Comparative analysis of short-term demand predicting models using ARIMA and deep learning

The forecasting consists of taking historical data as inputs then using them to predict future observations, thus determining future trends. Demand prediction is a crucial component in the supply chain’s process that allows each member to enhance its performance and its profit. Nevertheless, because of demand uncertainty supply chains usually suffer from many problems such as the bullwhip effect. As a solution to those logistics issues, this paper presents a comparative analysis of four time series demand forecasting models; namely, the autoregressive integrated moving Average (ARIMA) a statistical model, the multi-layer perceptron (MLP) a feedforward neural network, the long short-term memory model (LSTM) a recurrent neural network and the convolutional neural network (CNN or ConvNet) a deep learning model. The experimentations are carried out using a real-life dataset provided by a supermarket in Morocco. The results clearly show that the convolutional neural network gives slightly better forecasting results than the Long short-term memory network

Predicting the Future

Due to the increased capabilities of microprocessors and the advent of graphics processing units (GPUs) in recent decades, the use of machine learning methodologies has become popular in many fields of science and technology. This fact, together with the availability of large amounts of information, has meant that machine learning and Big Data have an important presence in the field of Energy. This Special Issue entitled “Predicting the Future—Big Data and Machine Learning” is focused on applications of machine learning methodologies in the field of energy. Topics include but are not limited to the following: big data architectures of power supply systems, energy-saving and efficiency models, environmental effects of energy consumption, prediction of occupational health and safety outcomes in the energy industry, price forecast prediction of raw materials, and energy management of smart buildings

Pronóstico del precio de cobre utilizando técnicas de aprendizaje profundo

Pronosticar los precios futuros de cobre es una tarea desafiante dadas las características dinámicas y no lineales de varios factores que afectan el precio del cobre. Este artículo describe modelos de pronóstico, basados en arquitecturas de redes neuronales, para predecir los retornos del precio de cobre en tres horizontes de tiempo: un día, una semana y un mes adelante. Diversas variables se consideran como variables de entrada, como los precios históricos de diferentes materias primas metálicas y variables macroeconómicas globales. Evaluamos los modelos con datos diarios de 2007 a 2020. Los resultados experimentales mostraron que los modelos de salida única presentan un mejor rendimiento predictivo que los modelos de salida múltiple. Las arquitecturas de mejor rendimiento fueron los modelos de memorias largas a corto plazo (LSTM) en datos de prueba.Forecasting the future prices of copper commodity is a challenging task given the dynamic and non-linear characteristics of various factors that affect the copper price. This article describes forecasting models, based on neural network architectures, to predict copper price returns at three time horizons: one-day, one-week, and onemonth ahead. Several variables are considered as input variables, like historical prices of different metallic commodities and global macroeconomic variables. We evaluated the models with daily data from 2007 to 2020. The experimental results showed that mono-output models present better predictive performance than multi-output models. The best-performing architectures were the Long Short-Term Memories (LSTM) models on test data

Enhancing Short-Term Berry Yield Prediction for Small Growers Using a Novel Hybrid Machine Learning Model

This study presents a novel hybrid model that combines two different algorithms to increase the accuracy of short-term berry yield prediction using only previous yield data. The model integrates both autoregressive integrated moving average (ARIMA) with Kalman filter refinement and neural network techniques, specifically support vector regression (SVR), and nonlinear autoregressive (NAR) neural networks, to improve prediction accuracy by correcting the errors generated by the system. In order to enhance the prediction performance of the ARIMA model, an innovative method is introduced that reduces randomness and incorporates only observed variables and system errors into the state-space system. The results indicate that the proposed hybrid models exhibit greater accuracy in predicting weekly production, with a goodness-of-fit value above 0.95 and lower root mean square error (RMSE) and mean absolute error (MAE) values compared with non-hybrid models. The study highlights several implications, including the potential for small growers to use digital strategies that offer crop forecasts to increase sales and promote loyalty in relationships with large food retail chains. Additionally, accurate yield forecasting can help berry growers plan their production schedules and optimize resource use, leading to increased efficiency and profitability. The proposed model may serve as a valuable information source for European food retailers, enabling growers to form strategic alliances with their customers

