control or not. At the last portfolio’s rate of return is forecasted for next periods.

Comparison Analysis of Aircraft Aluminum Alloy Corrosion Damage Forecasting Method

2012 ◽  
Vol 268-270 ◽  
pp. 348-351
Author(s):  
Zhi Guo Liu ◽  
Zhi Tao Mu ◽  
Zeng Jie Cai
Keyword(s):  
Time Series ◽  
Aluminum Alloy ◽  
Corrosion Damage ◽  
Neural Net ◽  
Series Method ◽  
Comparison Analysis ◽  
Forecasting Accuracy ◽  
Fitting Method ◽  
Forecasting Method ◽  
Time Series Method

Three different analysis methods was put forward to carried out aircraft aluminum alloy structure corrosion damage forecasting,and comparison analysis of different method which included basic forecasting caculation principle and forecasting accuracy and forecasting extensionality also was discussed.The forecasting calculation result shows that the prediction accuracy of neural net and time series method is higher than the data fitting method,and the prediction extensionality of time series method is the best among the three method which discussed.

scholarly journals Load forecasting of refrigerated display cabinet based on CEEMD–IPSO–LSTM combined model

Open Physics ◽  
2021 ◽  
Vol 19 (1) ◽  
pp. 360-374
Author(s):  
Yuan Pei ◽  
Lei Zhenglin ◽  
Zeng Qinghui ◽  
Wu Yixiao ◽  
Lu Yanli ◽  
...  
Keyword(s):  
Time Series ◽  
Deep Learning ◽  
Time Series Data ◽  
Load Forecasting ◽  
Series Data ◽  
Forecasting Model ◽  
Combined Model ◽  
Forecasting Accuracy ◽  
Forecasting Method ◽  
Consumption Reduction

Abstract The load of the showcase is a nonlinear and unstable time series data, and the traditional forecasting method is not applicable. Deep learning algorithms are introduced to predict the load of the showcase. Based on the CEEMD–IPSO–LSTM combination algorithm, this paper builds a refrigerated display cabinet load forecasting model. Compared with the forecast results of other models, it finally proves that the CEEMD–IPSO–LSTM model has the highest load forecasting accuracy, and the model’s determination coefficient is 0.9105, which is obviously excellent. Compared with other models, the model constructed in this paper can predict the load of showcases, which can provide a reference for energy saving and consumption reduction of display cabinet.

scholarly journals First-Order ARMA Type Fuzzy Time Series Method Based on Fuzzy Logic Relation Tables

2013 ◽  
Vol 2013 ◽  
pp. 1-12 ◽  
Author(s):  
Cem Kocak
Keyword(s):  
Time Series ◽  
Fuzzy Logic ◽  
Stock Exchange ◽  
Life Time ◽  
Fuzzy Time Series ◽  
Moving Averages ◽  
First Order ◽  
Forecasting Method ◽  
Forecasting Performance ◽  
Time Series Method

Fuzzy time series approaches have an important deficiency according to classical time series approaches. This deficiency comes from the fact that all of the fuzzy time series models developed in the literature use autoregressive (AR) variables, without any studies that also make use of moving averages (MAs) variables with the exception of only one study (Egrioglu et al. (2013)). In order to eliminate this deficiency, it is necessary to have many of daily life time series be expressed with Autoregressive Moving Averages (ARMAs) models that are based not only on the lagged values of the time series (AR variables) but also on the lagged values of the error series (MA variables). To that end, a new first-order fuzzy ARMA(1,1) time series forecasting method solution algorithm based on fuzzy logic group relation tables has been developed. The new method proposed has been compared against some methods in the literature by applying them on Istanbul Stock Exchange national 100 index (IMKB) and Gold Prices time series in regards to forecasting performance.

scholarly journals Forecasting of Air Passengers using ARIMA Modeling

2019 ◽  
Vol 8 (11S) ◽  
pp. 1050-1054
Keyword(s):  
Machine Learning ◽  
Time Series ◽  
Autocorrelation Function ◽  
Arima Model ◽  
Machine Learning Techniques ◽  
Learning Techniques ◽  
Forecasting Method ◽  
Partial Autocorrelation Function ◽  
Time Series Method ◽  
Arima Modeling