A New Predictive Algorithm for Time Series Forecasting Based on Machine Learning Techniques: Evidence for Decision Making in Agriculture and Tourism Sectors

Accurate time series prediction techniques are becoming fundamental to modern decision support systems. As massive data processing develops in its practicality, machine learning (ML) techniques applied to time series can automate and improve prediction models. The radical novelty of this paper is the development of a hybrid model that combines a new approach to the classical Kalman filter with machine learning techniques, i.e., support vector regression (SVR) and nonlinear autoregressive (NAR) neural networks, to improve the performance of existing predictive models. The proposed hybrid model uses, on the one hand, an improved Kalman filter method that eliminates the convergence problems of time series data with large error variance and, on the other hand, an ML algorithm as a correction factor to predict the model error. The results reveal that our hybrid models obtain accurate predictions, substantially reducing the root mean square and absolute mean errors compared to the classical and alternative Kalman filter models and achieving a goodness of fit greater than 0.95. Furthermore, the generalization of this algorithm was confirmed by its validation in two different scenariosThe authors acknowledge the support provided by the companies that released the data used for the analysi

The 8th International Conference on Time Series and Forecasting

The aim of ITISE 2022 is to create a friendly environment that could lead to the establishment or strengthening of scientific collaborations and exchanges among attendees. Therefore, ITISE 2022 is soliciting high-quality original research papers (including significant works-in-progress) on any aspect time series analysis and forecasting, in order to motivating the generation and use of new knowledge, computational techniques and methods on forecasting in a wide range of fields

Predicción de la demanda de un producto con redes neuronales

La obtención de un pronóstico acertado que brinde información relevante del comportamiento del mercado y de la demanda de un producto, siempre ha sido fundamental para las empresas. Por ello se han realizado diversos esfuerzos en la creación de metodologías para predecir con un alto grado de exactitud el comportamiento de un negocio. Usualmente, los modelos estadísticos de predicción lineales y de estadística descriptiva han sido los más utilizados por su sencillez y fácil interpretación.En este trabajo se realizó un modelo de redes neuronales recurrentes LSTM para predecir las unidades facturadas de una determinada referencia, alcanzando niveles de error bajo, lo que confirma la confiablidad de la herramienta para pronóstico de demandaObtaining an accurate forecast that provides relevant information on the behavior of the market and the demand for a product, has always been fundamental for the companies. Therefore, various efforts have been made to create methodologies to predict with a high degree of accuracy the behavior of a business. Usually, statistical models of linear prediction and statistical descriptive have been the most used for its simplicity and easy interpretation. In this work a model of recurrent neural networks LSTM was carried out to predict the units invoiced for a certain reference, reaching low error levels, which confirms the reliability of the demand forecasting too

Four essays on quantitative economics applications to volatility analysis in Emerging Markets and renewable energy projects