Air passengers prediction is said to be the centre of gravity of the growth. With people on the move constantly, there is bound to be some dissatisfaction amongst the customers which could be due to various reason, varying from overbooking of flights to ground operations. This dissatisfaction can be controlled till a limit, in ballpark figuring. In the past, this has been done using various machine learning techniques. For this prediction, in this project, ARIMA Modeling is used which is a time series forecasting method, based on machine learning. To test the stationarity of the data, which is done using Dickey Fuller test. If the data is stationary, it is fit into the ARIMA Model. If the data isn’t stationary, it is made stationary by differencing or by logarithmic transformation. The logarithmic method to make the data stationary. Once the data is stationary, using the Partial autocorrelation function and the autocorrelation function, values of p and q are found, which are required in the time series method. These values are then fit into the ARIMA Modeling and hence, the results are predicted. Upon the use and fitting of various models, the ARIMA(2,1,2) has been the best fit, having the least RMS and RMSE values.

scholarly journals Pengujian Metode Fuzzy Time Series Chen dan Hsu Untuk Meramalkan Nilai Indeks Bursa Saham Syariah Di Jakarta Islamic Index (JII)

2017 ◽  
Vol 7 (2) ◽  
pp. 108-124
Author(s):  
Rizka Zulfikar ◽  
Prihatini Ade`Mayvita
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Secondary Data ◽  
Fuzzy Time Series ◽  
Stock Index ◽  
Series Method ◽  
Forecasting Error ◽  
Time Series Method ◽  
The Difference ◽  
Market Indexes

This research is an  empirical  study to tested  the accuracy  of Chen  and  Hsu’s  Fuzzy Time Series Method used to forecast  sharia  market  stock index in Jakarta Islamic  Index. The data  used in this research are  secondary  data  consists of daily stock market indexes during  23 November 2016 to 14 July 2017.  Chen dan Hsu’s Fuzzied Series Method used in this research has the smallest MSE (Mean Square Error)  and AFER (Average Forecasting Error  Rate) value rather  than others method such as Song and Chrissom (1993). Song and Chrissom (1994), Chen (1996), Hwang, Chen and Lee (1998), Huarng  (2001)  and  Chen (2002). To tested  the accuracy  of the Chen’s  dan  Hsu’s Fuzzied Series. Method researcher has to do 5 (five) steps such as (1) Determine lag between historical  data, interval and The Universe Data  (U), (2) Distributing  Data  into The Unniverse,  (3) Define The Fuzzy Set, (4) Determine The Fuzzy Logical Relationship (FLR), and (5) Analyse the Difference between data. There are 3 (three) rules in Chen’s dan Hsu’s Fuzzied Series Method based on the Difference and FLR.  The result of this research is Chen dan Hsu’s Fuzzied Series Method has MSE = 1.88 and AFER =0.006% and  it can  be used to make forecasting  on value and trend  sharia  stock market  in Jakarta  Islamic index.

scholarly journals Aplikasi Metode Grey Forecasting Pada Peramalan Kebutuhan Bahan Bakar Alternatif Ramah Lingkungan di PT. Indocement Tunggal Prakarsa Tbk

2015 ◽  
Vol 14 (2) ◽  
Author(s):  
Nanda Lokita Nariswari ◽  
Cucuk Nur Rosyidi
Keyword(s):  
Time Series ◽  
Alternative Energy ◽  
Historical Data ◽  
Raw Materials ◽  
Time Series Forecasting ◽  
Short Term ◽  
Grey Forecasting ◽  
Forecasting Methods ◽  
Forecasting Method ◽  
A Company

<span><em>Forecasting is one of the methods required by a company to plan the demand of raw materials in the </em><span><em>future, in order to avoid the emergence of various problems such as stock out. However, not all </em><span><em>forecasting methods can be used to forecast demand in the short term a specially a condition where the </em><span><em>company only has a few historical data. Grey method is a forecasting method which can be used to </em><span><em>predict the short-term demand. The purpose of this study is to determine how well the Grey method used </em><span><em>to predict the demand of alternative energy and compared with other forecasting methods. Mean Squared </em><span><em>Error (MSE) is used as a measure of the goodness of the method. The result of the study indicates that the </em><span><em>Grey Forecasting Methods MSE value that is smaller than other time series forecasting methods.</em></span></span></span></span></span></span></span><br /></span>

scholarly journals Clustering-based forecasting method for individual consumers electricity load using time series representations