[ES]Las decisiones financieras se pueden dividir en decisiones de inversión y decisiones de financiación. En lo que respecta a las decisiones de inversión, la incertidumbre acerca de la dinámica futura de las variables económicas y de las financieras tiene un rol fundamental. Eso, se explica porque los retornos esperados por las empresas y por los inversionistas se pueden ver afectados por los movimientos adversos en los mercados financieros y por los altos niveles de volatilidad. Como consecuencia, resulta crucial realizar un adecuado análisis y modelación de la volatilidad para el proceso de toma de decisiones financieras, por parte de las empresas y el diseño de estrategias de inversión y cobertura por parte de los inversionistas. En este sentido, el estudio de la volatilidad se ha convertido en uno de los temas más interesantes de la investigación en finanzas. Lo anterior ha cobrado mayor relevancia en los últimos años, teniendo en cuenta el escenario de alta volatilidad e incertidumbre que afrontan los mercados a nivel global. Este documento tiene como objetivo abordar cuatro cuestiones centrales, las cuales están relacionadas con la volatilidad financiera como campo de investigación. Esas cuestiones son, la transmisión y spillovers de volatilidad en mercados emergentes, la calibración de la superficie de volatilidad para proyectos de energía renovable y el pronóstico de los rendimientos de activos energéticos y spillovers de volatilidad a través de técnicas de machine learning. En el primer capítulo del documento, se examinan los efectos de transmisión de volatilidad entre un índice de energía y un índice financiero para los Mercados Emergentes. En consecuencia, mediante el uso de un modelo DCC, se muestra que los efectos de transmisión de volatilidad entre los índices empleados para la crisis subprime y la crisis del COVID-19 fueron diferentes. Lo anteriormente dicho, considerando que la primera crisis se originó en el sector financiero y luego se extendió al resto de la economía, mientras que la segunda se originó en el sector real y posteriormente afectó al resto de la economía. Teniendo en cuenta que la relación entre la volatilidad de los mercados es cambiante en el tiempo, en el segundo capítulo se llevó a cabo un análisis dinámico de los spillovers de volatilidad entre materias primas, Bitcoin y un índice de Mercados Emergentes. Así, empleando la metodología propuesta por Diebold y Yilmaz (2012), se concluyó que los efectos de los spillovers de volatilidad entre los activos analizados no son constantes en dirección e intensidad a través del tiempo. En particular, para períodos de crisis como el de la pandemia del COVID-19, hay reversiones en la dirección de los spillovers de volatilidad debido al sector en el que se originó la crisis. Además, en este capítulo se explota la naturaleza dinámica de los spillovers de volatilidad. Por lo tanto, se planteó que el índice de spillovers de volatilidad propuesto por Diebold y Yilmaz puede ser usado como una medida para pronosticar periodos de alta turbulencia. Lo anterior se desarrolló a través de modelos econométricos tradicionales y de técnicas de machine learning. En el tercer capítulo del documento, se propone un modelo que predice los retornos de los precios del carbono y del petróleo. En este sentido, se desarrolló un modelo híbrido, el cual combina las proyecciones obtenidas a partir de diferentes técnicas de machine learning y modelos econométricos tradicionales, obteniéndose resultados los cuales muestran las ventajas de emplear modelos híbridos que incorporan técnicas de machine learning, exclusivamente, para pronosticar variables financieras. Finalmente, en el capítulo cuatro, se presenta una metodología para la estimación de la volatilidad en la valoración de proyectos de energías renovables mediante opciones reales. En esta metodología, la cual es una extensión del enfoque de volatilidad implícita empleada para las opciones financieras, la volatilidad de un proyecto es la volatilidad implícita obtenida a partir de la superficie de la volatilidad de empresas comparables, según una determinada fecha de valoración y dada la relación deuda-capital de un proyecto de energía renovable. En este análisis, se utilizó el modelo estocástico 'alfa-beta-rho' para calibrar la superficie de la volatilidad para la valoración mediante opciones reales. Por último, al final del documento se presentan las conclusiones derivadas de los capítulos mencionados, así como algunas recomendaciones para las futuras investigaciones. [EN]Financial decisions can be divided in investment and financing decisions. Concerning investment decisions, the uncertainty about the future dynamics of financial and economic variables has a central role, considering that the returns expected by firms and investors can be affected by the adverse movements in financial markets and their high volatility. In consequence, the adequate volatility analysis and modeling is crucial for the firm’s financial decision-making process and the design of investing and hedging strategies by investors. In this regard, the study of volatility has become one of the most interesting topics in finance research. The foregoing has become more relevant in recent years considering the scenario of high volatility and uncertainty faced by markets globally. This document aims to address four central issues related to financial volatility as a research area. These are, volatility transmission and spillovers in Emerging Markets, the calibration of the volatility surface for renewable energy projects and the forecast of energy assets returns and volatility spillovers through machine learning techniques. In the first chapter of the document, the volatility transmission effects between an energy index and a financial index for Emerging Markets are examined. Then, by using a DCC model, it is shown that the volatility transmission effects between the employed indices for the subprime crisis and the COVID-19 pandemic were different. This, considering that the former crisis originated in the financial sector and spread to the rest of the economy, while the second originated in the real sector and trasmitted to the rest of the economy posteriorly. Considering that the relationship between markets volatility is time-varying, in the second chapter, a dynamic analysis of volatility spillovers between commodities, Bitcoin and an Emerging Markets index is developed. Employing the methodology proposed by Diebold and Yilmaz (2012), it is concluded that the volatility spillovers effects between the analyzed assets is not constant in direction and intensity over time. In particular, for periods of crisis such as the COVID-19 pandemics, there are reversals in the direction of volatility spillovers due to the sector in which the crises originate. In addition, in this chapter the dynamic nature of volatility spillovers is exploited. Hence, the volatility spillover index proposed by Diebold and Yilmaz is forecasted to be used as a measure to anticipate high turbulence periods. This, through both traditional econometric models and machine learning techniques. In the third chapter, a model for the prediction of carbon and oil prices is proposed. In this sense, a hybrid model that ensembles the forecasts obtained from different machine learning techniques and traditional econometric models is developed, obtaining results that show the advantages of employing hybrid models which combine machine learning techniques, exclusively, to forecast financial variables. In Chapter four, a methodology for the estimation of volatility in renewable energy projects valuation through real options is presented. In this methodology, which is an extension of the implied volatility approach employed for financial options, the volatility of the project is the implied volatility obtained from the volatility surface of comparable firms for a certain valuation date and given debt-to-equity relation of a renewable energy project. In this analysis, the stochastic ‘alpha-beta-rho’ model is utilized to calibrate the volatility surface for real option valuation purposes. Finally, the conclusions derived from the mentioned chapters are presented at the end of the document as well as some recommendations for future research

Examining the customer journey of solar home system users in Rwanda and forecasting their future electricity demand

Globally, 771 million people lack access to electricity, out of which 75% live in Sub-Saharan Africa (IEA, 2020b). Electricity grid expansion can be costly in rural areas, which often have low population densities. Solar home systems (SHS) have provided people worldwide an alternative option to gain electricity access. A SHS consists of a solar panel, battery and accompanying appliances. This research aims to advance the understanding of the SHS customer journey using a case study of SHS customers in Rwanda. This study developed a framework outlining households’ pre- to post-purchase experiences, which included awareness and purchase, both current and future SHS usage and finally customers’ upgrade, switching and retention preferences. A mixed methods approach was utilised to examine these steps, including structured interviews with the SHS providers’ customers (n=100) and staff (n=19), two focus groups with customers (n=24), as well as a time series analysis and descriptive statistics of database customers (n=63,299). A convolutional neural network (CNN) was created to forecast individual SHS users’ future electricity consumption in the next week, month and three months based on their previous hourly usage. Despite the volatility of SHS usage data, the CNN was able to forecast individual users’ future electricity more accurately than the naïve baseline, which assumes a continuation of previous usage. The time series analysis revealed an evening usage peak for non-television users, whilst customers with a television experienced an additional peak around midday. SHS recommendations prior and post-purchase were common, highlighting the circular nature of the customer journey. The main purchase reason and usage activity were having a clean energy source and phone charging respectively. A better understanding of the SHS customer journey may increase the number of households with electricity access, as companies can better address the purchase barriers and tap into the power of customer recommendations

A deep learning approach to predict and optimise energy in fish processing industries

The fish processing sector is experiencing increased pressure to reduce its energy consumption and carbon footprint as a response to (a) an increasingly stringent energy regulatory landscape, (b) rising fuel prices, and (c) the incentives to improve social and environmental performance. In this paper, a standalone forecasting computational platform is developed to optimise energy usage and reduce energy costs. This short-term forecasting model is achieved using an artificial neural network (ANN) to predict power and temperature at thirty-minute intervals in two cold rooms of a fish processing plant. The proposed ANN function is optimised by genetic algorithms (GA) with simulated annealing algorithms (SA) to model the relationships between future temperature and power and the system variables affecting them. To assess the accuracy of the proposed method, extensive experiments were conducted using real-world data sets. The results of the experiments indicate that the proposed ANN model performs with higher accuracy than (a) the long short-term memory (LSTM) as an artificial recurrent neural network (RNN) architecture, (b) peephole-LSTM, and (c) the gated recurrent unit (GRU). This paper finds that using GA & SA algorithms; ANN parameters can be optimised. The RMSE obtained by the ANN compared with the second-ranked method GRU was consequently 16% and 4% less for the predicted temperature and power. The results in one particular site demonstrate energy cost savings in the range of 15%–18% after applying the forecast-optimiser approach. The proposed prediction model is used in a fish processing plant for energy management and is scalable to other sites