2018 ◽  
Vol 8 (1) ◽  
pp. 38-50 ◽  
Author(s):  
Peter Laurinec ◽  
Mária Lucká
Keyword(s):  
Time Series ◽  
Smart Grid ◽  
Series Representation ◽  
Smart Meter ◽  
Grid Data ◽  
Forecasting Accuracy ◽  
Forecasting Methods ◽  
Forecasting Method ◽  
Series Representations ◽  
Electricity Load

Abstract This paper presents a new method for forecasting a load of individual electricity consumers using smart grid data and clustering. The data from all consumers are used for clustering to create more suitable training sets to forecasting methods. Before clustering, time series are efficiently preprocessed by normalisation and the computation of various model-based time series representation methods. Final centroid-based forecasts are scaled by saved normalisation parameters to create the forecast for every consumer. Our method is compared with the approach that creates forecasts for every consumer separately. Evaluation and experiments were conducted on three smart meter datasets from residences of Ireland and Australia, and factories of Slovakia. The achieved results proved that our clustering-based method improves forecasting accuracy mainly for residential consumers.We can also proclaim that it can be found such time series representation and clustering setting that will our forecasting method perform more accurately than fully disaggregated approach. Our method is also more scalable since it is necessary to train the model only on clusters and not for every consumer separately

scholarly journals PERAMALAN PERSEDIAAN INFUS MENGGUNAKAN METODE AUTOREGRESSIVE INTEGRATED MOVING AVERAGE (ARIMA) PADA RUMAH SAKIT UMUM PUSAT SANGLAH

2018 ◽  
Vol 7 (2) ◽  
pp. 129
Author(s):  
I PUTU YUDI PRABHADIKA ◽  
NI KETUT TARI TASTRAWATI ◽  
LUH PUTU IDA HARINI
Keyword(s):  
Time Series ◽  
General Hospital ◽  
Moving Average ◽  
Glucose Infusion ◽  
Series Method ◽  
Autoregressive Integrated Moving Average ◽  
Important Thing ◽  
Forecasting Method ◽  
Time Series Method ◽  
The Many

Infusion supplies are an important thing that must be considered by the hospital in meeting the needs of patients. This study aims to predict the need for infusion of 0.9% 500 ml of NaCl and 5% 500 ml glucose infusion at Sanglah General Hospital (RSUP) Sanglah so that the hospital can estimate the many infusions needed for the next six months. The forecasting method used in this research is the autoregressive integrated moving average (ARIMA) time series method. The results of this study indicate the need for infusion at Sanglah Hospital as many as 154,831 units for infusion of 0.9% NaCl 500 ml and 8,249 units for 5% 500 ml Glucose infusion.

scholarly journals Pengujian Metode Fuzzy Time Series Chen dan Hsu Untuk Meramalkan Nilai Indeks Bursa Saham Syariah Di Jakarta Islamic Index (JII)

2018 ◽  
Vol 7 (2) ◽  
pp. 108-124
Author(s):  
Rizka Zulfikar ◽  
Prihatini Ade'Mayvita
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Secondary Data ◽  
Fuzzy Time Series ◽  
Stock Index ◽  
Series Method ◽  
Forecasting Error ◽  
Time Series Method ◽  
The Difference ◽  
Market Indexes

This research is an  empirical  study to tested  the accuracy  of Chen  and  Hsu’s  Fuzzy Time Series Method used to forecast  sharia  market  stock index in Jakarta Islamic  Index. The data  used in this research are  secondary  data  consists of daily stock market indexes during  23 November 2016 to 14 July 2017.  Chen dan Hsu’s Fuzzied Series Method used in this research has the smallest MSE (Mean Square Error)  and AFER (Average Forecasting Error  Rate) value rather  than others method such as Song and Chrissom (1993). Song and Chrissom (1994), Chen (1996), Hwang, Chen and Lee (1998),   Huarng  (2001)  and  Chen (2002).   To tested  the accuracy  of the Chen’s  dan  Hsu’s Fuzzied Series   Method researcher has to do 5 (five) steps such as (1) Determine lag between historical  data, interval and The Universe Data  (U), (2) Distributing  Data  into The Unniverse,  (3) Define The Fuzzy Set, (4) Determine The Fuzzy Logical Relationship (FLR), and (5) Analyse the Difference between data. There are 3 (three) rules in Chen’s dan Hsu’s Fuzzied Series Method based on the Difference and FLR.  The result of this research is Chen dan Hsu’s Fuzzied Series Method has MSE = 1.88 and AFER =0.006% and  it can  be used to make forecasting  on value and trend  sharia  stock market  in Jakarta  Islamic index.

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